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Journal Articles Electronic Communications in Probability Year : 2022

Overdamped limit at stationarity for non-equilibrium Langevin diffusions

Abstract

In this note, we establish that the stationary distribution of a possibly non-equilibrium Langevin diffusion converges, as the damping parameter goes to infinity (or equivalently in the Smoluchowski-Kramers vanishing mass limit), toward a tensor product of the stationary distribution of the corresponding overdamped process and of a Gaussian distribution.
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Dates and versions

hal-03549666 , version 1 (31-01-2022)

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Pierre Monmarché, Mouad Ramil. Overdamped limit at stationarity for non-equilibrium Langevin diffusions. Electronic Communications in Probability, 2022, 27 (none), ⟨10.1214/22-ecp447⟩. ⟨hal-03549666⟩
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