Long Time Behavior of Finite and Infinite Dimensional Reflected Brownian Motions

TL;DR

This paper reviews the long-term behavior of reflected diffusions, especially reflected Brownian motions, providing explicit convergence rates, conditions for local convergence, and analyzing infinite-dimensional cases like the Atlas model.

Contribution

It offers new explicit convergence rates for a subclass of reflected Brownian motions and conditions for dimension-free local convergence, along with analysis of infinite-dimensional diffusions.

Findings

Explicit convergence rates for Harrison-Reiman class RBM

Dimension-free local convergence conditions

Characterization of stationary distributions in infinite-dimensional models

Abstract

This article presents a review of some old and new results on the long time behavior of reflected diffusions. First, we present a summary of prior results on construction, ergodicity and geometric ergodicity of reflected diffusions in the positive orthant $\mathbb{R}^d_+$, $d \in \mathbb{N}$. The geometric ergodicity results, although very general, usually give implicit convergence rates due to abstract couplings and Lyapunov functions used in obtaining them. This leads us to some recent results on an important subclass of reflected Brownian motions (RBM) (constant drift and diffusion coefficients and oblique reflection at boundaries), known as the Harrison-Reiman class, where explicit rates of convergence are obtained as functions of the system parameters and underlying dimension. In addition, sufficient conditions on system parameters of the RBM are provided under which local convergence to stationarity holds at a `dimension-free' rate, that is, for any fixed $k \in \mathbb{N}$, the rate of convergence of the $k$-marginal to equilibrium does not depend on the dimension of the whole system. Finally, we study the long time behavior of infinite dimensional rank-based diffusions, including the well-studied infinite Atlas model. The gaps between the ordered particles evolve as infinite dimensional RBM and this gap process has uncountably many explicit product form stationary distributions. Sufficient conditions for initial configurations to lie in the weak domain of attraction of the various stationary distributions are provided. Finally, it is shown that, under conditions, all of these explicit stationary distributions are extremal (equivalently, ergodic) and, in some sense, the only product form invariant probability distributions. Proof techniques involve a pathwise analysis of RBM using explicit synchronous and mirror couplings and constructing Lyapunov functions.