Article ID Journal Published Year Pages File Type
1156952 Stochastic Processes and their Applications 2009 18 Pages PDF
Abstract

We consider a diffusion process on D⊂RdD⊂Rd, which upon hitting ∂D∂D, is redistributed in DD according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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