Quantitative QSD convergence in 1-Wasserstein distance via the Föllmer drift

Source abstract

We develop a novel pathwise approach to study the convergence of the law of killed diffusion processes conditioned on non-absorption, towards a quasi-stationary distribution (QSD) as time goes to infinity. We start from the general observation that the dynamics of an absorbed Markov process conditioned upon survival up to time $T>0$ is the minimizer of the pathwise relative entropy with respect to its unconditioned dynamics, under a simple distributional constraint at that time; in other words, a Föllmer process. We then show how this result applies to a Brownian diffusion process softly-killed at a state-dependent regular rate, and characterize the associated drift change. In the case when the diffusion process is moreover reversible, we leverage this idea and recent results on the propagation of weak log-concavity of HJB semigroups to prove that, under strict asymptotic convexity of the potential, the conditioned dynamics satisfy a contractivity property in $1$-Wasserstein distance, uniformly in $T>0$. Under a general ergodicity condition on the associated Feynman-Kac semigroup, we then establish the existence of a QSD with a large domain of attraction, and the exponentially fast convergence to it of the conditioned semigroup in the $1$-Wasserstein distance as $T$ goes to infinity. Finally, we deduce the exponentially fast convergence, also in $1$-Wasserstein distance, of the law of the corresponding Q-process towards its equilibrium.