Precise Limit in Wasserstein Distance for Conditional Empirical Measures of Dirichlet Diffusion Processes (2004.07537v3)

Abstract: Let $M$ be a $d$-dimensional connected compact Riemannian manifold with boundary $\partial M$, let $V\in C^2(M)$ such that $\mu(dx):=e^{V(x)} d x$ is a probability measure, and let $X_t$ be the diffusion process generated by $L:=\Delta+\nabla V$ with $\tau:=\inf{t\ge 0: X_t\in\partial M}$. Consider the conditional empirical measure $\mu_t^\nu:= \mathbb E^\nu\big(\frac 1 t \int_0^t \delta_{X_s}d s\big|t<\tau\big)$ for the diffusion process with initial distribution $\nu$ such that $\nu(\partial M)<1$. Then $$\lim_{t\to\infty} \big{t\mathbb W_2(\mu_t^\nu,\mu_0)\big}^2 = \frac 1 {{\mu(\phi_0)\nu(\phi_0)}^2} \sum_{m=1}^\infty \frac{{\nu(\phi_0)\mu(\phi_m)+ \mu(\phi_0) \nu(\phi_m)}^2}{(\lambda_m-\lambda_0)^3},$$ where $\nu(f):=\int_Mf {d} \nu$ for a measure $\nu$ and $f\in L^1(\nu)$, $\mu_0:=\phi_0^2\mu$, ${\phi_m}{m\ge 0}$ is the eigenbasis of $-L$ in $L^2(\mu)$ with the Dirichlet boundary, ${\lambda_m}{m\ge 0}$ are the corresponding Dirichlet eigenvalues, and $\mathbb W_2$ is the $L^2$-Wasserstein distance induced by the Riemannian metric.