Almost sure contraction for diffusions on $\mathbb R^d$. Application to generalised Langevin diffusions

Overview & Synopsis

In the case of diffusions on $\mathbb R^d$ with constant diffusion matrix, without assuming reversibility nor hypoellipticity, we prove that the contractivity of the deterministic drift is equivalent to the constant rate contraction of Wasserstein distances $\mathcal W_p$, $p\in[1,\infty]$. It also implies concentration inequalities for ergodic means of the process. Such a contractivity property is then established for some non-equilibrium chains of anharmonic oscillators and for some generalised Langevin diffusions when the potential is convex with bounded Hessian and the friction is sufficiently high. This extends previous known results for the usual (kinetic) Langevin diffusion.