Optimal non-symmetric Fokker-Planck equation for the convergence to a given equilibrium

Abstract

This paper is concerned with finding Fokker-Planck equations in ℝᵈ with the fastest exponential decay towards a given equilibrium. For a prescribed, anisotropic Gaussian we determine a non-symmetric Fokker-Planck equation with linear drift that shows the highest exponential decay rate for the convergence of its solutions towards equilibrium. At the same time it has to allow for a decay estimate with a multiplicative constant arbitrarily close to its infimum. Such an “optimal” Fokker-Planck equation is constructed explicitly with a diffusion matrix of rank one, hence being hypocoercive. In an 𝐿²–analysis, we find that the maximum decay rate equals the maximum eigenvalue of the inverse covariance matrix, and that the infimum of the attainable multiplicative constant is 1, corresponding to the high-rotational limit in the Fokker-Planck drift. This analysis is complemented with numerical illustrations in 2D, and it includes a case study for time-dependent coefficient matrices.