Ornstein-Uhlenbeck pinball: I. Poincaré inequalities in a punctured domain

Abstract

In this paper we study the Poincaré constant for the Gaussian measure restricted to $D={\mathbb{R}}^d-B(y,r)$ where $B(y,r)$ denotes the Euclidean ball with center $y$ and radius $r$, and $d\ge 2$. We also study the case of the $l^{\infty }$ ball (the hypercube). This is the first step in the study of the asymptotic behavior of a $d$-dimensional Ornstein-Uhlenbeck process in the presence of obstacles with elastic normal reflections (the Ornstein-Uhlenbeck pinball) we shall study in a companion paper.

References in corpus (1)

• Transition from ergodic to explosive behavior in a family of stochastic differential equations