Numerical hypocoercivity for the Kolmogorov equation

Porretta A., Zuazua E. Numerical hypocoercivity for the Kolmogorov equation
Mathematics of Computation, AMS, Volume 86, Number 303, January 2017, Pages 97–119 DOI: 10.1090/mcom/3157

Abstract: We prove that a finite-difference centered approximation for the Kolmogorov equation in the whole space preserves the decay properties of continuous solutions as t \to \infty, independently of the mesh-size parameters. This is a manifestation of the property of numerical hypo-coercivity, and it holds both for semi-discrete and fully discrete approximations. The method of proof is based on the energy methods developed by Herau and Villani, employing well-balanced Lyapunov functionals mixing different energies, suitably weighted and equilibrated by multiplicative powers in time. The decreasing character of this Lyapunov functional leads to the optimal decay of the L^2-norms of solutions and partial derivatives, which are of different order because of the anisotropy of the model.

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