Asymptotic behavior of Wasserstein distance for weighted empirical measures of diffusion processes on compact Riemannian manifolds

Abstract

Let $(X_t)_{t \geq 0}$ be a diffusion process defined on a compact Riemannian manifold, and for $\alpha > 0$, let $$ \mu_t^{(\alpha)} = \frac{\alpha}{t^\alpha} \int_{0}^{t} \delta_{X_s} \, s^{\alpha - 1} \mathrm{d} s $$ be the associated weighted empirical measure. We investigate asymptotic behavior of $\mathbb{E}^\nu \big[ \mathrm{W}_2^2(\mu_t^{(\alpha)}, \mu) \big]$ for sufficient large $t$, where $\mathrm{W}_2$ is the quadratic Wasserstein distance and $\mu$ is the invariant measure of the process. In the particular case $\alpha = 1$, our result sharpens the limit theorem achieved in [26]. The proof is based on the PDE and mass transportation approach developed by L. Ambrosio, F. Stra and D. Trevisan.