Publication:1004409

DOI10.1016/J.SPA.2008.02.006zbMATH Open1169.60012arXivmath/0701747OpenAlexW2107931876MaRDI QIDQ1004409FDOQ1004409

A. M. Kulik

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: The mild sufficient conditions for exponential ergodicity of a Markov process, defined as the solution to SDE with a jump noise, are given. These conditions include three principal claims: recurrence condition R, topological irreducibility condition S and non-degeneracy condition N, the latter formulated in the terms of a certain random subspace of Re^m, associated with the initial equation. The examples are given, showing that, in general, none of three principal claims can be removed without losing ergodicity of the process. The key point in the approach, developed in the paper, is that the local Doeblin condition can be derived from N and S via the stratification method and criterium for the convergence in variations of the family of induced measures on Re^m.

Full work available at URL: https://arxiv.org/abs/math/0701747

zbMATH Keywords

admissible time-stretching transformationsstratification methodlocal Doeblin condition\(\beta \)-mixing coefficientconvergence in variation of induced measures

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Long time behavior of stochastic hard ball systems
• Ergodicity for multidimensional jump diffusions with position dependent jump rate
• Kinetic time-inhomogeneous Lévy-driven model
• Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
• Asymptotic and spectral properties of exponentially \(\phi\)-ergodic Markov processes
• Exponential convergence for functional SDEs with Hölder continuous drift
• Ergodic properties of generalized Ornstein-Uhlenbeck processes
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• Erratum to: ``Ergodicity and exponential \(\beta \)-mixing bound for multidimensional diffusions with jumps
• Ergodic Approximation to Chemical Reaction System with Delay
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Extended Poisson equation for weakly ergodic Markov processes
• Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Exponential ergodicity for SDEs under the total variation
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Convergence in multiscale financial models with non-Gaussian stochastic volatility
• Coupling property and gradient estimates of Lévy processes via the symbol
• Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise
• Infinite horizon stopping problems with (nearly) total reward criteria
• Regularity of semigroups generated by Lévy type operators via coupling
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• Spectral analysis for a discrete metastable system driven by Lévy flights
• Absolute continuity and convergence in variation for distributions of functionals of Poisson point measure
• Strong averaging along foliated Lévy diffusions with heavy tails on compact leaves
• \(\Phi\)-entropy inequality and application for SDEs with jumps
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• Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Exponential mixing of 2D SDEs forced by degenerate Lévy noises
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• LAN property for an ergodic diffusion with jumps
• A Strong Averaging Principle for Lévy Diffusions in Foliated Spaces with Unbounded Leaves
• Ergodicity of the stochastic real Ginzburg-Landau equation driven by \(\alpha\)-stable noises

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