Exponential almost sure synchronization of one-dimensional diffusions with nonregular coefficients

DOI10.1080/07362994.2020.1823234MaRDI QIDQ5155317zbMATH OpenOpenAlexWikidataFDO

Authors Olga Aryasova, Sylvie Rœlly, Andrey Yu. Pilipenko

Publication date 6 October 2021

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.02614

zbMATH Keywords

stochastic differential equationsynchronizationsingular drift

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Martingales with continuous parameter (60G44)

Abstract: We study the asymptotic behaviour of a real-valued diffusion whose non-regular drift is given as a sum of a dissipative term and a bounded measurable one. We prove that two trajectories of that diffusion converge a.s. to one another at an exponential explicit rate as soon as the dissipative coefficient is large enough. A similar result in $L_p$ is obtained.

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