Hypercontractivity for functional stochastic differential equations

DOI10.1016/J.SPA.2015.04.001MaRDI QIDQ491930zbMATH OpenOpenAlexFDO

Authors Jianhai Bao, Feng-Yu Wang, Chenggui Yuan

Publication date 19 August 2015

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

Full work available at URL https://arxiv.org/abs/1406.7580

zbMATH Keywords

compactnessHarnack inequalityexponential ergodicityhypercontractivityfunctional stochastic differential equation

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)

Abstract: An explicit sufficient condition on the hypercontractivity is derived for the Markov semigroup associated to a class of functional stochastic differential equations. Consequently, the semigroup $P_t$ converges exponentially to its unique invariant probability measure $mu$ in entropy, $L^2(mu)$ and the totally variational norm, and it is compact in $L^2(mu)$ for large $t>0$. This provides a natural class of non-symmetric Markov semigroups which are compact for large time but non-compact for small time. A semi-linear model which may not satisfy this sufficient condition is also investigated.

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Cited in

(15)

• Hypercontractivity and absolute continuity of Gaussian generalized Mehler semigroups in Hilbert spaces
• Hypercontractivity for space-time white noise driven SPDEs with reflection
• Harnack and shift Harnack inequalities for SDEs with integrable drifts
• Limit theorems for additive functionals of stochastic functional differential equations with infinite delay
• Hypercontractivity for functional stochastic partial differential equations
• Functional inequalities for non-symmetric stochastic differential equations
• Exponential convergence of non-linear monotone SPDEs
• Ergodicity of stochastic Cahn-Hilliard equations with logarithmic potentials driven by degenerate or nondegenerate noises
• Exponential convergence for functional SDEs with Hölder continuous drift
• On the rates of decay to equilibrium in degenerate and defective Fokker-Planck equations
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• Hypercontractivity and applications for stochastic Hamiltonian systems
• Quasi Contraction of Stochastic Functional Differential Equations
• Limit theorems for additive functionals of path-dependent SDEs
• \(L^2\)-quasi-compact and hyperbounded Markov operators

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