On polynomial mixing bounds for stochastic differential equations

DOI10.1016/S0304-4149(97)00056-2zbMath0911.60042OpenAlexW2150093523MaRDI QIDQ1275955

Publication date: 14 January 1999

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(97)00056-2

zbMATH Keywords

stochastic differential equation polynomial convergence mixing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

On the Poisson equation and diffusion approximation. I, Practical drift conditions for subgeometric rates of convergence., Steady states of Fokker-Planck equations. I: Existence, Steady states of Fokker-Planck equations. II: Non-existence, Partial mixing and Edgeworth expansion, Trends to equilibrium in total variation distance, Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity, Homogenization of random parabolic operator with large potential., Nonequilibrium statistical mechanics of weakly stochastically perturbed system of oscillators, Nonlinearity and temporal dependence, Third-order asymptotic expansion of \(M\)-estimators for diffusion processes, The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients, On large deviations of coupled diffusions with time scale separation, Algebraic ergodicity for SDEs driven by Lévy processes, Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator, Diffusion approximation of systems with weakly ergodic Markov perturbations. II, Slow energy dissipation in anharmonic oscillator chains, Exponential ergodicity for regime-switching diffusion processes in total variation norm, Exponential ergodicity for retarded stochastic differential equations, Dimensional reduction in nonlinear filtering: a homogenization approach, Subexponential upper and lower bounds in Wasserstein distance for Markov processes, Asset pricing with general transaction costs: Theory and numerics, Ergodicity of Lévy-Type Processes, Transition Path Theory for Langevin Dynamics on Manifolds: Optimal Control and Data-Driven Solver, The normal approximation rate for the drift estimator of multidimensional diffusions, UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH, CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES, Singular perturbations in stochastic optimal control with unbounded data, Empirical measures and random walks on compact spaces in the quadratic Wasserstein metric, A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation, Fast-slow stochastic dynamical system with singular coefficients, Chemotaxis and reactions in biology, Towards mesoscopic ergodic theory, Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE, Non-explosion by Stratonovich noise for ODEs, Polynomial-Rate Convergence to the Stationary State for the Continuum-Time Limit of the Minority Game, Unnamed Item, On sub-geometric ergodicity of diffusion processes, Subgeometric rates of convergence of Markov processes in the Wasserstein metric, Discrete-Time Statistical Inference for Multiscale Diffusions, On Poisson equation and diffusion approximation. II., Quantitative concentration of stationary measures, Spectral condition, hitting times and Nash inequality, Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes, Moment bounds for dissipative semimartingales with heavy jumps, On recurrent properties of Fisher-Wright's diffusion on \((0,1)\) with mutation, Scaling limits of processes with fast nonlinear mean reversion, Hitting times, functional inequalities, Lyapunov conditions and uniform ergodicity, STATIONARY SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MEMORY AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS, Moment estimation for ergodic diffusion processes, Quantitative stability estimates for multiscale stochastic dynamical systems, Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré, Nonequilibrium statistical mechanics of a solid immersed in a continuum, Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach, Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times, Reactive trajectories and the transition path process, MDP for integral functionals of fast and slow processes with averaging, Super optimal rates for nonparametric density estimation via projection estimators, Asymptotic Expansion for Functionals of a Marked Point Process, Parametric and nonparametric models and methods in financial econometrics, Penalized Projection Estimator for Volatility Density, Inference for Observations of Integrated Diffusion Processes, Averaging principle and normal deviations for multiscale stochastic systems, Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process, On the Poisson equation and diffusion approximation. III, Test for parameter change in diffusion processes by CUSUM statistics based on one-step estimators, Statistical inference for perturbed multiscale dynamical systems, Diffusion approximation for fully coupled stochastic differential equations, Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes, Infinite horizon stopping problems with (nearly) total reward criteria, Asymptotic Behavior of a System of Stochastic Particles Subject to Nonlocal Interactions, A random dynamical systems perspective on stochastic resonance, On polynomial mixing bounds for stochastic differential equations, Convergence to equilibrium in Fokker-Planck equations, Exponential ergodicity for diffusions with jumps driven by a Hawkes process, Data driven time scale in Gaussian quasi-likelihood inference, Extended Poisson equation for weakly ergodic Markov processes, Invariant measures for multidimensional fractional stochastic volatility models, Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise., A decreasing step method for strongly oscillating stochastic models, Nonequilibrium statistical mechanics of Hamiltonian rotators with alternated spins, On mixing and convergence rates for a family of Markov processes approximating SDEs, Integral identity and measure estimates for stationary Fokker-Planck equations, Steady states of Fokker-Planck equations. III: Degenerate diffusion, Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations

Cites Work