On polynomial mixing bounds for stochastic differential equations

DOI10.1016/S0304-4149(97)00056-2zbMATH Open0911.60042OpenAlexW2150093523MaRDI QIDQ1275955FDOQ1275955

A. Yu. Veretennikov

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 equationmixingpolynomial convergence

Mathematics Subject Classification ID

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

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Cited In (92)

• STATIONARY SOLUTIONS OF STOCHASTIC DIFFERENTIAL EQUATIONS WITH MEMORY AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Scaling limits of processes with fast nonlinear mean reversion
• Exponential ergodicity for retarded stochastic differential equations
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• Steady states of Fokker-Planck equations. III: Degenerate diffusion
• Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations
• Steady states of Fokker-Planck equations. I: Existence
• Steady states of Fokker-Planck equations. II: Non-existence
• Minimum Hellinger distance estimation for discretely observed stochastic processes using recursive kernel density estimator
• Hitting times, functional inequalities, Lyapunov conditions and uniform ergodicity
• Asset pricing with general transaction costs: Theory and numerics
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• On polynomial mixing for SDEs with a gradient-type drift
• Non-explosion by Stratonovich noise for ODEs
• Third-order asymptotic expansion of \(M\)-estimators for diffusion processes
• Diffusion approximation for fully coupled stochastic differential equations
• Inference for Observations of Integrated Diffusion Processes
• Asymptotic Expansion for Functionals of a Marked Point Process
• On mixing and convergence rates for a family of Markov processes approximating SDEs
• Subgeometric rates of convergence of Markov processes in the Wasserstein metric
• Subexponential Estimates of the Rate of Convergence to the Invariant Measure for Stochastic Differential Equations
• Polynomial mixing under a certain stationary Euler flow
• On polynomial mixing bounds for stochastic differential equations
• Subexponential upper and lower bounds in Wasserstein distance for Markov processes
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process
• Rate of convergence for ergodic continuous Markov processes: Lyapunov versus Poincaré
• On Poisson equation and diffusion approximation. II.
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• Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes
• Nonequilibrium statistical mechanics of Hamiltonian rotators with alternated spins
• Statistical inference for perturbed multiscale dynamical systems
• Discrete-Time Statistical Inference for Multiscale Diffusions
• Penalized Projection Estimator for Volatility Density
• Partial mixing and Edgeworth expansion
• On large deviations of coupled diffusions with time scale separation
• Goodness-of-fit test for ergodic diffusions by discrete-time observations: an innovation martingale approach
• Subgeometric rates of convergence of \(f\)-ergodic strong Markov processes
• Infinite horizon stopping problems with (nearly) total reward criteria
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• Towards mesoscopic ergodic theory
• A random dynamical systems perspective on stochastic resonance
• Integral identity and measure estimates for stationary Fokker-Planck equations
• Nonequilibrium statistical mechanics of weakly stochastically perturbed system of oscillators
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• Nonequilibrium statistical mechanics of a solid immersed in a continuum
• Trends to equilibrium in total variation distance
• Moment estimation for ergodic diffusion processes
• Dimensional reduction in nonlinear filtering: a homogenization approach
• UNIFORM CONVERGENCE RATES OF KERNEL-BASED NONPARAMETRIC ESTIMATORS FOR CONTINUOUS TIME DIFFUSION PROCESSES: A DAMPING FUNCTION APPROACH
• Averaging principle and normal deviations for multiscale stochastic systems
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• Super optimal rates for nonparametric density estimation via projection estimators
• Stochastic optimal transport with at most quadratic growth cost
• Quantitative concentration of stationary measures
• Data driven time scale in Gaussian quasi-likelihood inference
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• A Viscous Ergodic Problem with Unbounded and Measurable Ingredients, Part 1: HJB Equation
• Moment bounds for dissipative semimartingales with heavy jumps
• On recurrent properties of Fisher-Wright's diffusion on \((0,1)\) with mutation
• Efficient drift parameter estimation for ergodic solutions of backward SDEs
• Improved bounds for discretization of Langevin diffusions: near-optimal rates without convexity
• Transition Path Theory for Langevin Dynamics on Manifolds: Optimal Control and Data-Driven Solver
• The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients
• Polynomial-Rate Convergence to the Stationary State for the Continuum-Time Limit of the Minority Game
• MDP for integral functionals of fast and slow processes with averaging
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• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Chemotaxis and reactions in biology
• Singular perturbations in stochastic optimal control with unbounded data
• CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES
• Exponential ergodicity for diffusions with jumps driven by a Hawkes process
• Invariant measures for multidimensional fractional stochastic volatility models

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