Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients

DOI10.1016/j.spa.2017.10.014zbMath1434.60138arXiv1608.06785OpenAlexW2963456948MaRDI QIDQ1615890

Luu Hoang Duc, Tat Dat Tran, Juergen Jost

Publication date: 31 October 2018

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

Full work available at URL: https://arxiv.org/abs/1608.06785

zbMATH Keywords

Fokker-Planck equationinvariant measureKullback-Leibler divergenceWright-Fisher modelCox-Ingersoll-Ross modelstationary distributionsAit-Sahalia model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Population dynamics (general) (92D25) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

On recurrent properties of Fisher-Wright's diffusion on \((0,1)\) with mutation

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