Exponential ergodicity for SDEs driven by -stable processes with Markovian switching in Wasserstein distances

DOI10.1007/S11118-017-9665-3MaRDI QIDQ1787161zbMATH OpenOpenAlexWikidataFDO

Authors Jinying Tong, Xinghu Jin, Zhen Zhong Zhang

Publication date 4 October 2018

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11118-017-9665-3

zbMATH Keywords

coupling methodexponential ergodicityM-matrixMarkovian switchingsymmetric \(\alpha\)-stable processWasserstein distance

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27) Stochastic stability in control theory (93E15)

Review text

The object of study is an SDE with Markovian switching regime of the form \[dX_t=a(X_t,Y_t)dt+\sigma(X_t,Y_t)dZ_t,\] where \((Z_t)\) is a symmetric \(\alpha\)-stable Lévy process with \(\alpha\in(0,2)\) and \((Y_t)\) is a right-continuous Markov chain with finite state-space, independent of \((Z_t)\). The usual assumtions for existence and uniqueness of \((X_t)\) are supposed, i.e.,\ for fixed state the coefficient \(a\) is global Lipschitz continuous, \(\sigma\) is \(\gamma\)-Hölder continuous for \(\gamma\in\{\frac1{\alpha},1\}\) and the coefficients \(a,\sigma\) together fulfill a linear growth condition. The authors give sufficient conditions for exponential ergodicity in the Wasserstein distance of the Markovian semigroup \((P_t)\) of \((X_t,Y_t)\) to its stationary distribution using the theory of M-matrices, the coupling method and Lyapunov functionals.

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Cited in

(18)

• Exponential ergodicity and strong ergodicity for SDEs driven by symmetric \(\alpha \)-stable processes
• Exponential ergodicity for regime-switching diffusion processes in total variation norm
• Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
• Exponential ergodicity for Markov processes with random switching
• Ergodicity of regime-switching diffusions in Wasserstein distances
• Ergodicity for Q-processes with Markovian switching
• Ergodicity and transience of SDEs driven by -stable processes with Markovian switching
• Ergodicity for population dynamics driven by stable processes with Markovian switching
• Ergodicity of CIR type SDEs driven by stable processes with random switching
• Exponential ergodicity of an affine two-factor model based on the α-root process
• Exponential ergodicity for stochastic functional differential equations with Markovian switching
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• Non-confluence for SDEs driven by fractional Brownian motion with Markovian switching
• Stability of stochastic functional differential equations with regime-switching: analysis using Dupire's functional Itô formula

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