Ergodicity for functional stochastic differential equations and applications

DOI10.1016/j.na.2013.12.001zbMath1292.60058MaRDI QIDQ2438291

Jianhai Bao, Chenggui Yuan, George Yin

Publication date: 11 March 2014

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2013.12.001

zbMATH Keywords

stochastic optimization; stochastic approximation; ergodicity; invariant measure; functional stochastic differential equation

Mathematics Subject Classification ID

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

Exponential stability of neutral stochastic functional differential equations driven by G-Brownian motion, Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations, Convergence and stability of exponential integrators for semi-linear stochastic variable delay integro-differential equations, Stepanov-like doubly weighted pseudo almost automorphic mild solutions for fractional stochastic neutral functional differential equations, Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence, Stabilisation in distribution by delay feedback controls for hybrid stochastic delay differential equations, Approximation of invariant measures of a class of backward Euler-Maruyama scheme for stochastic functional differential equations, Exponential ergodicity for stochastic functional differential equations with Markovian switching, Properties of stochastic integro-differential equations with infinite delay: regularity, ergodicity, weak sense Fokker-Planck equations, \(L^{p}\)-strong convergence of the averaging principle for slow-fast SPDEs with jumps, Analysis of a general stochastic non-autonomous logistic model with delays and Lévy jumps, Stochastic functional differential equations with infinite delay: existence and uniqueness of solutions, solution maps, Markov properties, and ergodicity, Stability in distribution of neutral stochastic functional differential equations, Stability of stochastic functional differential systems using degenerate Lyapunov functionals and applications, Convergence, boundedness, and ergodicity of regime-switching diffusion processes with infinite memory, Stochastic differential equation with piecewise continuous arguments: Markov property, invariant measure and numerical approximation, Stationary distribution of stochastic population dynamics with infinite delay, Invariant measure and random attractors for stochastic differential equations with delay, Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations, Limiting behavior of invariant measures of stochastic delay lattice systems, Existence of invariant probability measures for functional McKean-Vlasov SDEs, Periodic measures of impulsive stochastic differential equations, Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality, Existence, exponential mixing and convergence of periodic measures of fractional stochastic delay reaction-diffusion equations on \(\mathbb{R}^n\), Periodic measures of stochastic delay lattice systems, Stability of a class of hybrid neutral stochastic differential equations with unbounded delay, Stability in distribution of stochastic functional differential equations, Exponential stability of solutions for retarded stochastic differential equations without dissipativity, Exponential ergodicity for retarded stochastic differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuous-time Markov chains and applications. A two-time-scale approach
• Invariant measures for stochastic functional differential equations with superlinear drift term
• On existence and uniqueness of stationary distributions for stochastic delay differential equations with positivity constraints
• Exponential ergodicity and regularity for equations with Lévy noise
• Markov chains and stochastic stability
• Structural properties of semilinear SPDEs driven by cylindrical stable processes
• Asymptotic coupling and a general form of Harris' theorem with applications to stochastic delay equations
• Delay differential equations driven by Lévy processes: stationarity and Feller properties
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples
• Introduction to functional differential equations
• Using stochastic optimization to determine threshold values for the control of unreliable manufacturing systems
• Derivative formulas and gradient estimates for SDEs driven by \(\alpha\)-stable processes
• Exponential ergodicity of stochastic Burgers equations driven by \(\alpha\)-stable processes
• A concise course on stochastic partial differential equations
• On stationary solutions of a stochastic differential equation
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Exponential ergodicity of non-Lipschitz stochastic differential equations
• Lévy Processes and Stochastic Calculus
• Continuous and discrete Halanay-type inequalities
• Ergodicity for Infinite Dimensional Systems
• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
• Ergodic Properties of Markov Processes