Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients

DOI10.1007/S10959-012-0440-5zbMATH Open1307.60085arXiv1207.2523OpenAlexW2077108253MaRDI QIDQ457095FDOQ457095

Authors: Huijie Qiao 

Publication date: 26 September 2014

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In this paper we show irreducibility and the strong Feller property for transition probabilities of stochastic differential equations with jumps and monotone coefficients. Thus, exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained.

Full work available at URL: https://arxiv.org/abs/1207.2523

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zbMATH Keywords

ergodicityirreducibilitystrong Feller propertymonotone propertySDEs with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12)

Cites Work

• Matrix Analysis
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• Ergodicity for Infinite Dimensional Systems
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Theory of stochastic differential equations with jumps and applications.
• Second order PDE's in finite and infinite dimension
• Strong feller property and irreducibility of diffusions with jumps
• Regularity of semigroups generated by Lévy type operators via coupling
• Exponential ergodicity of non-Lipschitz stochastic differential equations

Cited In (22)

• Limit theorems of invariant measures for multivalued McKean-Vlasov stochastic differential equations
• Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises
• Strong Feller property for one-dimensional Lévy processes driven stochastic differential equations with Hölder continuous coefficients
• Exponential convergence for functional SDEs with Hölder continuous drift
• Exponential ergodicity of non-Lipschitz stochastic differential equations
• Exponential ergodicity of the solutions to SDE's with a jump noise
• On the martingale problem and Feller and strong Feller properties for weakly coupled Lévy type operators
• Exponential ergodicity for non-Lipschitz multivalued stochastic differential equations with Lévy jumps
• Supports for degenerate stochastic differential equations with jumps and applications
• Exponential ergodicity for SDEs under the total variation
• Ergodicity of stochastic differential equations with jumps and singular coefficients
• Strong Feller property and exponential ergodicity for SDEs with additive Lévy noises
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces
• Large deviation limits of invariant measures
• Characterizing the path-independence of the Girsanov transformation for non-Lipschitz SDEs with jumps
• On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes
• Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
• Characterising the path-independent property of the Girsanov density for degenerated stochastic differential equations
• Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises
• LAN property for an ergodic diffusion with jumps
• On a class of Lévy-driven McKean-Vlasov SDEs with Hölder coefficients
• Jump type stochastic differential equations with non-Lipschitz coefficients: non-confluence, Feller and strong Feller properties, and exponential ergodicity

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