Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients

DOI10.1007/S10959-012-0440-5MaRDI QIDQ457095zbMATH OpenOpenAlexFDO

Authors Huijie Qiao

Publication date 26 September 2014

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

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

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)

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.

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
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• Ergodicity for Infinite Dimensional Systems
• Exponential ergodicity for stochastic reaction-diffusion equations
• Exponential ergodicity of non-Lipschitz stochastic differential equations
• Matrix Analysis
• Regularity of semigroups generated by Lévy type operators via coupling
• Second order PDE's in finite and infinite dimension
• Strong feller property and irreducibility of diffusions with jumps
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Cited in

(22)

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

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