Exponential convergence for functional SDEs with Hölder continuous drift

DOI10.1080/07362994.2019.1631180MaRDI QIDQ5240644zbMATH OpenOpenAlexWikidataFDO

Authors Xing Huang

Publication date 29 October 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.02312

zbMATH Keywords

exponential convergencefunctional SDEsHölder continuityWasserstein distanceZvonkin transform

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Applying Zvonkin's transform, the exponential convergence in Wasserstein distance for a class of functional SDEs with H"older continuous drift is obtained. This combining with log-Harnack inequality implies the same convergence in the sense of entropy, which also yields the convergence in total variation norm by Pinsker's inequality.

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Cited in

(1)

• Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift

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