On ergodic properties of nonlinear Markov chains and stochastic McKean-Vlasov equations

DOI10.1137/S0040585X97986825MaRDI QIDQ5248271zbMATHOpenAlexFDO

Authors O. A. Butkovsky

Publication date 28 April 2015

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.6367

zbMATH Keywords

invariant measuresexponential convergencenonlinear Markov chainsuniform ergodicityDobrushin's conditionstochastic McKean-Vlasov equations

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We study ergodic properties of nonlinear Markov chains and stochastic McKean-Vlasov equations. For nonlinear Markov chains we obtain sufficient conditions for existence and uniqueness of an invariant measure and uniform ergodicity. We also prove optimality of these conditions. For stochastic McKean-Vlasov equations we establish exponential convergence of their solutions to stationarity in the total variation metric under Veretennikov-Khasminskii-type conditions.

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Cited in

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• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• Ergodicity conditions for nonlinear discrete time stochastic dynamical systems with Markovian noise
• Distances between stationary distributions of diffusions and solvability of nonlinear Fokker-Planck-Kolmogorov equations
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• Exponential ergodicity for singular McKean-Vlasov stochastic differential equations in weighted variation metric
• A new rate of convergence estimate for homogeneous discrete-time nonlinear Markov chains

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