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

DOI10.1137/S0040585X97986825MaRDI QIDQ5248271zbMATH OpenOpenAlexFDO

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

(35)

• On the convergence of nonlinear Markov chains
• Ergodicity of non-homogeneous \(\mathbf{p}\)-majorizing quadratic stochastic operators
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• Ergodic averaging with and without invariant measures
• Nonlinear Fokker-Planck equations for probability measures on path space and path-distribution dependent sdes
• McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets
• Convergence to stationary measures in nonlinear Fokker-Planck-Kolmogorov equations
• On ergodic measures for McKean-Vlasov stochastic equations
• Mean-field Langevin dynamics and energy landscape of neural networks
• Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. I: The ergodic case
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• Existence of invariant probability measures for functional McKean-Vlasov SDEs
• Periodic solutions in distribution of mean-field stochastic differential equations
• Online parameter estimation for the McKean-Vlasov stochastic differential equation
• Nonlinear Markov chains with finite state space: invariant distributions and long-term behaviour
• Exponential ergodicity for singular reflecting McKean-Vlasov SDEs
• Ergodicity of nonlinear Markov operators on the finite dimensional space
• Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise
• Convergence in variation of solutions of nonlinear Fokker-Planck-Kolmogorov equations to stationary measures
• Exponential ergodicity for non-dissipative McKean-Vlasov SDEs
• Distances between stationary distributions of diffusions and solvability of nonlinear Fokker-Planck-Kolmogorov equations
• Dynamics of nonlinear random walks on complex networks
• Maximum likelihood estimation for small noise multi-scale McKean-Vlasov stochastic differential equations
• Existence, uniqueness and exponential ergodicity under Lyapunov conditions for McKean-Vlasov SDEs with Markovian switching
• On convergence to stationary distributions for solutions of nonlinear Fokker-Planck-Kolmogorov equations
• Mutation and selection in bacteria: modelling and calibration
• The Fokker-Planck-Kolmogorov equation with nonlinear terms of local and nonlocal type
• Quantitative Harris-type theorems for diffusions and McKean-Vlasov processes
• Exponential ergodicity for singular McKean-Vlasov stochastic differential equations in weighted variation metric
• An elementary approach to uniform in time propagation of chaos
• Gradient estimates and exponential ergodicity for mean-field SDEs with jumps
• Long time behavior of a mean-field model of interacting neurons
• Quantitative estimates for Lévy driven SDEs with different drifts and applications
• Least squares estimator for path-dependent McKean-Vlasov SDEs via discrete-time observations
• A new rate of convergence estimate for homogeneous discrete-time nonlinear Markov chains

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