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

DOI10.1137/S0040585X97986825zbMATH Open1326.60104arXiv1311.6367OpenAlexW2011776512MaRDI QIDQ5248271FDOQ5248271

Authors: O. A. Butkovsky 

Publication date: 28 April 2015

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

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.

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

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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)

Cited In (35)

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