Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift

DOI10.1214/20-EJP464zbMATH Open1462.60046arXiv1804.01348OpenAlexW2796072655WikidataQ115517692 ScholiaQ115517692MaRDI QIDQ782802FDOQ782802

Alexandre Richard, Fabien Panloup

Publication date: 29 July 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: The convergence to the stationary regime is studied for Stochastic Differential Equations driven by an additive Gaussian noise and evolving in a semi-contractive environment, i.e. when the drift is only contractive out of a compact set but does not have repulsive regions. In this setting, we develop a synchronous coupling strategy to obtain sub-exponential bounds on the rate of convergence to equilibrium in Wasserstein distance. Then by a coalescent coupling close to terminal time, we derive a similar bound in total variation distance.

Full work available at URL: https://arxiv.org/abs/1804.01348

zbMATH Keywords

ergodicityGaussian processesfractional Brownian motionstochastic differential equationsrate of convergence to equilibrium

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (3)

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• Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory
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