Exponential ergodicity for a class of non-Markovian stochastic processes

DOI10.1214/19-BJPS440zbMATH Open1448.60128arXiv1607.02252OpenAlexW2502042036WikidataQ115517742 ScholiaQ115517742MaRDI QIDQ783281FDOQ783281

Authors: Laure Pédèches 

Publication date: 12 August 2020

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster expansion method, inspired from [4] or [14]. As a consequence, the results hold for small perturbations of ergodic diffusions.

Full work available at URL: https://arxiv.org/abs/1607.02252

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zbMATH Keywords

cluster expansionlong-time behaviourSDE with delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (9)

• Ergodicities and Exponential Ergodicities of Dawson--Watanabe Type Processes
• Exponential ergodicity of a degenerate age-size piecewise deterministic process
• Exponential and strong ergodicity for one-dimensional time-changed symmetric stable processes
• Asymptotic properties of various stochastic Cucker-Smale dynamics
• Exponential ergodicity for general continuous-state nonlinear branching processes
• Title not available (Why is that?)
• Ergodicity Coefficients for Higher-Order Stochastic Processes
• Exponential ergodicity of the bouncy particle sampler
• Title not available (Why is that?)

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