Exponential ergodicity of non-Lipschitz stochastic differential equations

Xicheng Zhang

doi:10.1090/S0002-9939-08-09509-9

Exponential ergodicity of non-Lipschitz stochastic differential equations

Xicheng Zhang^*

^*此作品的通讯作者

科研成果: 期刊稿件 › 文章 › 同行评审

22 引用（Scopus）

摘要

Using the coupling method and Girsanov's theorem, we study the strong Feller property and irreducibility for the transition probabilities of stochastic differential equations with non-Lipschitz and monotone coefficients. Then, the exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained under fewer assumptions.

源语言	英语
页（从-至）	329-337
页数	9
期刊	Proceedings of the American Mathematical Society
卷	137
期	1
DOI	https://doi.org/10.1090/S0002-9939-08-09509-9
出版状态	已出版 - 1月 2009
已对外发布	是

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abstract = "Using the coupling method and Girsanov's theorem, we study the strong Feller property and irreducibility for the transition probabilities of stochastic differential equations with non-Lipschitz and monotone coefficients. Then, the exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained under fewer assumptions.",

keywords = "Ergodicity, Irreducibility, Non-Lipschitz stochastic differential equation, Spectral gap, Strong Feller property",

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AB - Using the coupling method and Girsanov's theorem, we study the strong Feller property and irreducibility for the transition probabilities of stochastic differential equations with non-Lipschitz and monotone coefficients. Then, the exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained under fewer assumptions.

KW - Ergodicity

KW - Irreducibility

KW - Non-Lipschitz stochastic differential equation

KW - Spectral gap

KW - Strong Feller property

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Exponential ergodicity of non-Lipschitz stochastic differential equations

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