Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

Jiagang Ren; Jing Wu; Xicheng Zhang

doi:10.1016/j.bulsci.2009.01.003

Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

Jiagang Ren^*
, Jing Wu
, Xicheng Zhang

^*此作品的通讯作者

Sun Yat-Sen University
University of New South Wales
Huazhong University of Science and Technology

科研成果: 期刊稿件 › 文章 › 同行评审

42 引用（Scopus）

摘要

Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap.

源语言	英语
页（从-至）	391-404
页数	14
期刊	Bulletin des Sciences Mathematiques
卷	134
期	4
DOI	https://doi.org/10.1016/j.bulsci.2009.01.003
出版状态	已出版 - 6月 2010
已对外发布	是

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title = "Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations",

abstract = "Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap.",

keywords = "Ellipticity, Ergodicity, Girsanov's theorem, Irreducibility, Non-Lipschitz multivalued stochastic differential equation, Stopping time, Strong Feller property",

author = "Jiagang Ren and Jing Wu and Xicheng Zhang",

year = "2010",

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doi = "10.1016/j.bulsci.2009.01.003",

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T1 - Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

AU - Ren, Jiagang

AU - Wu, Jing

AU - Zhang, Xicheng

PY - 2010/6

Y1 - 2010/6

N2 - Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap.

AB - Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap.

KW - Ellipticity

KW - Ergodicity

KW - Girsanov's theorem

KW - Irreducibility

KW - Non-Lipschitz multivalued stochastic differential equation

KW - Stopping time

KW - Strong Feller property

UR - https://www.scopus.com/pages/publications/77953138971

U2 - 10.1016/j.bulsci.2009.01.003

DO - 10.1016/j.bulsci.2009.01.003

M3 - Article

AN - SCOPUS:77953138971

SN - 0007-4497

VL - 134

SP - 391

EP - 404

JO - Bulletin des Sciences Mathematiques

JF - Bulletin des Sciences Mathematiques

IS - 4

ER -

Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

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