Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

By Jiagang Ren, Jing Wu, Xicheng Zhang. 2010

53 citations recorded by the source corpus.

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.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6aff4c59aa14580f472a5148d7c72e58e0eb9f5e