Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2018

Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift

Résumé

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.
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Dates et versions

hal-01755497 , version 1 (30-03-2018)
hal-01755497 , version 2 (19-06-2019)
hal-01755497 , version 3 (02-06-2020)

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Citer

Fabien Panloup, Alexandre Richard. Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift. 2018. ⟨hal-01755497v1⟩
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