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.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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