Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift - Archive ouverte HAL Access content directly
Journal Articles Electronic Journal of Probability Year : 2020

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

Abstract

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.
Fichier principal
Vignette du fichier
Rate_fSDE_revision.pdf (563.8 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

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

Identifiers

Cite

Fabien Panloup, Alexandre Richard. Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift. Electronic Journal of Probability, 2020, 25, ⟨10.1214/20-EJP464⟩. ⟨hal-01755497v3⟩
350 View
238 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More