Translator Disclaimer
February 2021 On sub-geometric ergodicity of diffusion processes
Petra Lazić, Nikola Sandrić
Bernoulli 27(1): 348-380 (February 2021). DOI: 10.3150/20-BEJ1242

Abstract

In this article, we discuss ergodicity properties of a diffusion process given through an Itô stochastic differential equation. We identify conditions on the drift and diffusion coefficients which result in sub-geometric ergodicity of the corresponding semigroup with respect to the total variation distance. We also prove sub-geometric contractivity and ergodicity of the semigroup under a class of Wasserstein distances. Finally, we discuss sub-geometric ergodicity of two classes of Markov processes with jumps.

Citation

Download Citation

Petra Lazić. Nikola Sandrić. "On sub-geometric ergodicity of diffusion processes." Bernoulli 27 (1) 348 - 380, February 2021. https://doi.org/10.3150/20-BEJ1242

Information

Received: 1 March 2019; Revised: 1 November 2019; Published: February 2021
First available in Project Euclid: 20 November 2020

zbMATH: 07282854
MathSciNet: MR4177373
Digital Object Identifier: 10.3150/20-BEJ1242

Rights: Copyright © 2021 Bernoulli Society for Mathematical Statistics and Probability

JOURNAL ARTICLE
33 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

SHARE
Vol.27 • No. 1 • February 2021
Back to Top