Exponential ergodicity of non-Lipschitz stochastic differential equations

Zhang, Xicheng

doi:10.1090/S0002-9939-08-09509-9

Exponential ergodicity of non-Lipschitz stochastic differential equations
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by Xicheng Zhang PDF

Proc. Amer. Math. Soc. 137 (2009), 329-337 Request permission

Abstract:

Using the coupling method and Girsanov’s theorem, we study the strong Feller property and irreducibility for the transition probabilities of stochastic differential equations with non-Lipschitz and monotone coefficients. Then, the exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained under fewer assumptions.

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