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Exponential ergodicity of non-Lipschitz stochastic differential equations
Author(s):
Xicheng
Zhang
Journal:
Proc. Amer. Math. Soc.
137
(2009),
329-337.
MSC (2000):
Primary 60H10, 37A25
Posted:
May 15, 2008
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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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Additional Information:
Xicheng
Zhang
Affiliation:
Department of Mathematics, Huazhong University of Science and Technology, Wuhan, Hubei 430074, People's Republic of China
Address at time of publication:
School of Mathematics and Statistics, The University of New South Wales, Sydney, NSW 2052, Australia
Email:
XichengZhang@gmail.com
DOI:
10.1090/S0002-9939-08-09509-9
PII:
S 0002-9939(08)09509-9
Keywords:
Strong Feller property,
irreducibility,
ergodicity,
spectral gap,
non-Lipschitz stochastic differential equation.
Received by editor(s):
August 6, 2007,
Received by editor(s) in revised form:
December 15, 2007
Posted:
May 15, 2008
Communicated by:
Richard C. Bradley
Copyright of article:
Copyright
2008,
American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.
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