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Proceedings of the American Mathematical Society

Published by the American Mathematical Society since 1950, Proceedings of the American Mathematical Society is devoted to shorter research articles in all areas of pure and applied mathematics.

ISSN 1088-6826 (online) ISSN 0002-9939 (print)

The 2024 MCQ for Proceedings of the American Mathematical Society is 0.85.

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Exponential ergodicity of non-Lipschitz stochastic differential equations
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by Xicheng Zhang
Proc. Amer. Math. Soc. 137 (2009), 329-337
DOI: https://doi.org/10.1090/S0002-9939-08-09509-9
Published electronically: May 15, 2008

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.
References
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Bibliographic 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
  • MR Author ID: 652168
  • Email: XichengZhang@gmail.com
  • Received by editor(s): August 6, 2007
  • Received by editor(s) in revised form: December 15, 2007
  • Published electronically: May 15, 2008
  • Communicated by: Richard C. Bradley
  • © Copyright 2008 American Mathematical Society
    The copyright for this article reverts to public domain 28 years after publication.
  • Journal: Proc. Amer. Math. Soc. 137 (2009), 329-337
  • MSC (2000): Primary 60H10, 37A25
  • DOI: https://doi.org/10.1090/S0002-9939-08-09509-9
  • MathSciNet review: 2439457