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
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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.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