Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations
复制标题
非Lipschitz多值随机微分方程的指数遍历性
DOI：
10.1016/j.bulsci.2009.01.003
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发表时间：
2010-06-01
影响因子：
1.3
通讯作者：
Zhang, Xicheng
中科院分区：
文献类型：
--
作者：
Ren, Jiagang;Wu, Jing;Zhang, Xicheng
在系数为非Lipschitz和扩散系数为椭圆的条件下，利用耦合方法、Girsanov定理和停止论证，研究了一般多值随机微分方程解的转移概率的强Feller性质和不可约性.由此我们可以建立指数遍历性和谱隙。(C)2009年爱思唯尔马森SAS。All rights reserved.
Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap. (C) 2009 Elsevier Masson SAS. All rights reserved.