Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations

被引：33

作者：

Ren, Jiagang ^{[1
]}

Wu, Jing ^{[1
]}

Zhang, Xicheng ^{[2
,3
]}

机构：

[1] Zhongshan Univ, Guangzhou 510275, Guangdong, Peoples R China

[2] Univ New S Wales, Sydney, NSW 2052, Australia

[3] Huazhong Univ Sci & Technol, Wuhan 430074, Hubei, Peoples R China

来源：

BULLETIN DES SCIENCES MATHEMATIQUES | 2010年 / 134卷 / 04期

关键词：

Non-Lipschitz multivalued stochastic differential equation; Ellipticity; Girsanov's theorem; Stopping time; Strong Feller property; Irreducibility; Ergodicity; SKOROHOD PROBLEM;

D O I：

10.1016/j.bulsci.2009.01.003

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页码：391 / 404

页数：14

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