# Rate of convergence to equilibrium of fractional driven stochastic differential equations with some multiplicative noise

Abstract : We investigate the problem of the rate of convergence to equilibrium for ergodic stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$ and multiplicative noise component $\sigma$. When $\sigma$ is constant and for every $H\in(0,1)$, it was proved in \cite{hairer} that, under some mean-reverting assumptions, such a process converges to its equilibrium at a rate of order $t^{-\alpha}$ where $\alpha\in(0,1)$ (depending on $H$). The aim of this paper is to extend such types of results to some multiplicative noise setting. More precisely, we show that we can recover such convergence rates when $H>1/2$ and the inverse of the diffusion coefficient $\sigma$ is a Jacobian matrix. The main novelty of this work is a type of extension of Foster-Lyapunov like techniques to this non-Markovian setting, which allows us to put in place an asymptotic coupling scheme such as in \cite{hairer} without resorting to deterministic contracting properties.
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Pré-publication, Document de travail
2014
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https://hal.archives-ouvertes.fr/hal-00989414
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• HAL Id : hal-00989414, version 2
• ARXIV : 1405.2573

### Citation

Joaquin Fontbona, Fabien Panloup. Rate of convergence to equilibrium of fractional driven stochastic differential equations with some multiplicative noise. 2014. 〈hal-00989414v2〉

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