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Sub-exponential convergence to equilibrium for Gaussian driven Stochastic Differential Equations with semi-contractive drift
Abstract : The convergence to the stationary regime is studied for Stochastic Differential Equations driven by an additive Gaussian noise and evolving in a semi-contractive environment, i.e. when the drift is only contractive out of a compact set but does not have repulsive regions. In this setting, we develop a synchronous coupling strategy to obtain sub-exponential bounds on the rate of convergence to equilibrium in Wasserstein distance. Then by a coalescent coupling close to terminal time, we derive a similar bound in total variation distance.
Cited literature [23 references]
https://hal.archives-ouvertes.fr/hal-01755497
Contributor : Alexandre Richard Connect in order to contact the contributor
Submitted on : Tuesday, June 2, 2020 - 10:44:04 PM
Last modification on : Tuesday, January 4, 2022 - 6:32:47 AM
Contributor : Alexandre Richard Connect in order to contact the contributor
Submitted on : Tuesday, June 2, 2020 - 10:44:04 PM
Last modification on : Tuesday, January 4, 2022 - 6:32:47 AM
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