Exponential ergodicity for a class of non-Markovian stochastic processes
Probability
2016-07-11 v1
Abstract
We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster expansion method, inspired from [4] or [14]. As a consequence, the results hold for small perturbations of ergodic diffusions.
Keywords
Cite
@article{arxiv.1607.02252,
title = {Exponential ergodicity for a class of non-Markovian stochastic processes},
author = {Laure Pédèches},
journal= {arXiv preprint arXiv:1607.02252},
year = {2016}
}