On Sub-Geometric Ergodicity of Diffusion Processes
Probability
2020-06-03 v1
Abstract
In this article, we discuss ergodicity properties of a diffusion process given through an It\^{o} stochastic differential equation. We identify conditions on the drift and diffusion coefficients which result in sub-geometric ergodicity of the corresponding semigroup with respect to the total variation distance. We also prove sub-geometric contractivity and ergodicity of the semigroup under a class of Wasserstein distances. Finally, we discuss sub-geometric ergodicity of two classes of Markov processes with jumps.
Cite
@article{arxiv.2006.01567,
title = {On Sub-Geometric Ergodicity of Diffusion Processes},
author = {Petra Lazić and Nikola Sandrić},
journal= {arXiv preprint arXiv:2006.01567},
year = {2020}
}