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Convergence rate of some semi-groups to their invariant probability

Author

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  • Ganidis, H.
  • Roynette, B.
  • Simonot, F.

Abstract

Let us consider the following stochastic differential equation:where (Bt)t[greater-or-equal, slanted]0 is a d-dimensional brownian motion starting at 0 and b a function from to which is a gradient field. We aim at studying the convergence rate of the semi-group associated to (E) to its invariant probability.

Suggested Citation

  • Ganidis, H. & Roynette, B. & Simonot, F., 1999. "Convergence rate of some semi-groups to their invariant probability," Stochastic Processes and their Applications, Elsevier, vol. 79(2), pages 243-263, February.
    • Handle: RePEc:eee:spapps:v:79:y:1999:i:2:p:243-263
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    Cited by:

    1. Alexander Veretennikov, 2023. "Polynomial Recurrence for SDEs with a Gradient-Type Drift, Revisited," Mathematics, MDPI, vol. 11(14), pages 1-16, July.
    2. G. O. Roberts & O. Stramer, 2002. "Langevin Diffusions and Metropolis-Hastings Algorithms," Methodology and Computing in Applied Probability, Springer, vol. 4(4), pages 337-357, December.
    3. Gilles Pagès & Clément Rey, 2023. "Discretization of the Ergodic Functional Central Limit Theorem," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-44, March.
    4. Lyons, Terry J. & Margarint, Vlad & Nejad, Sina, 2024. "Convergence to closed-form distribution for the backward SLEκ at some random times and the phase transition at κ=8," Statistics & Probability Letters, Elsevier, vol. 205(C).
    5. Pagès, Gilles & Rey, Clément, 2020. "Recursive computation of invariant distributions of Feller processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 328-365.
    6. Pagès Gilles & Rey Clément, 2019. "Recursive computation of the invariant distributions of Feller processes: Revisited examples and new applications," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 1-36, March.
    7. Douc, Randal & Fort, Gersende & Guillin, Arnaud, 2009. "Subgeometric rates of convergence of f-ergodic strong Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 897-923, March.

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