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Exponential ergodicity of non-Lipschitz multivalued stochastic differential equations |
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| Authors: | Jiagang Ren Jing Wu |
| Institution: | a Zhongshan University, Guangzhou, Guangdong 510275, PR China b The University of New South Wales, Sydney 2052, Australia c Huazhong University of Science and Technology, Wuhan, Hubei 430074, PR China |
| Abstract: | Under the conditions of coefficients being non-Lipschitz and the diffusion coefficient being elliptic, we study the strong Feller property and irreducibility for the transition probability of solutions to general multivalued stochastic differential equations by using the coupling method, Girsanov's theorem and a stopping argument. Thus we can establish the exponential ergodicity and the spectral gap. |
| Keywords: | Non-Lipschitz multivalued stochastic differential equation Ellipticity Girsanov's theorem Stopping time Strong Feller property Irreducibility Ergodicity |
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