This article is cited in 19 papers

Subexponential estimates of the rate of convergence to the invariant measure for stochastic differential equations

M. N. Malyshkin

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The existence and uniqueness of the invariant measure is proved for a stochastic differential equation. The conditions for the drift coefficient are obtained which provide a subexponential rate of convergence to the invariant measure as well as a subexponential rate of convergence of the Kolmogorov mixing coefficients.

Keywords: stochastic differential equations, invariant measure, mixing coefficients, subexponential rate of convergence.

Received: 07.04.1999

DOI: 10.4213/tvp481

 English version: Theory of Probability and its Applications, 2001, 45:3, 466–479

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