On the speed of convergence of multidimensional diffusions to equilibrium

Rabi Bhattacharya; Aramian Wasielak

doi:10.1142/S0219493712003638

On the speed of convergence of multidimensional diffusions to equilibrium

Rabi Bhattacharya
, Aramian Wasielak

Mathematics

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

We obtain new criteria for polynomial rates of convergence of ergodic multidimensional diffusions to equilibrium. For this, (1) a method is provided for adapting to continuous-time Markov processes coupling techniques for discrete parameter Harris processes, and (2) estimates of moments of return times to a ball are derived.

Original language	English (US)
Article number	1150003
Journal	Stochastics and Dynamics
Volume	12
Issue number	1
DOIs	https://doi.org/10.1142/S0219493712003638
State	Published - Mar 2012

Keywords

Multi-dimensional diffusions
coupling
invariant probability
polynomial rates of convergence

ASJC Scopus subject areas

Modeling and Simulation

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10.1142/S0219493712003638

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title = "On the speed of convergence of multidimensional diffusions to equilibrium",

abstract = "We obtain new criteria for polynomial rates of convergence of ergodic multidimensional diffusions to equilibrium. For this, (1) a method is provided for adapting to continuous-time Markov processes coupling techniques for discrete parameter Harris processes, and (2) estimates of moments of return times to a ball are derived.",

keywords = "Multi-dimensional diffusions, coupling, invariant probability, polynomial rates of convergence",

author = "Rabi Bhattacharya and Aramian Wasielak",

note = "Funding Information: The authors gratefully acknowledge the research support provided by NSF grants DMS 0806011, 1107053.",

year = "2012",

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AU - Wasielak, Aramian

N1 - Funding Information: The authors gratefully acknowledge the research support provided by NSF grants DMS 0806011, 1107053.

PY - 2012/3

Y1 - 2012/3

N2 - We obtain new criteria for polynomial rates of convergence of ergodic multidimensional diffusions to equilibrium. For this, (1) a method is provided for adapting to continuous-time Markov processes coupling techniques for discrete parameter Harris processes, and (2) estimates of moments of return times to a ball are derived.

AB - We obtain new criteria for polynomial rates of convergence of ergodic multidimensional diffusions to equilibrium. For this, (1) a method is provided for adapting to continuous-time Markov processes coupling techniques for discrete parameter Harris processes, and (2) estimates of moments of return times to a ball are derived.

KW - Multi-dimensional diffusions

KW - coupling

KW - invariant probability

KW - polynomial rates of convergence

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DO - 10.1142/S0219493712003638

M3 - Article

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JO - Stochastics and Dynamics

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On the speed of convergence of multidimensional diffusions to equilibrium

Abstract

Keywords

ASJC Scopus subject areas

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