Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients

2012/07/11 by Huijie Qiao, Qiao, Huijie
Economics, Econometrics and Finance · Engineering · Mathematics · #34A12 #60H10 #60J75 #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Probability (math.PR) #Stability and Controllability of Differential Equations #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1207.2523

openalex publication_date 2012/07/11 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

In this paper we show irreducibility and the strong Feller property for transition probabilities of stochastic differential equations with jumps and monotone coefficients. Thus, exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained.

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