Hypercontractivity and Its Applications for Functional SDEs of Neutral Type

2015/01/25 by Jianhai Bao, Chenggui Yuan, Bao, Jianhai +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Auction Theory and Applications #Economic theories and models #Stochastic processes and financial applications #math.PR #msc:65G17 #msc:65G60

paper · pdf · doi:10.48550/arxiv.1501.06186

14 pages

arxiv created 2015/01/25 · arxiv updated 2015/01/27

Abstract

In this paper, we discuss hypercontractivity for the Markov semigroup P_t which is generated by segment processes associated with a range of functional SDEs of neutral type. As applications, we also reveal that the semigroup P_t converges exponentially to its unique invariant probability measure μ in entropy, L² (μ) and ‖⋅‖_var, respectively.

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