Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory

DOI10.3150/18-BEJ1089zbMath1431.62422arXiv1709.06413MaRDI QIDQ2325371

Maylis Varvenne

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.06413

zbMATH Keywords

Lyapunov functionToeplitz operatortotal variation distancerate of convergence to equilibriumstationary Gaussian noisediscrete stochastic dynamics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Rate of convergence to equilibrium for discrete-time stochastic dynamics with memory ⋮ Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift

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