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Subgeometric rates of convergence of Markov processes in the Wasserstein metric | Oleg Butkovsky
; | Date: |
19 Nov 2012 | Abstract: | We establish subgeometric bounds on convergence rate of general Markov
processes in the Wasserstein metric. In the discrete time setting we prove that
the Lyapunov drift condition and the existence of a "good" d-small set imply
subgeometric convergence to the invariant measure. In the continuous time
setting we obtain the same convergence rate provided that there exists a "good"
d-small set and the Douc-Fort-Guillin supermartingale condition holds. As an
application of our results, we prove that the Veretennikov-Khasminskii
condition is sufficient for subexponential convergence of strong solutions of
stochastic delay differential equations. | Source: | arXiv, 1211.4273 | Services: | Forum | Review | PDF | Favorites |
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