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Pédèches, Laure

Exponential ergodicity for a class of non-Markovian stochastic processes. (English) Zbl 1448.60128

Braz. J. Probab. Stat. 34, No. 3, 658-684 (2020).
Summary: The existence of an invariant probability measure is proven for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster expansion method, from Gibbs field theory. It holds for small perturbations of ergodic diffusions.

Cited in 1 Document

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

cluster expansion; SDE with delay; long-time behaviour
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References:

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