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arXiv · 1607.02252

Exponential ergodicity for a class of non-Markovian stochastic processes

Laure Pédèches
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Abstract

We prove the convergence at an exponential rate towards the invariant probability measure 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, inspired from [4] or [14]. As a consequence, the results hold for small perturbations of ergodic diffusions.

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Laure Pédèches. 2016-07-08. Exponential ergodicity for a class of non-Markovian stochastic processes. https://arxiv.org/abs/1607.02252

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