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On convergence of 1D Markov diffusions to heavy-tailed invariant density
O. A. Manitaabc, A. Yu. Veretennikovd a University of Leeds, UK
b National Research University Higher School of Economics, Moscow, Russia
c Institute for Information Transmission Problems, Moscow, Russia
d Moscow State University, Moscow, Russia
Abstract:
Rate of convergence is studied for a diffusion process on the half line with a non-sticky reflection to a heavy-tailed 1D invariant distribution whose density on the half line has a polynomial decay at infinity. Starting from a standard recipe, which guarantees some polynomial convergence, it is shown how to construct a new non-degenerate diffusion process on the half line which converges to the same invariant measure exponentially fast uniformly with respect to the initial data.
Key words and phrases:
1D diffusion, invariant distribution, heavy tails, fast convergence.
Citation:
O. A. Manita, A. Yu. Veretennikov, “On convergence of 1D Markov diffusions to heavy-tailed invariant density”, Mosc. Math. J., 19:1 (2019), 89–106
Linking options:
https://www.mathnet.ru/eng/mmj702 https://www.mathnet.ru/eng/mmj/v19/i1/p89
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Abstract page: | 162 | References: | 30 |
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