{"title":"On Convergence of 1D Markov Diffusions to Heavy-Tailed Invariant Density","authors":"O. Manita, A. Veretennikov","doi":"10.17323/1609-4514-2019-19-1-89-106","DOIUrl":null,"url":null,"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 which density on the half line has a polynomial decay at infinity. Starting from a standard receipt 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.","PeriodicalId":54736,"journal":{"name":"Moscow Mathematical Journal","volume":" ","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2018-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Moscow Mathematical Journal","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.17323/1609-4514-2019-19-1-89-106","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS","Score":null,"Total":0}
引用次数: 0
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 which density on the half line has a polynomial decay at infinity. Starting from a standard receipt 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.
期刊介绍:
The Moscow Mathematical Journal (MMJ) is an international quarterly published (paper and electronic) by the Independent University of Moscow and the department of mathematics of the Higher School of Economics, and distributed by the American Mathematical Society. MMJ presents highest quality research and research-expository papers in mathematics from all over the world. Its purpose is to bring together different branches of our science and to achieve the broadest possible outlook on mathematics, characteristic of the Moscow mathematical school in general and of the Independent University of Moscow in particular.
An important specific trait of the journal is that it especially encourages research-expository papers, which must contain new important results and include detailed introductions, placing the achievements in the context of other studies and explaining the motivation behind the research. The aim is to make the articles — at least the formulation of the main results and their significance — understandable to a wide mathematical audience rather than to a narrow class of specialists.