Manita, OA and Veretennikov, AY (2019) On convergence of 1D Markov diffusions to heavy-tailed invariant density. Moscow Mathematical Journal, 19 (1). pp. 89-106. ISSN 1609-4514
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This article is protected by copyright. This is an author-accepted version of a paper published in Moscow Mathematical Journal. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | 1D diffusion, invariant distribution, heavy tails, fast convergence. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 22 Nov 2018 14:58 |
Last Modified: | 17 Mar 2019 16:54 |
Published Version: | https://www.ams.org/distribution/mmj/ |
Status: | Published |
Publisher: | Independent University of Moscow |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:138981 |