Convergence rate to equilibrium in Wasserstein distance for reflected jump–diffusions

Andrey Sarantsev

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: Convergence rate to the stationary distribution for continuous-time Markov processes can be studied using Lyapunov functions. Recent work by the author provided explicit rates of convergence in special case of a reflected jump–diffusion on a half-line. These results are proved for total variation distance and its generalizations: measure distances defined by test functions regardless of their continuity. Here we prove similar results for Wasserstein distance, convergence in which is related to convergence for continuous test functions. In some cases, including the reflected Ornstein–Uhlenbeck process, we get faster exponential convergence rates for Wasserstein distance than for total variation distance.

Keywords: Lyapunov functions; Wasserstein distance; Exponential ergodicity; Jump-diffusion processes (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108860

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