Exponential ergodicity for singular reflecting McKean–Vlasov SDEs

Feng-Yu Wang

Stochastic Processes and their Applications, 2023, vol. 160, issue C, 265-293

Abstract: By refining a recent result of Xie and Zhang (2020), we prove the exponential ergodicity under a weighted variation norm for singular SDEs with drift containing a local integrable term and a coercive term. This result is then extended to singular reflecting SDEs as well as singular McKean–Vlasov SDEs with or without reflection. The exponential ergodicity in the relative entropy and (weighted) Wasserstein distances are also studied for reflecting McKean–Vlasov SDEs. The main results are illustrated by non-symmetric singular granular media equations.

Keywords: Exponential ergodicity; Reflecting McKean–Vlasov SDEs; Weighted variation norm; Non-symmetric singular granular media equations (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414923000546
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:160:y:2023:i:c:p:265-293

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2023.03.009

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().