On convergence of 1D Markov diffusions to heavy-tailed invariant density

O.A. Manita, A. Yu. Veretennikov

Research output: Contribution to journalArticleAcademicpeer-review

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.
Original languageEnglish
Pages (from-to)89-106
Number of pages18
JournalMoscow Mathematical Journal
Volume19
Issue number1
DOIs
Publication statusPublished - 2019
Externally publishedYes

Keywords

  • 1D diffusion
  • Fast convergence
  • Heavy tails
  • Invariant distribution

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