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 language | English |
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Pages (from-to) | 89-106 |
Number of pages | 18 |
Journal | Moscow Mathematical Journal |
Volume | 19 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2019 |
Externally published | Yes |
Keywords
- 1D diffusion
- Fast convergence
- Heavy tails
- Invariant distribution