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arXiv · 2001.02294

Numerical computations of geometric ergodicity for stochastic dynamics

Yao Li·Shirou Wang
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Abstract

A probabilistic approach of computing geometric rate of convergence of stochastic processes is introduced in this paper. The goal is to quantitatively compute both upper and lower bounds of the exponential rate of convergence to the invariant probability measure of a stochastic process. By applying the coupling method, we derive an algorithm which does not need to discretize the state space. In this way, our approach works well for many high-dimensional examples. We apply this algorithm to both random perturbed iterative mappings and stochastic differential equations. We show that the rate of geometric ergodicity of the random perturbed system can, to some extent, reveal the chaotic properties of the unperturbed deterministic one. Various SDE models including those with degenerate noise or high-dimensional state space are also explored.

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BibTeXRIS

Yao Li, Shirou Wang. 2020-01-07. Numerical computations of geometric ergodicity for stochastic dynamics. https://doi.org/10.1088/1361-6544/aba93f

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