The order-1/d exponential ergodicity conjecture for generalized reflected Brownian motion
The order-1/d exponential ergodicity conjecture for generalized reflected Brownian motion
Let be the generalized reflected Brownian motion defined by the strong solution of the stochastic differential equation in the paper, with transition kernel and stationary distribution . Assume the hypotheses of Theorem. Order- exponential ergodicity conjecture. There exist a function
and a constant such that
The preceding corollary gives uniform exponential ergodicity and integrability of the Lyapunov function under the stationary distribution; this conjecture predicts that the exponential rate has order . The paper notes that obtaining the exact dependence of the rate on is difficult, and the conjectured order is not established there.
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Primary source
Wenpin Tang, “Exponential ergodicity and convergence for generalized reflected Brownian motion”, arXiv:1806.03755 (2019).
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