Asymptotic coupling and a weak form of Harris' theorem with applications to stochastic delay equations

Details Asymptotic coupling and a weak form of Harris' theorem with applications to stochastic delay equations Asymptotic coupling and a weak form of Harris' theorem with applications to stochastic delay equations

2009-02-26

arxiv.org/abs/0902.4495v2

Mathematics

Probability

Updated version correcting a few errors and typos in the original version

Scientific paper

There are many Markov chains on infinite dimensional spaces whose one-step transition kernels are mutually singular when starting from different initial conditions. We give results which prove unique ergodicity under minimal assumptions on one hand and the existence of a spectral gap under conditions reminiscent of Harris' theorem. The first uses the existence of couplings which draw the solutions together as time goes to infinity. Such "asymptotic couplings" were central to recent work on SPDEs on which this work builds. The emphasis here is on stochastic differential delay equations.Harris' celebrated theorem states that if a Markov chain admits a Lyapunov function whose level sets are "small" (in the sense that transition probabilities are uniformly bounded from below), then it admits a unique invariant measure and transition probabilities converge towards it at exponential speed. This convergence takes place in a total variation norm, weighted by the Lyapunov function. A second aim of this article is to replace the notion of a "small set" by the much weaker notion of a "d-small set," which takes the topology of the underlying space into account via a distance-like function d. With this notion at hand, we prove an analogue to Harris' theorem, where the convergence takes place in a Wasserstein-like distance weighted again by the Lyapunov function. This abstract result is then applied to the framework of stochastic delay equations.

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