Cutoff stability of multivariate geometric Brownian motion
- Resource Type
- Working Paper
- Authors
- Barrera, G.; Högele, M. A.; Pardo, J. C.
- Source
- Subject
- Mathematics - Probability
Mathematical Physics
Mathematics - Dynamical Systems
37A25, 37A30, 34D20, 60H10, 37H15
- Language
This article quantifies the asymptotic $\varepsilon$-mixing times, as $\varepsilon$ tends to 0, of a multivariate stable geometric Brownian motion with respect to the Wasserstein-Kantorovich-Rubinstein-2-distance. We study the cases of commutative drift and diffusion coeffcient matrices.
Comment: 9 pages