Note on local mixing techniques for stochastic differential equations

Abstract

This paper discusses several techniques which may be used for applying the coupling method to solutions of stochastic differential equations (SDEs). They all work in dimension $d\ge 1$, although, in $d=1$ the most natural way is to use intersections of trajectories, which requires nothing but strong Markov property and non-degeneracy of the diffusion coefficient. In dimensions $d>1$ it is possible to use embedded Markov chains either by considering discrete times $n=0,1,\ldots$, or by arranging special stopping time sequences and to use local Markov -- Dobrushin's (MD) condition. Further applications may be based on one or another version of the MD condition. For studies of convergence and mixing rates the (Markov) process must be strong Markov and recurrent; however, recurrence is a separate issue which is not discussed in this paper.