On stochastic stability of systems driven by red noise
Balázs Gerencsér, Miklós Rásonyi
Abstract
We consider discrete-time non-linear stochastic dynamical systems where the driving noise is not i.i.d. but an autoregressive process (``red noise''). Under a standard dissipativity condition, we prove geometrically fast convergence to a stationary distribution in total variation.
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