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math.PR2025
Ergodicity bounds in the Sliced Wasserstein distance for Schur stable autoregressive processes
Gerardo Barrera, Paulo Henrique da Costa, Michael A. Högele
Explicit calculations in dimension one show for Schur stable autoregressive processes with standard Gaussian noise that the ergodic convergence in the Wasserstein- distance is e…
math.PR2025
Cut-off phenomenon and asymptotic mixing for multivariate general linear processes
Gerardo Barrera, Michael A. Högele, Pauliina Ilmonen +1
The small noise cut-off phenomenon in continuous time and space has been studied in the recent literature for the linear and non-linear stable Langevin dynamics with additive Lévy…
math.PR2024
The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
Gerardo Barrera, Eyleifur Bjarkason, Sigurdur Hafstein
In this manuscript, we study the stability of the origin for the multivariate geometric Brownian motion. More precisely, under suitable sufficient conditions, we construct a Lyapun…