The authors prove exponential ergodicity in Wasserstein distance for regime-switching neutral stochastic functional differential equations with infinite delay, using coupling for finite states and Lyapunov functions plus M-matrix theory for infinite states.
Modeling and analysis of switching diffusion systems: past-dependent switching with a countable state space.SIAM Journal on Control and Optimization, 54(5):2450–2477, 2016
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Ergodicity for regime-switching neutral stochastic functional differential equations with infinite delay
The authors prove exponential ergodicity in Wasserstein distance for regime-switching neutral stochastic functional differential equations with infinite delay, using coupling for finite states and Lyapunov functions plus M-matrix theory for infinite states.