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.
Derivative formula and Harnack inequality for degenerate functional SDEs.Stochastics and Dynamics, 13(01):1250013, 2013
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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.