Preprint
Aug 2026
On stochastic stability of systems driven by red noise
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.
Balázs Gerencsér, M. Rásonyi
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