Ergodicity of Stochastic Differential Equations Driven by Fractional Brownian Motion
| dc.creator | Hairer, Martin | |
| dc.date | 2003-04-10 | |
| dc.date | 2004-03-09 | |
| dc.date.accessioned | 2026-07-07T04:56:45Z | |
| dc.date.available | 2026-07-07T04:56:45Z | |
| dc.description | We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of ``invariant measure'' and ``stationary state'' for such a system. We then prove under rather weak dissipativity conditions that such an SDE possesses a unique stationary solution and that the convergence rate of an arbitrary solution towards the stationary one is (at least) algebraic. A lower bound on the exponent is also given. | |
| dc.description | 49 pages, 8 figures | |
| dc.identifier | https://arxiv.org/abs/math/0304134 | |
| dc.identifier | http://arxiv.org/abs/math/0304134 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/67039 | |
| dc.subject | Probability | |
| dc.subject | 60H10; 60G10; 37H10 | |
| dc.title | Ergodicity of Stochastic Differential Equations Driven by Fractional Brownian Motion | |
| dc.type | text |