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journal article
Ergodicity of stochastic differential equations driven by fractional Brownian motion
March 1, 2005
We study the ergodic properties of finite-dimensional systems of SDEs driven by nondegenerate additive fractional Brownian motion with arbitrary Hurst parameter H is an element of (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 SIDE possesses a unique stationary solution and that the convergence rate of an arbitrary solution toward the stationary one is (at least) algebraic. A lower bound on the exponent is also given.
Type
journal article
Web of Science ID
WOS:000227814600011
Authors
Publication date
2005-03-01
Publisher
Published in
Volume
33
Issue
2
Start page
703
End page
758
Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
September 17, 2024
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