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journal article

Ergodicity of stochastic differential equations driven by fractional Brownian motion

Hairer, Martin  
March 1, 2005
ANNALS OF PROBABILITY

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.

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Type
journal article
DOI
10.1214/009117904000000892
Web of Science ID

WOS:000227814600011

Author(s)
Hairer, Martin  
Date Issued

2005-03-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALS OF PROBABILITY
Volume

33

Issue

2

Start page

703

End page

758

Subjects

SYSTEMS

•

PDE

•

ergodicity

•

fractional Brownian motion

•

memory

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241175
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