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  4. REGULARITY OF LAWS AND ERGODICITY OF HYPOELLIPTIC SDES DRIVEN BY ROUGH PATHS
 
journal article

REGULARITY OF LAWS AND ERGODICITY OF HYPOELLIPTIC SDES DRIVEN BY ROUGH PATHS

Hairer, Martin  
•
Pillai, Natesh S.
July 1, 2013
ANNALS OF PROBABILITY

We consider differential equations driven by rough paths and study the regularity of the laws and their long time behavior. In particular, we focus on the case when the driving noise is a rough path valued fractional Brownian motion with Hurst parameter H is an element of (1/3, 1/2]. Our contribution in this work is twofold.First, when the driving vector fields satisfy Hormander's celebrated "Lie bracket condition," we derive explicit quantitative bounds on the inverse of the Malliavin matrix. En route to this, we provide a novel "deterministic" version of Norris's lemma for differential equations driven by rough paths. This result, with the added assumption that the linearized equation has moments, will then yield that the transition laws have a smooth density with respect to Lebesgue measure.Our second main result states that under Hormander's condition, the solutions to rough differential equations driven by fractional Brownian motion with H is an element of (1/3, 1/2] enjoy a suitable version of the strong Feller property. Under a standard controllability condition, this implies that they admit a unique stationary solution that is physical in the sense that it does not "look into the future."

  • Details
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Type
journal article
DOI
10.1214/12-AOP777
Web of Science ID

WOS:000322353200005

Author(s)
Hairer, Martin  
Pillai, Natesh S.
Date Issued

2013-07-01

Publisher

INST MATHEMATICAL STATISTICS

Published in
ANNALS OF PROBABILITY
Volume

41

Issue

4

Start page

2544

End page

2598

Subjects

DIFFERENTIAL-EQUATIONS DRIVEN

•

NONEQUILIBRIUM STATISTICAL-MECHANICS

•

MALLIAVIN CALCULUS

•

ANHARMONIC CHAINS

•

Hormander's theorem

•

hypoellipticity

•

fractional Brownian motion

•

rough paths

•

Science & Technology

•

Physical Sciences

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
PROPDE  
FunderFunding(s)Grant NumberGrant URL

EPSRC

EP/E002269/1

Leverhulme Trust

NSF

DMS-11-07070

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Available on Infoscience
September 17, 2024
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/241204
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