Isotropic Ornstein-Uhlenbeck flows

DOI10.1016/J.SPA.2008.10.007MaRDI QIDQ2389227zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 15 July 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.1107

zbMATH Keywords

Ornstein-Uhlenbeck processHausdorff dimensionrandom attractorsstochastic flowsstatistical equilibriumisotropic Brownian flows

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Random measures (60G57) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Attractors and repellers of smooth dynamical systems and their topological structure (37C70) Generation, random and stochastic difference and differential equations (37H10)

Abstract: Isotropic Brownian flows (IBFs) are a fairly natural class of stochastic flows which has been studied extensively by various authors. Their rich structure allows for explicit calculations in several situations and makes them a natural object to start with if one wants to study more general stochastic flows. Often the intuition gained by understanding the problem in the context of IBFs transfers to more general situations. However, the obvious link between stochastic flows, random dynamical systems and ergodic theory cannot be exploited in its full strength as the IBF does not have an invariant probability measure but rather an infinite one. Isotropic Ornstein-Uhlenbeck flows are in a sense localized IBFs and do have an invariant probability measure. The imposed linear drift destroys the translation invariance of the IBF, but many other important structure properties like the Markov property of the distance process remain valid and allow for explicit calculations in certain situations. The fact that isotropic Ornstein-Uhlenbeck flows have invariant probability measures allows one to apply techniques from random dynamical systems theory. We demonstrate this by applying the results of Ledrappier and Young to calculate the Hausdorff dimension of the statistical equilibrium of an isotropic Ornstein-Uhlenbeck flow.

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