On the invariant measure of a positive recurrent diffusion in \({\mathbb{R}}\) (Q877232)

Let \(X_t\) be the positive recurrent diffusion in \(\mathbb{R}\) solving the Stratonovich equation \[ X_t= x+ \int^t_0 \sigma(X_s)\circ db_s+ \int^t_0 m(X_s)\,ds. \] Then for all \(x,y\in\mathbb{R}\) almost surely \[ \lim_{t\to\infty}(1/t)\ln|s(X_t(x))- s(X_t(y))|= -2\int_{\mathbb{R}} (m^2/\sigma^2)\,d\Pi, \] where \(s(.)\) is the scale function and \(\Pi\) the invariant measure of \(X_t\). The expression on the right also provides an upper bound for the spectral gap of \(X_t\). Let \(X^\#_t\) be the diffusion solving \[ X^\#_t= x+ \int^t_0\sigma(X^\#_s)\circ db_s- \int^t_0 m(X^\#_s)\,ds, \] and \(X^\#_t(x,{\mathfrak b})\) the corresponding flow. Then there exists a random variable \({\mathcal X}\), distributed according to \(\Pi\), such that almost surely \(X^\#_t(x,{\mathfrak b})_{t\to\infty}\), whenever \(x>{\mathcal X}\), and \(X^\#_t(x,{\mathfrak b})_{t\to\infty}\), if \(x<{\mathcal X}\). It is shown that almost surely \(\liminf_{t\to\infty}|X^\#_t({\mathcal X})|<\infty\), furthermore \({\mathbf P}(\lim_{t\to\infty}|X^\#_t|=\infty\) for every \(x\neq{\mathcal X})\) and \({\mathbf P}(\lim_{t\to\infty}X^\#_t(x)= {\mathcal X}\) for all \(x)= 1\), where \(X^\#_t\) is constructed as follows: For any \(T> 0\) let \(b_T(t):= b(T- t)- b(T)\), \(0\leq t\leq T\), let \(\{X^T_t\), \(0\leq t\leq T\}\) be the solution of \(d^T_t= \sigma(X^T_t)\circ db_T(t)+ m(X^T_t)\,dt\), \(X^T_0= x\), and define \(X^\downarrow_T:= X^T_T\). As a simple example, \(X_t\) is taken to be the Ornstein-Uhlenbeck process. Three applications are given: \({\mathcal X}\) can be used to obtain stationary solutions for \(X_t\) and \(X^\#_t\). For every smooth function \(f\), \(f(X^\downarrow_t)\) uniquely solves \[ f(X^\#_t)= f(x)- \sigma(x)\int^t_0(\partial f(X^\downarrow_t)/\partial x)\,db(s)+ \int^t_0{\mathcal G} f(X^\downarrow_s)\,ds, \] where \({\mathcal G}\) is the infinitesimal generator of \(X_t\) and \({\mathcal X}\) can be identified as the random attractor of the corresponding random dynamical system.