Invariant measure for a class of parabolic degenerate equations
Let \(W\) be an \(m\)-dimensional Brownian motion, \(b:\mathbb{R}^n\rightarrow \mathbb{R}^n\) and \(\sigma:\mathbb{R}^n\rightarrow \mathbb{R}^{n\times m}\) be Lipschitz and \(X=\{ X^{x}_t,t\geq 0,x\in \mathbb{R}^n\}\) the flow defined by the stochastic differential equation \(dX_t^x=b(X_t^x)dt+\sigma(X_t^x)dW_t,t\geq 0,\) \(X_0^x=x\in \mathbb{R}^m\). Given a convex compact \(K\subset R^n\) with nonempty interior and supposing the invariance of \(K\) under the flow \(X\), i.e., \(P\{X_t^x\in K,t\geq 0\}=1\), for all \(x\in K\) (equivalent conditions have been recently studied by several authors, for instance, by Aubin and Da Prato (1990), Buckdahn, Peng, Quincampoix and Rainer (1998) and Da Prato, Frankowska (2001)), the authors prove the existence of an invariant measure \(\nu\) for the semigroup \(P_t\varphi(x)=E[\varphi(X_t^x)],\, t\geq 0,x\in K,\varphi\in C(K)\). Moreover, they give sufficient conditions for the absolute continuity of \(\nu\) with respect to the Lebesgue measure and study the density of \(\nu\). The existence of the invariant measure \(\nu\) allows to extend \(P_t,t\geq 0,\) to a contraction semigroup \(P_t^\nu, t\geq 0,\) on \(L^2(K,\nu)\). The authors study the asymptotic behavior of \(P^\nu_t\) and investigate some properties of the infinitesimal generator \(L^\nu\) of \(P^\nu_t,t\geq 0\). In particular, in the case of symmetry of \(L^\nu\) they characterize its domain. Finally, it should be emphasized that the assumption of invariance of \(K\) under the flow \(X\) implies that \(\sigma\sigma^{*}\) is degenerate (indeed, \(\sigma^{*}(x)p=0,\) for all \(x\in\partial K\) and all proximal normal \(p\) to \(K\) at \(x\)). While the case of strictly elliptic \(\sigma\sigma^{*}\) is well studied in the literature, there are only few results concerning invariant measures for degenerate \(\sigma\sigma^{*}\).
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