On the Lyapunov exponent of a multidimensional stochastic flow

DOI10.1007/S10959-007-0071-4MaRDI QIDQ2641430zbMATH OpenOpenAlexFDO

Authors Michele Baldini

Publication date 20 August 2007

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610665

zbMATH Keywords

DiffusionElliptic operatorRecurrenceStochastic flowSuperharmonic function

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: Let $X_t$ be a reversible and positive recurrent diffusion in $R^d$ described by �egin{equation} onumber X_t=x+sigma b(t)+int_0^tm(X_s)dif s, end{equation} where the diffusion coefficient $sigma$ is a positive-definite matrix and the drift $m$ is a smooth function. Let $X_t(A)$ denote the image of a compact set $Asubset{R}^d$ under the stochastic flow generated by $X_t$. If the divergence of the drift is strictly negative, there exists a set of functions $u$ such that [lim_{t oinfty} int_{X_t(A)}u(x)dif x=0quad{a.s.} ] A characterization of the functions $u$ is provided, as well as lower and upper bounds for the exponential rate of convergence.

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Cites work

• ERGODIC PRORERTY OF N-DIMENSIONAL RECURRENT MARKOV PROCESSES
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Cited in

(4)

• Lyapunov exponents for stochastic differential equations with infinite memory and application to stochastic Navier-Stokes equations
• Lyapunov exponent for small particles in smooth one-dimensional flows
• scientific article; zbMATH DE number 3951713 (Why is no real title available?)
• scientific article; zbMATH DE number 4062259 (Why is no real title available?)

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