scientific article; zbMATH DE number 1323479

MaRDI QIDQ4255348zbMATH OpenFDO

Authors Inge Schmidt

Publication date 11 August 1999

zbMATH Keywords

invariant measuremartingalestochastic differential equations

Mathematics Subject Classification ID

Smooth ergodic theory, invariant measures for smooth dynamical systems (37C40) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

The paper deals with the stochastic differential equation in \(\mathbb{R}^n\) of the form \[ dX_t= b(X_t)dt+ \sigma(X_t) dM_t,\tag{1} \] where \(b\) and \(\sigma\) are Lipschitz continuous. By \(M\), an \(\mathbb{R}^d\)-valued martingale is denoted. Here, the author presents sufficient conditions for the existence of an invariant measure for (1). To this end she uses the Krylov-Bogolyubov process which provides sufficient conditions for the existence of an invariant measure.

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Cited in

(8)

• Maximal inequalities for \(g\)-martingales
• Invariant measures for stochastic functional differential equations
• On the existence of an invariant measure for the dynamical system generated by partial differential equation
• On invariant tori of stochastic systems on a plane
• On the existence of conditionally invariant probability measures in dynamical systems
• Invariant measures for systems of Kolmogorov equations
• Atomic operators, random dynamical systems and invariant measures
• Action minimizing stochastic invariant measures for a class of Lagrangian systems

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