Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
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Publication:537141
DOI10.1214/10-AIHP377zbMATH Open1221.60083arXiv0909.4505MaRDI QIDQ537141FDOQ537141
Authors: Martin Hairer, Natesh S. Pillai 
Publication date: 19 May 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion. The focus in this article is on hypoelliptic systems satisfying H"ormander's condition. We show that such systems satisfy a suitable version of the strong Feller property and we conclude that they admit a unique stationary solution that is physical in the sense that it does not "look into the future". The main technical result required for the analysis is a bound on the moments of the inverse of the Malliavin covariance matrix, conditional on the past of the driving noise.
Full work available at URL: https://arxiv.org/abs/0909.4505
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33)
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