Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion

DOI10.1214/10-AIHP377zbMATH Open1221.60083arXiv0909.4505MaRDI QIDQ537141FDOQ537141

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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zbMATH Keywords

ergodicityfractional Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDrmander%27s+theorem&go=Go H��rmander's theorem]

Mathematics Subject Classification ID

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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Cited In (46)

• Control of linear dynamical systems by time transformations
• Solving the KPZ equation
• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• Ergodicity of stochastic Rabinovich systems driven by fractional Brownian motion
• Hörmander's theorem for semilinear SPDEs
• A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
• Integrability and tail estimates for Gaussian rough differential equations
• Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in \((1/2,1)\)
• Smoothness of the density for solutions to Gaussian rough differential equations
• Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions
• Logarithmic Sobolev inequalities for fractional diffusion
• Ergodic theory for SDEs with extrinsic memory
• Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
• Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion
• Evolving communities with individual preferences
• Asymptotical stability of differential equations driven by Hölder continuous paths
• Local linear estimator for fractional diffusions
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
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• A stability result for stochastic differential equations driven by fractional Brownian motions
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• A version of Hörmander's theorem for Markovian rough paths
• Nonparametric inference for fractional diffusion
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• ASYMPTOTIC EXPANSION OF THE DENSITY FOR HYPOELLIPTIC ROUGH DIFFERENTIAL EQUATION

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