On the invariant measure of a positive recurrent diffusion in R

DOI10.1007/S10959-006-0046-XMaRDI QIDQ877232zbMATH OpenOpenAlexFDO

Publication date 19 April 2007

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

Full work available at URL https://arxiv.org/abs/math/0412410

diffusion invariant measure diffeomorphism stochastic flow

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

Abstract: Given an one-dimensional positive recurrent diffusion governed by the Stratonovich SDE [ X_t=x+int_0^tsigma(X_s)strat db(s)+int_0^t m(X_s) ds, ] we show that the associated stochastic flow of diffeomorphisms focuses as fast as

m a t h r m e x p (- 2 t i n t_{R} f r a c m^{2} s i g m a^{2} d P i)

, where

d P i

is the finite stationary measure. Moreover, if the drift is reversed and the diffeomorphism is inverted, then the path function so produced tends, independently of its starting point, to a single (random) point whose distribution is

d P i

. Applications to stationary solutions of

X_{t}

, asymptotic behavior of solutions of SPDEs and random attractors are offered.

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