On the invariant measure of a positive recurrent diffusion in R

DOI10.1007/S10959-006-0046-XzbMATH Open1117.60077arXivmath/0412410OpenAlexW1535336940MaRDI QIDQ877232FDOQ877232

Michele Baldini

Publication date: 19 April 2007

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

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 $mathrmexp(-2tin{t}_{R}frac{m}^{2}sigm{a}^{2}dPi)$, where $dPi$ 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 $dPi$. Applications to stationary solutions of $X_t$, asymptotic behavior of solutions of SPDEs and random attractors are offered.

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

zbMATH Keywords

diffusioninvariant measurediffeomorphismstochastic flow

Mathematics Subject Classification ID

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

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Cited In (3)

• On the Lyapunov exponent of a multidimensional stochastic flow
• Invariant measures for uniformly recurrent diffusion kernels
• Title not available (Why is that?)

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