On the invariant measure of a positive recurrent diffusion in R
Probability
2007-05-23 v1
Abstract
Given an one-dimensional positive recurrent diffusion governed by the Stratonovich SDE we show that the associated stochastic flow of diffeomorphisms focuses as fast as , where 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 . Applications to stationary solutions of , asymptotic behavior of solutions of SPDEs and random attractors are offered.
Keywords
Cite
@article{arxiv.math/0412410,
title = {On the invariant measure of a positive recurrent diffusion in R},
author = {Michele L. Baldini},
journal= {arXiv preprint arXiv:math/0412410},
year = {2007}
}
Comments
18 pages