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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 Xt=x+0tσ(Xs)\stratdb(s)+0tm(Xs)ds, X_t=x+\int_0^t\sigma(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 exp(2tRm2σ2dΠ) \mathrm{exp}(-2t\int_{R}\frac{m^2}{\sigma^2} d\Pi), where dΠd\Pi 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 dΠd\Pi. Applications to stationary solutions of XtX_t, 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}
}

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18 pages