Related papers: Ergodic theory for SDEs with extrinsic memory
We investigate stochastic processes that generalize geometric Brownian motion, focusing on cases where the standard invariant measure, i.e. the solution of the stationary Fokker-Planck equation does not necessarily exist. We demonstrate…
It is well-known that for a one dimensional stochastic differential equation driven by Brownian noise, with coefficient functions satisfying the assumptions of the Yamada-Watanabe theorem \cite{yamada1,yamada2} and the Feller test for…
We present a modelling approach for diffusion in a complex medium characterized by a random length scale. The resulting stochastic process shows subdiffusion with a behavior in qualitative agreement with single particle tracking experiments…
In this work, we investigate the ergodic behavior of a system of particules, subject to collisions, before it exits a fixed subdomain of its state space. This system is composed of several one-dimensional ordered Brownian particules in…
We investigate properties of the (conditional) law of the solution to SDEs driven by fractional Brownian noise with a singular, possibly distributional, drift. Our results on the law are twofold: i) we quantify the spatial regularity of the…
Consider a stochastic nonlinear system controlled over a possibly noisy communication channel. An important problem is to characterize the largest class of channels for which there exist coding and control policies so that the closed-loop…
In this paper we study an Ergodic Markovian BSDE involving a forward process $X$ that solves an infinite dimensional forward stochastic evolution equation with multiplicative and possibly degenerate diffusion coefficient. A concavity…
We obtain well-posedness results for a class of ODE with a singular drift and additive fractional noise, whose right-hand-side involves some bounded variation terms depending on the solution. Examples of such equations are reflected…
We study a coupled deterministic system of vorticity evolution and salinity transport equations, with spatially correlated white noise on the boundary. This system may be considered as a model for gravity currents in oceanic fluids. The…
In the pathwise stochastic calculus framework, the paper deals with the general study of equations driven by an additive Gaussian noise, with a drift function having an infinite limit at point zero. An ergodic theorem and the convergence of…
We introduce a class of discrete random walk model driven by global memory effects. At any time the right-left transitions depend on the whole previous history of the walker, being defined by an urn-like memory mechanism. The characteristic…
Nonergodic Brownian motion is elucidated within the framework of the generalized Langevin equation. For thermal noise yielding either a vanishing or a divergent zero-frequency friction strength, the non-Markovian Browninan dynamics exhibits…
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is…
In this paper we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear time series models. Subgeometric ergodicity means that the transition probability…
We develop a Perron-Frobenius type theory for products of random quantum channels acting on finite-dimensional matrix algebras sampled from a stationary and ergodic stochastic process, which, in keeping with the literature, we call ergodic…
In this paper, we establish some sufficient conditions for the existence of stable random periodic solutions of stochastic differential equations and ergodicity in the random periodic regime. The techniques involve the existence of Lyapunov…
We prove the exponential stability of the zero solution of a stochastic differential equation with a H\"older noise, under the strong dissipativity assumption. As a result, we also prove that there exists a random pullback attractor for a…
It has been established under very general conditions that the ergodic properties of Markov processes are inherited by their conditional distributions given partial information. While the existing theory provides a rather complete picture…
These notes present an alternative approach to the asymptotic stability of stochastic partial differential equations driven by multiplicative noise, applicable to a wide range of dissipative systems. The method builds on general criteria…
Ergodic properties of the signal-filtering pair are studied for continuous time finite Markov chains, observed in white noise. The obtained law of large numbers is applied to the stability problem of the nonlinear filter with respect to…