Invariant and ergodic measures for G-diffusion processes
Probability
2014-09-12 v1
Abstract
In this paper we study the problems of invariant and ergodic measures under G-expectation framework. In particular, the stochastic differential equations driven by G-Brownian motion have the unique invariant and ergodic measures. Moreover, the invariant and ergodic measures of G-SDEs are also sublinear expectations. However, the invariant measures may not coincide with ergodic measures, which is different from the classical case.
Cite
@article{arxiv.1409.3430,
title = {Invariant and ergodic measures for G-diffusion processes},
author = {Mingshang Hu and Hanwu Li and Falei Wang and Guoqiang Zheng},
journal= {arXiv preprint arXiv:1409.3430},
year = {2014}
}