Please use this identifier to cite or link to this item:
|Type:||Artigo de periódico|
|Title:||Ergodic theory for sdes with extrinsic memory|
|Abstract:||We develop a theory of ergodicity for a class of random dynamical systems where the driving noise is not white. The two main tools of our analysis are the strong Feller property and topological irreducibility, introduced in this work for a class of non-Markovian systems. They allow us to obtain a criteria for ergodicity which is similar in nature to the Doob-Khas'minskii theorem. The second part of this article shows how it is possible to apply these results to the case of stochastic differential equations driven by fractional Brownian motion. It follows that under a nondegeneracy condition on the noise, such equations admit a unique adapted stationary solution.|
fractional Brownian motion
|Editor:||Inst Mathematical Statistics|
|Appears in Collections:||Unicamp - Artigos e Outros Documentos|
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.