Hairer, Martin and Pillai, Natesh S. (2009) Ergodicity of hypoeliptic SDEs driven by fractional Brownian motion. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.38).

Preview

PDF WRAP_Hairer_09-38w.pdf - Published Version - Requires a PDF viewer. Download (505Kb)

Request Changes to record.

Abstract

We demonstrate that stochastic differential equations (SDEs) driven by fractional
Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as
SDEs driven by standard Brownian motion. The focus in this article is on hypoelliptic
systems satisfying Hormander’s condition. We show that such systems satisfy a suitable
version of the strong Feller property and we conclude that they admit a unique
stationary solution that is physical in the sense that it does not "look into the future".
The main technical result required for the analysis is a bound on the moments of the
inverse of the Malliavin covariance matrix, conditional on the past of the driving noise.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Mathematics Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Stochastic differential equations, Brownian motion processes, Ergodic theory
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Official Date:	2009
Dates:	Date Event 2009 Published
Volume:	Vol.2009
Number:	No.38
Number of Pages:	28
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads