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Ergodicity of hypoelliptic SDEs driven by fractional brownian motion

M. HairerN. S. Pillai — 2011

Annales de l'I.H.P. Probabilités et statistiques

We demonstrate that stochastic differential equations (SDEs) driven by fractional brownian motion with Hurst parameter >½ have similar ergodic properties as SDEs driven by standard brownian motion. The focus in this article is on hypoelliptic systems satisfying Hörmander’s condition. We show that such systems enjoy a suitable version of the strong Feller property and we conclude that under a standard controllability condition they admit a unique stationary solution that is physical in the...

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