Invariant and ergodic measures for G-diffusion processes

2014/09/11 by Mingshang Hu, Hu, Mingshang, Hanwu Li +5
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1409.3430

arxiv created 2014/09/11 · arxiv updated 2014/09/12

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.

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