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Mathematics > Probability

arXiv:1409.3430 (math)
[Submitted on 11 Sep 2014]

Title:Invariant and ergodic measures for G-diffusion processes

Authors:Mingshang Hu, Hanwu Li, Falei Wang, Guoqiang Zheng
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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.
Subjects: Probability (math.PR)
Cite as: arXiv:1409.3430 [math.PR]
  (or arXiv:1409.3430v1 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1409.3430

Submission history

From: Falei Wang [view email]
[v1] Thu, 11 Sep 2014 13:31:31 UTC (14 KB)
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