Invariant and ergodic measures for G-diffusion processes

Mingshang Hu; Hanwu Li; Falei Wang; Guoqiang Zheng

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arXiv · 1409.3430

Invariant and ergodic measures for G-diffusion processes

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.

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Mingshang Hu, Hanwu Li, Falei Wang, Guoqiang Zheng. 2014-09-11. Invariant and ergodic measures for G-diffusion processes. https://arxiv.org/abs/1409.3430

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