Ergodicity of a generalized Jacobi equation and applications

Nicolas Marie

Stochastic Processes and their Applications, 2016, vol. 126, issue 1, 66-99

Abstract: Consider a 1-dimensional centered Gaussian process W with α-Hölder continuous paths on the compact intervals of R+(α∈]0,1[) and W0=0, and X the local solution in rough paths sense of Jacobi’s equation driven by the signal W.

Keywords: Euler scheme; Fractional Brownian motion; Jacobi’s equation; Malliavin calculus; Morris–Lecar’s model; Random dynamical systems; Rough paths; Stochastic differential equations (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spa.2015.07.015

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