Ergodic properties of stochastic processes
Lead Research Organisation:
University of Warwick
Department Name: Mathematics
Abstract
Stochastic processes have been a very successful tool for modelling systems that either inherently include uncertainties in their description or evolve under the influence of an external force which is only known through its statistical properties. A natural problem is to try to understand the long time behaviour of such systems. In particular, one is interested in finding criteria that ensure that a given system relaxes over time to a stationary state independent of its initial condition. This and related questions are by now well understood for Markov processes (i.e. processes that have no memory of their past given their present state) with a finite number of degrees of freedom. They are however currently under active investigation for infinite-dimensional systems and the corresponding theory for non-Markov processes is still in its infancy.The proposed research will both build on existing theories and develop new methods to investigate the asymptotic behaviour for a wide class of stochastic systems. Emphasis will be put on non-Markovian systems with both intrinsic and extrinsic memory, infinite-dimensional systems, hypoelliptic systems, and the analysis of related differential operators.This will lead to the preparation of a monograph on the ergodicity of stochastic processes in finite and infinite dimensions. It will complement existing literature in the field by putting an emphasis on recent techniques that are either still under development or have been developed over the last five years.
Organisations
People |
ORCID iD |
Martin Hairer (Principal Investigator) |
Publications
Allman M
(2010)
A chain of interacting particles under strain
Allman M
(2011)
A chain of interacting particles under strain
in Stochastic Processes and their Applications
Bass R
(2008)
Stationary distributions for diffusions with inert drift
in Probability Theory and Related Fields
Baudoin F
(2007)
A version of Hörmander's theorem for the fractional Brownian motion
in Probability Theory and Related Fields
Baudoin F
(2007)
Ornstein-Uhlenbeck Processes on Lie Groups
Baudoin F
(2008)
Ornstein-Uhlenbeck processes on Lie groups
in Journal of Functional Analysis
Blömker D
(2007)
Multiscale analysis for stochastic partial differential equations with quadratic nonlinearities
in Nonlinearity
Bou-Rabee N
(2010)
Non-asymptotic mixing of the MALA algorithm
Bou-Rabee N
(2012)
Nonasymptotic mixing of the MALA algorithm
in IMA Journal of Numerical Analysis
Cass T
(2015)
Smoothness of the density for solutions to Gaussian rough differential equations
in The Annals of Probability
Description | ANR Panel |
Form Of Engagement Activity | A formal working group, expert panel or dialogue |
Part Of Official Scheme? | No |
Primary Audience | Participants in your research or patient groups |
Results and Impact | For three years, from 2008 to 2010, I was member of an "ANR" panel in France. This is the panel that decides on the allocation for all collaborative grants in French mathematics. . Awarding Body - CNRS, Name of Scheme - ANR |
Year(s) Of Engagement Activity | 2008 |
Description | IHP Scientific steering committee |
Form Of Engagement Activity | A formal working group, expert panel or dialogue |
Part Of Official Scheme? | No |
Primary Audience | Participants in your research or patient groups |
Results and Impact | Since June 2012, I have been member of the scientific steering committee of the institute Henri Poincaré in Paris. . Awarding Body - IHP, Name of Scheme - Scientific steering committee |
Year(s) Of Engagement Activity | 2012 |