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Applied Mathematics and Optimization, Vol.60, No.2, 151-172, 2009
Discretization of Stationary Solutions of Stochastic Systems Driven by Fractional Brownian Motion
In this article we study the behavior of dissipative systems with additive fractional noise of any Hurst parameter. Under a one-sided dissipative Lipschitz condition on the drift the continuous stochastic system is shown to have a unique stationary solution, which pathwise attracts all other solutions. The same holds for the discretized stochastic system, if the drift-implicit Euler method is used for the discretization. Moreover, the unique stationary solution of the drift-implicit Euler scheme converges to the unique stationary solution of the original system as the stepsize of the discretization decreases.
Keywords:Fractional Brownian motion;Random dynamical system;Random attractor;One-sided dissipative Lipschitz condition;Implicit Euler scheme