Special Session 36: Stochastic Systems, SDEs/SPDEs, Games, Quantum-Computing and Storages

ASYMPTOTICS AND ERGODICITY OF NONLINEAR DISTORTED BROWNIAN MOTION AND OF NONLINEAR FOKKER-PLANCK EQUATIONS

Michael Röckner
University of Bielefeld
Germany
Co-Author(s):    V. Barbu
Abstract:
In this talk we present recent results on the large time asymptotics of the one dimensional time marginal laws of the nonlinear distorted Brownian motion, obtained via analyzing the corresponding nonlinear Fokker-Planck equation. The first result is the existence and uniqueness of an invariant measure given by an explicit formula in the non-degenerate case. The second is in the degenerate case and states the existence of an invariant measure and the compactness in $L^1$ of the omega limit set including information about its location. The third is the mean ergodicity in the latter case.