Long-time dynamics of stochastic differential equations

Nils Berglund
(2021)

These lecture notes have been prepared for a series of lectures given at the Summer School From kinetic equations to statistical mechanics organised by the Henri Lebesgue Center in Saint Jean de Monts, from June 28th to July 2nd 2021.

Mathematical Subject Classification: 60H15, 35K57 (primary), 81S20, 82C28 (secondary).

Keywords and phrases: Stochastic differential equations, Dynkin's formula, Feynman-Kac formula, invariant probability measure, Lyapunov functions, Perron-Frobenius theorem.

 

PDF file (688 Kb) hal-03271001 arXiv/2106.12998