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arXiv · 0912.0222

Canonical Sample Spaces for Random Dynamical Systems

Jinqiao Duan·Xingye Kan·Bjaorn Schmalfuss
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Abstract

This is an overview about natural sample spaces for differential equations driven by various noises. Appropriate sample spaces are needed in order to facilitate a random dynamical systems approach for stochastic differential equations. The noise could be white or colored, Gaussian or non-Gaussian, Markov or non-Markov, and semimartingale or non-semimartingale. Typical noises are defined in terms of Brownian motion, Levy motion and fractional Brownian motion. In each of these cases, a canonical sample space with an appropriate metric (or topology that gives convergence concept) is introduced. Basic properties of canonical sample spaces, such as separability and completeness, are then discussed. Moreover, a flow defined by shifts, is introduced on these canonical sample spaces. This flow has an invariant measure which is the probability distribution for Brownian motion, or Levy motion or fractional Brownian motion. Thus canonical sample spaces are much richer in mathematical structures than the usual sample spaces in probability theory, as they have metric or topological structures, together with a shift flow (or driving flow) defined on it. This facilitates dynamical systems approaches for studying stochastic differential equations.

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Jinqiao Duan, Xingye Kan, Bjaorn Schmalfuss. 2009-12-01. Canonical Sample Spaces for Random Dynamical Systems. https://arxiv.org/abs/0912.0222

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