Topic: Stability, Invariant Measures and Long-Time Behavior

When Mean-Square and Almost-Sure Stability Differ

Moment Estimates for Ornstein-Uhlenbeck and Geometric Brownian Motion

Moment Bounds from Itô’s Formula and Lyapunov Functions

Mean-Square Stability of Scalar Linear SDEs

Long-Time Analysis Problems for One-Dimensional Diffusions

Lyapunov Criteria for Positive Recurrence and Ergodicity

Invariant Densities for Ornstein-Uhlenbeck and Gradient Diffusions

Infinitesimal Generators and Lyapunov Drift Conditions

Ergodic Averages and Long-Run Expectations

Deriving Stationary Densities from the Fokker-Planck Equation