10 April 2003
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter \(H\in(0,1)\). A general framework is constructed to make precise the notions of ``invariant measure'' and ``stationary state'' for such a system. We then prove under rather weak dissipativity conditions that such an SDE possesses a unique stationary solution and that the convergence rate of an arbitrary solution towards the stationary one is (at least) algebraic. A lower bound on the exponent is also given.