We compare different modes of pseudo almost automorphy and variants for stochastic processes: in probability, in quadratic mean, or in distribution in various senses. We show by a counterexample that squaremean (pseudo) almost automorphy is a property which is too strong for stochastic differential equations (SDEs). Finally, we consider two semilinear SDEs, one with almost automorphic coefficients and the second one with pseudo almost automorphic coefficients, and we prove the existence and uniqueness of a mild solution which is almost automorphic in distribution in the first case, and pseudo almost automorphic in distribution in the second case.

No abstract

No abstract