On the cohomology of flows of stochastic and random differential equations (Q5944092): Difference between revisions

Let \((\Omega,{\mathcal F},{\mathbb P})\) be the Wiener space with an \(m\)-dimensional Wiener process. Let \(\theta_t\) denote the canonical shift and assume that \(f_0,\ldots, f_m\) are smooth vector fields and \(g\) is a smooth random vector field. Given a stochastic ordinary differential equation (in Stratonovich form) \(dx_t = f_0(x_t) dt + \sum_{i=1}^m f_i(x_t) \circ dW_t\) (SODE), the authors present conditions, which ensure that the SODE is cohomologous to a random ordinary differential equation \(dx_t = g(\theta_t \cdot ,x_t)dt\) (RODE). In other words, they examine when one can find a random coordinate change (a diffeomorphism \(\Phi\)) which transforms the flow \(\varphi\), generated by the SODE, into the flow \(\chi\) of the RODE, and the flows are related by the conjugation equation \(\Phi (\theta_t,\cdot) \circ \chi_t \circ \Phi^{-1} = \varphi_t\). The cohomology equation preserves asymptotic invariants, e.g. Lyapunov exponents. Thus it is possible to take advantage of ergodic theory and the theory of random dynamical systems to investigate asymptotic properties of solutions of the SODE. The authors show that if the Lie algebra generated by \(f_1,\ldots, f_m\) is solvable and finite-dimensional, then there is a random diffeomorphism \(\Phi\) solving the conjugation equation. They also provide an algorithm to obtain \(\Phi\) and they apply the method to the problem of existence of global random attractors for flows generated by the SODE. In particular they consider the Duffing-van der Pol oscillator.