A regularity method for lower bounds on the Lyapunov exponent for stochastic differential equations
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Publication:2073769
Lyapunov exponentstochastic differential equationsFisher information-like functionalhypoelliptic regularity theory
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Measures of information, entropy (94A17) Smoothness and regularity of solutions to PDEs (35B65) Hypoelliptic equations (35H10) Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.) (37D25) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Diffusion processes and stochastic analysis on manifolds (58J65)
Abstract: We put forward a new method for obtaining quantitative lower bounds on the top Lyapunov exponent of stochastic differential equations (SDEs). Our method combines (i) an (apparently new) identity connecting the top Lyapunov exponent to a Fisher information-like functional of the stationary density of the Markov process tracking tangent directions with (ii) a novel, quantitative version of H"ormander's hypoelliptic regularity theory in an framework which estimates this (degenerate) Fisher information from below by a Sobolev norm. This method is applicable to a wide range of systems beyond the reach of currently existing mathematically rigorous methods. As an initial application, we prove the positivity of the top Lyapunov exponent for a class of weakly-dissipative, weakly forced SDE; in this paper we prove that this class includes the Lorenz 96 model in any dimension, provided the additive stochastic driving is applied to any consecutive pair of modes.
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