Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance

DOI10.1016/J.PHYSD.2020.132815zbMATH Open1487.60106arXiv1912.05476OpenAlexW3115440919WikidataQ115341688 ScholiaQ115341688MaRDI QIDQ2115707FDOQ2115707

Authors: Chunrong Feng, Huaizhong Zhao, Johnny Zhong 

Publication date: 21 March 2022

Published in: Physica D (Search for Journal in Brave)

Abstract: In this paper, we derive a parabolic partial differential equation for the expected exit time of non-autonomous time-periodic non-degenerate stochastic differential equations. This establishes a Feynman-Kac duality between expected exit time of time-periodic stochastic differential equations and time-periodic solutions of parabolic partial differential equations. Casting the time-periodic solution of the parabolic partial differential equation as a fixed point problem and a convex optimisationproblem, we give sufficient conditions in which the partial differential equation is well-posed in a weak and classical sense. With no known closed formulae for the expected exit time, we show our method can be readily implemented by standard numerical schemes. With relatively weak conditions (e.g. locally Lipschitz coefficients), the method in this paper is applicable to wide range of physical systems including weakly dissipative systems. Particular applications towards stochastic resonance will be discussed.

Full work available at URL: https://arxiv.org/abs/1912.05476

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zbMATH Keywords

stochastic resonancelocally Lipschitztime-inhomogeneous Markov processesexpected exit timeFeynman-Kac dualitytime-periodic parabolic partial differential equations

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84)

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• Exponential inequalities for exit times for two dimensional stochastic tidal dynamics equations
• Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
• The exit problem for diffusions with time-periodic drift and stochastic resonance
• Ergodic numerical approximation to periodic measures of stochastic differential equations
• Random periodic processes, periodic measures and ergodicity
• Periodic measures and Wasserstein distance for analysing periodicity of time series datasets
• Existence of geometric ergodic periodic measures of stochastic differential equations

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