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

DOI10.1016/J.PHYSD.2020.132815MaRDI QIDQ2115707zbMATH OpenOpenAlexWikidataFDO

Authors Chunrong Feng, Huaizhong Zhao, Johnny Zhong

Publication date 21 March 2022

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.05476, http://dro.dur.ac.uk/32612/

zbMATH Keywords

expected exit timeFeynman-Kac dualitylocally Lipschitzstochastic resonancetime-inhomogeneous Markov processestime-periodic parabolic partial differential equations

Mathematics Subject Classification ID

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

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.

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Cited in

(9)

• 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
• Existence of geometric ergodic periodic measures of stochastic differential equations
• Periodic measures and Wasserstein distance for analysing periodicity of time series datasets
• Exponential inequalities for exit times for two dimensional stochastic tidal dynamics equations
• Nonparametric estimation for periodic stochastic differential equations driven by \(G\)-Brownian motion
• Random periodic solutions of SDEs driven by -stable processes: existence, uniqueness and numerical approximations
• Ergodic semi-implicit approximations to periodic measures of stochastic differential equations with locally Lipschitz drifts -- error analysis in Wasserstein distance

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