The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise

DOI10.1142/S0219493714500105zbMATH Open1323.60114arXiv1204.5985MaRDI QIDQ2930243FDOQ2930243

Authors: D. J. W. Simpson, Rachel Kuske 

Publication date: 18 November 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: We derive the probability density function of the positive occupation time of one-dimensional Brownian motion with two-valued drift. Long time asymptotics of the density are also computed. We use the result to describe the transitional probability density function of a general N-dimensional system of stochastic differential equations representing stochastically perturbed sliding motion of a discontinuous, piecewise-smooth vector field on short time frames. A description of the density at larger times is obtained via an asymptotic expansion of the Fokker-Planck equation.

Full work available at URL: https://arxiv.org/abs/1204.5985

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zbMATH Keywords

occupation timeBrownian motionFeynman-Kac formulaFokker-Planck equationpiecewise-smooth systemstochastic differential equationsFilippov system

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fokker-Planck equations (35Q84)

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Cited In (8)

• Micro-slip as a loss of determinacy in dry-friction oscillators
• Stochastic perturbations of periodic orbits with sliding
• On resolving singularities of piecewise-smooth discontinuous vector fields via small perturbations
• The joint Laplace transforms for diffusion occupation times
• Non-Filippov dynamics arising from the smoothing of nonsmooth systems, and its robustness to noise
• Beyond the Bristol book: advances and perspectives in non-smooth dynamics and applications
• Threshold models for rainfall and convection: deterministic versus stochastic triggers
• Randomly perturbed switching dynamics of a DC/DC converter

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