Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with \alpha-Stable Noise

DOI10.1137/140990632zbMATH Open1333.34099arXiv1410.1837OpenAlexW2098364017MaRDI QIDQ3459652FDOQ3459652

Authors: William F. Thompson, Adam Hugh Monahan, Rachel Kuske 

Publication date: 11 January 2016

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Abstract: Stochastic averaging allows for the reduction of the dimension and complexity of stochastic dynamical systems with multiple time scales, replacing fast variables with statistically equivalent stochastic processes in order to analyze variables evolving on the slow time scale. These procedures have been studied extensively for systems driven by Gaussian noise, but very little attention has been given to the case of alpha-stable noise forcing which arises naturally from heavy-tailed stochastic perturbations. In this paper, we study nonlinear fast-slow stochastic dynamical systems in which the fast variables are driven by additive alpha-stable noise perturbations, and the slow variables depend linearly on the fast variables. Using a combination of perturbation methods and Fourier analysis, we derive stochastic averaging approximations for the statistical contributions of the fast variables to the slow variables. In the case that the diffusion term of the reduced model depends on the state of the slow variable, we show that this term is interpreted in terms of the Marcus calculus. For the case alpha = 2, which corresponds to Gaussian noise, the results are consistent with previous results for stochastic averaging in the Gaussian case. Although the main results are derived analytically for 1 < alpha < 2, we provide evidence of their validity for alpha < 1 with numerical examples. We numerically simulate both linear and nonlinear systems and the corresponding reduced models demonstrating good agreement for their stationary distributions and temporal dependence properties.

Full work available at URL: https://arxiv.org/abs/1410.1837

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zbMATH Keywords

multiple time scalesnumerical simulationstochastic differential equationsstochastic averagingalpha-stable processesLévy processesheavy-tailed processesMarcus calculus

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Averaging method for ordinary differential equations (34C29) Ordinary differential equations and systems with randomness (34F05) Stable stochastic processes (60G52) Numerical solutions to stochastic differential and integral equations (65C30) Multiple scale methods for ordinary differential equations (34E13)

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Cited In (15)

• Stochastic averaging for two-time-scale stochastic partial differential equations with fractional Brownian motion
• Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion
• Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
• Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
• Type II singular perturbation approximation for linear systems with Lévy noise
• Title not available (Why is that?)
• Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes
• Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles
• The averaging method for doubly perturbed distribution dependent SDEs
• Stochastic bifurcation for two-time-scale dynamical system with \(\alpha \)-stable Lévy noise
• Reduced α-stable dynamics for multiple time scale systems forced with correlated additive and multiplicative Gaussian white noise
• A new type of singular perturbation approximation for stochastic bilinear systems
• Averaging principles for nonautonomous two-time-scale stochastic reaction-diffusion equations with jump
• Averaging principles for mixed fast-slow systems driven by fractional Brownian motion
• Singular perturbation approximation for linear systems with Lévy noise

Uses Software

• Matlab
• STABLE

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