Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with \alpha-Stable Noise
From MaRDI portal
(Redirected from Publication:3459652)
Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
alpha-stable processesheavy-tailed processesLévy processesMarcus calculusmultiple time scalesnumerical simulationstochastic averagingstochastic differential equations
Averaging method for ordinary differential equations (34C29) Multiple scale methods for ordinary differential equations (34E13) Ordinary differential equations and systems with randomness (34F05) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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.
Recommendations
- An averaging principle for stochastic dynamical systems with Lévy noise
- Stochastic Averaging Near a Homoclinic Orbit with Multiplicative Noise
- Two-time-scale stochastic partial differential equations driven by \(\alpha\)-stable noises: averaging principles
- scientific article; zbMATH DE number 1639832
- Averaging for systems of stochastic equations with random disturbances
- Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
- Stochastic Systems with Averaging in the Scheme of Diffusion Approximation
- Stochastic averaging of strongly non-linear oscillators under bounded noise excitation
- Averaging stochastic systems under weakly dependent perturbations
- Strong convergence of principle of averaging for multiscale stochastic dynamical systems
Cites work
- A fractional diffusion equation to describe Lévy flights
- A Limit Theorem for Solutions of Differential Equations with Random Right-Hand Side
- A mathematical framework for stochastic climate models
- A priori tests of a stochastic mode reduction strategy
- An averaging principle for stochastic dynamical systems with Lévy noise
- Asymptotic theory of mixing stochastic ordinary differential equations
- Chaotic advection in a two-dimensional flow: Lévy flights and anomalous diffusion
- Correlated Lévy noise in linear dynamical systems
- Elimination of fast chaotic degrees of freedom: on the accuracy of the Born approximation
- Estimating the codifference function of linear time series models with infinite variance
- Extracting macroscopic dynamics: model problems and algorithms
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 3826915 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 49093 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- L2 Diffusion Approximation for Slow Motion in Averaging
- Lévy Processes and Stochastic Calculus
- Limit theorems for p-variations of solutions of SDEs driven by additive stable Lévy noise and model selection for Paleo-climatic data
- Marcus versus Stratonovich for systems with jump noise
- Modeling and analysis of stochastic differential equations driven by point processes
- Multiscale Methods
- Numerical calculation of stable densities and distribution functions
- On Stochastic Processes Defined by Differential Equations with a Small Parameter
- Reduction of deterministic coupled atmosphere–ocean models to stochastic ocean models: a numerical case study of the Lorenz–Maas system
- Simultaneous statistical inference. 2nd ed
- Stochastic differential equations. An introduction with applications.
- Stochastic modelling: replacing fast degrees of freedom by noise.
- Stochastic simulation: Algorithms and analysis
Cited in
(16)- Stochastic averaging for two-time-scale stochastic partial differential equations with 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
- The averaging method for doubly perturbed distribution dependent SDEs
- Averaging principles for nonautonomous two-time-scale stochastic reaction-diffusion equations with jump
- Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion
- scientific article; zbMATH DE number 1639832 (Why is no real title available?)
- Two-time-scales hyperbolic-parabolic equations driven by Poisson random measures: existence, uniqueness and averaging principles
- Reduced α-stable dynamics for multiple time scale systems forced with correlated additive and multiplicative Gaussian white noise
- Type II singular perturbation approximation for linear systems with Lévy noise
- Singular perturbation approximation for linear systems with Lévy noise
- Stochastic averaging principles for multi-valued stochastic differential equations driven by Poisson point processes
- Stochastic bifurcation for two-time-scale dynamical system with -stable Lévy noise
- Averaging principles for mixed fast-slow systems driven by fractional Brownian motion
- Averaging principle for the fast-slow McKean-Vlasov stochastic differential equations driven by mixed fractional Brownian motion
- A new type of singular perturbation approximation for stochastic bilinear systems
This page was built for publication: Stochastic Averaging of Dynamical Systems with Multiple Time Scales Forced with $\alpha$-Stable Noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3459652)
