Stochastic embedding of dynamical systems

DOI10.1063/1.2736519zbMATH Open1144.81333arXivmath/0509713OpenAlexW1993289879MaRDI QIDQ3529804FDOQ3529804

Authors: Jacky Cresson, Sébastien Darses 

Publication date: 14 October 2008

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Abstract: Most physical systems are modelled by an ordinary or a partial differential equation, like the n-body problem in celestial mechanics. In some cases, for example when studying the long term behaviour of the solar system or for complex systems, there exist elements which can influence the dynamics of the system which are not well modelled or even known. One way to take these problems into account consists of looking at the dynamics of the system on a larger class of objects, that are eventually stochastic. In this paper, we develop a theory for the stochastic embedding of ordinary differential equations. We apply this method to Lagrangian systems. In this particular case, we extend many results of classical mechanics namely, the least action principle, the Euler-Lagrange equations, and Noether's theorem. We also obtain a Hamiltonian formulation for our stochastic Lagrangian systems. Many applications are discussed at the end of the paper.

Full work available at URL: https://arxiv.org/abs/math/0509713

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Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic mechanics (including stochastic electrodynamics) (81P20) Random dynamical systems (37H99)

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Cited In (39)

• A stochastic Burgers-Zeldovich model for the formation of planetary ring systems and the satellites of Jupiter and Saturn
• The Sharma-Parthasarathy stochastic two-body problem
• Stochastic equations and inclusions with mean derivatives and their applications
• On Solutions of Stochastic Equations with Current and Osmotic Velocities
• Stochastic models in biology and the invariance problem
• Stochastic Lagrangians for noisy dynamics
• Inverse problem of fractional calculus of variations for partial differential equations
• Average preserving variation processes in view of optimization
• Embedding information onto a dynamical system
• Takens embedding theorems for forced and stochastic systems
• Classicalization of quantum variables and quantum-classical hybrids
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• Generalized fractional calculus with applications to the calculus of variations
• On the completeness of stochastic flows generated by equations with current velocities
• On existence of solutions to stochastic differential equations with current velocities
• On solvability of stochastic differential equations with osmotic velocities
• Geometric arbitrage theory and market dynamics
• On Existence of Solutions to Stochastic Differential Inclusions with Current Velocities II
• Variational principle for stochastic mechanics based on information measures
• Selection of a stochastic Landau-Lifshitz equation and the stochastic persistence problem
• Stochastic embedding of Lagrangian systems.
• The stochastisation hypothesis and the spacing of planetary systems
• Generalization of uncertainty relation for quantum and stochastic systems
• A non-differentiable Noether's theorem
• Intrinsic modeling of stochastic dynamical systems using empirical geometry
• Time scale differential, integral, and variational embeddings of Lagrangian systems
• Multiscale functions, scale dynamics, and applications to partial differential equations
• Non-differentiable embedding of Lagrangian systems and partial differential equations
• On the solvability of nonautonomous stochastic differential equations with current velocities
• Projective embedding of dynamical systems: uniform mean field equations
• Hamiltonian systems with Lévy noise: symplecticity, Hamilton's principle and averaging principle
• Symmetry of stochastic non-variational differential equations

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