The transition from ergodic to explosive behavior in a family of stochastic differential equations

DOI10.1016/J.SPA.2011.12.014zbMATH Open1247.60081arXiv1105.2378OpenAlexW2079532866MaRDI QIDQ424484FDOQ424484

Authors: Jeremiah Birrell, David P. Herzog, Jan Wehr 

Publication date: 1 June 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study a family of quadratic stochastic differential equations in the plane, motivated by applications to turbulent transport of heavy particles. Using Lyapunov functions, we find a critical parameter value $alph{a}_1=alph{a}_2$ such that when $alph{a}_2>alph{a}_1$ the system is ergodic and when $alph{a}_2<alph{a}_1$ solutions are not defined for all times. H"{o}rmander's hypoellipticity theorem and geometric control theory are also utilized.

Full work available at URL: https://arxiv.org/abs/1105.2378

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zbMATH Keywords

stabilityLyapunov functionsstochastic differential equationsinstabilityunique invariant distribution

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

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Cited In (12)

• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Non-explosion by Stratonovich noise for ODEs
• Sensitivity of steady states in a degenerately damped stochastic Lorenz system
• The method of stochastic characteristics for linear second-order hypoelliptic equations
• A functional law of the iterated logarithm for weakly hypoelliptic diffusions at time zero
• Blow-up of a stable stochastic differential equation
• Stability and invariant measure asymptotics in a model for heavy particles in rough turbulent flows
• Bifurcations in Asymptotically Autonomous Hamiltonian Systems Subject to Multiplicative Noise
• Ornstein-Uhlenbeck Pinball and the Poincaré Inequality in a Punctured Domain
• Transience and non-explosion of certain stochastic Newtonian systems
• Long-Term Behaviour of Asymptotically Autonomous Hamiltonian Systems with Multiplicative Noise
• Scaling and saturation in infinite-dimensional control problems with applications to stochastic partial differential equations

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