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

Jan Wehr, David P. Herzog, Jeremiah Birrell

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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Malliavin Calculus and Related Topics
• Hypoelliptic second order differential equations
• Stability of Markovian processes II: continuous-time processes and sampled chains
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• Stability of Markovian processes I: criteria for discrete-time Chains
• Stochastic Calculus
• Yet Another Look at Harris’ Ergodic Theorem for Markov Chains
• On degenerate elliptic-parabolic operators of second order and their associated diffusions
• Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
• Ergodic Properties of Markov Processes
• Stabilization and Destabilization by Noise in the Plane
• Ergodicity for the Navier‐Stokes equation with degenerate random forcing: Finite‐dimensional approximation
• Control systems on semi-simple Lie groups and their homogeneous spaces
• On unique ergodicity for degenerate diffusions
• The dynamics of control. With an appendix by Lars Grüne
• A stochastic Hopf bifurcation
• Polynomial control systems
• Heavy particles in incompressible flows: the large Stokes number asymptotics

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

This page was built for publication: The transition from ergodic to explosive behavior in a family of stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q424484)