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

DOI10.1016/J.SPA.2011.12.014MaRDI QIDQ424484zbMATH OpenOpenAlexFDO

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)

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)

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.

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Cited in

(13)

• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model
• Non-explosion by Stratonovich noise for ODEs
• Ornstein-Uhlenbeck pinball and the Poincaré inequality in a punctured domain
• The method of stochastic characteristics for linear second-order hypoelliptic equations
• Sensitivity of steady states in a degenerately damped stochastic Lorenz system
• 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
• Geometric ergodicity of a stochastic Hamiltonian system
• 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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