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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) 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

a l p h a_{1} = a l p h a_{2}

such that when

a l p h a_{2} > a l p h a_{1}

the system is ergodic and when

a l p h a_{2} < a l p h a_{1}

solutions are not defined for all times. H"{o}rmander's hypoellipticity theorem and geometric control theory are also utilized.

Review text

A specific parametrized family of two dimensional stochastic differential equations is considered. Regions of parameter space are identified where stability and existence of unique invariant probability distribution is assured on one hand, and where the process is unstable for some initial conditions with a strictly positive probability on the other. The proof in the former case uses construction of multiple Lyapunov functions constructed on a cover of the state space and for the degenerate case, the hypoellipticity property.

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