Small noise expansion of moment lyapunov exponents for two-dimensional systems

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15)

Review text

The moment Lyapunov exponent \(g(p)\) of a random dynamical system is given by \(g(p)= \lim_{t\to 0} t^{-1}\log \mathbb{E}(|x(t; x_0)|^p)\). Small intensity \((\varepsilon\ll 1)\) perturbations of real-noise or white noise dynamical systems are studied, e.g., in the white noise case \[ dx= Ax dt+ \varepsilon \sum^m_{i=1} B_ix\circ dW_i(t), \] where \(x\in \mathbb{R}^d\), \(A,B_i\in \mathbb{R}^{d\times d}\), and \(W_i\) are independent Brownian motions. The aim of the paper is to approximate the moment Lyapunov exponent \(g_\varepsilon(p)\) for small \(\varepsilon\). In the unperturbed case \((\sim\varepsilon=1)\), the approximation \(g(p)= p\lambda+ p^2/2g(0)+ o(p^2)\), \(\lambda\) being the top Lyapunov exponent, is known, cf. the first author, \textit{W. Kliemann} and \textit{E. Oeljeklaus} [in: Lyapunov exponents. Lect. Notes Math. 1186, 85-125 (1986; Zbl 0588.60047)] and the first author, \textit{E. Oeljeklaus} and \textit{E. Pardoux} [in: ibid., 129-159 (1986; Zbl 0588.60049)]. The strategy of the present approach is to use this approximation also for \(g_\varepsilon(p)\) and to obtain expansions for \(\lambda^\varepsilon\sim \sum \varepsilon^j\lambda_j\) and \(g_\varepsilon(0)\equiv V^\varepsilon\sim \sum \varepsilon^jV_j\). The values of \(\lambda_j\), \(V_j\) are now determined in a recursive scheme involving only the infinitesimal generator of the system and (the polar coordinate versions of) \(A\), \(B_i\). The expansion is done up to order \(n\). The starting point for this recursion is the adjoint Fokker-Planck equation (i.e. the Kolmogorov backward equation) rather than the previously used forward equation. The real and white noise situations in dimension \(d=2\) are thoroughly discussed and concrete formulae (up to order \(o(\varepsilon^2)\) and/or \(o(p^2)\)) for \(\lambda^\varepsilon\) and \(g_\varepsilon(p)\) derived. Finally, two applications to stochastic bifurcation theory and structural and mechanical systems are considered.

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