Sensitivity to switching rates in stochastically switched ODEs

DOI10.4310/CMS.2014.V12.N7.A9zbMATH Open1329.60295arXiv1310.2525OpenAlexW2031030066MaRDI QIDQ484739FDOQ484739

Authors: Sean D. Lawley, M. C. Reed, Jonathan C. Mattingly 

Publication date: 7 January 2015

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Abstract: We consider a stochastic process driven by a linear ordinary differential equation whose right-hand side switches at exponential times between a collection of different matrices. We construct planar examples that switch between two matrices where the individual matrices and the average of the two matrices are all Hurwitz (all eigenvalues have strictly negative real part), but nonetheless the process goes to infinity at large time for certain values of the switching rate. We further construct examples in higher dimensions where again the two individual matrices and their averages are all Hurwitz, but the process has arbitrarily many transitions between going to zero and going to infinity at large time as the switching rate varies. In order to construct these examples, we first prove in general that if each of the individual matrices is Hurwitz, then the process goes to zero at large time for sufficiently slow switching rate and if the average matrix is Hurwitz, then the process goes to zero at large time for sufficiently fast switching rate. We also give simple conditions that ensure the process goes to zero at large time for all switching rates.

Full work available at URL: https://arxiv.org/abs/1310.2525

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zbMATH Keywords

ergodicitypiecewise deterministic Markov processlinear differential equationshybrid switching systemplanar switched systemsswitched dynamical systems

Mathematics Subject Classification ID

Global stability of solutions to ordinary differential equations (34D23) Ordinary differential equations and systems with randomness (34F05) Random dynamical systems aspects of multiplicative ergodic theory, Lyapunov exponents (37H15) Stochastic stability in control theory (93E15)

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