Transition pathways for a class of high dimensional stochastic dynamical systems with Lévy noise

DOI10.1063/5.0050128zbMATH Open1481.37054arXiv2103.07165OpenAlexW3175653030MaRDI QIDQ5000885FDOQ5000885

Authors: Jianyu Hu, Jianyu Chen 

Publication date: 15 July 2021

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: This work is devoted to deriving the Onsager-Machlup action functional for a class of stochastic differential equations with (non-Gaussian) L'{e}vy process as well as Brownian motion in high dimensions. This is achieved by applying the Girsanov transformation for probability measures and then by a path representation. The Poincar'{e} lemma is essential to handle such path representation problem in high dimensions. We provide a sufficient condition on the vector field such that this path representation holds in high dimensions. Moreover, this Onsager-Machlup action functional may be considered as the integral of a Lagrangian. Finally, by a variational principle, we investigate the most probable transition pathways analytically and numerically.

Full work available at URL: https://arxiv.org/abs/2103.07165

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zbMATH Keywords

stochastic differential equationsGirsanov transformationOnsager-Machlup action functionalLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Stability theory for random and stochastic dynamical systems (37H30)

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Cited In (11)

• Transition path time distributions for Lévy flights
• Transition pathways for a class of high dimensional stochastic dynamical systems with Lévy noise
• Gaussian approximations for transition paths in Brownian dynamics
• A data-driven approach for discovering the most probable transition pathway for a stochastic carbon cycle system
• The maximum likelihood climate change for global warming under the influence of greenhouse effect and Lévy noise
• Finding transition pathways on manifolds
• Dynamical inference for transitions in stochastic systems with \(\alpha\)-stable Lévy noise
• Most probable transition paths in piecewise-smooth stochastic differential equations
• Data-driven method to learn the most probable transition pathway and stochastic differential equation
• Quantifying random collisions between particles inside and outside a circle
• Hyperbolic periodic orbits in nongradient systems and small-noise-induced metastable transitions

Uses Software

• GitHub

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