Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Abstract: We consider a nonlinear differential equation under the combined influence of small state-dependent Brownian perturbations of size

v a r e p s i l o n

, and fast periodic sampling with period

d e l t a

;

0 < v a r e p s i l o n, d e l t a l l 1

. Thus, state samples (measurements) are taken every

d e l t a

time units, and the instantaneous rate of change of the state depends on its current value as well as its most recent sample. We show that the resulting stochastic process indexed by

v a r e p s i l o n, d e l t a

, can be approximated, as

v a r e p s i l o n, d e l t a s e a r r o w 0

, by an ordinary differential equation (ODE) with vector field obtained by replacing the most recent sample by the current value of the state. We next analyze the fluctuations of the stochastic process about the limiting ODE. Our main result asserts that, for the case when

d e l t a s e a r r o w 0

at the same rate as, or faster than,

v a r e p s i l o n s e a r r o w 0

, the rescaled fluctuations can be approximated in a suitable strong (pathwise) sense by a limiting stochastic differential equation (SDE). This SDE varies depending on the exact rates at which

v a r e p s i l o n, d e l t a s e a r r o w 0

. The key contribution here involves computing the effective drift term capturing the interplay between noise and sampling in the limiting SDE. The results essentially provide a first-order perturbation expansion, together with error estimates, for the stochastic process of interest. Connections with the performance analysis of feedback control systems with sampling are discussed and illustrated numerically through a simple example.

Review text

The dynamics of a nonlinear differential equation with fast periodic sampling under the influence of small white-noise perturbations is analyzed in this paper. For the resulting stochastic process indexed by two small parameters, the authors compute the zeroth and first order terms for a perturbation expansion in terms of the small parameters, along with rigorous estimates on the ensuing error. The zeroth order term, describing the mean dynamics, is given by a limiting ordinary differential equation (ODE), while the first order term, capturing fluctuations about the mean, is given by a linear non-homogeneous stochastic differential equation (SDE). This SDE is found to vary depending on the relative rates at which the two small parameters approach zero. An effective drift term in the limiting SDE for the fluctuations has been identified, capturing the combined effect of small noise and fast sampling. Finally, the theoretical results have been illustrated numerically in the context of a control problem. Several avenues for future exploration are suggested by the problems studied here. Explicit solution representations for the state process and the possibility of linking the analysis to some limit theorems for products of random matrices were utilized in these calculations. It would be of interest to investigate whether these results can be extended to encompass the full continuous-time state process for both linear and nonlinear systems.

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