Averaging and mixing for stochastic perturbations of linear conservative systems

DOI10.4213/RM10081EarXiv2206.00605MaRDI QIDQ6184492FDOQ6184492

Authors: Guan Huang, Sergei Kuksin 

Publication date: 25 January 2024

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Abstract: We study stochastic perturbations of linear systems of the form ${\displaystyle }$ dv(t)+Av(t)dt = epsilon P(v(t))dt+sqrt{epsilon}B(v(t)) dW (t), vinR^{D}, (*) ${\displaystyle }$ where $A$ is a linear operator with non-zero imaginary spectrum. It is assumed that the vector field $P(v)$ and the matrix-function $B(v)$ are locally Lipschitz with at most a polynomial growth at infinity, that the equation is well posed and first few moments of norms of solutions $v(t)$ are bounded uniformly in $epsilon$. We use the Khasminski approach to stochastic averaging to show that as $epsilono0$, a solution $v(t)$, written in the interaction representation in terms of operator $A$, for $0letleConst,epsilo{n}^{-1}$ converges in distribution to a solution of an effective equation. The latter is obtained from (*) by means of certain averaging. Assuming that eq.(*) and/or the effective equation are mixing, we examine this convergence further.

Full work available at URL: https://arxiv.org/abs/2206.00605

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zbMATH Keywords

mixingaveraginguniform in time convergencestationary measureseffective equations

Mathematics Subject Classification ID

Linear ordinary differential equations and systems (34A30) Averaging method for ordinary differential equations (34C29) Perturbations of ordinary differential equations (34D10) Ordinary differential equations and systems with randomness (34F05) Perturbations, asymptotics of solutions to ordinary differential equations (34E10)

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Cited In (1)

• On averaging and mixing for stochastic PDEs

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