Growth rate of a stochastic growth process driven by an exponential Ornstein-Uhlenbeck process

DOI10.1063/5.0065342zbMATH Open1509.82051arXiv2106.11874WikidataQ115553568 ScholiaQ115553568MaRDI QIDQ6370973FDOQ6370973

Authors: Dan Pirjol

Publication date: 22 June 2021

Abstract: We study the stochastic growth process in discrete time

x_{i + 1} = (1 + m u_{i}) x_{i}

with growth rate

m u_{i} = h o e^{Z_{i} - f r a c 12 v a r (Z_{i})}

proportional to the exponential of an Ornstein-Uhlenbeck (O-U) process

d Z_{t} = - g a m m a Z_{t} d t + s i g m a d W_{t}

sampled on a grid of uniformly spaced times

{t_{i}}_{i = 0}^{n}

with time step

a u

. Using large deviation theory methods we compute the asymptotic growth rate (Lyapunov exponent)

l a m b d a = l i m_{n o i n f t y} f r a c 1 n l o g m a t h b b E [x_{n}]

. We show that this limit exists, under appropriate scaling of the O-U parameters, and can be expressed as the solution of a variational problem. The asymptotic growth rate is related to the thermodynamical pressure of a one-dimensional lattice gas with attractive exponential potentials. For

Z_{t}

a stationary O-U process the lattice gas coincides with a system considered previously by Kac and Helfand. We derive upper and lower bounds on

l a m b d a

. In the large mean-reversion limit

g a m m a n a u g g 1

the two bounds converge and the growth rate is given by a lattice version of the van der Waals equation of state. The predictions are tested against numerical simulations of the stochastic growth model.

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic analysis in statistical mechanics (82M60) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31) Stochastic analysis in thermodynamics and heat transfer (80M60)

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