Rotation numbers for linear stochastic differential equations

DOI10.1214/AOP/1022677256MaRDI QIDQ1807202zbMATH OpenOpenAlexFDO

Authors Ludwig Arnold, P. Imkeller

Publication date 9 November 1999

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1022677256

zbMATH Keywords

cocycleFurstenberg-Khasminskij formulaMalliavin calculusmultiplicative ergodic theoremrandom dynamical systemstochastic flowStratonovich stochastic differential equation

Mathematics Subject Classification ID

Characteristic and Lyapunov exponents of ordinary differential equations (34D08) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Let \(\Phi\) denote the flow generated by the linear Stratonovich stochastic differential equation in \(\mathbb{R}^d\), \[ dX_t= A_0X_t dt+ \sum^m_{i=1} A_iX_t\circ dW^i_t,\quad t\geq 0, \] where \(A_0,\dots, A_m\in \mathbb{R}^{d\times d}\) and \(W= (W^1,\dots, W^m)\) is an \(m\)-dimensional standard Brownian motion. Under a sufficient condition for simple Lyapunov spectrum, the authors prove that every 2-plane \(p\) in \(\mathbb{R}^d\) possesses a rotation number \(\rho(p)\) under \(\Phi\). The rotation number \(\rho(p)\) is a random variable taking its values in a finite set of canonical rotation numbers for which an explicit Furstenberg-Khasminkij type formula is established. The paper translates former results of \textit{L. Arnold} and \textit{L. San Martin} [J. Dyn. Differ. Equations 1, No. 1, 95-119 (1989; Zbl 0684.34059)] on the multiplicative ergodic theorem for rotation numbers from the context of a random differential equation to that of a stochastic differential equation. The difficulty one meets here is that quantities coming from the multiplicative ergodic theorem can anticipate the driving Brownian motion \(W\); this explains why the Malliavin calculus plays a crucial role in the authors' approach.

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Cites work

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• scientific article; zbMATH DE number 3375319 (Why is no real title available?)
• Order-preserving random dynamical systems: equilibria, attractors, applications
• Perfect cocycles through stochastic differential equations
• Rotation Numbers For Stochastic Dynamical Systems
• Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory
• The smoothness of laws of random flags and Oseledets spaces of linear stochastic differential equations

Cited in

(6)

• Matrix of rotation for stochastic dynamical systems
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