Stability of equilibria of randomly perturbed maps

DOI10.3934/DCDSB.2017017MaRDI QIDQ523998zbMATH OpenOpenAlexFDO

Authors Georgi S. Medvedev, Paweł Hitczenko

Publication date 25 April 2017

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.05979

noise stabilization stochastic difference equation stochastic stability unstable equilibrium

Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Stability theory for difference equations (39A30) Stochastic difference equations (39A50) Stochastic stability in control theory (93E15)

Abstract: We derive a sufficient condition for stability in probability of an equilibrium of a randomly perturbed map in

{m a t h b b R}^{d}

. This condition can be used to stabilize weakly unstable equilibria by random forcing. Analytical results on stabilization are illustrated with numerical examples of randomly perturbed linear and nonlinear maps in one- and two-dimensional spaces.

Review text

The idea of stabilizing unstable equilibria of dynamical systems by noise originated from the engineering work of \textit{R. Khasminskii} on stochastic stability [Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson. 2nd completely revised and enlarged ed. Berlin: Springer (2012; Zbl 1241.60002)]. In this paper, the authors investigate the following difference equation in \(\mathbb{R}^{d}\), \[ x_{n+1}=(A+B_{n})x_{n}+q(x_{n}), \qquad n\in \mathbb{N},\tag{1} \] where \(q(x)=O(|x^{2}|)\) is a smooth function, \(A\) is a \(d\times d\) deterministic matrix and \(B_{n}\) are independent copies of a random matrix \(B\). In the second section of the paper they consider an initial value problem for the following difference equation \[ x_{n}=M_{n}x_{n-1}q(x_{n-1}), \qquad n\in \mathbb{N}, \tag{2} \] where \(M_{n}\) are independent copies of a \(d\times d\) random matrix \(M\) with \(\mathbb{E}(\left\| M\right\|)<\infty\), \(q: \mathbb{R}^{d}\to \mathbb{R}^{d}\) is a continuous \[ \left| q(x)\right|\leq C_{1}\left\|x\right\|^{2}, \qquad x\in \mathbb{R}^{d}, \, \left\| x\right\| \leq \delta \] for some \(C_{1}, \delta>0\). Further, the initial condition \(x_{0}\) is assumed to the deterministic. In this setting they prove the following (Theorem 2.2). {Theorem.} Suppose that \[ 0< \lambda =-\mathbb{E} \left(\log \left(\left\| M \right\| \right)\right)<\infty. \] Then the equilibrium at the origin of \((2)\) is stable in probability. For arbitrary \(n\in \mathbb{N}\), let \(B_{n}(\epsilon)\) be independent copies of random \(d\times d\) matrices of \(B(\epsilon)\). In the third part of the paper, the authors' aim is to describe a class of mean-zero stabilizing matrices \(B(\epsilon)\) such that the origin becomes a stable equilibrium (with high probability) of the randomly perturbed map \[ x_{n+1}= \left(A(\epsilon)+B_{n}(\epsilon)\right)x_{n}+q(x_{n}), \qquad n\in \mathbb{N}\cup \left\{ 0\right\}.\tag{3} \] The construction of stabilizing perturbation for (3) relies on a class of random matrices (see Lemma 3.2 and Theorem 3.3). Finally, the last section of the paper contains two numerical examples, that illustrate the analysis of the stabilization.

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