Moment instabilities in multidimensional
systems with noise |
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Authors: | Email author" target="_blank">D M?WilkinsonEmail author |
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Institution: | (1) HP Labs, 1501 Page Mill Rd, Palo Alto, CA 94304, USA and Physics Department, Stanford University, 382 Via Pueblo Mall, Stanford, CA 94305-4060, USA |
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Abstract: | We present a systematic study of moment evolution in
multidimensional stochastic difference systems, focusing on
characterizing systems whose low-order moments diverge in the
neighborhood of a stable fixed point. We consider systems with a
simple, dominant eigenvalue and stationary, white noise. When the
noise is small, we obtain general expressions for the approximate
asymptotic distribution and moment Lyapunov exponents. In the case
of larger noise, the second moment is calculated using a different
approach, which gives an exact result for some types of noise. We
analyze the dependence of the moments on the systems dimension,
relevant system properties, the form of the noise, and the
magnitude of the noise. We determine a critical value for noise
strength, as a function of the unperturbed systems convergence
rate, above which the second moment diverges and large
fluctuations are likely. Analytical results are validated by
numerical simulations. Finally, we present a short discussion of the extension
of our results to the continuous time limit. |
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Keywords: | |
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