Almost Sure Exponential Stability of Large-Scale Stochastic Nonlinear Systems

ABSTRACT

This contribution deals with the study of the almost sure exponential stability of large-scale stochastic systems with multiplicative noises. Under a Lipschitz-like assumption, it is proven that this stability is guaranteed if each “diagonal” subsystem is almost surely exponentially stable.     

Stochastic observability and applications

In this paper the problem of stochastic observability of alinear system affected by multiplicative white noise and Markovianjumping is investigated. The definition of stochastic observabilityadopted here extends to this framework the definition of thewell known uniform observability of a deterministic time-varyinglinear system. By several examples we show that the conceptof stochastic observability introduced in this paper is lessrestrictive than those introduced in other existing works andit does not always imply stochastic detectability as would beexpected. Finally we prove that this kind of stochastic observabilityallows us to derive a Barbasin–Krasovskii type resultfor exponential stability in mean square. This provides a sufficientcondition which guarantees that any semipositive solution ofcorresponding Riccati differential equation is a stabilizingsolution.     

Long time behavior of stochastic {MHD} equations perturbed by multiplicative noises

In this paper, 2-dimensional (2D) magnetohydrodynamics (MHD) equations perturbed by multiplicative noises in both the velocity and the magnetic field is studied. We first considered the stability, or the upper semi-continuity, for equivalent random dynamical systems (RDS), and then applying the abstract result we established the existence and the upper semi-continuity of tempered random attractors for the stochastic MHD equations. This result shows that the asymptotic behavior of MHD equations is stable under stochastic perturbations.     

Gradient type noises II - Systems of stochastic partial differential equations

The present paper is the second and main part of a study of partial differential equations under the influence of noisy perturbations. Existence and uniqueness of function solutions in the mild sense are obtained for a class of deterministic linear and semilinear parabolic boundary initial value problems. If the noise data are random, the results may be seen as a pathwise approach to SPDE's. For typical examples, such as spatially one-dimensional stochastic heat equations with additive or multiplicative perturbations of fractional Brownian type, we recover and extend known results. In addition, we propose to consider partial noises of low order.     

Large deviation for stochastic Cahn-Hilliard partial differential equations

In this paper, we prove a large deviation principle for a class of stochastic Cahn-Hilliard partial differential equations driven by space-time white noises.     

A moderate deviation principle for 2-D stochastic Navier–Stokes equations driven by multiplicative Lévy noises

In this paper, we establish a moderate deviation principle for two-dimensional stochastic Navier–Stokes equations driven by multiplicative Lévy noises. The weak convergence method introduced by Budhiraja, Dupuis and Ganguly in [3] plays a key role.     

Estimate on the Pathwise Lyapunov Exponent of Linear Stochastic Differential Equations with Constant Coefficients

In this article, we study the problem of estimating the pathwise Lyapunov exponent for linear stochastic systems with multiplicative noise and constant coefficients. We present a Lyapunov type matrix inequality that is closely related to this problem, and show under what conditions we can solve the matrix inequality. From this we can deduce an upper bound for the Lyapunov exponent. In the converse direction, it is shown that a necessary condition for the stochastic system to be pathwise asymptotically stable can be formulated in terms of controllability properties of the matrices involved.     

带加法白噪声的随机Boussinesq方程组的解的渐近行为

考虑速度和温度同时在加法白噪声扰动下的随机Boussinesq方程组的解的渐近特征.可以接轨道得到该随机方程组的唯一解,并可以验证该解生成随机动力系统,进而证明了该随机动力系统存在随机吸引子.     

Stochastic flocking dynamics of the inertial spin model with state-dependent noises

We study stochastic flocking dynamics of the inertial spin (IS) model with state-dependent noises. The IS model was considered to describe the collective behaviors of starling flocks moving with constant speed. Unlike mechanical flocking models extensively studied in the literature, this model incorporates an internal dynamic observable, namely spin (internal angular momentum) in addition to mechanical observables (position and velocity), and it describes how spin interacts with mechanical observables. In previous works, emergent dynamics of the deterministic counterparts for the IS model and its mean-field limit have been investigated under some specific setting in which network topology is multiplicatively separable. In this work, we present sufficient frameworks for stochastic flocking dynamics of the IS model, which state-dependent noises vanish at the equilibria of the deterministic IS model. The proposed frameworks are in terms of coupling strength, friction, and inertial coefficients, and our asymptotic convergence results for sample paths are given in both an almost sure and an expectation sense. We have also conducted several numerical experiments to verify our analytical results and to explore what can be studied further in future work     

Centre manifolds for stochastic evolution equations

Stochastic invariant manifolds are crucial in modelling the dynamical behaviour of dynamical systems under uncertainty. Under the assumption of exponential trichotomy, existence and smoothness of centre manifolds for a class of stochastic evolution equations with linearly multiplicative noise are proved. The exponential attraction and approximation to centre manifolds are also discussed.     

Large Deviations for 2D Primitive Equations Driven by Multiplicative Lévy Noises

Acta Mathematicae Applicatae Sinica, English Series - In this paper, we establish a large deviation principle for two-dimensional primitive equations driven by multiplicative Lévy noises. The...     

Stochastic stability and state shifts for a time-delayed cancer growth system subjected to correlated multiplicative and additive noises

In the present paper, we investigate the stationary probability distribution(SPD) and the mean treatment time of a time-delayed cancer growth system induced by cross-correlated intrinsic and extrinsic noises. Our main results show that the resonant-like phenomenon of the mean first-passage time (MFPT) appears in the tumor cell growth model due to the interaction of all kinds of noises and time delay. Due to the existence of the resonant-like peak value, by increasing the intensity of multiplicative noise and time delay, it is possible to restrain effectively the development of the cancer cells and enhance the stability of the system. During the process of controlling the diffusion of the tumor cells, it contributes to inhibiting the development of cancer by increasing the cross-correlated noise strength and weakening the additive noise intensity and time delay. Meanwhile, the proper multiplicative noise intensity is conducive to the process of inhibition. Conversely, in the process of exterminating cancer cells of a large density, it can exert positive effects on eliminating the tumor cells by increasing noises intensities and the value of time delay.     

On the existence of the stabilizing solution of generalized Riccati equations arising in zero-sum stochastic difference games: the time-varying case

In this paper, a large class of time-varying Riccati equations arising in stochastic dynamic games is considered. The problem of the existence and uniqueness of some globally defined solution, namely the bounded and stabilizing solution, is investigated. As an application of the obtained existence results, we address in a second step the problem of infinite-horizon zero-sum two players linear quadratic (LQ) dynamic game for a stochastic discrete-time dynamical system subject to both random switching of its coefficients and multiplicative noise. We show that in the solution of such an optimal control problem, a crucial role is played by the unique bounded and stabilizing solution of the considered class of generalized Riccati equations.     

Long time behavior for nonlocal stochastic Kuramoto–Sivashinsky equations

In this paper, we consider a class of nonlocal stochastic Kuramoto–Sivashinsky equations driven by additive noises. Under some appropriate conditions, we investigate long time behavior, i.e., stability and growth bounds of the solutions to the equation. Finally, several examples are given to illustrate our results.     

On the exponential behaviour of stochastic evolution equations for non-Newtonian fluids

We investigate the exponential long-time behaviour of the stochastic evolution equations describing the motion of a non-Newtonian fluids excited by multiplicative noise. Some results on the exponential convergence in mean square and with probability one of the weak probabilistic solution to the stationary solutions are given. We also prove an interesting result related to the stabilization of these stochastic evolution equations.     

Derivation of linear estimation algorithms from measurements affected by multiplicative and additive noises

This paper addresses the problem of estimating signals from observation models with multiplicative and additive noises. Assuming that the state-space model is unknown, the multiplicative noise is non-white and the signal and additive noise are correlated, recursive algorithms are derived for the least-squares linear filter and fixed-point smoother. The proposed algorithms are obtained using an innovation approach and taking into account the information provided by the covariance functions of the process involved.     

Irreducibility and strong Feller property for non-linear SPDEs

Under some non-degeneracy condition, the strong Feller property and irreducibility are studied for non-linear stochastic partial differential equations driven by multiplicative noise within the framework called ‘variational approach’. Our result for irreducibility can be applied to equations with locally monotone coefficients. In some special cases, we discuss the Hölder continuity of the associated Markov semigroups. The main results are applied to several examples such as stochastic Burgers equation, stochastic porous media equation and stochastic fast diffusion equation.     

Mean first-passage time of a bistable kinetic model driven by two different kinds of coloured noises

The transient properties of a bistable system are investigated when both the multiplicative noise and the coupling between additive and multiplicative noises are coloured with different correlation time τ₁ and τ₂. The mean first-passage time (MFPT) is obtained. The numerical computations show that the intensities of additive and multiplicative noises and the coupling strength λ affected the MFPT in the same way, while τ₁ and τ₂ play different roles in the MFPT. The increase of τ₁ can reduce the escape rate, while increase of τ₂ can enhance the escape rate.