Improved linear response for stochastically driven systems

The recently developed short-time linear response algorithm, which predicts the average response of a nonlinear chaotic system with forcing and dissipation to small external perturbation, generally yields high precision of the response prediction, although suffers from numerical instability for long response times due to positive Lyapunov exponents. However, in the case of stochastically driven dynamics, one typically resorts to the classical fluctuation-dissipation formula, which has the drawback of explicitly requiring the probability density of the statistical state together with its derivative for computation, which might not be available with sufficient precision in the case of complex dynamics (usually a Gaussian approximation is used). Here, we adapt the short-time linear response formula for stochastically driven dynamics, and observe that, for short and moderate response times before numerical instability develops, it is generally superior to the classical formula with Gaussian approximation for both the additive and multiplicative stochastic forcing. Additionally, a suitable blending with classical formula for longer response times eliminates numerical instability and provides an improved response prediction even for long response times.     

On macroevolution,extinctions and critical phenomena

A new model of large-scale evolution is presented. It involves a simple ecosystem formed by N species related among them through some connections. Random extinction and diversification are involved and it is shown that power-laws in the extinction patterns are obtained, as well as I/f-noise dynamics. Some implications for both theoretical studies and paleobiological data are discussed.     

Dynamics of a driven magneto-martensitic ribbon

We investigate the dynamics of a sinusoidally driven ferromagnetic martensitic ribbon by adopting a recently introduced model that involves strain and magnetization as order parameters. Retaining only the dominant mode of excitation we reduce the coupled set of partial differential equations for strain and magnetization to a set of coupled ordinary nonlinear equations for the strain and magnetization amplitudes. The equation for the strain amplitude takes the form of parametrically driven oscillator. Finite strain amplitude can only be induced beyond a critical value of the strength of the magnetic field. Chaotic response is seen for a range of values of all the physically interesting parameters. The nature of the bifurcations depends on the choice of temperature relative to the ordering of the Curie and the martensite transformation temperatures. We have studied the nature of response as a function of the strength and frequency of the magnetic field, and magneto-elastic coupling. In general, the bifurcation diagrams with respect to these parameters do not follow any standard route. The rich dynamics exhibited by the model is further illustrated by the presence of mixed mode oscillations seen for low frequencies. The geometric structure of the mixed mode oscillations in the phase space has an unusual deep crater structure with an outer and inner cone on which the orbits circulate. We suggest that these features should be seen in experiments on driven magneto-martensitic ribbons.     

Existence and global attractiveness of a pseudo almost periodic solution in p-th mean sense for stochastic evolution equation driven by a fractional Brownian motion

In this work, we establish a new concept of pseudo almost periodic processes in p-th mean sense using the measure theory. We use the μ-ergodic process to define the spaces of μ-pseudo almost periodic process in the p-th mean sense. We establish many interesting results on the functional space of such processes like completeness and composition theorems. The main objective of this paper is to use those results and some stochastic analysis approaches to study the existence, the uniqueness and the global attractiveness for a μ-pseudo almost periodic mild solution to a class of abstract stochastic evolution equations driven by fractional Brownian motion. We provide an example to illustrate our results.     

A stochastic production planning model with a dynamic chance constraint

This paper deals with the optimal production planning for a single product over a finite horizon. The holding and production costs are assumed quadratic as in Holt, Modigliani, Muth and Simon (HMMS) [7] model. The cumulative demand is compound Poisson and a chance constraint is included to guarantee that the inventory level is positive with a probability of at least α at each time point. The resulting stochastic optimization problem is transformed into a deterministic optimal control problem with control variable and of the optimal solution is presented. The form of state variable inequality constraints. A discussion the optimal control (production rate) is obtained as follows: if there exists a time t₁ such that t₁?[O, T]where T is the end of the planning period, then (i) produce nothing until t₁ and (ii) produce at a rate equal to the expected demand plus a ‘correction factor’ between t₁ and T. If t₁ is found to be greater than T, then the optimal decision is to produce nothing and always meet the demand from the inventory.     

Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes

The purpose of this article is to investigate an averaging principle for multi-valued stochastic differential equations (MSDEs) driven by Poisson point processes. The solutions to MSDEs driven by Poisson point processes can be approximated by solutions to averaged MSDEs in the sense of both convergence in mean square and convergence in probability. Finally, an example is presented to illustrate the averaging principle.     

Dynamics of a two-frequency parametrically driven duffing oscillator

Summary We investigate the transition from two-frequency quasiperiodicity to chaotic behavior in a model for a quasiperiodically driven magnetoelastic ribbon. The model system is a two-frequency parametrically driven Duffing oscillator. As a driving parameter is increased, the route to chaos takes place in four distinct stages. The first stage is a torus-doubling bifurcation. The second stage is a transition from the doubled torus to a strange nonchaotic attractor. The third stage is a transition from the strange nonchaotic attractor to a geometrically similar chaotic attractor. The final stage is a hard transition to a much larger chaotic attractor. This latter transition arises as the result of acrisis, the characterization of which is one of our primary concerns. Numerical evidence is given to indicate that the crisis arises from the collision of the chaotic attractor with the stable manifold of a saddle torus. Intermittent bursting behavior is present after the crisis with the mean time between bursts scaling as a power law in the distance from the critical control parameter; τ ∼ (A-A_c)^-α. The critical exponent is computed numerically, yielding the value α=1.03±0.01. Theoretical justification is given for the computed critical exponent. Finally, a Melnikov analysis is performed, yielding an expression for transverse crossings of the stable and unstable manifolds of the crisis-initiating saddle torus.     

Averaging principle for equation driven by a stochastic measure

ABSTRACT

Equation with the symmetric integral with respect to stochastic measure is considered. For the integrator, we assume only σ-additivity in probability and continuity of the paths. It is proved that the averaging principle holds for this case, the rate of convergence to the solution of the averaged equation is estimated.     

Central limit theorem for stochastically continuous processes. Convergence to stable limit

LetX={X(t), t[0, 1]} be a stochastically continuous cadlag process. Assume that thek dimensional finite joint distributions ofX are in the domain of normal attraction of strictlyp-stable, 0<p<2, measure onR ^k for all 1k<. For functionsf, g such that _p (|X(x–X(u)|) >g(u–s) and _p (|X(s–X(t|)|X(t)–X(u|)>f(u–s), 0 s t u 1, conditions are found which imply that the distributions –(n ^–1/p (X ₁+···+X _n )),n1, converge weakly inD[0, 1] to the distribution of ap-stable process. HereX ₁,X ₂, ... are independent copies ofX and _p (Z)=sup _t<0 t ^pP{|Z|<t} denotes the weakpth moment of a random variable Z.     

Stochastic averaging with a flattened Hamiltonian: A Markov process on a stratified space (a whiskered sphere)

We consider a random perturbation of a 2-dimensional Hamiltonian ODE. Under an appropriate change of time, we identify a reduced model, which in some aspects is similar to a stochastically averaged model. The novelty of our problem is that the set of critical points of the Hamiltonian has an interior. Thus we can stochastically average outside this set of critical points, but inside we can make no model reduction. The result is a Markov process on a stratified space which looks like a whiskered sphere (i.e, a 2-dimensional sphere with a line attached). At the junction of the sphere and the line, glueing conditions identify the behavior of the Markov process.

     

Anticipated BSDEs driven by a single jump process

In this paper, we discuss a class of anticipated backward stochastic differential equations related to a finite continuous time single jump process. We prove the existence and uniqueness of the adapted solution. Moreover, a comparison theorem for the solutions is also established.     

Optimal Control and Filtering of the Reproduction Law of a Branching Process

A finite horizon control problem for the reproduction law of a branching process is studied. Some examples with complete information are tackled via the Hamilton–Jacobi–Bellman equation. A partially observable control of the cardinality of the population using the information given by the splitting process is formulated. Though there is correlation between the state and the observations and the observation process has unbounded intensity, a Girsanov-type change of probability measure can be set and the filtering equation for the unnormalized conditional distribution (the Zakai equation) can be derived. Strong uniqueness for the Zakai equation and, as a consequence, also for the Kushner–Stratonovich equation is obtained. A separated control problem is introduced, in which the dynamics are represented by the splitting process and the unnormalized conditional distribution. By the strong uniqueness for the Zakai equation, equivalence between the partially observable control problem and the separated one is proved.     

Dynamics of stochastic single-species models

A type of stochastic single-species model is proposed and studied. The sufficient conditions of the existence of a unique solution, the existence of its stationary distribution, and stochastic permanence are obtained. Besides, the threshold conditions for its strong stochastic persistence and extinction are found. Finally, some examples and numerical simulations are introduced to support our main results.     

Inventory control using a service constraint on the expected customer order waiting time

In this paper an analytical model is presented which permits the determination of the minimal inventory reorder point subject to (a) a maximum specified expected customer order waiting time or (b) a maximum specified probability of a customer order waiting more than a predetermined time span. The probability distribution of the customer order waiting time is determined for an arbitrary demand distribution (e.g. normal, gamma or exponential) and under stochastic replenishment lead time conditions by use of arguments from renewal theory. The results established can be used for the customer-oriented control of inventory policy as well as for the analysis of multi-echelon inventory systems.     

Dynamics of spiral waves driven by a rotating electric field

We study the behavior of spiral wave under the driving of a rotating electric field. The rotating electric field can drive a spiral wave to be synchronous, depending on four factors: its frequency and amplitude, chirality, and polarized modes. Rotation-synchronization characterized by the rotating direction is focused on. We discuss the behavior of synchronization, such as the dependence of angle-differences between the spiral tip and the electric field on ratio of frequency, the influences of different polarized modes of the electric field, the radius of synchronous spiral wave, and so on. A circularly polarized electric fields (CPEF) can suppress meandering spiral to rigid one and prevent breakup of spiral in medium with low excitability. The phase diagram describing the controllable region in excitability-period plane is presented. The influences of polarized modes of electric field on minimum excitability of medium are also studied.     

The inspection paradox in renewal-reward processes

To explore the inspection paradox in the context of a renewal-reward process, we obtain asymptotic expressions for the mean and distribution function of the reward associated with the spread (total life) of the process. These results also yield a simplified demonstration of the elementary renewal-reward theorem.     

Variational solutions for partial differential equations driven by a fractional noise

In this article we develop an existence and uniqueness theory of variational solutions for a class of nonautonomous stochastic partial differential equations of parabolic type defined on a bounded open subset D⊂R^d and driven by an infinite-dimensional multiplicative fractional noise. We introduce two notions of such solutions for them and prove their existence and their indistinguishability by assuming that the noise is derived from an L²(D)-valued fractional Wiener process W^H with Hurst parameter , whose covariance operator satisfies appropriate integrability conditions, and where γ∈(0,1] denotes the Hölder exponent of the derivative of the nonlinearity in the stochastic term of the equations. We also prove the uniqueness of solutions when the stochastic term is an affine function of the unknown random field. Our existence and uniqueness proofs rest upon the construction and the convergence of a suitable sequence of Faedo-Galerkin approximations, while our proof of indistinguishability is based on certain density arguments as well as on new continuity properties of the stochastic integral we define with respect to W^H.     

On a class of stochastic flows driven by quantum Brownian motion

A class of quantum stochastic flows on^*-algebras is introduced which includes both classical flows on Riemannian manifolds and flows induced by Lie group actions onC ^*-algebras. Criteria are established to determine those flows which are unitarily equivalent to ones driven by classical Brownian motion. It is shown that taking complex combinations of the driving coefficients of such flows gives rise to flows which are not of Evans-Hudson type (i.e., all driving coefficients do not preserve the relevant algebra).     

Aggregation of Markov processes: Axiomatization

We give two simple axioms that characterize a simple functional form for aggregation of column stochastic matrices (i.e., Markov processes). Several additional observations are made about such aggregation, including the special case in which the aggregated process is Markovian relative to the original one.     

Multiplicative processes on the set of shifted primes

The asymptotical behavior of the distributions of stochastic processes defined by multiplicative functions in the set of shifted primes is considered. The first author was supported by Konferenz der deutschen Akademien der Wissenschaften. Vilnius University, Naugarduko 24, 2006 Vilnius, Lithuania. Paderborn University, Warburger 100, 33098 Paderborn, Germany. Published in Lietuvos Matematikos Rinkinys, Vol. 39, No. 4, pp. 441–460, October–December, 1999.