Random dynamical system
||This article provides insufficient context for those unfamiliar with the subject. (August 2011)|
In the mathematical field of dynamical systems, a random dynamical system is a dynamical system in which the equations of motion have an element of randomness to them. Random dynamical systems are characterized by a state space S, a set of maps T from S into itself that that can be thought of as the set of all possible equations of motion, and a probability distribution Q on the set T that represents the random choice of map. Motion in a random dynamical system can be informally thought of as a state evolving according to a succession of maps randomly chosen according to the distribution Q.
An example of a random dynamical system is a stochastic differential equation; in this case the distribution Q is typically determined by noise terms. It consists of a base flow, the "noise", and a cocycle dynamical system on the "physical" phase space.
Motivation: solutions to a stochastic differential equation
Let be a -dimensional vector field, and let . Suppose that the solution to the stochastic differential equation
exists for all positive time and some (small) interval of negative time dependent upon , where denotes a -dimensional Wiener process (Brownian motion). Implicitly, this statement uses the classical Wiener probability space
In this context, the Wiener process is the coordinate process.
Now define a flow map or (solution operator) by
(whenever the right hand side is well-defined). Then (or, more precisely, the pair ) is a (local, left-sided) random dynamical system. The process of generating a "flow" from the solution to a stochastic differential equation leads us to study suitably defined "flows" on their own. These "flows" are random dynamical systems.
Formally, a random dynamical system consists of a base flow, the "noise", and a cocycle dynamical system on the "physical" phase space. In detail.
- for all and ;
Suppose also that
- , the identity function on ;
- for all , .
That is, , , forms a group of measure-preserving transformation of the noise . For one-sided random dynamical systems, one would consider only positive indices ; for discrete-time random dynamical systems, one would consider only integer-valued ; in these cases, the maps would only form a commutative monoid instead of a group.
- for all , , the identity function on ;
- for (almost) all , is continuous in both and ;
- satisfies the (crude) cocycle property: for almost all ,
In the case of random dynamical systems driven by a Wiener process , the base flow would be given by
This can be read as saying that "starts the noise at time instead of time 0". Thus, the cocycle property can be read as saying that evolving the initial condition with some noise for seconds and then through seconds with the same noise (as started from the seconds mark) gives the same result as evolving through seconds with that same noise.
Attractors for random dynamical systems
The notion of an attractor for a random dynamical system is not as straightforward to define as in the deterministic case. For technical reasons, it is necessary to "rewind time", as in the definition of a pullback attractor. Moreover, the attractor is dependent upon the realisation of the noise.
- Crauel, H., Debussche, A., & Flandoli, F. (1997) Random attractors. Journal of Dynamics and Differential Equations. 9(2) 307—341.