2012 ncts workshop on dynamical systems
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Brownian particle Diffusion exit WentzellFreidlin theory Kramers law and beyond Cycling 2012 NCTS Workshop on Dynamical Systems National Center for Theoretical Sciences, National Tsing-Hua University Hsinchu, Taiwan, 1619 May 2012 The


  1. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling 2012 NCTS Workshop on Dynamical Systems National Center for Theoretical Sciences, National Tsing-Hua University Hsinchu, Taiwan, 16–19 May 2012 The Effect of Gaussian White Noise on Dynamical Systems: Diffusion Exit from a Domain Barbara Gentz University of Bielefeld, Germany Barbara Gentz gentz@math.uni-bielefeld.de http://www.math.uni-bielefeld.de/ ˜ gentz

  2. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Introduction: A Brownian particle in a potential Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 1 / 30

  3. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Small random perturbations Gradient dynamics (ODE) x det = −∇ V ( x det ˙ ) t t Random perturbation by Gaussian white noise (SDE) √ z d x ε t ( ω ) = −∇ V ( x ε t ( ω )) d t + 2 ε d B t ( ω ) x Equivalent notation y √ x ε t ( ω ) = −∇ V ( x ε ˙ t ( ω )) + 2 εξ t ( ω ) with ⊲ V : R d → R : confining potential, growth condition at infinity ⊲ { B t ( ω ) } t ≥ 0 : d -dimensional Brownian motion ⊲ { ξ t ( ω ) } t ≥ 0 : Gaussian white noise, � ξ t � = 0, � ξ t ξ s � = δ ( t − s ) Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 2 / 30

  4. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Fokker–Planck equation Stochastic differential equation (SDE) of gradient type √ d x ε t ( ω ) = −∇ V ( x ε t ( ω )) d t + 2 ε d B t ( ω ) Kolmogorov’s forward or Fokker–Planck equation ⊲ Solution { x ε t ( ω ) } t is a (time-homogenous) Markov process ⊲ Densities ( x , t ) �→ p ( x , t | y , s ) of the transition probabilities satisfy � � ∂ ∂ t p = L ε p = ∇ · ∇ V ( x ) p + ε ∆ p ⊲ If { x ε t ( ω ) } t admits an invariant density p 0 , then L ε p 0 = 0 ⊲ Easy to verify (for gradient systems) � p 0 ( x ) = 1 R d e − V ( x ) /ε d x e − V ( x ) /ε with Z ε = Z ε Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 3 / 30

  5. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Equilibrium distribution ⊲ Invariant measure or equilibrium distribution µ ε ( dx ) = 1 e − V ( x ) /ε dx Z ε ⊲ System is reversible w.r.t. µ ε (detailed balance) p ( y , t | x , 0) e − V ( x ) /ε = p ( x , t | y , 0) e − V ( y ) /ε ⊲ For small ε , invariant measure µ ε concentrates in the minima of V ε = 1 / 4 2.0 ε = 1 / 10 2.0 ε = 1 / 100 2.0 1.5 1.5 1.5 1.0 1.0 1.0 0.5 0.5 0.5 � 3 � 2 � 1 0 1 2 3 � 3 � 2 � 1 0 1 2 3 � 3 � 2 � 1 0 1 2 3 Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 4 / 30

  6. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Timescales Let V double-well potential as before, start in x ε 0 = x ⋆ − = left-hand well How long does it take until x ε t is well described by its invariant distribution? ⊲ For ε small, paths will stay in the left-hand well for a long time ⊲ x ε t first approaches a Gaussian distribution, centered in x ⋆ − , 1 1 T relax = − ) = ( d =1) V ′′ ( x ⋆ curvature at the bottom of the well ⊲ With overwhelming probability, paths will remain inside left-hand well, for all times significantly shorter than Kramers’ time T Kramers = e H /ε , where H = V ( z ⋆ ) − V ( x ⋆ − ) = barrier height ⊲ Only for t ≫ T Kramers , the distribution of x ε t approaches p 0 The dynamics is thus very different on the different timescales Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 5 / 30

  7. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Diffusion exit from a domain Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 6 / 30

  8. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling The more general picture: Diffusion exit from a domain √ d x ε t = b ( x ε 2 ε g ( x ε x 0 ∈ R d t ) d t + t ) d W t , General case: b not necessarily derived from a potential Consider bounded domain D ∋ x 0 (with smooth boundary) ⊲ First-exit time: τ = τ ε D = inf { t > 0: x ε t �∈ D} ⊲ First-exit location: x ε τ ∈ ∂ D Questions ⊲ Does x ε t leave D ? ⊲ If so: When and where? ⊲ Expected time of first exit? ⊲ Concentration of first-exit time and location? ⊲ Distribution of τ and x ε τ ? Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 7 / 30

  9. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling First case: Deterministic dynamics leaves D If x t leaves D in finite time, so will x ε t . Show that deviation x ε t − x t is small: Assume b Lipschitz continuous and g = Id � t √ � x ε � x ε t − x t � ≤ L s − x s � d s + 2 ε � W t � 0 By Gronwall’s lemma √ � x ε � W s � e Lt sup s − x s � ≤ 2 ε sup 0 ≤ s ≤ t 0 ≤ s ≤ t ⊲ d = 1: Use Andr´ e’s reflection principle � � � � � � ≤ 2 e − r 2 / 2 t sup | W s | ≥ r ≤ 2 P sup W s ≥ r ≤ 4 P W t ≥ r P 0 ≤ s ≤ t 0 ≤ s ≤ t ⊲ d > 1: Reduce to d = 1 using independence ⊲ General case: Use large-deviation principle Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 8 / 30

  10. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Second case: Deterministic dynamics does not leave D Assume D positively invariant under deterministic flow: Study noise-induced exit √ d x ε t = b ( x ε 2 ε g ( x ε x 0 ∈ R d t ) d t + t ) d W t , ⊲ b , g Lipschitz continuous, bounded-growth condition ⊲ a ( x ) = g ( x ) g ( x ) T ≥ 1 M Id (uniform ellipticity) Infinitesimal generator A ε of diffusion x ε t d � ∂ 2 A ε v ( t , x ) = ε a ij ( x ) v ( t , x ) + � b ( x ) , ∇ v ( t , x ) � ∂ x i ∂ x j i , j =1 Compare to Fokker–Planck operator: L ε is the adjoint operator of A ε Approaches to the exit problem ⊲ Mean first-exit times and locations via PDEs ⊲ Exponential asymptotics via Wentzell–Freidlin theory Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 9 / 30

  11. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Diffusion exit from a domain: Relation to PDEs Theorem � ⊲ Poisson problem: A ε u = − 1 in D E x { τ ε D } is the unique solution of u = 0 on ∂ D � ⊲ Dirichlet problem: A ε w = 0 in D E x { f ( x ε D ) } is the unique solution of τ ε on ∂ D w = f (for f : ∂ D → R continuous) Remarks ⊲ Expected first-exit times and distribution of first-exit locations obtained exactly from PDEs Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 10 / 30

  12. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Diffusion exit from a domain: Relation to PDEs Theorem � ⊲ Poisson problem: A ε u = − 1 in D E x { τ ε D } is the unique solution of u = 0 on ∂ D � ⊲ Dirichlet problem: A ε w = 0 in D E x { f ( x ε D ) } is the unique solution of τ ε on ∂ D w = f (for f : ∂ D → R continuous) Remarks ⊲ Expected first-exit times and distribution of first-exit locations obtained exactly from PDEs ⊲ In principle . . . Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 10 / 30

  13. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling Diffusion exit from a domain: Relation to PDEs Theorem � ⊲ Poisson problem: A ε u = − 1 in D E x { τ ε D } is the unique solution of u = 0 on ∂ D � ⊲ Dirichlet problem: A ε w = 0 in D E x { f ( x ε D ) } is the unique solution of τ ε on ∂ D w = f (for f : ∂ D → R continuous) Remarks ⊲ Expected first-exit times and distribution of first-exit locations obtained exactly from PDEs ⊲ In principle . . . ⊲ Smoothness assumption for ∂ D can be relaxed to “exterior-ball condition” Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 10 / 30

  14. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling An example in d = 1 Motion of a Brownian particle in a quadratic single-well potential √ d x ε t = b ( x ε t ) d t + 2 ε d W t where b ( x ) = −∇ V ( x ), V ( x ) = ax 2 / 2 with a > 0 ⊲ Drift pushes particle towards bottom ⊲ Probability of x ε t leaving D = ( α 1 , α 2 ) ∋ 0 through α 1 ? Solve the (one-dimensional) Dirichlet problem � � A ε w = 0 in D 1 for x = α 1 with f ( x ) = = f on ∂ D 0 for x = α 2 w � α 2 � � α 2 � � e V ( y ) /ε d y e V ( y ) /ε d y x ε = E x f ( x ε P x D = α 1 D ) = w ( x ) = τ ε τ ε x α 1 Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 11 / 30

  15. Brownian particle Diffusion exit Wentzell–Freidlin theory Kramers law and beyond Cycling An example in d = 1: Small noise limit? � α 2 � � α 2 � � e V ( y ) /ε d y e V ( y ) /ε d y x ε D = α 1 = P x τ ε α 1 x What happens in the small-noise limit? ε → 0 P x { x ε lim D = α 1 } = 1 if V ( α 1 ) < V ( α 2 ) τ ε ε → 0 P x { x ε lim D = α 1 } = 0 if V ( α 2 ) < V ( α 1 ) τ ε �� � 1 1 1 ε → 0 P x { x ε lim D = α 1 } = | V ′ ( α 1 ) | + if V ( α 1 ) = V ( α 2 ) τ ε | V ′ ( α 1 ) | | V ′ ( α 2 ) | Diffusion Exit from a Domain Barbara Gentz NCTS, 16 May 2012 12 / 30

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