A Generalized Lyapunov Construction for Proving Stabilization by Noise

Loading...
Thumbnail Image

Date

2012

Authors

Kolba, Tiffany Nicole

Advisors

Mattingly, Jonathan C

Journal Title

Journal ISSN

Volume Title

Repository Usage Stats

496
views
568
downloads

Abstract

Noise-induced stabilization occurs when an unstable deterministic system is stabilized by the addition of white noise. Proving that this phenomenon occurs for a particular system is often manifested through the construction of a global Lyapunov function. However, the procedure for constructing a Lyapunov function is often quite ad hoc, involving much time and tedium. In this thesis, a systematic algorithm for the construction of a global Lyapunov function for planar systems is presented. The general methodology is to construct a sequence of local Lyapunov functions in different regions of the plane, where the regions are delineated by different behaviors of the deterministic dynamics. A priming region, where the deterministic drift is directed inward, is first identified where there is an obvious choice for a local Lyapunov function. This priming Lyapunov function is then propagated to the other regions through a series of Poisson equations. The local Lyapunov functions are lastly patched together to form one smooth global Lyapunov function.

The algorithm is applied to a model problem which displays finite time blow up in the deterministic setting in order to prove that the system exhibits noise-induced stabilization. Moreover, the Lyapunov function constructed is in fact what we define to be a super Lyapunov function. We prove that the existence of a super Lyapunov function, along with a minorization condition, implies that the corresponding system converges to a unique invariant probability measure at an exponential rate that is independent of the initial condition.

Department

Description

Provenance

Citation

Citation

Kolba, Tiffany Nicole (2012). A Generalized Lyapunov Construction for Proving Stabilization by Noise. Dissertation, Duke University. Retrieved from https://hdl.handle.net/10161/5444.

Collections


Dukes student scholarship is made available to the public using a Creative Commons Attribution / Non-commercial / No derivative (CC-BY-NC-ND) license.