Qr-Based Methods for Computing Lyapunov Exponents of Stochastic Differential Equations
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@Article{IJNAMB-1-147,
author = {Felix Carbonell, Rolando Biscay and Juan Carlos Ji},
title = { Qr-Based Methods for Computing Lyapunov Exponents of Stochastic Differential Equations},
journal = {International Journal of Numerical Analysis Modeling Series B},
year = {2010},
volume = {1},
number = {2},
pages = {147--171},
abstract = {Lyapunov exponents (LEs) play a central role in the study of stability properties and asymptotic behavior of dynamical systems. However, explicit formulas for them can be derived for
very few systems, therefore numerical methods are required. Such is the case of random dynamical
systems described by stochastic differential equations (SDEs), for which there have been reported
just a few numerical methods. The first attempts were restricted to linear equations, which have
obvious limitations from the applications point of view. A more successful approach deals with
nonlinear equation defined over manifolds but is effective for the computation of only the top LE.
In this paper, two numerical methods for the efficient computation of all LEs of nonlinear SDEs
are introduced. They are, essentially, a generalization to the stochastic case of the well known
QR-based methods developed for ordinary differential equations. Specifically, a discrete and a
continuous QR method are derived by combining the basic ideas of the deterministic QR methods
with the classical rules of the differential calculus for the Stratanovich representation of SDEs.
Additionally, bounds for the approximation errors are given and the performance of the methods
is illustrated by means of numerical simulations.},
issn = {},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/ijnamb/330.html}
}
TY - JOUR
T1 - Qr-Based Methods for Computing Lyapunov Exponents of Stochastic Differential Equations
AU - Felix Carbonell, Rolando Biscay & Juan Carlos Ji
JO - International Journal of Numerical Analysis Modeling Series B
VL - 2
SP - 147
EP - 171
PY - 2010
DA - 2010/01
SN - 1
DO - http://doi.org/
UR - https://global-sci.org/intro/article_detail/ijnamb/330.html
KW - Lyapunov Exponents
KW - Stochastic Differential Equations
KW - QR-decomposition
KW - numerical methods
AB - Lyapunov exponents (LEs) play a central role in the study of stability properties and asymptotic behavior of dynamical systems. However, explicit formulas for them can be derived for
very few systems, therefore numerical methods are required. Such is the case of random dynamical
systems described by stochastic differential equations (SDEs), for which there have been reported
just a few numerical methods. The first attempts were restricted to linear equations, which have
obvious limitations from the applications point of view. A more successful approach deals with
nonlinear equation defined over manifolds but is effective for the computation of only the top LE.
In this paper, two numerical methods for the efficient computation of all LEs of nonlinear SDEs
are introduced. They are, essentially, a generalization to the stochastic case of the well known
QR-based methods developed for ordinary differential equations. Specifically, a discrete and a
continuous QR method are derived by combining the basic ideas of the deterministic QR methods
with the classical rules of the differential calculus for the Stratanovich representation of SDEs.
Additionally, bounds for the approximation errors are given and the performance of the methods
is illustrated by means of numerical simulations.
Felix Carbonell, Rolando Biscay and Juan Carlos Ji. (2010). Qr-Based Methods for Computing Lyapunov Exponents of Stochastic Differential Equations.
International Journal of Numerical Analysis Modeling Series B. 1 (2).
147-171.
doi:
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