We present an investigation of stochastic evolution in which a family of evolution equations in $L^1$ are driven by continuous-time Markov processes. These are examples of so-called piecewise deterministic Markov processes (PDMP's) on the space of integrable functions. We derive equations for the first moment and correlations (of any order) of such processes. We also introduce the mean of the process at large time and describe its behaviour. The results are illustrated by some simple, yet generic, biological examples characterized by different one-parameter types of bifurcations.
Driven by diverse applications, several recent models impose randomly switching boundary conditions on either a PDE or SDE. The purpose of this paper is to provide tools for calculating statistics of these models and to establish a connection between these two perspectives on diffusion in a random environment. Under general conditions, we prove that the moments of a solution to a randomly switching PDE satisfy a hierarchy of BVPs with lower order moments coupling to higher order moments at the boundaries. Further, we prove that joint exit statistics for a set of particles following a randomly …
We construct a planar process that switches randomly between the flows of two linear systems built from two Hurwitz matrices (all eigenvalues have negative real parts). The goal here is to study the long time behaviour according to the switching rates. We will see that, even if the two systems are stable, it is possible to obtain a blow up if we choose the switching rates wisely. Finally we will see a connection, between the tail of the invariant measure (when the switching times follow an exponential law) and the existence of a deterministic control that makes the process explode.
In this paper, we study the effect of small Brownian noise on a switching dynamical system which models a first-order DC/DC buck converter. The state vector of this system comprises a continuous component whose dynamics switch, based on the ON/OFF configuration of the circuit, between two ordinary differential equations (ODE), and a discrete component which keeps track of the ON/OFF configurations. Assuming that the parameters and initial conditions of the unperturbed system have been tuned to yield a stable periodic orbit, we study the stochastic dynamics of this system when the forcing input…
We consider parabolic PDEs with randomly switching boundary conditions. In order to analyze these random PDEs, we consider more general stochastic hybrid systems and prove convergence to, and properties of, a stationary distribution. Applying these general results to the heat equation with randomly switching boundary conditions, we find explicit formulae for various statistics of the solution and obtain almost sure results about its regularity and structure. These results are of particular interest for biological applications as well as for their significant departure from behavior seen in PDE…
We consider a Piecewise Deterministic Markov Process given by random switching between finitely many vector fields vanishing at $0$. It has been shown recently that the behaviour of this process is mainly determined by the signs of Lyapunov exponents. However, results have only been given when all these exponents have the same sign. In this note, we consider the degenerate case where the process leaves invariant some face and results are stated when the Lyapunov exponents are of opposite signs. Applications are given to Lorenz vector fields with switching, and to SIRS model in random environme…
In this note, we study the long time behavior of Lotka-Volterra systems whose coefficients vary randomly. Bena{ï}m and Lobry (2015) recently established that randomly switching between two environments that are both favorable to the same species may lead to different regimes: extinction of one species or the other, or persistence of both species. Our purpose here is to describe more accurately the range of parameters leading to these regimes, and the support of the invariant probability measure in case of persistence.
Some sufficient conditions on the algebraic stability of non-homogeneous regime-switching diffusion processes are established. In this work we focus on determining the decay rate of a stochastic system which switches randomly between different states, and owns different decay rates at various states. In particular, we show that if a finite-state regime-switching diffusion process is $p$-th moment exponentially stable in some states and is $p$-th moment algebraically stable in other states, which are characterized by a common Lyapunov function, then this process is ultimately exponentially stab…
We consider a non-autonomous ordinary differential equation on a smooth manifold, with right-hand side that randomly switches between the elements of a finite family of smooth vector fields. For the resulting random dynamical system, we show that Hörmander type hypoellipticity conditions are sufficient for uniqueness and absolute continuity of an invariant measure.
Many systems in biology, physics and chemistry can be modeled through ordinary differential equations, which are piecewise smooth, but switch between different states according to a Markov jump process. In the fast switching limit, the dynamics converges to a deterministic ODE. In this paper we suppose that this limit ODE supports a stable limit cycle. We demonstrate that a set of such oscillators can synchronize when they are uncoupled, but they share the same switching Markov jump process. The latter is taken to represent the effect of a common randomly switching environment. We determine th…
The aim of this paper is to study the dynamical behavior of non-autonomous stochastic lattice systems with Markovian switching. We first show existence of an evolution system of measures of the stochastic system. We then study the pullback (or forward) asymptotic stability in distribution of the evolution system of measures. We finally prove that any limit point of a tight sequence of an evolution system of measures of the stochastic lattice systems must be an evolution system of measures of the corresponding limiting system as the intensity of noise converges zero. In particular, when the coe…
The replicator-mutator dynamic was originally derived to model the evolution of language, and since the model was derived in such a general manner, it has been applied to the dynamics of social behavior and decision making in multi-agent networks. For the two type population, a bifurcation point of the mutation rate is derived, displaying different long-run behaviors above and below this point. The long-run behavior would naturally be subjected to noise from the environment, however, to date there does not exist a model that dynamically accounts for the effects of the environment. To account f…
An effective equation describes a weakly nonlinear wave field evolution governed by nonlinear dispersive PDEs \emph{via} the set of its resonances in an arbitrary big but finite domain in the Fourier space. We consider the Schrödinger equation with quadratic nonlinearity including small external random forcing/dissipation. An effective equation is deduced explicitly for each case of monomial quadratic nonlinearities $ u^2, \, \bar{u}u, \, \bar{u}^2$ and the sets of resonance clusters are studied. In particular, we demonstrate that the nonlinearity $\bar{u}^2$ generates no 3-wave resonances and…
Exponential ergodicity in the bounded-Lipschitz distance for a subclass of piecewise-deterministic Markov processes with random switching between flows
A general class of stochastic gene expression models with self regulation is considered. One or more genes randomly switch between regulatory states, each having a different mRNA transcription rate. The gene or genes are self regulating when the proteins they produce affect the rate of switching between regulatory states. Under weak noise conditions, the deterministic forces are much stronger than fluctuations from gene switching and protein synthesis. Metastable transitions, such as bistable switching, can occur under weak noise conditions, causing dramatic shifts in the expression of a gene.…
We study diffusion-type equations supported on structures that are randomly varying in time. After settling the issue of well-posedness, we focus on the asymptotic behavior of solutions: our main result gives sufficient conditions for pathwise convergence in norm of the (random) propagator towards a (deterministic) steady state. We apply our findings in two environments with randomly evolving features: ensembles of difference operators on combinatorial graphs, or else of differential operators on metric graphs.
Regime-switching processes contain two components: continuous component and discrete component, which can be used to describe a continuous dynamical system in a random environment. Such processes have many different properties than general diffusion processes, and much more difficulties are needed to be overcome due to the intensive interaction between continuous and discrete component. We give conditions for the existence and uniqueness of invariant measures for state-dependent regime-switching diffusion processes by constructing a new Markov chain to control the evolution of the state-depend…
An ongoing debate in evolutionary biology is whether phenotypic change occurs predominantly around the time of speciation or whether it instead accumulates gradually over time. In this work I propose a general framework incorporating both types of change, quantify the effects of speciational change via the correlation between species and attribute the proportion of change to each type. I discuss results of parameter estimation of Hominoid body size in this light. I derive mathematical formulae related to this problem, the probability generating functions of the number of speciation events alon…
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure jump process, driving the values of interest rate and volatility coefficient. The pure jump process is assumed to be a semi-Markov process on finite state space. This consideration helps to incorporate a specific type of memory influence in the asset price. Under this model assumption, the locally risk minimizing price of the European type path-independent opti…
We consider the one dimensional Burgers equation forced by a brownian in space and white noise in time process $\partial_t u + u \partial_x u = f(x,t)$, with $2E(f(x,t)f(y,s)) = (|x|+|y|-|x-y|)δ(t-s)$ and we show that there are Levy processes solutions, for which we give the evolution equation of the characteristic exponent. In particular we give the explicit solution in the case $u_0(x)=0$.
We consider the Moran process with two populations competing under an iterated Prisoners' Dilemma in the presence of mutation, and concentrate on the case where there are multiple Evolutionarily Stable Strategies. We perform a complete bifurcation analysis of the deterministic system which arises in the infinite population size. We also study the Master equation and obtain asymptotics for the invariant distribution and metastable switching times for the stochastic process in the case of large but finite population. We also show that the stochastic system has asymmetries in the form of a skew f…
