Stability of ODE with colored noise forcing.

Series: 
CDSNS Colloquium
Friday, April 20, 2012 - 11:10
1 hour (actually 50 minutes)
Location: 
Skiles 006
,  
Carnegie Melon University
Organizer: 
I will discuss recent work on the stability of linear equations under parametric forcing by colored noise. The noises considered are built from Ornstein-Uhlenbeck vector processes. Stability of the solutions is determined by the boundedness of their second moments. Our approach uses the Fokker-Planck equation and the associated PDE for the marginal moments to determine the growth rate of the moments. This leads to an eigenvalue problem, which is solved using a decomposition of the Fokker-Planck operator for Ornstein-Uhlenbeck processes into "ladder operators." The results are given in terms of a perturbation expansion in the size of the noise. We have found very good agreement between our results and numerical simulations. This is joint work with L.A. Romero.