### Abstract

Consider a deterministic dynamical system in a domain containing a stable equilibrium, e.g., a particle in a potential well. The particle, independent of initial conditions, eventually reaches the bottom of the well. If however, the particle is subjected to white noise, due, e.g., to collisions with a population of smaller, lighter particles comprising the medium through which the particle travels, a dramatic difference in the behaviour of the Brownian particle occurs. The particle will exit the well. The natural questions then are how long will it take for it to exit and from where on the boundary of the domain of attraction of the deterministic equilibrium (the rim of the well) will it exit. We compute the mean first passage time to the boundary and the mean probabilities of the exit positions. When the noise is small each quantity satisfies a singularly perturbed deterministic boundary value problem. We treat the problem by the method of matched asymptotic expansions (MAE) and generalizations thereof. MAE has been used successfully to solve problems in many applications. However, there exist problems for which MAE does not suffice. Among these are problems exhibiting boundary layer resonance, i.e., the problem of 'spurious solutions', which led some to conclude that this was 'the failure of MAE'. We present a physical argument and four mathematical arguments to modify or augment MAE to make it successful. Finally, we discuss applications of the theory.

Original language | English (US) |
---|---|

Pages (from-to) | 570-593 |

Number of pages | 24 |

Journal | European Journal of Applied Mathematics |

Volume | 29 |

Issue number | 4 |

DOIs | |

State | Published - Aug 1 2018 |

### Fingerprint

### Keywords

- JWKB methods
- Singular perturbations
- asymptotic expansions

### ASJC Scopus subject areas

- Applied Mathematics

### Cite this

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*European Journal of Applied Mathematics*, vol. 29, no. 4, pp. 570-593. https://doi.org/10.1017/S0956792518000025

**Singular perturbations in noisy dynamical systems.** / Matkowsky, Bernard J.

Research output: Contribution to journal › Article

TY - JOUR

T1 - Singular perturbations in noisy dynamical systems

AU - Matkowsky, Bernard J

PY - 2018/8/1

Y1 - 2018/8/1

N2 - Consider a deterministic dynamical system in a domain containing a stable equilibrium, e.g., a particle in a potential well. The particle, independent of initial conditions, eventually reaches the bottom of the well. If however, the particle is subjected to white noise, due, e.g., to collisions with a population of smaller, lighter particles comprising the medium through which the particle travels, a dramatic difference in the behaviour of the Brownian particle occurs. The particle will exit the well. The natural questions then are how long will it take for it to exit and from where on the boundary of the domain of attraction of the deterministic equilibrium (the rim of the well) will it exit. We compute the mean first passage time to the boundary and the mean probabilities of the exit positions. When the noise is small each quantity satisfies a singularly perturbed deterministic boundary value problem. We treat the problem by the method of matched asymptotic expansions (MAE) and generalizations thereof. MAE has been used successfully to solve problems in many applications. However, there exist problems for which MAE does not suffice. Among these are problems exhibiting boundary layer resonance, i.e., the problem of 'spurious solutions', which led some to conclude that this was 'the failure of MAE'. We present a physical argument and four mathematical arguments to modify or augment MAE to make it successful. Finally, we discuss applications of the theory.

AB - Consider a deterministic dynamical system in a domain containing a stable equilibrium, e.g., a particle in a potential well. The particle, independent of initial conditions, eventually reaches the bottom of the well. If however, the particle is subjected to white noise, due, e.g., to collisions with a population of smaller, lighter particles comprising the medium through which the particle travels, a dramatic difference in the behaviour of the Brownian particle occurs. The particle will exit the well. The natural questions then are how long will it take for it to exit and from where on the boundary of the domain of attraction of the deterministic equilibrium (the rim of the well) will it exit. We compute the mean first passage time to the boundary and the mean probabilities of the exit positions. When the noise is small each quantity satisfies a singularly perturbed deterministic boundary value problem. We treat the problem by the method of matched asymptotic expansions (MAE) and generalizations thereof. MAE has been used successfully to solve problems in many applications. However, there exist problems for which MAE does not suffice. Among these are problems exhibiting boundary layer resonance, i.e., the problem of 'spurious solutions', which led some to conclude that this was 'the failure of MAE'. We present a physical argument and four mathematical arguments to modify or augment MAE to make it successful. Finally, we discuss applications of the theory.

KW - JWKB methods

KW - Singular perturbations

KW - asymptotic expansions

UR - http://www.scopus.com/inward/record.url?scp=85049876751&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85049876751&partnerID=8YFLogxK

U2 - 10.1017/S0956792518000025

DO - 10.1017/S0956792518000025

M3 - Article

VL - 29

SP - 570

EP - 593

JO - European Journal of Applied Mathematics

JF - European Journal of Applied Mathematics

SN - 0956-7925

IS - 4

ER -