Comparison of Various Concepts of a Random Attractor: a Case Study
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Arch. Math. 78 (2002) 233–240 Sonderdruck aus 0003-889X/02/030233-08 $ 3.10/0 Birkhäuser Verlag, Basel, 2002 Comparison of various concepts of a random attractor: A case study By MICHAEL SCHEUTZOW Abstract. Several non-equivalent definitions of an attractor of a random dynamical system have been proposed in the literature. We consider a rather simple special case: random dynamical systems with state space [0, ∞) which fix 0. We examine conditions under which the set {0} is an attractor for three different notions of an attractor. It turns out that even in this simple case the various concepts are quite different. The purpose of this note is to highlight these differences and thus provide a basis for discussion about the “correct” concept of a random attractor. 1. Introduction. While the concept of an attractor for deterministic dynamical systems is well-established, the same can not be said for random dynamical systems, which have gained considerable attention during the past decade (for a comprehensive survey see [1]). All definitions of a random attractor A (ω) known to the author agree in that they require that A (ω) be a random compact set which is invariant under the random dynamical system (below we will give precise definitions). The definitions disagree however with respect to the class of sets which are attracted as well as the precise meaning of “attracted”. In order to keep things reasonably simple we will always insist that an attractor attracts all (deterministic) bounded subsets of the (metric) state space. Furthermore we will only discuss random dynamical systems in continuous time. Out of the three definitions we give below the notion of a forward attractor is closest to that of an attractor for a deterministic dynamical system. It is however believed to be the least appropriate one for random dynamical systems. The concept of a pullback attractor (also called strong attractor or just attractor) was proposed independently by H. Crauel and F. Flandoli [3] and B. Schmalfuß [11]. Weak attractors were recently introduced by G. Ochs [10]. In his paper he highlights differences between weak and pullback attractors e.g. concerning invariance properties under random transformations. It is not our aim to point out such different properties but rather to illustrate the different concepts within a particular class of one-dimensional random dynamical systems. For the related question of bifurcations of one-dimensional stochastic differential equations, see [4] and [12]. Before we provide precise definitions we recall the notion of a random dynamical system taking values in a space E. In the second section we will then consider the particular case E =[0, ∞). Mathematics Subject Classification (2000): Primary 37H05, 60H10; Secondary 60G44, 60J55. 234 M. SCHEUTZOW ARCH. MATH. Throughout the paper we assume that (E,d) is a separable complete metric space. Whenever necessary we will equip E with the Borel-σ-algebra E (i.e. the smallest σ-algebra on E which contains all open subsets). D e f i n i t i o n 1.1. A random dynamical system (RDS) with state space E is a pair (ϑ, φ) consisting of the following two objects: 1. A metric dynamical system (MDS) ϑ ≡ (Ω, F, P, {ϑ(t), t ∈ R}), i.e. a probability space (Ω, F, P) with a family of measure preserving transformations {ϑ(t) : Ω → Ω, t ∈ R} such that (a) ϑ(0) = idΩ,ϑ(t) ◦ ϑ(s) = ϑ(t + s) for all t, s ∈ R; (b) the map (t,ω) → ϑ(t)ω is measurable and ϑ(t)P = P for all t ∈ R. 2. A (perfect) cocycle φ over ϑ of continuous mappings of X i.e. a measurable map φ : R+ × Ω × E → E,(t,ω,x) → φ(t,ω,x) such that (a) the mapping φ(·,ω,·) : (t, x) → φ(t,ω,x) is continuous for all ω ∈ Ω and (b) it satisfies the cocycle property: φ(0,ω,·) = idE,φ(t + s,ω,·) = φ(t,ϑ(s)ω, φ(s,ω,·)) for all t, s м 0 and ω ∈ Ω. D e f i n i t i o n 1.2. Let (ϑ, φ) be an RDS and ω → A (ω) satisfy (i) A (ω) is a compact subset of E for every ω ∈ Ω (ii) ω → d(x, A (ω)) is measurable for each x ∈ E (iii) φ(t,ω,A (ω)) = A (ϑ(t)ω) for all ω ∈ Ω, t м 0. Then A is called an invariant random compact set. D e f i n i t i o n 1.3. Let A be an invariant random compact set of the RDS (ϑ, φ). A is called a forward attractor if for each bounded set B ֤ E .1 lim sup d(φ(t,ω,x), A (ϑ(t)ω)) = 0 a.s. →∞ t x∈B A is called a pullback attractor if for each bounded set B ֤ E .2 lim sup d(φ(t,ϑ(−t)ω, x), A (ω)) = 0 a.s. →∞ t x∈B A is called a weak attractor if for each bounded set B ֤ E .3 lim sup d(φ(t,ω,x), A (ϑ(t)ω)) = 0 in probability. →∞ t x∈B Remark 1.4.Obviouslyallthreeconceptscoincideinthedeterministiccase(i.e. Ω is a singleton). In general each forward attractor and each pullback attractor is a weak attractor (the latter implication holds since ϑ(t) preserves P). No other implication holds as we will see in the next section. It follows from [10], Theorem 1 and Corollary 3.2, that an attractor (in whatever sense) – if it exists – is unique up to a set of measure 0. Some authors only require that an attractor attracts all compact subsets instead of all bounded ones or even just all singletons, e.g. [10]. Since we will only consider the special case E =[0, ∞) below, these distinctions will be irrelevant for us. Vol. 78, 2002 Random attractors 235 2. A case study. Let E =[0, ∞) be equipped with the euclidean metric. We will restrict our attention to RDSs on E which are generated by stochastic differential equations (SDEs) of the form (1) dX(t) = b(X(t))dt + σ(X(t)) ◦ dW(t) = ( ( )) + 1 σ( ( ))σ ( ( )) + σ( ( )) ( ), (2) b X t dt 2 X t X t X t dW t where W(t), t ∈ R is a two-sided standard (real-valued) Brownian motion. The symbol “◦” denotes the Stratonovich stochastic integral and the last equality sign holds due to the well- known transformation formula between the Itô and the Stratonovich integral ([7], p. 296). We will assume throughout that the following conditions on the coefficients b : E → R and σ : E → R are satisfied. • b(0) = σ(0) = 0 • b satisfies a Lipschitz condition on each compact subset of E and grows at most linearly • σ ∈ C2 with bounded first and second derivatives • σ(x)>0 for all x > 0. In order to arrive at an RDS, we choose specifically Ω = C(R, R) – the space of continuous functions from R to R, F the σ-field on Ω generated by the evaluations (or the topology of uniform convergence on compact subsets), P two-sided Wiener measure on (Ω, F) and define ϑ(t) : Ω → Ω by (ϑ(t)(ω)) (s) := ω(t + s) − ω(t), s, t ∈ R. Then ϑ ≡{Ω, F, P,ϑ(t), t ∈ R} is a metric dynamical system and W(t,ω)= ω(t), t ∈ R is a two-sided Brownian motion. It is shown in [2] and [1] that one can find a cocycle φ of homeomorphisms of E on the MDS ϑ such that for each x ∈ E, φ(t,ω,x), t м 0 solves (1) with initial condition X(0) = x. More generally, for every s ∈ R, φ(t − s,ϑ(s)(ω), x), t м s solves (1) with initial condition X(s) = x. Our assumptions on b and σ above imply (after changing φ on a set of measure 0 if necessary) that φ(t,ω,0) = 0 for all t,ω. We can extend φ to a map φ : R × Ω × E → E by defining (3) φ(−t,ω,x) := φ−1(t,ϑ(−t)(ω), .)(x), t м 0. Then φ satisfies the second part of Definition 1.1 even for all s, t ∈ R,i.e.φ is a cocycle of homeomorphisms with index set R. Note that this implies that φ is order preserving i.e. x > y м 0 implies φ(t,ω,x)>φ(t,ω,y) for all t ∈ R,ω∈ Ω. We will be interested in explicit necessary and/or sufficient conditions on the functions b and σ which guarantee that A (ω) ={0} is a (weak, pullback or forward) attractor of (ϑ, φ). Equation (1) does not only generate an RDS, it also generates a diffusion process on E. The probability law of a diffusion on E is uniquely characterized by its scale function p :[0, ∞] → R ∪{±∞}and its speed measure m(dx) on (0, ∞) defined as x v 1 2b(u) (4) p(x) = exp − du dv σ(v) σ 2(u) 1 1 x 1 2b(u) (5) m(dx) = exp du dx. σ(x) σ 2(u) 1 236 M. SCHEUTZOW ARCH. MATH. The relevance of the function p is, that p(X(t)), t м 0 becomes a continuous local mar- tingale. The finiteness or not of p(0), p(∞), m(0, 1] and m[1, ∞) is closely linked with the behavior of the diffusion at or close to the boundary {0, ∞} of E, see e.g.