Probabilistic Properties of Delay Differential Equations
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Systems whose time evolutions are entirely deterministic can nevertheless be studied probabilistically, <em>i. e. </em> in terms of the evolution of probability distributions rather than individual trajectories. This approach is central to the dynamics of ensembles (statistical mechanics) and systems with uncertainty in the initial conditions. It is also the basis of ergodic theory--the study of probabilistic invariants of dynamical systems--which provides one framework for understanding chaotic systems whose time evolutions are erratic and for practical purposes unpredictable. Delay differential equations (DDEs) are a particular class of deterministic systems, distinguished by an explicit dependence of the dynamics on past states. DDEs arise in diverse applications including mathematics, biology and economics. A probabilistic approach to DDEs is lacking. The main problems we consider in developing such an approach are (1) to characterize the evolution of probability distributions for DDEs, <em>i. e. </em> develop an analog of the Perron-Frobenius operator; (2) to characterize invariant probability distributions for DDEs; and (3) to develop a framework for the application of ergodic theory to delay equations, with a view to a probabilistic understanding of DDEs whose time evolutions are chaotic. We develop a variety of approaches to each of these problems, employing both analytical and numerical methods. In transient chaos, a system evolves erratically during a transient period that is followed by asymptotically regular behavior. Transient chaos in delay equations has not been reported or investigated before. We find numerical evidence of transient chaos (fractal basins of attraction and long chaotic transients) in some DDEs, including the Mackey-Glass equation. Transient chaos in DDEs can be analyzed numerically using a modification of the "stagger-and-step" algorithm applied to a discretized version of the DDE.
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S. Richard Taylor (2004). Probabilistic Properties of Delay Differential Equations. UWSpace. http://hdl.handle.net/10012/1183