Springer-Verlag Berlin Heidelberg GMBH

Asymptotic Methods for the Fokker-Planck Equation
and the Exit Problem in Applications
Springer-Verlag Berlin Heidelberg GmbH

Springer Series in Synergetics Editor: Hermann Haken
An ever increasing number of scientific disciplines deal with complex systems. These are systems that
are composed of many parts which interact with one another in a more or less complicated manner.
One of the most striking features of many such systems is their ability to spontaneously form spatial
or temporal structures. A great variety of these structures are found, in both the inanimate and the
living world. In the inanimate world of physics and chemistry, examples include the growth of crystals,
coherent oscillations oflaser light, and the spiral structures formed in fluids and chemical reactions. In
biology we encounter the growth of plants and animals (morphogenesis) and the evolution of species.
In medicine we observe, for instance, the electromagnetic activity of the brain with its pronounced
spatio-temporal structures. Psychology deals with characteristic features of human behavior ranging
from simple pattern recognition tasks to complex patterns of sodal behavior. Examples from sociology
include the formation of public opinion and cooperation or competition between social groups.
In recent decades, it has become increasingly evident that all these seemingly quite different kinds
of structure formation have a number of important features in common. The task of studying analo-
gies as weil as differences between structure formation in these different fields has proved to be an
ambitious but highly rewarding endeavor. The Springer Series in Synergetics provides a forum for
interdisciplinary research and discussions on tbis fascinating new scientific challenge. It deals with
both experimental and theoretical aspects. The sdentific community and the interested layman are
becoming ever more conscious of concepts such as self-organization, instabilities, deterministic chaos,
nonlinearity, dynamical systems, stochastic processes, and complexity. All of these concepts are facets
of a field that tackles complex systems, namely synergetics. Students, research workers, university
teachers, and interested laymen can find the details and latest developments in the Springer Series in
Synergetics, which publishes textbooks, monographs and, occasionally, proceedings. As witnessed by
the previously published volumes, this series has always been at the forefront of modern research in the
above mentioned fields. It includes textbooks on all aspects of this rapidly growing field, books which
provide a sound basis for the study of complex systems.
A selection of volumes in the Springer Series in Synergetics:

Synergetics An Introduction 3rd Edition Foundations of Synergetics I
ByH.Haken Distributed Active Systems 2nd Edition
By A. S. Mikhailov
Handbook of Stochastic Methods
for Physics, Chemistry, and the Natural Sciences Foundations of Synergetics 11
2nd Edition By C. W. Gardiner Complex Patterns 2nd Edition
By A. S. Mikhailov, A. Yu. Loskutov
Noise-Induced Transitions Theory and
Applications in Physics, Chemistry, and Biology Quantum Signatures of Chaos
By W. Horsthemke, R. Lefever ByF. Haake
The Fokker-Planck Equation Quantum Noise By C. W. Gardiner
2nd Edition By H. Risken Synergetics of Measurement, Prediction
Advanced Synergetics and Control By I. Grabec, W. Sachse
2nd Edition By H. Haken Predictability of Complex Dynamical Systems
Selforganization by Nonlinear By Yu. A. Kravtsov, J. B. Kadtke
Irreversible Processes Interfacial Wave Theory of Pattern Formation
Editors: W. Ebeling, H. Ulbricht Selection of Dentritic Growth and Viscous
Nonequilibrium Phase Transitions Fingerings in Hele-Shaw Flow By Jian-Jun Xu
in Semiconductors Self-Organization Asymptotic Approaches in Nonlinear Dynamics
Induced by Generation New Trends and Applications
and Recombination Processes By J. Awrejcewicz, I. V. Andrianov,
ByE. Schöll 1.1. Manevitch
Information and Self-Organization Asymptotic Methods for the Fokker-Planck
A Macroscopic Approach to Complex Systems Equation and the Exit Problem in Applications
ByH.Haken By J. Grasman, O. A. van Herwaarden
J. Grasman O. A. van Herwaarden
Asymptotic Methods
for the Fokker-Planck Equation
and the Exit Problem
in Applications
With 39 Figures
t Springer
Professor Dr. Johan Grasman
Dr. Onno A. van Herwaarden
Department of Mathematics
Agricultural University
Dreijenlaan 4
NL-6703 HA Wageningen, The Netherlands
Series Editor:
Professor Dr. Dr. h.c.mult. Hermann Haken
Institut für Theoretische Physik und Synergetik der Universität Stuttgart
D-70550 Stuttgart, Germany
and
Center for Complex Systems, Florida Atlantic University
Boca Raton, FL 33431, USA
ISSN 0172-7389
ISBN 978-3-642-08409-6
Library of Congress Cataloging-in-Publication Data.

Grasman, )ohan. Asymptotic methods far the Fokker-Planck equation and the exit problem in appli-
cationsl). Grasman, O.A. van Herwaarden. p.cm.- (Springer se ries in synergetics, 0172-7389). Includes
bibliographical referenees and indexes.
ISBN 978-3-642-08409-6 ISBN 978-3-662-03857-4 (eBook)
DOI 10.1007/978-3-662-03857-4
1. Fokker-planck equation
- Asymptotic theory. 2. Perturbation (Mathematics) 3. Stochastic analysis. I. Herwaarden, O.A. van (Onno
A.), 1956-. 11. Title. 1II. Se ries. QC2o.7.D G75 1999 530.15'2-de21 98-43895
This work is subject to copyright. All rights are reserved, whether the whole or part of the material is
concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting,
reproduetion on microfilm or in any other way, and storage in data banks. Duplieation of this publication
or parts thereof is permitted only under the provisions of the German Copyright Law of September 9,1965,
in its current version, and permission for use must always be obtained from Springer-Verlag Berlin Heidelberg
GmbH. Violations are liable for prosecution under the German Copyright Law.
© Springer-Verlag Berlin Heidelberg 1999

Originally published by Springer-Verlag Berlin Heidelberg New York in 1999
The use of general descriptive names, registered names, trademarks, ete. in this publication does not imply,
even in the absence of a specific statement, that such names are exempt from the relevant protective laws
and regulations and therefore free for general use.
Typesetting: Camera-ready by authors
Cover production: design & production, Heidelberg
SPIN: 10676722 55/3144 - 543210 - Printed on acid-free paper
Preface
For a nonlinear stoehastie dynamical system the probability density

funetion for the state variables satisfies a linear parabolie differential
equation, the Fokker-Planek equation. If the stoehastic perturbation in
the dynamieal system is small, the Fokker-Planek equation is singularly
perturbed, beeause the diffusion term eontains a small parameter. For
this type of differential equation a special type of asymptotic approxima-
tion of the solution ean be made: the so-ealled boundary layer solution
eonsisting of loeally valid asymptotic approximations that are matehed.
This method originates from fluid meehanies; it turns out to be a very
useful tool for approximating solutions of boundary value· problems
re1ated to the Fokker-Planek equation, sueh as the equations for the exit
probability and expeeted exit time from a domain. This monograph deals
with stoehastie differential equations for whieh these boundary value
problems eannot be solved by the standard singular perturbation tech-
nique. We mention the situation in whieh everywhere at the boundary
the deterministie eomponent is pointing to the inside of a domain in
state spaee. Then the boundary value problem for exit from this domain
is of a tuming point type. Moreover, we study problems from population
dynamics for whieh both the drift and diffusion vanish at a boundary.
Finally, we deal with the problem of unlikely exit requiring a WKB-type
of asymptotie analysis.
If a dynamical system is perturbed by white noise with low intensi-
ty we expeet the trajeetories to deviate only slightly from the unper-
turbed trajeetory. The picture we have is that the expeeted path
eoincides with this deterministic trajeetory and that the stoehastic
deviation has a varianee of the order of the size of the white noise. This
is true for short time periods. For long time periods the stoehastie path
may deviate drastically from the deterministie path, e.g. it may leave the
domain of attraetion of an equilibrium state. These are just the type of
phenomena that lead to boundary value problems for the exit problem
that eannot be solved with standard singular perturbation teehniques.
VI Preface
The approach we take is that for a given stochastically perturbed

dynarnical system we directly formulate the corresponding Fokker-
Planck equation and try to solve it asymptotically. Next the result is
interpreted in terms of the original dynamical system. 50 in our analysis
we will not use the Itö calculus for solving the stochastic dynamical
system, also called the Langevin equation. However, to give the reader
an idea of how the Fokker-Planck equation can be related to this
equation, we present a very elementary exposition of stochastic integra-
tion based on the book by Gardiner (1983); see Part I. We deal with
only those subjects that are needed for our singular perturbation analysis
of the Fokker-Planck equation in Part 11. Next, in Part III we study the
application of this singular perturbation method in some problems of the
natural sciences. In Chap. 6 the spread of pollution by dispersive
groundwater flow is analyzed, and in Chaps. 7 and 9 problems from
stochastic population dynamics are investigated. In Chap. 8 we give a
survey of the literature on stochastic oscillation and show which position
the singular perturbation method takes in this field. Finally, in Chap. 10
we study a Markov chain approximation for which the transition prob-
abilities are derived from the Fokker-Planck equation.
The authors thank the secretaries of the 5ubdepartment of Mathe-
matics for typing the manuscript. They did an excellent job.
Wageningen, Johan Grasman

November 1998 Onno A. van Herwaarden
Contents
Part I The Fokker-Planck Equation
1. Dynamical Systems Perturbed by Noise:

the Langevin Equation ................................................................... 3
1.1 Stochastic Processes and the Effect of Small Noise ............. 3
1.2 The Ito Calculus ..................................................................... 7
1.3 Small Noise Expansion of the Langevin Equation ............... 10
1.4 Simulation of the Stochastic Process..................................... 12
1.5 Exercises ................................................................................. 13
2. The Fokker-Planck Equation: First Exit from a Domain ....... 18

2.1 The Forward and the Backward Equation ........ .... ................. 18
2.2 The Exit Probability and the Expected Exit Time. ............ ... 23
2.3 Exercises ......................... .......... .......................... ........ ..... ....... 25
3. The Fokker-Planck Equation: One Dimension ......................... 27

3.1 Stationary and Quasi-Stationary Distributions ...................... 28
3.2 Exit Time and Exit Prob ability .............................................. 32
3.3 Exercises ................................................................................. 38
Part 11 Asymptotic Solution of the Exit Problem
4. Singular Perturbation Analysis of the Differential Equations

for the Exit Prob ability and Exit Time in One Dimension ...... 43
4.1 The Exit Probability ....................................................... ........ 43
4.2 The Expected Exit Time....... ............ ......................... ............ 50
4.3 Vanishing Diffusion and Drift at a Boundary ....................... 52
4.4 The Problem of Unlikely Exit Using the WKB-Method ...... 57
4.5 Exercises .................................... ............................................. 70
VIII Contents
5. The Fokker-Planck Equatiou in Several Dimensions:

the Asymptotic Exit Problem. .............. ..... ................................... 73
5.1 Exit by Diffusion Aeross the Drift.. ...................................... 74
5.2 Exit by Diffusion Along the Drift ......................................... 78
5.3 Exit by Diffusion Against the Drift.. ..................................... 80
5.4 Exit from the Domain of Attraetion ...................................... 91
5.5 Exereises ................................................................................. 95
Part 111 Applications
6. Dispersive Groundwater Flow and Pollution ... .......................... 99

6.1 The Boundary Layer for aSymmetrie Flow Field ............. 101
6.2 The Boundary Layer for an Arbitrary Flow Field. ............. 107
7. Extinction in Systems
of Interacting Biological Populations ....................................... 118
7.1 A Prey-Predator System ....................................................... 118
7.2 The SIR-Model in Stoehastic Epidemiology....................... 130
7.3 Extinetion of a Population
Within a System of Interaeting Populations ....................... 141
8. Stochastic Oscillation ............................... .......... ......................... 149

8.1 Equivalent Statistical Linearization ..................................... 150
8.2 Almost Linear Oscillation and Stoehastic A veraging ......... 152
8.3 Stoehastic Relaxation Oscillation .................. ...................... 156
9. Confidence Domain, Return Time and Control .... .................. 168

9.1 Confidence Domain .............................................................. 168
9.2 Return Time of a Stoehastic System
and Its Applieation in Ecology ............. ...... ..... .... ............. ... 171
9.3 Applications in Control Theory ........................................... 180
10. A Markov Chain Approximation of the Stochastic

Dynamical System ........ ....... ............................................. ... .... .... 184
10.1 Preferent States in a Low Order Speetral Model
of the Atmospheric Cireulation ... ... ............. ..... ...... ....... ...... 184
10.2 Extinetion and Reeolonization in Population Biology........ 192
Contents IX
Literature ................... .......................................................................... 203
Answers to Exercises .......................................................................... 211
Author Index ....................................................................................... 215
Subject Index....................................................................................... 219

Part I
The Fokker-Planck Equation

1. Dynamical Systems Perturbed by Noise:
the Langevin Equation
In this monograph we analyse the dynamics of finite-dimensional

nonlinear systems that are perturbed by noise. The type of systems we
deal with arises in different fields of applications, such as in stochastic
mechanics and in the dynarnics of biological populations. Depending on
the application, the noise may have quite different origins. Outside
fluctuations affecting a physical system can be incorporated in the
modelling in the form of a stochastic input. The system may have
intrinsic stochastics, for example in the birth-death process in population
dynamics. Another possibility is to account for components neglected in
the model by adding noise terms. As a result of the noise the value of
the state vector X(t) of a system is uncertain.
1.1 Stochastic Processes and the Effect of Small Noise
A time-dependent vector function X(t) of which the evolution depends

on chance is called a stochastic process. A stochastic process is station-
ary if the statistical properties of the state vector do not depend on the
time that they are measured. For a stationary process we define the
autocorrelation matrix by
C(t) = E{ X(t) XT(t+t) } (1.1)
In the next section we will see how the elements of this matrix are
evaluated. A stochastic process is called a Markov process if the future
states depend on only the present state and not on previous states. The
stochastic processes we will deal with are all Markovian. For a general
introduction to stochastic processes we refer to Gardiner (1983). In
Chaps. 1 and 2 we deal with only those elements of the theory that will
be needed in this monograph.
J. Grasman et al., Asymptotic Methods for the Fokker—Planck Equation and the Exit Problem in Applications
4 1. Dynamical Systems Perturbed by Noise
When speaking of noise, one mostly has white noise (of unit
intensity) in mind. Let the scalar ~(t) be such a white noise process. Its
main property is given by the autocorrelation function
C('t) = E{ ~(t)~(t+'t)} = Ö('t)

with Ö(·) being the Dirac delta function, meaning that white noise is
completely uncorrelated. To get a first idea of a white noise process, and
for the purpose of simulation, we approximate the process ~(t) as
folIows. Over the time interval [t, t+M) the process has a constant value
~. This stochastic quantity has some probability distribution with
E{~} =0 and Var{~} = lIß.t.

For each time interval of length ß.t a new value is drawn (Fig. 1.1).
Then for ß.t ~ 0 the function ~(t) approaches a white noise process.
Since in the computer there is a random generator that draws a random
number R from the interval (0,1) with the distribution of R being
uniform over this interval, we may take at each time interval
3 )112
~ = 2(R -~) ( ß.t (1.2)
Note that in the limit ß.t ~ 0 the variable ~ may become infinitely large.
Because of this undesirable property, one prefers to consider the process
f
t
W(t) = ~(s) ds . (1.3)

o
This is called Brownian motion or the Wiener process. In a simulation

we have
W(t + ß.t) = W(t) + ~ß.t (1.4a)

or
W(t + M) = W(t) + 11 {i:t, (lAb)
where 11 is a random number with E{11} = 0 and Var{11} = 1, e.g.

11 = 2"3 (R - t)·
1.1 The Effect of Small Noise 5
(a)
20
I~
1\
o t- 1
(b)
-1
o t - 1
Fig. 1.1. Simulation of a Brownian motion, see (1.2-1.4). (a) The white
noise process ~(t) approximated by (1.2) with I1t = 0.01, (b) Brownian
motion based on the above realization of a white noise process.
6 1. DynamicaI Systems Perturbed by Noise
Using the central limit theorem we conclude that in the limit for the
time step !!..t ~ 0 the value W(t) will at all times have a normal distribu-
tion:
E{ W(t)} =0 and Var{W(t)} = t. (1.5ab)
A stochastic process X(t) with each component of the vector function

having at all times a normal distribution is called a Gaussian process.
In the first instance one is inclined to take the standpoint that noise
will just cause the system to slightly deviate from its path and produce
an uncertainty in the values of the state variables at future times. By a
probability density function one may quantify the chance that the system
will reach a certain state. Due to small random perturbations the system
will most likely take values near its expected state and thus will stay
near the unperturbed deterministic trajectory. However, in particular for
nonlinear systems substantial changes in the state of a system are
possible, e.g. the system may leave the domain of attraction of a stable
limit solution of the corresponding deterministic system. For the type of
problems we will analyse this may occur with probability 1 in finite
time. It is important to have an idea at which time scale this escape
takes place and at wh ich part of the boundary of the domain of attrac-
tion this escape will most likely occur.
For the unperturbed system we take an autonomous nonlinear
system of the type
dx
- =f(x) , (1.6)
dt
Let this system be perturbed by m independent white noise processes
(1.7)
These perturbations are assumed to have an intensity E that is sufficient-

ly low (0< E « 1). We write the perturbed system as
-dX = g(X, E~(t» . (1.8)

dt
Linearization with respect to the perturbation gives the Langevin equa-

tion
1.2 The lto Calculus 7
dX = b(X) + EO(X)~(t) (1.9)

dt
with
b(X) = g(X,O)
and with o(X) the diffusion matrix:
og;<x,O)
EOij(X) = , i = 1, ... ,n , j = 1, ... ,m .
O~j
1.2 The Itö Calculus
For the integration of stochastic differential equations we will employ

the Itö calculus, see Gardiner (1983). For that purpose we switch from
the white noise process to the Wiener process. The Langevin equation
dX = b(X) + O(X)~(t) (1.10)

dt
is then written as the stochastic differential equation
dX = b(X) dt + o(X) dW(t), (1.11)
where dWi(t) = Wi(t + dt) - Wi(t) is the Wiener increment.

The mIes of the Itö calculus differ considerably from those of the
deterministic calculus. We mention the for us most important operations
with W(t) being a scalar Wiener process and G(t) an arbitrary function
(or process) independent Öf W(s) for s ~ t.
The expected value formula
f
t
E{ G(s) dW(s)} =0 (1.12)

I.
follows from the property that G(s) is independent from W(s) and
W(s + ds).
The formula
J J
1 1
G(s)(dW(s)f = G(s) ds or (dW(t»2 = dt (1.13)
is in particular used if we compute expressions of the form
(J JJ
1 1 1
E{ G(s) dW(S»2} = E { G(r) G(s) dW(r) dW(s) }

'0 '0 '0
J
1
= E{ G(s)2(dW(s»2} ,
I.
because dW(r) and dW(s) are independent for r'* s.

The differentiation rule is of the form
dftX) =f'(X) dX + ±f"(X)(dX)2. (1.14)
More specifically we have
dftW(t» = f'(W(t» dW(t) + ±f"(W(t» dt (1.15)
and
We give two examples of differential equations that can be inte-

grated using these rules.
a) Stochastically Perturbed Constant Motion

The stochastic differential equation with initial value
dX = cdt + crdW(t), X(O) =Xo (1.16)
(c and cr constant) can be integrated directIy giving
J
1
X(t) = Xo + ct + crdW(s). (1.17)

o
1.2 The Itö Calculus 9
Assuming that Xo and W(t) are independent, this yields for X(t) the
following statistics
E{X(t)} = E{Xo} + ct (1.18)
and
Var{X(t)} = E{X(t)2} - [E{X(t)} F
1
= Var{Xo } + er f(dW(S»2 = Var{Xo } + a 2t . (1.19)

o
Thus, if Xo is deterministic or normally distributed then X(t) is a Gauss-

ian process.
b) Tbe Ornstein-Uhlenbeck Process

As a second example we analyse in the same way the one-dimensional
Ornstein-Uhlenbeck process
dX = -kXdt + adW(t), X(to) = Xo, (1.20)
(k > 0 and a constant). We bring the term -kXdt to the other side and
multiply the equation with ekt , so that
(1.21)
or
Disregarding terms that are less than O( dt) we obtain after integration
ektX(t) =C + faektdW(t) (1.22)
or taking into account the initial value
X(t) = Xoe-k(I-I,J +a f 1
e-k(l-s) dW(s), (1.23)

'0
so that
E {X(t)} = E { Xo } e-k(t-I,) (1.24)

and
Var{X(t)} = (var{Xo } _ 0'2)e-2k + (1.25)
l
(t-t,;> 0'2 .
2k 2k
For to ~ -00 the solution (1.23) is a stationary process. It is noted that

then
0'2
E { X(t)} =0 and Var { X(t)} =_ .
2k
Furthermore, if Xo is deterministic or if it has a normal distribution, then

X(t) given by (1.23) is Gaussian, while for to ~ - 0 0 X(t) is Gaussian
independent of the distribution of Xo. The autocorrelation function of the
stationary process (1.23) with to ~ - 0 0 satisfies
JJexp{
t 1+1
C(r) = E{X(t)X(t+'t)} =E {0'2 -k(2tH-r-s)} dW(r) dW(s)}.
This double integral is evaluated as folIows. For r *- s the expected

value vanishes, so the only contribution comes from the line r = s for
o < s < min(t, tH). There we use that (dW(s)f = ds, so that
J exp{
min(t,tH) 2
= 0'2 -k(2tH-2s)} ds = ~ e-k !1! . (1.26)

2k
By the Ornstein-Uhlenbeck process white noise can be transformed into

coloured noise, see Klosek-Dygas et al. (1988).
1.3 Small Noise Expansion of the Langevin Equation
Returning to the Langevin equation (1.9) written as
dX = h(X) dt + eO'(X) dW(t), (1.27)

1.3 Small Noise Expansion 11
we may find an approximation by assuming that the solution is of the

fonn
(1.28)
Substitution of (1.28) in (1.27) yields after equating the tenns with equal
powers in E a recurrent system of differential equations. Working this
out for a scalar we obtain
(1.29)
dX\ = b'(Xo(t))X\ dt + cr(Xo(t» dW(t), ... (1.30)
Let us assume that the initial state is known X(O) = a, then we first
solve the detenninistic equation (1.29) with Xo(O) = a and next the
stochastic equation (1.30) with initial condition
(1.31)
Equation (1.30) resembles the Omstein-Uhlenbeck equation (1.20). We

follow the same method of solution:
with
I
B(t) = Jb'(Xo(s»ds.
o
Then integration yields
X\(t) = J cr(Xo(s»eB(I)-B(S) dW(s). (1.32)

o
For t large the approximation (1.28) may break down.

1t is useful to illustrate it with the following example
b(x) = -x - r, cr(x) = cr and Xo(O) = 1.

For the first order approximation, being detenninistic, we have
Xo(t) = 1 (1.33)
2e t - 1
The expected value of XI(t) follows from (1.32), so E{XI(t)} = O. For t

large the process (1.32) becomes stationary with
This would mean that for t large X(t) would approximate anormal
distribution with
E{X(t)} =0 and Var{X(t)} = I E2<f.

Thus, the system may reach states that have a value smaller than -I.
There the behaviour of the system cannot be correctly described by
(1.28) with (1.33) because the drift is then towards -00. Consequently,
the approximation (1.28) only holds for t sufficiently smalI.
1.4 Simulation of the Stochastic Process
Summarizing the results we have so far, we conc1ude that for a system

of the type
dX = b(X) dt + Ecr(X) dW(t), X(O) = a, (1.34)
we can only compute the statistics of X(t) analytically in case b(x) and
cr(x) are very simple functions, while a perturbation approximation based
on the assumption that E is small may fail because the deterministic first
order approximation may not be correct anymore after some time.
If it is not possible to integrate the stochastic system (1.34) analyti-
cally or to use a perturbation method, we may carry out a direct simula-
tion using the computer. It is suggested to use a forward Euler scheme
X(t + dt) = X(t) + b(X(t»dt + Ecr(X(t»gt{it, (1.35)
where at each time step gt is an rn-dimensional vector with entries being

independent random numbers with expected value zero and with vari-
ance equal 1, see also (1.2-1.4) and Kloeden and Platen (1992). In order
to have a good approximation of the statistics of X(t) a large number of
1.5 Exercises 13
runs has to be made. All runs start in
x =a at time t = O.
Let us carry out such a simulation for a scalar system with
b(x) =x(l -.0) and cr(x) = 1. (1.36ab)
-1 0 x-I
Fig.l.2. The function U(x) of (1.36-1.37).
The system x' = b(x) has two stable equilibria :! = ±1 with the domains
of attraction separated by the unstable equilibrium :! = O. The dynamies
is understood by considering (1.36a) as a gradient vectorfield
b(x) = -U'(x) (= -VU(x» with U(x) = -f.0 + h\ (1.37)
see Fig. 1.2. By the stochastic perturbation the system will altemately
visit the domain of attraction of both the stable equilibria. In Fig. 1.3 the
distribution of X(t) is approximated by diagrams obtained from (1.35-
1.36) with E = 0.1 and a = 0.25 from 250 runs.
1.5 Exercises
1.1 Which of the following processes are Gaussian?

1
a) X(t) = ~(t), b) X(t) = Je-S~(s)ds,

o
c) X(t) = 1 + W(t), d) X(t) = eW(t).

- 1 x _ 1
~III.I••••••••. ....11111.1•.
-1 0 x- 1
(a) t = 0.1 (d) t =5
-1 o x-
x- 1
(b) t =1 (e) (=10
...1.11.••••..•.•••.11111111.
- 1 o
x-
1
•••1111•.
_1
I.... ,
0
.~
x-
1
(e) ( = 2.5 (f) t = 25

Fig. 1.3. The stoehastic system (1.34-1.36) with E = 0.1 and a = 0.25.
Distribution obtained from 250 runs of (1.35) with /).t = 0.01.
1.2 The logistic system with a stoehastically perturbed earrying eapae-

ity is of the form
dXdt = a(1 _K +X(t)

E~(t)
)X(t).
Linearize it with respect to the stoehastie perturbation, so that it

beeomes of the form (1.9).
1.5 Exercises 15
1.3 Give an expression for the stoehastic proeess X(t) satisfying
dX = sint + E~(t), X(O) = o.

dt
1.4 Determine the autoeorrelation funetion of the stationary proeess

,
X(t) = 1 f dW(s) for to ~ -
Jt - to
00.
'0
1.5 Integrate the stoehastic differential equation
dX = XdW(t)
by making the transformation Y = InX.

1.6 Compute for t > 0 the expeeted value and varianee of Xl(t) satisfy-
ing
XiO) =0
with Wl(t) and Wit) independent Wiener proeesses.
1.7 Use the perturbation method to approximate X(t) satisfying
dX =-x dt + EX 2 dW(t), X(O) = 1.
1.8 The stoehastieally perturbed harmonie oseillator
is analyzed by changing from the state variables X and dX/dt to R

and '11 by the transformation
X = Reos(t + '11) and dX = -Rsin(t + '11).

dt
16 1. Dynrunical Systems Perturbed by Noise
a) Show that R and 'I' satisfy
dR = ERsin(t + 'I')cos(t + 'II)~(t) ,

dt
d'l' = ECOS2(t + '11) ~(t) .
dt
b) Take as initial values
X(O) = land X'(O) = 0
and approximate the solution by determining Rt(t) and 'IIt(t) in
R(t) = I + ERt(t) and 'II(t) = E'IIt(t).

Show that E{X(t)} = cost + O(E2 ) and Var{X(t)} = O(E2). (In Sect.
8.2 an improved approximation method will be given for this type
of problems.)
1.9 Consider the stochastic differential equation
dX = (l - X)X dt + EX dW(t), X(O) = a.

a) Verify that the transformation Y = InX yields
and approximate the solution using perturbation methods.
b) Try also the transformation Y = lIX.

c) Integrate the equation for X(t) for the case X(O) = 1 using the
perturbation method without a transformation.
1.10 Carry out a direct computer simulation of (1.34-1.36) with E = 0.1

and a = :! = 1 using (1.35) with At = 0.025. What is over 250 runs
the average time needed to arrive at x = 0 being the boundary of
the attraction domain of the stable equilibrium :! = I?
1.5 Exercises 17
1.11 Carry out a direct computer simulation for the stochastic logistic
system
dX = a(l - X)Xdt + EI XdWI(t), X(O) = 1,
da = -(a - <Xo)dt + Ez dWit) , a(O) = <Xo

with <Xo = 0.25, EI = 0.1 and Ez = 0.25. Determine the average
value and variance of X(t) in the stationary state, that is for t suffi-
ciently large. Use the scheme (1.35) and analyse the dependence
on the size of I1t. Repeat the experiment for different values of <Xo
including values near O.
2. The Fokker-Planck Equation:
First Exit from a Domain
In the previous chapter we saw that from a stochastic process
dXj = bP0dt + E L crij(X)d~(t), X/O) = X/al, i = 1, ... , n (2.1)

j: 1
we can compute the statistical moments of Xj(t) for some t> only for
simple examples or with perturbation methods for a short time.
°
2.1 The Forward and the Backward Equation
Let pet, x) be the probability density of finding the system in state x at a

given time t. Then as an alternative we may compute the statistics of
Xlt) from an evolution equation for pet, x). This linear diffusion equation
known as the Fokker-Planck equation or the forward Kolmogorov
equation is of the form
(2.2a)
with initial value
p(O, x) = Po(x), (2.2b)
where Po(x) is the prob ability density of X<0) and
k
a/x) = L crjm(x)cr~j (x). (2.2c)
m: 1
It is remarked that a family of stochastic differential equations of the
2.1 Forward and Backward Equation 19
type (2.1) is described by one diffusion process (2.2), because if we

replace the matrix cr = {crij}nxk by crV with V a unitary matrix (VT =
V-I), then the matrix A = {aij}nxn of (2.2) remains unchanged:
From the right-hand side of (2.2a) the first term is called the drift, being
the deterministic component bj(x)dt of the process, and the second term
is the diffusion term describing the random components crij(x) dllj(t) of
the process. We may write (2.2a) as
(2.3a)
with
(2.3b)
where the vector ](t, x) is the probability current.

For t ~ 00 the probability density p(t, x) satisfying (2.2) tends to the
stationary distribution p(S)(x) satisfying
(2.4a)
with
na 2n
E a2
M = - L _(b.(x)·) + _ L __ (a ..(x)·). (2.4b)
j = I aX j I 2 j,j = I aXjaXj I]
For one-dimensional systems we can solve (2.4). In the case of the

example of Sect. 1.4, where
b(x) = x(1 - r) and cr(x)

i
= 1,
we get for the stationary distribution
p(S)(x) = C exp{ -2E-2 V(X)} ,

with
fexP{-2E- V(x)}dx
~
V(x) = _~X2 + ~X4 and C ={ 2 }-I.

20 2. Fokker-Planck Equation: First Exit from a Domain
It is noted that p(s)(x) has its peaks at the stable equilibria !. = ± 1. In

Chap. 3 we will deal more systematically with stationary distributions.
Relation Between Langevin Equation and Fokker-Planck Equation

The derivation of (2.2) from (2.1) will be given for a scalar stochastic
process using the Itö calculus. For an arbitrary function f(x) we have
df(X) =j'(X)dX + Y"(X)(dX)2

or, because of (2.1),
2
dj =!'(X){ b(X)dt + Ecr(X) dW(t)} + !:..-j"(X)cr2(X)dt.
2
Taking the expected value and using the fact that the expected value of
dfldt equals the time derivative of the expected value of j we obtain
~ jf(x)p(t,x)dx = J{f'(x)b(x) + 2
E j"(x)cr2 (x) }p(t,x)dx.
dt 2
Then integration by parts at the right and interchanging the order of

differentiation and integration at the left yields
J d
j(x).J!..dx
dt
= J d
f(x){ -_(b(x)p)
dx
+_ dz (crZ(x)p)} dx.
E2 _
2 dx z
This relation must hold for arbitrary functions f(x), so
_dp = -_(b(x)p)
d + _E _d (a(x)p)
2 Z
dt dX 2 dX 2
with
a(x) = ~(x).
The Backward Kolmogorov Equation
The formal adjoint of the operator M given by (2.4b) is the so-called
backward operator L = M* or
2.1 Forward and Backward Equation 21
a E 2 a2
L = Ln b.(x)_ + _
n
L a (x) _ _ .
i = I 'ax. 2 I
i,j = I IJ axI axJ
This operator is used in problems of exit from an open domain n

through its boundary an, see Gardiner (1983). Let this boundary be
absorbing, so that when the system gets in astate x E an it cannot return
in n.
The Dirichlet problem
Lu = 0 in n with u =f(x) at an (2.5)
has as solution
u(x) = J
an
g(x,y)f(y)dS, (2.6)
where the Green's function g(x, y) denotes the distribution at an for the
probability of arriving at y E an if starting in XE n, see Schuss (1980).
It is supposed that the boundary an consists of two parts ano and
an l . We are interested in the problem of exit through an l . In view of
(2.5-2.6) the function u(x) satisfying
Lu=Oinn (2.7)
with
u = 0 at ano and u =I at an l (2.8)
equals the prob ability of leaving n through the part of the boundary an l
if starting in XE n. Next the function q(t, x) is defined as the probability
of leaving n after a time t through an l . It satisfies, see Gardiner (1983),
aq = Lq in n for t > 0 (2.9)

at
with
q(O, x) = u(x) in n and q(t, x) =0 at an.
As an example we take the process
dX = EdW(t) (2.10)
on the interval (0,1) and analyse the probability of exit through x = 1.

According to (2.7-2.8) we must have
u(x) =x,
while q(t, x) satisfies the initial-boundary value problem
for XE (0,1) and t > 0
(a)
0.5
0.4
0.3
\
q(t,ll2) \
0.2 ,,
,,
,
0.1
0
0 0.2 0.4 t - 0.6 0.8
(b)
0.5
0.4
I 0.3
\
\
\
q(t,1/2)
0.2 ,
\
0.1
0
0 0.2 0.4 t- 0.6 0.8
Fig. 2.1. The probability that the interval (0,1) is left through x = 1 for
the process (2.10) with E = 1 after a time t, if starting in X(O) = The +.
simulation result of 5000 runs ( - ) is compared with formula (2.11)
represented by (----): (a) f}"t = 0.01, (b) f}"t = 0.001.
2.2 Exit Probability and Expected Exit Time 23
with
q(O,x) =x and q(t,O) = q(t, 1) = 0.
By separation of variables one finds
(2.11)
In Fig. 2.1 we compare q(t, t) with simulation results for E = 1.
2.2 The Exit Probability and the Expected Exit Time
Defining
J
~
T(x) = q(t,x)dt
o
we derive from (2.9)
LT(x) = q(oo,x) - q(O, x) = -q(O,x), (2.12)
where q(O,x) = u(x) is the probability of exit through an\ if starting in

XE n. Furthermore, because
-qlt, x)/q(O, x)
is the probability density for the stochastic exit time 't(x) if exit takes
place through an\, we have for the expected exit time, using integration
by parts,
T\(x) = --
-1
u(x)
J
0
tqt(t,x)dt = __
T(x) .
u(x)
(2.13)
From formula (2.13), stating that T(x) = u(x) T\(x), it follows that
T(x) = ° at an, (2.14)
because u(x) =°
at ano
and T\(x) = at ° an\.
Thus, the quantity T(x) is
completely determined by the Dirichlet type boundary value problem
LT(x) = -u(x) in n, T(x) =0 at an. (2.15)
For the second statistical moment of the exit time 't(x) we have
-
Tix) = -_I_ft2qt(t,x)dt = -1-f 2tq(t,x)dt.
- (2.16)
q(O,x) 0 u(x) 0
Defining
S(x) = f-2tq(t,x)dt,
o
we obtain from (2.9) after multiplying this equation with 2t and integrat-
ing over t:
LS(x) = -2T(x) in n and S(x) =0 at an.

The solution of this Dirichlet problem leads to the second statistical
moment of the exit time 't(x):
Tz{x) = S(x)/u(x),
see (2.16). Higher order moments can be determined in a recursive way,

see Gardiner (1983).
It is noted that if an = an! and at least a part of an is reachable,
then u(x) = 1 and T!(x) = T(x) satisfying LT = -1 in n and T = 0 at an.
If no specific part an! of the boundary is defined we mean with exit,
exit from n through any point of an. Then the expected exit time, if
starting in x, equals T(x).
A Reflecting Boundary
Instead of absorbing the boundary part ano
may be reflecting. At a
reflecting boundary the probability current vanishes, see (2.3b). Then for
the problem of exit through an! we have as boundary conditions for
u(x) satisfying Lu = 0 in n:
2.3 Exercises 25
where '\) is the outward normal to the boundary, see Gardiner (1983).
This boundary value problem admits the simple solution u(x) = 1. For
the funetion T(x) = Tt(x), being the expeeted exit time, we have the
boundary value problem
LT= -1 in n
with
As an example we eonsider the sealar stoehastie proeess
dX = E dW(t)
for the interval (0,1) with x = 0 a refleeting boundary. Then exit from
the interval oeeurs at x = 1 with probability 1 in finite time. The
expeeted exit time satisfies
and
T'(O) =0 and T(l) =0
giving
2.3 Exercises
2.1 Give the stationary distribution of the stoehastie proeess defined on

the unit circle satisfying
d<!> = sin<!> dt + (2 + eos<!» dW(t).
2.2 Given the sealar proeess dX = EdW on the interval (0,1). Determine
the probability of leaving this interval after a time t, if starting in
XE (0,1).
26 2. Foller-Planek Equation: First Exit from a Domain
2.3 Given the stochastic process
with WI(t) and W2(t) independent Wiener processes. Determine the

probability of exit from the domain
through the boundary Xl = 0 if starting in X = (Xl' Xz) E n.

2.4 We consider for the interval (0,1) the stochastic process
dX = dt + E dW(t).
a) Determine the expected exit time if starting in XE (0,1).
b) What is the probability of exit through X = O?
c) Analyse for both answers what happens for E ~ O.
2.5 We consider the stochastic process
dX =X dW(t), X(O) = x.
a) Give the solution (hint: use Y = 1nX).
b) Consider the domain n = {x 11 < X < co} with an absorbing
boundary at X = 1 and a reflecting boundary at infinity. Compute
the expected arrival time at X = 1.
2.6 We consider the stochastic process
dX = -X dt + EXtn. dW(t)
for the domain n = {x 1 0< X < co} with an absorbing boundary at
X = 0 and a reflecting boundary at infinity. Compute the expected
arrival time at x = O.
3. The Fokker-Planck Equation:
One Dimension
Let us consider a stochastic process described by the scalar X(t) with

probability density pet, x) satisfying
_ap = - _(b(x)p)
a + _E _a (a(x)p)
2 2
(3.1a)
at ax 2 ax 2
for 0 < x < 1 and t > 0 with
f
1
p(O,x) =Po(x), Po(x)dx = 1 . (3.1b)

o
It is assumed that a(x»O for XE [0,1] unless it is stated otherwise. The

boundaries can be either absorbing
p(t,O) =0 andlor pet, 1) =0 (3.2a)
or reflecting (with vanishing probability current, see (2.3»
J(t,O) = 0 andlor l(t, 1) = o. (3.2b)
At each boundary only one condition should be imposed. These types of

boundary conditions only make sense if the boundary is attainable from
the interior of the interval, which is the case for (3.1), see Karlin and
Taylor (1981) and Roughgarden (1979) for a complete c1assification of
boundaries and Feller (1971) for the general theory. The problem (3.1)
with one boundary condition of the type (3.2ab) at either side has a
unique solution. In some cases an exact solution is available or an
eigenfunction expansion can be made (Risken, 1984).
28 3. The Fokker-Planck Equation: One Dimension
3.1 Stationary and Quasi-Stationary Distributions

For t-7oo the probability density pet, x) tends to a stationary distribution
p(s)(x) satisfying the stationary equation corresponding with (3.1a). For
p(s)(x) as weIl as the exit probability and the expected exit time, exact
solutions are at hand (Soize, 1994). These are analytical expressions
containing a(x), b(x) and E. These solutions, if not trivial, are only
informative if they are evaluated numerically and presented graphically.
A different way to extract information is to make an asymptotic approxi-
mation by using the fact that a parameter (in this case E) is small. In
each of the following examples we do so. The advantage of such an
asymptotic approach is that it is at the same time qualitative and quanti-
tative: it gives aglobai picture of the behaviour of a solution and it
approximates such a solution also with an accuracy depending on the
actual value of the parameter.
Two Reflecting Boundaries

A stationary distribution p(s)(x) satisfies
(3.3)
In addition, if the boundaries x = 0 and x = 1 are reflecting, the prob-

ability current
_d {a(x)p(S)(x)}
2
lex) = b(x)p(S)(x) - _E (3.4)
2 dx
vanishes at these points, so
1(0) =1(1) = O.
From the integration of (3.3) we conclude that the probability current
must be constant. Consequently, we have that lex) = 0 for XE [0,1].
Integrating the equation for lex), see (3.4), we obtain for the stationary
distribution
p(S)(x) = c exp(-2<j>(X)/E2) (3.5)

a(x)
3.1 Stationary and Quasi-Stationary Distributions 29
with
cp(x) = fx. b(s) ds,

a(s)
(3.6)
x
where X o is an arbitrarily chosen point in [0,1]. The constant C follows

from the constraint
f
1
p(s)(x)dx = 1. (3.7)
o
Asymptotic Approximation of the Stationary Distribution

Let us assume that the exponent of (3.5) has only one local (and global)
maximum at ;!E [0,1]. Then p(s)(x) itself will have a sharp peak at this
point: the function is elsewhere exponentially small with respect to E
compared with the values in an E-neighbourhood of ;!.
If the maximum is attained in the interior point :b being a stable
equilibrium for x' = b(x), we choose Xo = ;! in (3.6), so that cp(!) = and
cp(x) > °everywhere else. Note that cp'(x) = -b(x)/a(x) is negative for
°
x<;! and positive for x >:b see Fig. 3.la. We write
As we remarked, the peak in p(s)(x) is concentrated in an E-neighbour-

hood of ,!, because substitution of
yields
Letting E~O we obtain

f-
(a) (b)
01------------
...
<!>(x)
o x-I 0 x- 1
Fig. 3.1. The functions <!>(x) and b(x): (a) drift towards a globally
attracting equilibrium, (b) drift to the left.
Thus, in this way p(s){x) has been approximated by a Gaussian distribu-

tion:
p(S)(x) "" 1 {X_--:::y_2 }

ex p{ __ (3.8)
J21tcr 2 2cr 2
with
(3.9)
see Fig. 3.2a. This result gives a rather accurate description of how the
probability density is concentrated. However, if we are interested in the
frequency of rare events for which X lies outside an E-neighbourhood of
b the Gaussian distribution gives a poor approximation of (3.5).
If the maximum of the exponent of (3.5) lies at a boundary, say at
x = 0, we take Xo = 0 so that for (3.6) <!>(O) = 0, <j>'(x) > 0 for x ~ 0 and
<j>(x) > 0 for x> 0, see Fig. 3.1b. We carry out the transformation
giving
3.1 Stationary and Quasi-Stationary Distributions 31
Letting e~O we obtain
so that
p
(S)(x) - 2<1>'(0)
_ _ _ e -2,'(O)xle' , (3.10)
e2
see Fig. 3.2b.
(a) (b)
o x- 1 0 x- 1
Fig. 3.2. The stationary distribution p(S)(x) in case of reflecting boun-
daries. (a) The probability density is concentrated in an e-neighbourhood
of :! being a stable equilibrium of x'(t) = b(x(t)). (b) The probability
density is concentrated in an e2-neighbourhood of the boundary x = 0;
the drift is towards this boundary.
Absorbing Boundaries
If at least one of the boundaries is absorbing we find that p(t, x) ~ 0 as
t ~ co. This can take a long time, depending on the direction of the
drift. As an example we consider the case of an internal equilibrium :! E
(0,1) with the interval [0,1] being in the domain of attraction. Then from
the state X(O) with probability density function Po(x), the system will
most likely tend towards the equilibrium :! and stay in an e-neighbour-
hood of the equilibrium. At this stage the prob ability density function
p(t, x) will have lost its dependence on the initial distribution Po(x). It is
then a "quasi-stationary" distribution P<qs)(x). However, because of
absorption at the boundary probability density is 1eaking away, so that
J
1
P(t) = p(t, x) dx
o
has the properties:
P(O) = 1 and P'(t) < 0 for t > 0,

while
P(t) ~ 0 for t ~ 00.
Thus, in the long term we must have that p(t, x) ~ q(t; E)p(qs)(x; E) ~ 0
slowly as t ~ 00. For the quasi-stationary distribution p(qS)(x; E) we may
take as approximation the same Gaussian approximation as in the case
of the reflecting boundaries.
3.2 Exit Time and Exit ProbabiIity
In the case of two absorbing boundaries the expected time of exit from
the interval (0,1), if starting in XE (0,1), satisfies
b(x) _
dT + _a(x)
E2 d2 T
_ = -1 (3.11)
dx 2 ~
with
T(O) = T(1) = 0 (3.12ab)
or
T(x) = ~
E2 x
J1
e2'il(I)/e" { Je
I
0
-2'il(s)/e"
a(s)
ds - C} dt, (3.13)
where
3.2 Exit Time and Exit Probability 33
1 1 t 2(,(1) _ '!I(S»)/E'
C = {fe2'(T)/E'dr}-1 f f e dsdt
o 0 0 a(s)
and <!>(x) is given by (3.6).

If we are only interested in the exit through one of the two absorb-
ing boundaries, say x = 0, then the probability 0/ exit from (0,1) through
this point, if starting in x E (0,1), satisfies
du d 2u
b(x)_
[2
+ _a(x)_ =0 (3.14)
dx 2 dr
with
u(O) =1 and u(1) =0 (3.15ab)
or
1 1
u(x) = {fe2'(S)/E'ds}-1 fe 2' (s)/E'ds. (3.16)

o x
The expected arrival time at x =0 is T1(x) = T(x)/u(x) with T(x) given

by
(3.17)
and
T(O) =T(1) =0, (3. 18ab)
see Chap. 2, or
(3.19)
with
C
o
1
= {fe~T)IE'dr} -I f
0
1 t
JU(s) e2(M - ,(s»lE'dsdt.

0 a(s)
The expressions (3.13), (3.16) and (3.19) can be approximated asympto-

tically for E~O.
Asymptotic Approximation of Exit Probability

We will approximate the exit probability asymptotically for E~O in two
special cases.
In the case of a drift to the right, b(x) > 0 ('(x) < 0 and <1>(1) = 0),
the main contribution to the integral in the numerator as well as in the
denominator comes from the part of the integration interval near the
lower boundary giving
e 2c!>(x)/e' f 1
e 2c!>'(x)(s - x)/e'ds
u(x) :::: x :::: <1>'(0) e2(c!>(x) - <jl(O»/e'

(3.20)
e 21jl(O)/e' f I
e 2 c!>'(O)sle'ds
'(x)
or
u(x) :::: e2Ijl'(O)xle' with <1>'(0) = -b(O)/a(O) (3.21)
for x near the left boundary. For the remaining part of the interval the
approximation (3.20) holds. We see that u(x) is exponentially small
away from the left boundary. It means that x = 1 is the most likely exit
boundary, except for starting values very dose to the boundary x = o.
Then diffusion against the drift may lead to an exit there with some
reasonable chance.
In case the drift is towards a stable internal equilibrium ,!E (0,1),
the most likely exit boundary cannot be identified as easily as in the
previous case. For an arbitrary internal point away from the boundaries
the process will most likely tend first towards the equilibrium, then
because of the diffusion term it will make excursions. With probability 1
exit will occur in finite time. This will most likely be through the easiest
accessible boundary. The selection of the boundary having this property
is endosed in (3.16) with <l>W = 0 and (x) > 0 elsewhere. The prob-
ability of exit through x = 0 is given by u(x) satisfying (3.14-3.15). The
question is whether u(x) is dose to 1 everywhere except near x = 1
where it quickly drops off to 0 (x = 0 is most likely exit boundary) or
u(x) is dose to zero everywhere except near x = 0 (x = 1 is most likely
exit boundary). Thus, we have to evaluate (3.16) for x fixed and
bounded away from the boundaries. Let us assume that <1>(0) > <1>(1).
q,(x)
1______________ _
o 1
Fig. 3.3. The function <1>(x) when the drift is towards the stable equilib-
rium :!.
Then the denominator of (3.16) has its largest contribution from a

neighbourhood of x = 0:
J
o
I 2
e2'il(S)/E2ds"" __E_ e2'il(O)/E2
2<1>'(0)'
(3.22a)
while the largest contribution to the numerator comes from the left
boundary if x < XI with <1>(x l ) = <1>(1), see Fig. 3.3, giving
J
I 2
e2'il(S)/E2 ds "" ___E_ e2'il(x)/E2 (
X
< XI') (3.22b)
x 2<1>'(x)
For X > XI we have
I 2
fe
E_ e2'il(1)/E2
2<\l(S)/E2ds "" _ _ (
X
> XI') (3.22c)
x 2<1>'(1)
In both cases u(x) given by (3.16) is exponentially small for X away

from 0, because <1>(0) > <1>(x) for any XE (0,1). For X small we get, when
using (3.22ab), the same result as in (3.21):
u(X) "" e2'il'(O)xlE2 = exp { 2b(0)x }. (3.23)

a(0)E2
Consequently, for <1>(0) > <1>(1) the boundary x = 1 is the most likely exit
boundary if X(O) is bounded away from zero. Along the same lines it
can be shown that for <1>(0) < (l) the boundary x = 0 is the most likely
exit boundary if starting away from x = 1.
Asymptotic Exit Time

For the expected exit time T(x) from the interval (0,1) for a given
starting point xe(O,I) satisfying (3.11-3.13) we can make an asymptotic
approximation. Some results can also be obtained by simple arguments.
Let us take a drift to the right, that is b(x»O for xe [0,1], then
most likely the interval is left through the boundary x = 1 following the
drift and so, for starting points away from 0,
J
1
T(x) "" _1_ ds. (3.24)

x
b(s)
However, if we are interested in the expected exit time T1(x) for exit
through x = 0 only, then we have T1(x) = T(x)/u(x) with T(x) given by
(3.17-3.19) and u(x) by (3.16) and its approximation (3.20). The
asymptotic approximation is found by rewriting (3.19) as
JJ
1 1
T(x) =~ /(t, r) e2(~I) + ,(T»fE' drdt (3.25)
x 0
with
/(t, r)
1
= {feU1(T)lE' dr} -I
o
J
r
I
u(s)
a(s)
e-~(s)fE' ds.
Then the integrand of (3.25) peaks at (t, r) = (x, 0), because u(s) behaves
as given by (3.20). Using the type of approximation for an integral with
the main contribution at one end of the interval, as we did before, we
obtain now for a double integral
T1(x) = T(x)
u(x)
"" J_l_ ds .
0
x
b(s)
(3.26)
This result looks similar to (3.24), but we are here in a completely

different situation: the average time needed to arrive at the left boundary
against the drift equals the time to go with the drift from the left bound-
ary to the point x. It is noted that the result, valid for E~O, does not
depend on the type of diffusion a(x), see Van Herwaarden (1996) for a
more extensive discussion of this remarkable result.
If the drift is such that there is a stable internal equilibrium, it will
take a long time to reach the boundary. It is anticipated that the result is
almost independent of the starting value x, unless x is taken elose to one
of the two boundaries. Let us examine (3.11-3.12) for this present case
with </>(x) of the type of Fig. 3.3 with </>(0) > </>(1). We again take the
representation (3.25) now with u(s) = 1 (no preferred exit boundary):
I(t, r) = {Jo
1
e2cp(r)/t· dr} -1 Jr
t
e
-2cp(s)/E'
a(s)
ds . (3.27)
The exponent of the integrand is built up as
2(</>(t) + </>(r) - </>(S»/E2
with r taking values from 0 to 1, so near r = 0 the largest contribution is

expected. For </>(t) - </>(s) we find the maximum over the domain of
integration by checking the value of this expression over the boundaries.
It arises at (t, s) = (1,'!). We approximate the integrals over r and t in
the way we did before giving
T(x) ::= exp(2</> (1 )/E2) Jexp(-2</> (S)/E

1
2) ds. (3.28)
</>'(1) 0 a(s)
The integral over s has its largest contribution from an E-neighbourhood

of !:. Taking </>(s)::= </>"(,!)(s-,!)212, we find
T(x) = exp(24)(I)/E')
</>'(1) aC:!)
J "'" . </>"C:!)
(3.29)
The asymptotic expected exit time through a specified boundary is more

difficult to derive from the exact solution. We will study that problem in
Sect. 4.4 by applying an asymptotic analysis to the differential equation.
3.3 Exercises
3.1 Give the stationary distribution of the following stochastic pro-

cesses
a) dX = -sinX dt + EdW(t)
for the domain (-t1t. t1t) with reflecting boundaries at x = ±t1t.

b) dX = (1 + X)dt + EdW(t)
for the domain (0.1) with reflecting boundaries at x = 0 and x = 1.
dX = -Xdt + EdW(t)
for the domain (0. 00) with reflecting boundaries. Give the station-
ary distribution.
3.3 The same as 3.2 but now for the stochastic process
dX = -x dt + dx dW(t)
for the domain (1.00).
3.4 Give an approximation of the quasi-stationary distribution of the

stochastic process
dX = -Xdt + EdW(t). 0< E« 1
for the domain (-1.1) with absorbing boundaries at x = ± 1.

dX = -(1 + X)dt + EdW(t). 0< E« 1
in the domain (0.00) with the boundary x = 0 absorbing and x = 00

reflecting. Give an approximation for the expected exit time if
starting at xe (0. 00).
3.3 Exercises 39
dX=(1+X)dt+EdW(t), O<E«l
for the domain (0,1) with both boundaries absorbing. Approximate

the probability of arrival at the boundary x = 0, if starting near this
boundary. Approximate also the expected arrival time at this
boundary in case this is indeed the exit boundary for any starting
value x E (0,1).
3.7 Find for the following stochastic processes with O<E« 1 the most
likely exit boundary for the domain (-1,1) if starting at the equilib-
. I
num:! = -"2:
a) dX = -(X + t)dt + EdW(t),

b) dX = {exp(-6X) + 6e3X}dt + EdW(t).
Part 11
Asymptotic Solution of the Exit Problem

4. Singular Perturbation Analysis
of the Differential Equations
for the Exit Prob ability and Exit Time
in One Dimension
In this chapter we construct asymptotic solutions for one-dimensional

exit problems directly from the differential equation using the singular
perturbation method. However, in some of these problems the standard
method fails and we have to introduce more refined methods such as the
WKB-method or a variational approach. Of course we mayas weIl
produce an exact solution and make an asymptotic approximation with
the Laplace method applied to this exact solution. We choose to carry
out a singular perturbation analysis because this method can be
employed in higher dimensional problems for which an exact solution is
not available. The present c1ass of one-dimensional problems offers an
excellent opportunity to develop the appropriate tools and to explore the
scope of the method.
In Sects. 4.1 and 4.2 we analyse the exit prob ability and expected
exit time for problems on the interval (0,1) with various types of drift.
The interval may contain a stable or unstable equilibrium of the deter-
ministic system. For the stochastically perturbed system one of the two
boundaries is the most likely exit boundary. It can be rather complicated
to identify this boundary. In Sect. 4.4 we also analyse the problem of
exit at the unlikely exit boundary. Section 4.3 deals with the problem of
a boundary with vanishing drift and diffusion; such type of problem
arises in stochastic population dynamics.
4.1 The Exit Probability
We return to the problem of exit through the boundary x = 0 as formu-

lated in (3.14-3.15ab), where the probability u(x) of exit through this
boundary, if starting in XE (0,1), satisfies
du f? d2u
+ _a(x)_ =0 for 0< x < 1
b(x)_ (4.1)
dx 2 mz
44 4. Singular Perturbation Analysis in One Dimension
with boundary values
u(O) =1 and u(1) = O. (4.2ab)
Again it is assumed that a(x»O for XE [0,1] unless it is stated other-

wise.
Instead of constructing first the exact solution and then evaluating
this result asymptotically, we directly apply an asymptotic analysis to
the differential equation. This technique is also called the singular
perturbation method, see Kevorkian and Cole (1981).
Letting E ~ 0 in (4.1) yields
du
b(x) _ =0 or u(x) = c = constant for 0 < X < 1. (4.3)
dx
This solution cannot satisfy both the boundary conditions. For this
reason we expect that u(x) changes rapidly near x = 0 and/or x = 1.
Such a rapid change near a boundary is called a boundary layer.
In the case of drift to the right (b(x) > 0 for XE [0,1]) we introduce
a local coordinate ~:
with a > 0 to be such that both terms of the differential equation are of
equal order of magnitude in E:
Apparently that is the case for a = 2. Multiplying next the equation with
E2and letting E ~ 0, we obtain
or
_ 2b(O)1;
u(~) = De -;;roT + C. (4.4)
Choosing D + C = 1 and C = c we have found a local (boundary layer)

solution that satisfies the local boundary condition u(O) = 1 and that also
4.1 Exit Probability 45
matches the approximation away from the boundary (~ -7 00), see (4.3).
Thus, if we choose C = c = 0 in order to satisfy the boundary condition
u(l) = 0, we have found the same approximation valid near x = 0 as
before, see (3.21). Outside this neighbourhood we have u = 0, so we are
not able to recover (3.20) from the differential equation in this way. If
we would have tried to construct a boundary layer solution near x = 1
by a transformation of the type x = 1 + ~Ea, we would have failed in the
case b(x) > O. We return to this problem in Sect. 4.4.
If the drift is away from an unstable internal equilibrium !. and
towards the two boundaries (a case we did not consider before) we
cannot construct a boundary layer at either boundary. Then the limit
equation b(x)u'(x) = 0 is satisfied by two different constant values
holding at separate intervals:
u(x) =1 for x < !. (4.5a)

and
u(x) = 0 for x > !.. (4.5b)
Near x = !. an internal boundary layer solution holds. We use the

transformation
with b(x) "" b'<.!.)(x - !.) and a(x) "" a<.!.) near !.. which gives
The two terms balance in order of magnitude if a = 1. Moreover, u(~)

must satisfy the following matching conditions
lim u(~) =1 and lim u(~) = O.

;--+ -- ;--+-
For this problem there is a unique solution
u(~) fli f
= -~-
'(V\
1ta<!) ;
- b'ct) 2
e-"'äI!}' dt. (4.6)
This result is easily understood: the drift directs the exit except for an E-
neighbourhood of the unstable equilibrium. There the drift is still small

so that the effect of the diffusion is feIt in the way of (4.6).
In case of a stable internal equilibrium the asymptotic approxima-
tion of u(x) as given by (3.23) for q,(O) > q,(1) is more difficult to derive
directly from the differential equation. However, it is worth the effort
because this is precisely the problem that is important in applications
where the domain of attraction of an equilibrium may be left because of
random forcing. Since for higher dimensional systems an exact solution
is not at hand, we can use the singular perturbation analysis of one-
dimensional systems as a test case. In this section we present two
methods: the variational approach and a method using the divergence
theorem.
The Variational Method

At forehand we do not know at which side there will be a boundary
layer. The formal construction of such a local approximation can be
accomplished at both boundaries. Thus, away from the boundaries we
have the approximation u(x) = c, see (4.3), while near the left and the
right boundary we have respectively
u(x) = (1 - c)exp{- 2b(O)X} + c (4.7a)

a(O)E2
and
u(X) = -c exp{2b(1)(1 - X)} + c. (4.7b)
a(1)E2
From these three local approximations we can compose one globally

valid approximation:
u(X) =c + (1- c) exp{ 2b(O)X} - c exp{2b(1)(1 - X)}. (4.8)

a(O)E2 a(1)E2
The only problem we are left with is to determine c in (4.8). In Gras-

man and Matkowsky (1977) a variational method is proposed to resolve
this problem, see also Williams (1982), Lange (1983) and Kath et al.
(1987). We consider the differential equation (4.1) as being the Euler-
Lagrange equation for the variational problem of finding the function
u(x) that minimizes
J
)
J[u(x)] = F(x, u(x), u'(x»dx (4.9)

o
with (4.2ab) as constraint. The integrand of (4.9) must be
with
c!>(x) = J
x
x
b(s) ds.
a(s)
This result can be checked by substitution of (4.10) in the Euler-Lagran-

ge equation
~(OF)
dx ou'
_oF
OU
= o.
We now restriet the variational problem (4.2ab), (4.9) and (4.10) to the
dass of functions (4.8) depending on the parameter c. It is noted that
they only approximately satisfy the constraints (4.2ab). We look for the
value of C of (4.8) that minimizes (4.9). That is for c satisfying
J'(c) =o.
We first evaluate asymptotically the integral (4.9) which is split up as
follows
where
! c!>"
) )
J) = 2t-2 !(c!>'(X»2 e-24l<X)/E'dx - (x) e-2 q,(x)1E2dx ,

o 0
)
J2 = 2t-2 !{(c!>'(X»2 - c!>'(x)c!>'(O)}e2 (q,'(o)x -4l<X)}/e'dx,

o
J
1
J 3 = 2E-2 {(</>'(x»2 - </>'(x)</>'(1) }e2H'(1)(1 - x) - 'i!(x)}/E'dx,

o
J
1
J4 = 2E-2 {(</>'(0»2 - </>'(x)</>'(O) + i(</>'(x)?}e2{2'i!'(O)X - 'i!(x)}/E'dx,

o
and
J{(
1
J5 = 2E-2 </>'(1)2 - </>'(x)</>'(l) + i(</>'(X»2} e2{-2'i!'(1)(1 - x) - 'i!(X)}/E'dx.

o
Then using integration by parts gives
We assurne that </>"(x) >0 for XE [0,1]. The major contributions to J2 and
J 3 come from E-neighbourhoods of respectively the boundary X = 0 and
the boundary x = 1 giving
The major contributions to J4 and J5 come from E2-neighbourhoods of

respectively the boundary x = 0 and the boundary x = 1 giving
Adding these contributions we obtain
so that
J'(c) "" -2(c - 1)</>'(0)exp(-2</>(0)/E2) + 2c</>'(l) exp(-2</> (l)/E2).
Consequently, because </>(0) > </>(1) we have that J'(c) vanishes asymp-
totically for c = 0, so that
u(x) "" exp{2</>'(0)X/E2} .
It means that exit takes most likely place through the boundary x = 1.
Ward (1992) gives a rigorous constructive method for singular
perturbation problems with an undetermined constant like in the above
problem. This method also holds for nonlinear problems. For the linear
operator obtained from linearization about the boundary layer solution,
the eigenvalue problem is formulated. Next the function satisfying the
linear operator with the appropriate boundary values is expanded in
these eigenfunctions. The coefficients depend on the eigenvalues in such
a way that they explode for the corresponding eigenvalue tending to
zero. Since in the present problem one eigenvalue tends exponentially
fast to zero for E ~ 0, this component of the eigenspace should be
eliminated. This condition yields the value of the undetermined constant.
Thus, the way to obtain this constant is to project the solution in the
part of the eigenspace where the eigenvalues are sufficiently bounded
away from zero, see also De Groen (1980) for the role of the
eigenvalues in this type of problems and Cook and Eckhaus (1973) for a
WKB-type of solution.
Application of the Divergence Theorem

The divergence theorem holds for any two functions. Matkowsky and
Schuss (1977) took the quasi-stationary distribution p(s)(x) given by
(3.5-3.6) with Xo = :! and the function u(x) given by (4.8) with the
unknown constant c. The divergence theorem then takes for the present
problem with the stable internal equilibrium the form
f (P(s)Lu - uMp(S»
1
dx
o (4.11)
= [ "2 a p(S) du
E2 ( d:P(S») + ( b
dx - u"""(h""
with M and L, respectively, the forward- and the backward operator
M =- d
_(b(x) . ) + _ d2 (a(x) . ),
E2 _
(4. 12a)
dx 2 dr
L
d
= b(x)_ e2 d2
+ _a(x)_. (4.12b)
dx 2 dr
The above equation can be derived from integration by parts. It is noted

that, because Lu = 0 and Mp(S) = 0, the left-hand side of the equation
vanishes. The right-hand side has two contributions: one from x = 0 and
the other from x = 1. Since we took <1>(0) > <1>(1), we see that both p(s)(x)
and dp(s)(x)ldx are smaller in order of magnitude at x = 0 than at x = 1.
Thus taking only in account tbe leading tenn of (4.11) we obtain
0= b(l)p<s>(I)c or c = 0,
wbicb is in agreement with tbe approximation derived from the exact
solution as weIl as tbe one obtained witb tbe variational method. In Sect.
4.4 we will determine a more accurate asymptotic expression for u(x)
directly from the differential equation.
4.2 The Expected Exit Time

For the boundary value problem of tbe expected exit time
LT = -I for 0< x < 1 with T(O) = T(1) = 0, (4.13)
see (3.11-3.12), tbe asymptotic approximations are mucb more easy to

derive directly from the differential equation tban from the exact sol-
ution.
Let us take positive drift (b(x) > 0). For E ~ 0 we bave
dT
b(x) _0 = -1
dx
or
1
To(X) = f_l- ds, (4.14)

x b(s)
meaning tbat the deterministic flow prevails. At x =0 we expect a

boundary layer. Making tbe transfonnation
and letting E ~ 0, we obtain
with
1
T(O) = 0 and lim T(~) = lim To(x) = f_l- dx .

1;-- x-+o 0 b(x)
4.2 Expected Exit Time 51
Thus, the boundary layer solution reads
T(x) = To(O) {I - exp(- 2b(0)X)} . (4.15)

e2a(0)
The two locally valid approximations can be composed into a globally
valid approximation
T(x) = To(x) { 1 _ exp(- 2b(0)X)} ,

2e a(0)
because away from the boundary x = 0 the exponent vanishes and near
the boundary To(x) "" To(O).
In case of a stable internal equilibrium, we use as apriori informa-
tion that away from the boundaries T can be large, say of the order K(e).
Then we make the transformation
T(x; e) = K(e) 't(x; e), (4.16)
so that 't(x) satisfies
L't = _K-1 for 0< x < 1 with 't(0) = 't(1) = O. (4.17)
Letting e ~ 0 we obtain
d't
b(x)_ =0 or 't(x) = 1. (4.18)
dx
We could have taken any constant because of the scaling (4.16) with the
yet undetermined e-dependent constant K. Next a boundary layer
correction is made in order to have the boundary conditions satisfied:
x "" 1 - exp{ 2b(0)X} - exp{2b(I)(I-X)} .

't() (4.19)
a(0)e2 a(l)e2
It is noted that this approximation may give at the end points expo-
nentially small negative values, which is of course not possible, but for
the present problem of determining K(e) not important. Following
Matkowsky and Schuss (1977) we apply again the divergence theorem
but now with the functions p(S)(x) given by (3.5-3.6) with Xo = :! and
T(x) given by (4.16) and (4.19):
f (P(S)LT - TMp(S»
I
dx
o
(4.20)
At the left-hand side we have now LT = -1, Mp(S) = 0 and at the right-
hand side the main contribution is again coming from the boundary x =
1 giving
-J
1
p(S)(x)dx = p(s)(1)K(E)b(l)
o
so that
K(E) = _ a(l) e24>(1wJ1 exp(-2cj> (x) / E)2 dx,

b(l) 0 a(x)
which is identical to (3.28) and can be further approximated by (3.29).

Thus K(E) is exponentially large:
(4.21)
4.3 Vanishing Diffusion and Drift at a Boundary
We now consider the process (3.1) on the semi-infinite interval (0,00)

with an absorbing boundary at x = 0 and a reflective boundary for
x = 00. It is supposed that the drift is towards a stable interna I equilib-
rium :! > 0 and that x = 0 is an unstable equilibrium. Moreover, a(x)
vanishes at x = 0 and is positive elsewhere on the semi-infinite interval.
At forehand it is not dear that the boundary x = 0 is attainable from the
interior. We choose to study the case that near x = 0
(4.22)
The boundary x = 0 is then attainable indeed, see the boundary dassifi-

4.3 Vanishing Diffusion and Drift at Boundary 53
eation in Karlin and Taylor (1981) or Roughgarden (1979). For a related

problem in geneties see Gillespie (1985).
For the stationary equation eorresponding with (3.1a) we have as
solution
p(S)(x) = _1_ ex
a(x)
l-l 2<!>(X»)
E2
(4.23)
with
x
<!>(x) = J- b(s) ds, (4.24)

x
a(s)
see (3.3-3.7). It is noted that p(s)(x) is not integrable beeause of the

singularity at x = O. For the expeeted exit time T(x) we have the follow-
ing boundary value problem
dT E dT 2 2
b(x)_ + _a(x)_ =-1 (4.25)
dx 2 dr
with
T(O) =0 and lim T'(x) = O. (4.26ab)
x-->~
The solution to this problem is of the form
T(x) =_
2 JX J~ e 2 (,(I) - cp(s))/€'
ds dt. (4.27)
E2 0 I a(s)
Making an asymptotie approximation of expression (4.27) we note that

the largest eontribution comes from a neighbourhood of (t, s) = (O,:r),
where the exponent of the integrand takes its maximal value. The
singularity for s ~ 0, due to a vanishing denominator, is of less import-
anee as we may find out by integration over lIs. Making a loeal approx-
imation at (t,s) = (O,:r) we find
T(x) ::::: (4.28)
We now will try to reeover this result direetly from the differential
equation using singular perturbations and the divergenee theorem. Again
we make the transformation
T(x; E) = K(E) 't(x; E) (4.29)
and assume that K is large. In the way of (4.18) we find that 't(x) = 1
for x outside a neighbourhood of x = o. Near this boundary we expect a
rapid change of the solution. The correct scaling is found from the
transformation
Substitution in (4.25) yields, using (4.22) and (4.29),
The two terms balance in order of magnitude for a = 2. Letting E ~ 0

and dividing by ~ gives
With boundary condition (4.26a) and matching condition
't(~) ~ 1 for ~ ~ 00,
we obtain
(4.30)
Next we must apply the divergence theorem, as we did in (4.20). Since

a(x) vanishes for x = 0, singularities arise at this point. Therefore, we
have to stay away from this boundary. We apply the theorem to the
interval (OE2, 00) with 0> 0 and let 0 ~ 0 afterwards. Thus, we have
f (P(S)LT - TMp(S»dx
~
&2
4.3 Vanishing Diffusion and Drift at Boundary 55
or
- f-
&;,
p(S)dx _a (dT
= [E2
2
p(s)_
dx
d (S»)
- T~
dx
da)
E2_ p(S)T
+ (b - _
2 dx
J-
öt'
.
The integral at the left-hand side can be approximated by the main

contribution coming from a neighbourhood of:!. while at the right-hand
side the first term dominates giving
_ __
1 ~2
___ - __ e-2+(O)/t' _bl e-2b,&a, fV(E)
t'.
a<!) cI>"<!) al
After letting 0 ~ 0 we obtain indeed the same result as in (4.28).
Stochastic Logistic Population Dynamics

The size of a biological population is of course an integer number. Let
the size at a time t be N(t). Based on birth and death rates of this
population, we will derive a diffusion process in a continuous state
variable x(t).
Let over a time interval (t, t+L\t) the birth rate be such that
N ~N + 1 with probability bNdt (4.32a)
and the death rate such that
(4.32b)
with
a = b - d. (4.32c)
The probability that two or more events occur in the time interval will
be neglected as it is of a size of at most of the order O«dt)2). The
parameters a and Kare, respectively, the intrinsic growth rate and the
carrying capacity of the deterministic logistic growth model that govems
the expectation of N(t). It is noted that K» 1. Introducing the scaled
variable
x(t) = N(t)/K (4.33)
we obtain for the first and second statistical moments of the change in x
over the time interval (t, t+Llt):
E{Ax} = a(1 - x)xLlt

and
E{(Ax)2} = K- 1(ßx + axZ)Llt with ß = b + d.
Neglecting terms of order (Llt)2, we obtain for the variance
Making a diffusion approximation of the process we get a Fokker-

Planck equation
a
-~ = -_{a(1 - x)xp} +-
1 ~
- {(ßx + axZ)p}.
at ax 2K ax2
This problem is exactly of the type we dealt with in this section. Work-
ing out the formulas for this problem gives us an approximation for the
expected extinction time of the population if starting in :! = 1:
1t )1/2 e2Kcjl(O)
( (4.34)
T(1) =- <1>"(l)K (a + ß)<1>'(O)
with
<1>(0) = -1 + a+ß In(a+ ß ), <1>'(0) = -~, <1>"(1) = ~.

a ß ß a+ß
As it was noted p<s)(x) is not integrable because of the singularity at

x = O. However, we have to keep in mind that before the transformation
(4.33) N could only be integer. After the transformation x is supposed to
be real. If we lump the x-interval «N - t)/K, (N + t)/K) to the integer
value N, then we should set the boundary not at x = 0 but at x = 1I(2K),
so that the singularity remains outside the interval. In Fig. 4.1 we
compare the results (4.27) and (4.34) with the outcome of a Monte
Carlo simulation based on (4.32).
4.4 Unlikely Exit and the WKB-Method 57
6
t
InT(l)
O~ ____L -____L -____L -__ ~L- __ ~L- __ ~~ __ ~ ____ ~
o 5 10 15 20 25 30 35 40
K-
Fig. 4.1. Extinction times for the logistic process: expected value T(1)
given by (4.27) (--) and its asymptotic approximation ( ....... ) given by
(4.34). Average extinction times (+) from 25 simulation runs of (4.32)
starting at N(O) = K for different values of K. The other parameter
values are b = 1.25 and d = 0.75.
4.4 The Problem of Unlikely Exit

Using the WKB-Method
We return to the problem of exit through the boundary of an interval

where exit is not likely. We are in particular interested in the expected
exit time at such a boundary. Though the exact solution is available it is
not very informative. In Chap. 3 we already found an asymptotic appro-
ximation for the case of drift to the right by expanding the exact sol-
ution for small diffusion. For that case and for the more complicated
cases with a stable and an unstable internal equilibrium we now want to
derive approximations by applying our asymptotic analysis direcdy to
the differential equation. We again consider exit from the interval (0,1),
where both boundaries are absorbing. We are interested in the expected
exit time l\(x) = T(x)/u(x) at the boundary x = 0, if starting in XE (0,1).
We recall that the probability u(x) of exit through this boundary satisfies
du E2 d2u
b(x)_ + _a(x)_ = 0 (4.35a)
dx 2 rlr
with
u(O) =1 and u(1) = 0, (4.35bc)
see (3.14-3.15ab). We suppose that a(x) > 0 for XE [0,1]. For the
function T(x) we have the boundary value problem
LT = -u with T(O) = T(1) = 0, (4.36)
see (3.17-3.18ab). We can also find a differential equation for Tl (x):

substituting T1(x) = T(x)/u(x) into (4.36) and using (4.35a) we obtain
UI(X»)dT E2 d 2T
( b(x) + E2 a(x) _ _ _ _1 + _a(x) __1 = -1. (4.37)
u(x) dx 2 rlr
This equation must be supplemented by boundary conditions. From the

boundary conditions for u(x) we see that sufficient conditions are
imposed by requiring
(4.38ab)
So a way to derive an approximation for T1(x) is to first asymptotically

solve (4.35) for u(x) and then, using this solution, asymptotically solve
(4.37-4.38ab).
We first use this approach to analyse the case of drift to the right
(b(x) > 0 for XE [0,1]). In Sect. 4.1 we already solved (4.35) using a
boundary layer technique. We found the asymptotic solution (4.4) near
X = 0 and u = 0 outside this neighbourhood. We note that this solution
for u(x) is not sufficiently accurate to determine T 1(x) for X away from
O. To obtain a more accurate approximation we use a WKB-expansion
for u(x). Substitution of the Ansatz
u(x) = w(x)e-ljI(x)/E' (4.39)
into (4.35a) yields an equation contammg terms of order O(E-2) and

0(1). Taking only into account the leading order terms we obtain a
differential equation for ",(x). It is satisfied by
'I'(x) = -2<1>(x) (4.40)
with the function (x) defined in (3.6) as
f
x.
(x) = b(s) ds. (4.41)
x
a(s)
The terms of order 0(1) yield a differential equation for w(x) that is
satisfied by
w(x) = lI<1>'(x). (4.42)
So using the boundary condition u(O) = 1 we find the approximation

u(x) = <1>'(0) e2(4l(x) - ,(o»/e
l •
(4.43)
'(x)
We note that in this way we have recovered the approximation (3.20)

that was found by expanding the exact solution. The boundary condition
u(l) = 0 is satisfied with an exponentially small error.
Substitution of (4.43) into (4.37) yields
(
-b(X)+E2 a'(x)b(x) -a(X)b'(X»)dT1 + 2
E2 a(x) d T 1 = -1. (4.44)
b(x) dx 2 ~
For the present drift we can fmd a regular expansion
T1(x) = E- E2n T1(n)(x). (4.45)

n=O
Substitution into (4.44) yields for the leading order term
dT
-b(x)~ = -1 (4.46)
dx
with the solution satisfying the boundary condition T 1(o)(0) =0

J_l_ds.
x
T'(Oj(x) = (4.47)
o b(s)
So for the expected exit time against the drift we find the same approxi-
mation as by expanding the exact solution, see (3.26). Higher order
terms of the regular expansion can be obtained successively in the same
way.
We now study the case of an unstable internal equilibrium :!
(b(x) < 0 for 0 :$ x < :!, b(x) > 0 for:! < x :$ 1 and bW = 0). For starting
points :! < x < 1, where the drift is directed to the right, the boundary
x = 0 is the unlikely exit boundary. Therefore, we are in particular
interested in determining T,(x) for this part of the interval. For the
probability of exit u(x) we already found the asymptotic solution u(x) =
1 for x<:! and u(x) = 0 for x>:!, see (4.5ab), and the boundary layer
solution u(x) near x = b see (4.6), that rapidly decreases from 1 to O.
The solution for x > :! is not sufficiently accurate to determine T,(x). As
in the case of drift to the right we try to obtain a more accurate approxi-
mation for u(x) with a WKB-expansion. Substituting for x>:! the
Ansatz u(x) = w(x)exp{ -\jI(x)/e2 } into (4.35a) we again obtain solutions
for ",(x) and w(x) of the form (4.40-4.42), so we can write
(4.48)
We choose Xo =:!' so that cJ>W = O. The constant A is determined by

matching (4.48) with the boundary layer solution (4.6), that can be
written as
u(1;) = J -$"CÜ
1t
J
~
e"(!)" d<. (4.49)
Expanding this inner solution for ~ ~ 00 we obtain its behaviour
for (4.50)
Expressing the outer solution (4.48) in the inner variable ~ = (x - ,!)/e

and expanding it for ~ ~ 00 we find its behaviour
(4.51)
From (4.50) and (4.51) we see that matching yields
(4.52)
so we obtain the WKB-expansion
u(x) -
-Ee''''''''
2 <j>'(x)
J -$"(!:)
1t
with '+'''(x_)
't'
= - b'(!)
a(:!) ,
(4.53)
valid for x > :! and away from :! and 1. The boundary condition u(l) = 0
is satisfied with an exponentially small error. We note that an approxi-
mation satisfying u(l) = 0 can be constructed by taking linear combina-
tions of WKB-expansions. In the case with a stable internal equilibrium
we will follow that approach.
We now solve (4.37-4.38) for T1(x). We determine T1(x) on sub-
domains and match the solutions.
The region 0 < x < :!. Substituting the approximation u(x) = 1, see
(4.5a), in (4.37) we obtain
(4.54)
The limit equation (E ~ 0) yields the solution satisfying the boundary

condition (4.38a)
(4.55)
This solution can be seen as the first term of a regular expansion

satisfying (4.54). It is the deterministic travel time to the boundary
x = 0, as is expected in this part of the interval where the drift is
directed to the left. For matching purposes the behaviour of (4.55) near
x =::! is needed. It is given by
(4.56a)
with
f
x
1 - 1
Tl = _ _ ln x - (4.56b)
b't!) 0 b(s)
The region:! < x < 1. Substitution of (4.53) into (4.37) for x away from
1 yields a differential equation for TI(x) of the form (4.44). For E ~ 0
we obtain
J
I
TI(x) =- _1_ ds + P, (4.57)

x
b(s)
where the constant P has to be determined by matching. The behaviour

of (4.57) near x = ::!. that is needed for this matching, is given by
(4.58a)
with
I
Tr = __I_ ln (1 -:!> - J_l- (4.58b)

b'(:!) x b(s)
For the neighbourhood of x = 1 it can be verified that the differential

equation in the appropriate local variable is satisfierl by TI = constant.
Taking this constant equal to P for matching purposes, we can conclude
that near x = 1 the first order approximation for TI(x) is contained in
expression (4.57).
The boundary layer near:!. Substitution of the boundary layer solution

(4.49) in (4.37) yields for E ~ 0
{b'(x)J: - a(x)e" ! .. (
""( )~2 J- e"!
""() S
2 dT
ds)-I}_I + --=-_
a(x) d T
2
= -1.
1
-~ - ~ d~ 2 d~2
(4.59)
This first order differential equation in dT/d~ can be solved. We write

the solution in the fonn
with the constants k 1 and kz to be detennined by matching conditions.

We first match (4.60) and (4.58). For ~ ~ 00 thefirst tenn in the inner
solution (4.60) tends to o. It can be shown that the second tenn of
(4.60) has the behaviour
_I_ln ~ + _1_(ß + ':ln(-C\>"(x») for ~ ~ 00 (4.61)

b'(!) b'(!) 2 -
with the constant ß given by
(4.62)
The third tenn of (4.60) behaves like
(4.63)
Substituting the inner variable ~ = (x - !)/E into the outer solution

(4.58a) we find its behaviour
_I_ln ~ + _I_ln E + T' + P for ~ ~ 00. (4.64)

b'(!) b'(!)
Recalling that C\>"W < 0, we see that the exponentially growing tenn
(4.63) can only be matched by taking
(4.65)
Comparing (4.61) and (4.64) we obtain the matching condition
p = -_I_ln E + _1_(13 + 2..ln(-<j>"(x») + k2 - P. (4.66)

b'(:!) b'(;!.) 2 -
We now match (4.60) and (4.56). It is possible to rewrite the inner

solution (4.60) with k l = 0 as follows
It can be shown that TI(~) behaves like
-_l_ln(-~)
b'(;!.)
- _1_(13 - 4y +
b'(!) Ii ~ln(-<j>II(x») + k
2 - 2
(4.68)
for ~ ~ -00, with the constant y given by
f f Je-(cr'-t'+cp') d<j> d't da "" 0.307.

~ a ~
y = (4.69)
o 0 t
Expressing the outer solution (4.56a) in the inner variable ~ we find its
behaviour for ~ ~ - 0 0
(4.70)
so comparing (4.68) and (4.70) we obtain the matching relation
k2 = -_I_ln E + _1_(13 - 4y +~ln(-<j>II(x»)+ Tl. (4.71)

b'(!) , b'(!) Ii 2 -
Thus we have determined the expected exit time at the unlikely exit
boundary x = 0 for starting points x > :! outside the boundary layer: it is
given by (4.57) with P determined by (4.66) and (4.71). We note that it
is possible to construct a composite expansion Tcomp to avoid the diffi-
culty of deciding whether such a starting point is within or outside the
boundary layer, see Van Dyke (1975):
with Tourer given by (4.57), Tbound by (4.67) and Tmatcb by (4.64).

We continue with the case of astahle internal equilibrium :!
(b(x) > 0 for 0 $; x (x), see (4.41), we again choose Xo = b so <l>W = O. We
assume that <1>(0) > <1>(1). This implies, as we have seen before, that
x = 0 is the unlikely exit boundary for starting points away from it. Our
first task is to determine an approximation for the probability u(x) of
exit at x = 0, that is sufficiently accurate for the determination of the
expected exit time TI(x) at this boundary. The approximations that we
have found before using the variational method and the divergence
theorem, are not suited for this purpose. Therefore, following Cook and
Eckhaus (1973), we use linear combinations of WKB-expansions on
subdomains. The equations resulting from substitution of the Ansatz
u(x) = w(x)exp{ -'I'(X)/E2 } into (4.35a) not only admit the solution for
'I'(x) and w(x) of the form (4.40-4.42), but also the solution 'I'(x) =
constant and w(x) = constant. Taking linear combinations of WKB-
approximations we find
A
u(x) = Al 2
+ __ e2~x)/e
1
for 0 < x < :!' (4.72a)
'(x)
u(x) = A 3 + _A4 _ e2 ,(x)/e2 for x < x < 1. (4.72b)

'(x)
In the internal boundary layer near :! we substitute the local variable

~ = (x - ~/E into (4.35a). Letting E ~ 0 we obtain
b'(x)~ du + a(:!) d2u = o. (4.73)

- d~ 2 d~2
Its solution Can be written as
u(~) = A s + A6 J I;
e,"(:!)t' dt. (4.74)
o
We note that in this case "W = -b'WlaW > O. The constants Ai are
detennined by matching and boundary conditions. Expanding (4.74)

yields that u(~) behaves like
(4.75)
We express (4.72a) in the local variable ~ in order to match this outer

solution with (4.74). Expanding it for ~ ~ - 0 0 we obtain its behaviour
(4.76)
So matching (4.72a) and (4.74), using (4.75) and (4.76), we obtain the
matching conditions
(4.77)
In an analogous way matching (4.72b) and (4.74) yields
(4.78)
Applying the boundary conditions u(O) = 1 and u(l) = 0, see (4.35bc),

yie1ds
A A
A + e
_ 2 _ 2 +(O)/E' =1 A3 + _ 4 _ e2~1)/e' = O. (4.79)
1 cj)'(0) cj)'(1)
Solving the equations (4.77-4.79) we fmd the constants A j • The express-

ions (4.72ab) and (4.74) thus obtained for u(x) can be simplified by
using appropriate approximations. We then find the asymptotic approxi-
mation in the regions 0 < x < :! and :! < x < 1, away from b
(4.80a)
and in the boundary layer of order O(E) near:!
(x-x)/e
u(x) = _cj)'(O)e2(~l)-~O»/e'+ 2cj)'(0)e- 2 +(o)/e' f- e+"(!)t'dt. (4.80b)
cj)'(l) E 0
We now determine TI(x) by solving (4.37-4.38). In Sect. 3.2 we

introduced the point Xl characterized by c!>(x I ) = C!>(1), see Fig. 3.3. This
point plays an essential role in the behaviour of TI(x). In an E2-neigh-
bourhood of Xl the second tenn in (4.80a) changes from exponentially
large to exponentially small compared with the first tenn. As a conse-
quence the coefficient b(x) + E2a(x)u'(x)/u(x) of dTI(x)/dx in (4.37)
vanishes in this neighbourhood of Xl' as can be seen from substitution of
(4.80a) in this coefficient. We will detennine approximations for Tl(x) in
the subdomains 0 < X < Xl' Xl < X < 1 and near Xl and match these sol-
utions. As in Sect. 4.2, where we studied the expected exit time T(x)
from the interval (0,1) (no matter at which boundary exit takes place),
we assume that
Tl(x; E) = K(E)'t(X; E) (4.81)
with K(E) exponentially large.
The region < X < 1. Substitution of (4.80ab) and (4.81) into (4.37)
Xl
and letting E ~ 0 yields for this region the reduced equation
d't
b(x)_ = 0, (4.82)
dx
which is satisfied by a constant. We can take this constant equal to 1

(any other constant can be incorporated in K(E»:
't(X) = 1. (4.83)
The region 0 < X < Xl. For this region substitution of (4.80a) and (4.81)
into (4.37) yields, after taking the limit E ~ 0,
d't
-b(x) _ = O. (4.84)
dx
Using the boundary condition T1(0) =0, see (4.38a), we find the sol-
ution
't(X) = o. (4.85)
The neighbourhood 0/ XI" In this region substitution of (4.80a), (4.81)

and the local variable p = (x - X l )/E2 into (4.37) and letting E ~ 0 yields
the differential equation
with solution
- _
j)
<1>'(x_ e -Z,'(x)p
I
}-j (4.87)
<1>'(1)
Matching with (4.83) and (4.85) yields the constants
Cl = 1 and C2 = -1. (4.88ab)
The constant K(E) is yet unknown. Following Matkowsky and Schuss

(1977) we again use the divergence theorem to determine this constant.
In the divergence theorem we need the (quasi-) stationary probability
distribution p(S)(x). In Chap. 3 this solution of the forward equation
Mp = 0 was found to be of the form (3.5-3.6). We note that this
solution can also be obtained by asymptotically solving the differential
equation with a WKB-approximation. Substitution of the Ansatz
into the forward equation, which is of the form (3.3), yields to order
0(1) two differential equations. Solving these equations for 'II(x) and
w(x) we also obtain the form (3.5-3.6) for p(S)(x).
The divergence theorem is again of the form (4.20). At the left-hand
side we have now LT = -u and Mi s) = O. Evaluation of the resulting
integral, that has its largest contribution from an E-neighbourhood of :!,
yields
.C~'(O)e'(~" -01'"''
a(x) <1>'(l)
J". <1>"(x)
(4.89)
- -
The right-hand side can be simplified and expressed in Tj(x) by using
the boundary conditions (4.36) and (4.35bc) and T\(x) = T(x)/u(x). Then
using the results derived for u(x), T\(x) and p(s)(x) we obtain the approxi-
mation for the right-hand side
C</l'(0)K(e)e-2~(O)lE'. (4.90)
Combining (4.89) and (4.90) we obtain
(4.91)
So for the expected exit time TI(x) from the interval (0,1) at the left
boundary point we have found the approximation TI(x) = 0 for
o < x < XI> TI(x) = K(e) for XI < X < 1 and TI(x) = K(e)'t(x) with 'tex)
given by (4.87-4.88ab) and p = (x - x l )le2 for x near XI'
We note that the approximation K(e) equals the approximation we
derived before for K(e), the expected exit time from (0,1) regardless of
the exit boundary. We can also determine the expected exit time To(x) at
the boundary point X = 1. It can be obtained in a similar way as TI (x).
The result can be written as
(4.92)
where the divergence theorem yields the same value for K(e) as we
found for K(e). So we have the interesting result that for starting points
XI < X < 1 (and X away from XI and 1) the expected exit time at X = 0
and at X = 1 are equal in first order approximation. It is also remarked
that for the functions derived above the relation
(4.93)
with T(x) the expected exit time from (0,1) regardless of the exit bound-
ary, can be verified to hold with an exponentially small relative error.
For starting points 0 < X < XI we have obtained thus far only the
rather rode approximation TI(x) = 0 for the expected exit time at X = O.
Wenote that in Van Herwaarden (1996) this solution has been refined.
Here we give some results. It is easily seen that the solution (4.87-
4.88a) for 'tex) for X in the neighbourhood of XI behaves like
(4.94)
This suggests to try a WKB-approximation for 'tex) for x< XI' In the
way we found an approximation for u(x) we obtain the linear combina-
tion of WKB-approximations matching with (4.94)
'teX) =1 + C + C <1>'(x) e 2 (ojl(l) - ojl(x»/e' (4.95)

2 2 <1>'(1)
Now we distinguish two cases. If $(0) < 2$(1), then we obtain using the
boundary condition TI(O) 0 =
'teX) = <1>'(0) e 2(.p(I) - ojl(O»/r' _ <1>'(X) e2(.p(1) - ojl(x»/r'
(4.96)
<1>'(1) <1>'(1)
for 0< X < XI' If <1>(0) ~ 2<1>(1), then there is a point 0 $ X2 < XI charac-
=
terized by <1>(Xz) 2<1>(1). We then obtain the first order approximation
f
x
TI(x) = _l_ds (4.97)

o b(s)
for 0 < X $ x 2' in correspondence with expression (4.47) for the case of
drift to the right, and
J - 1 ds -
X,
( )
TIX = o b(s)
V(r» <1>'(x)
ft'<:-
<1>'(1)
e 2(ojl(l) - .p(X»/E'
(4.98)
for X2 < X < XI'
4.5 Exercises
4.1 Approximate asymptotically the exit probability function for exit at

the boundary X = 1 of the following stochastic process for the
interval (0,1):
dX = -dt + EXdW(t), 0< E « 1.
4.2 Give an asymptotic formula for the exit prob ability at the boundary
X = -1 for the following stochastic processes over the interval
(-1,1):
4.5 Exercises 71
a) dX = Xdt + EdW(t), 0< E« 1,
b) dX = -Xdt + EdW(t), 0< E« 1.
4.3 Give an asymptotic approximation of the exit probability function

for exit at x = 1 of the following stochastic process for the interval
(0,1):
dX = <t - X)dt + EdW(t), 0< E« 1.
4.4 Approximate the expected exit time from the domain (0,1) if
starting in XE (0,1) for the stochastic processes
a) dX = -dt + EdW(t), 0< E« 1,
b) dX = -(X - t)dt + EdW(t), 0< E« 1.
4.5 Approximate the expected exit time from the domain (-1,1) if
starting in XE (-1,1) for the stochastic process
dX = -Xdt + EdW(t), 0< E « 1.
4.6 Simulate the stochastic logistic process (4.32) with b = 2, d = 1

and K = 25 and with starting value N(O) = K. Repeat the experi-
ment sufficiently many times and compare the average exit time
with (4.34).
4.7 Find for x » E2 the asymptotic expected arrival time at x = °for

the stochastic process
dX = -Xdt + E'lXdW(t)
for the semi-infinite interval (0, 00) with a reflecting boundary at
infinity.
4.8 Determine for the stochastic process
dX = 0.5dt + EdW(t)
°
the probability of exit from (0,1) at the boundary x = and the
(conditional) expected exit time at that boundary for E = "0.1 and
starting points x = 0.1, 0.2, 0.3 and 0.4 by carrying out computer
simulations. Compare the results with the values of the· asymptotic
approximations (4.43) and (4.47).
4.9 Recover the approximation (4.89) for the left-hand side in the
divergence theorem by evaluating the integral.
4.10 Approximate the expected exit time from the domain (-1,1) if
starting in XE (-1,1) for the stochastic process
dX = Xdt + EdW(t), 0< E « 1.

5. The Fokker-Planck Equation
in Several Dimensions:
the Asymptotic Exit Problem
In this chapter we analyse the problem of exit from a domain n in Rn.

We will only deal systematically with the problem that the boundary an
is absorbing. The situation that a part of the boundary is reflecting or
not attainable will arise in some special problems. The case that both the
drift and normal component of the diffusion vanish at the boundary will
be examined in Chap. 7. The latter is of special importance in the field
of stochastic dynamics of biological populations (expected extinction
time). In this chapter it is assumed that the forward and backward
operator are uniformly elliptic. For other approaches to this type of
Fokker-Planck problems we refer to Graham and Tel (1985), Graham et
al. (1985), Knessl et al. (1985), Hagan et al. (1989), Day (1990),
Talkner (1987), Maier and Stein (1993), Lythe (1995) and Khasminskii
and Yin (1996ab).
Let XE n, then if starting in this point, the expected exit time T(x)
satisfies
LT = -1 in n and T =0 at an (5.1ab)
with L the backward operator given by
The probability of exit through the part an l of an is determined by
Lu=O in n (5.2a)
with
u =0 at aOo and u =1 at an l, (5.2bc)
74 5. The Asymptotic Exit Problem
where aOo is the complement of anl' The expected arrival time at anl
is given by
TI(x) = T(x) I u(x) (5.3)
with T(x) satisfying
LT = -u in n and T = 0 at an, (5.4ab)
see Chap. 2. Note that (5.4) is consistent with (5.1): for a bounded
domain n exit occurs with probability 1 in fmite time, so if an l = an,
then u = 1.
In the case of one-dimensional systems we met the situations of exit
from random motion along the drift and against the drift. We now may
also encounter exit from random motion across the drift.
5.1 Exit by Diffusion Across the Drift
We analyse this new type of exit from a typical problem in R2, for
which the exit probability u(x) from the domain
(5.5)
satisfies
(5.6a)
so the drift is parallel to the xcaxis. We consider the probability of exit

through anl' see Fig. 5.1, so
u =1 at an l and u =0 at aOo. (5.6bc)
The asymptotic expression for u(x) is computed directly from the

differential equation. Apparently u(x) "" 0 for Xl bounded away from
zero. For analyzing the rapid change in u(x) near Xl = 0 we apply
coordinate stretching
11 =XlIE.
5.1 Diffusion Across the Drift 75
u = 1/2
"
",
,,
,
\
\
° X1-
Fig. 5.1. Diffusion across the drift: the parabolic boundary layer.
Substitution in (5.6a) yields
°
Letting E -4 we get for the asymptotic approximation the so-called
parabolic boundary layer ü(x I ,T1):
(5.7a)
with boundary and matching condition
U(XI'0) = 1, u(O,T1) = ° and lim u(xl'T1) = 0.

11-+-
(5.7bc)
The solution of (5.7) reads
-
U(XI'T1) = (2)112
-
1t
J- (1 2)
exp -_t dt.
TJI( -x.)1Il 2
(5.8)
The exact solution of (5.6) is of the form
u(x) = -x1 J- exp {(XI

-
+ P)}
E2
o
see Grasman (1968) where it is shown that in n

U(X) = u(xI , XzlE) + O(E).
For the expected arrival time we may foHow the path set out as for the
computation of u(xl;rl). However, we mayas weH derive the result in a
different way. Since we can ignore the diffusion in the xl-direction, only
the Brownian motion process in the x2-direction has to be taken into
account. A point (xl,Tl) described by the process dTl = dW(t) will arrive
at Tl = 0 at a time 't with distribution function
2
. -_ -1- __
fit,Tl) Tl exp(Tl
- -) , (5.9)
J21t t 3/2 2t
see Kadin and Taylor (1975). Starting at (xl>x2 ) with XI <0 the state can
only arrive at on l for 't < -XI. Therefore, the expected conditional
arrival time at on l equals
(5.10)
In the above problem of uniform flow with dispersion, the motion of the
partic1e is described by the system of stochastic differential equations
dXI = vdt + J2D L dWit) ,
dX2 = J2D T dWr<t),
where v = 1, D L and D T are dispersion coefficients in respectively the

longitudinal and transversal direction, and WL(t) and Wr<t) denote
independent Wiener processes. For details about the corresponding
difference scheme we refer to Grasman (1989). In Fig. 5.2 we give the
result from N = 1000 simulations at each point of a lattice covering n.
Moreover, the curve of 50% hitting probability of on l is given, as it
»
foHows from the asymptotic solution (5.8) for u(x l ,x/..J(2DT = t. In
Table 5.1 we give some expected arrival times obtained from (5.10) and
compare them with values obtained from simulation.
5.1 Diffusion Across the Drift 77
Table 5.1. Expected arrival time at the boundary an l: uniform flow at

x2 =0.12; Tasympt has been calculated from formula (5.10) with D T =0.005.
Xl Tsimul Tasympt
-0.5 0.41 0.36
-1.0 0.62 0.55
-1.5 0.82 0.81
-2.0 0.99 0.93
-2.5 1.12 1.07
0.12
43(45) 38(40) 31(33) 21(23) 08(09)
0.1
X2
0.08
58(61) 54(57) 38(42) 22(26)
0.06
0.04
77(80) 74(78) 70(74) 65(69)
0.02
o~~------~------~----~------~----~
-2.5 -2 -1.5 -1 -0.5 o
Fig. 5.2. Prob ability of hitting the boundary anl from N = 1000 simula-
tions at each point of the lattice in a uniform dispersive flow. The
numbers between brackets have been obtained from asymptotic approxi-
mation (5.8) with v = 1, D L = 1/32 and D T = 11200. The parabolic curve
denotes the 50% hitting probability, also obtained from (5.8).
Circular Parallel Flow

It may occur that the asymptotic solution of the exit probability cannot
be obtained using singular perturbations. As an example we analyse the
boundary value problem for the expected exit time in the circular
domain
n = {(Xl' X2) I Xl = r cosq" X2 = r sinq" 0 ::; r < I}
with T satisfying
aT I 2
b(r)_ + 2'€ IlT = -1 in n (5.l1a)
acl>
and
T= 0 at an. (5.11b)
Clearly, the solution of the reduced equation (E = 0) has no meaning.

We can use a similar argument as for (5.9). The motion along a cirele
(r< 1) does not affect the exit, so we are only concerned with the radial
change. Therefore, we expect T to depend only on r. Using the express-
ion for the Laplace operator in polar coordinates
we obtain the solution
For a different derivation based on the full solution of (5.11) we refer to

Schuss (1980) and Khasminskii (1963).
5.2 Exit by Diffusion Along the Drift
In Fig. 5.3 we show two typical situations. In the first case of

transversal drift, the drift is such that the flow enters n at one side
through the boundary a1lo and leaves at the opposite boundary an l . The
probability of exit through an l is for all starting points away from a1lo
elose to 1. Near a1lo it rapidly drops off to 0 at a1lo. The expected exit
time is for the starting points away from ano
governed by the determin-
istic flow, while near a1lo it rapidly drops off to zero. For the singular
perturbation analysis of these boundary value problems for the exit
probability and expected exit time, we refer to Eckhaus and De Jager
(1966) and Grasman (1971).
In the second case of drift away from an intemal unstable equilib-
rium we have a similar situation as for one-dimensional systems, see
Sect. 4.1. For the local analysis near the unstable equilibrium, one
should introduce polar coordinates (r, cI» and make the transformation
r = ~E.
5.2 Diffusion Along the Drift 79
(a) (b)
Fig. 5.3. Exit from a domain by diffusion along the drift: (a) transversal
drift, (b) drift away from an unstable equilibrium.
As an example we deal with the boundary value problem
.
(2 + rsm<j»r_ + _AT
aT EZ
= -1, (5.12a)
ar 2
az 1 a - 1 aZ )
(
A= ar
z + r
ar + 7i a<j>z
for the domain n = {x I x = r cos<j>, y = r sin<j>, r< I} and with
T =0 for r = 1. (5.12b)
Away from the origin we have (E = 0)
T(r,<j» "" ~ In 2 + rsi~<j> . (5.13)

2r + rsm<j>
Introduction of the coordinate ~ = rlE gives, after letting E ~ 0,
(5.14a)
with
T~(O,<j» =0 and T(~,<j» "" - ~lnE - ~ln~ for ~~oo. (5.14bc)
It is noted that this matching condition comes from (5.13) because

T(r,<I» z -~lnr for r ~ o.

Moreover, while taking the limits E ~ 0 and I; ~ 00, the produet I;E
remains small so that T is always positive. Taking in aeeount (5.14be)
we try a loeal solution of (5.14a) that is independent of <1>, so we have
for T = T( 1;) the differential equation
1 d 2T
---+ I ) -dT
(2i'- : , + - = -1
2 dl;2 21; dl;
with eonditions (5.14be). For the 10eal asymptotic solution holding in an

E-neighbourhood of x = 0 we have
T(I;) = -~lnE - ~ J1 - ae-

~
o
--_da,
2cr2
5.3 Exit by Diffusion Against tbe Drift
We eonsider the ease of drift whieh at the boundary an is everywhere

direeted to the inside. In n there is a stable equilibrium :!:, see Fig. 5.4.
Now the variational approach as used in Seet. 4.1 for a one-dimensional
system only applies to higher dimensional systems if the partial differen-
tial equation Lu = 0 ean be made self-adjoint which is not always
possible. Therefore, we use again the divergenee theorem. For the two
funetions we ehoose the quasi-stationary solution p(S)(x) and the prob-
ability of exit u(x) wh ich we first will approximate. The validity of the
method has been proved by Kamin (1979).
Fig. 5.4. Exit from the domain n against the drift.

5.3 Diffusion Against the Drift 81
Asymptotic Formula for the Exit Probability

The exit probability satisfies
dU d2 u
n
E b(x)_
102 n
+ _ E a ..(x) _ _ =0 in n (5,15)
;= I 1 dX. 2 ;,j = I
IJ dX;dXj
with
u(X) =0 at dno and u(x) = 1 at dn l . (5.16ab)
Letting 10 ~ 0 we have
n du
E b.(x)_ = 0 (5.17)
;= I 1 dX;
or dulds = 0 at a trajectory of x' = b(x) with s a path-length variable

along the trajectory satisfying dx/dt = b(x). It follows that
u = constant along a trajectory. (5.18)
The trajectories intersect the boundary, where we set s = O. A trajectory
point of intersection with the boundary. Thus, °

can be identified in an (n - l)-dimensional space (0 1, ... , On-I) by the
can be seen as a
coordinate system on dn. In Rn we rep1ace the co ordinate system XI' ... ,
X n by 0 1, ... , On-I' S. In these coordinates (5.15) changes into
(5.19)
From (5.19) we conc1ude that the approximation for 10 ~ 0 must be of

the form u = u(O). Since for s ~ 00 all trajectories meet in the stable
equilibrium and we require that the approximation is continuous in that
point we have
u=c in n away from dn (5.20)
with c unknown. At the boundary we have the conditions u = 0 at dno

and U = 1 at dO, which cannot be satisfied at the same time by (5.20),

so we are expecting boundary layer behaviour for the exit probability
u(x). We introduce the transformation
°
Substituting this coordinate in (5.19), multiplying this equation by f? and
letting next E ~ we obtain
dU,
ß(9, O)~ ()2u
+ -2a (9,0) _ = O.
dl:, nn d~2
Together with the boundary conditions and matching conditions this

yields as solution
u(~,9) = (m - c) exp {-2ß(9,0)~} + c in ° near dOm' (5.21)

a (9,0) nn
This constant c is still undetermined. Its value should follow from the
divergence theorem applied to u(x) and a solution p(S)(x) of the stationary
equation.
An Asymptotic Formula for the Quasi-Stationary Distribution

An approximation of p(s)(x) is found by making ilie WKB-Ansatz that it
has the same form as for one-dimensional systems:
w(!) = o. (5.22)
We choose the normalization constant in (5.22) such that
w(!) = 1 (5.23)
(so p(S)(x) equals the quasi-stationary distribution, apart from a multi-

plicative constant.) Substitution of (5.22) in the forward equation Mp(S) =
o with
d d2
M = - Ln _(b.(x)·) +_
E2 n
L _ _ (a ..(x)·)
; = 'dX; I 2 ;J = 'dX;dXj IJ
yields an equation with terms of order 0(E-2 ) and 0(1). Taking only in
aeeount the terms of leading order we have a first order partial differen-
tial equation for ",(x):
(5.24)
For the terms of 0(1) there remains
En(nE
;= 1 j = 1
a .. _
I}
a",aX +b.'ax;
)aw
_
j
(5.25)
For systems of gradient type having a speeifie relation between aij and
b;, a solution of equation (5.24) is easily found, see Exercise 5.7. We
proceed with the eonstruetion of a solution in ease this relation does not
hold.
The form of the solution (5.22) resembles that of the rays in geo-
metrieal optics. Then the exponent is imaginary and its equation, the
equivalent of (5.24), is ealled the eikonal equation for the phase. In the
style of geometrie al opties the solution of (5.24) is found by interpreting
the left-hand side of this equation as a Hamilton funetion H(x,p) with
p; = a",/ax;:
(5.26)
so that the eorresponding system of Hamilton equations reads
(5.27a)
(5.27b)
where the parameter s denotes the path variable along a eharaeteristie of

the nonlinear first order partial differential equation (5.24). The projee-
tion of a trajeetory of (5.27) in the x-spaee is called a ray in analogy

with opties. All rays leave from :!. A starting value is obtained by
setting
",(x) "" +(x - !)T P (x - !)
for x near :! with P a symmetrie positive definite matrix. Substitution in

(5.24) gives
PAP + PB + BTp =0,

where
ab. }
and B = { _'<!)
aX j nxn
This equation ean be transformed into a linear matrix equation by

multiplieation of the equation from both sides with S = p-I :
A + BS + SB T = O. (5.28)
This system ean be solved by eonsidering the eolumns of S as veetors

s(1), ••• , in). Then we can rewrite (5.28) as one veetor equation of the
=
form Qr V with Q an n 2xn2-matrix, V an n 2-vector and the n2-vector r
eomposed of s(1), i 2), ••• , s(n). Onee we have S = p-I we also have an
approximation of Pi at some value of x near :!:
P "" P(x -!).
Thus if we start on a sphere in the x-spaee with :! as eentre and with a

sufficiently small radius Ö we have starting values x(so) and p(so) and
can proeeed with the integration of (5.27) for s > SO' Sinee it is our goal
to eompute "', we inc1ude in our integration procedure the differential
equation
d", _ E a", dx j E P j dx j H(x,p) = i E aijPjP (5.29)

aX
- _ j
ds - j =I j ds - j =I ds i.i = I
with starting value
(5.30)
The accuracy of the result depends on the radius Ö of the starting

sphere. Varying the starting value on the sphere we find rays that cover
the x-space as far as we are interested to find a value of '1'. However,
two types of difficulties may arise. First if we are interested in the value
of 'I' at a particular point Xe' it may occur that we cannot find the
appropriate starting point on the sphere. Typically for the points we are
interested in, shooting methods tend to fail. Moreover, rays may inter-
sect at certain caustic points. This last difficulty does not occur that
often in practice. Special new approximations have to be made then at
such points, see Roozen (1990). The first problem, that of not reaching
certain points, is solved by replacing the initial value problem by a two
point boundary value problem for (5.27) and (5.29) with
'I'(s) --7 0 and x(s) --7:! for s --7 -00
and
Then this boundary value problem is repeatedIy solved with XI moving

each time more in the direction of the point xe for which we want to
know 'I'(xe). The solution to each problem is used as a first approxima-
tion of the next problem. The method can also be used to construct level
lines for 'I'(x). A domain enclosed by a levelline is in fact a confidence
domain for x, see Chap. 9. For more details about the numerical calcula-
tion of 'I'(x) we refer to Ludwig (1975) and Roozen (1990), where more
can be found on the computation of w(x) satisfying (5.23) and (5.25).
The idea is that w(x) is also computed during the integration process by
a differential equation replacing (5.25):
d
_(lnw 21 J)
1 ~
= -.L.J (ab. +
_I Pi.L.J
~ aa . )
_li (5.31)
ds I =I aXi i =I aXj
with
aXI aXI aXI
aal aan _1 as
J=
aXn aXn aXn
aal aan _1 as
Then an additional set of differential equations for ax;laaj (and ap;laa}
is required as weIl. These equations are found from differentiation of

(5.27).

Fina11y we arrive at the divergence theorem applied to u(x) given by
(5.21) and p(S)(x) given by (5.22):
f (P(s)Lu - uMp(S»dV = f p(s)u(b· u)

o ao
(5.32)
+ _E2 a a
'P (S») _ -p
~P(s) _ u _ u__ E2 (s)U n
'("'
LJ
aa
U . _ dS,
ij
2 ak ak 2 i,j = ) )ax I
where u denotes the outward normal on an and
_a = Ln a.(9,0)u(9)_
a (5.33)
ak i.j =) lJ I aX j
is the conormal derivative. The left-hand side of (5.32) vanishes

asymptotica11y, while the main contribution to the integral over an
comes from an E-neighbourhood of the boundary point (90 ,0) where
'I'(x) takes its minimal value at the boundary. If this is at the boundary
aOo, then the only way to let the right-hand side vanish asymptotically
°
is to choose c = in u(x) given by (5.21), because the only contribution
comes from the term with
It means that exit through an) is very unlikely if starting anywhere in n

away from an). If the main contribution comes from an) then we must
take c = 1 and exit through aQ) is likely if starting away from ano.
The Expected Exit Time

The divergence theorem can also be used to construct an asymptotic
approximation of the expected exit time. For the expected arrival time at
an, if starting in XE n, we have the boundary value problem
LT = -1 in n and T= ° at an. (5.34)
Combining the approach for constructing the asymptotic approximation

in one variable (Sect. 4.2) with the method of finding the exit prob-
ability in several variables (5.21) we obtain
T(x) "" K(E)(l - exp{ 2ß(8,0)

u nn(8,0)
~}) in n near an
and
T(x) "" K(E) in n away from an.
Application of the divergence theorem similar to (5.32) with u replaced
by T yields
J(p(s) LT - TMp(s»
n 2 an
J
d V = E2 p(S) aT dS,
ak
(5.35)
because T = 0 at an. At the left-hand side where LT = -1 the main

contribution comes from an E-neighbourhood of the equilibrium b where
for p(S) a Gaussian approximation can be made. At the right-hand side
the main contribution to the integral over an comes from an E-neigh-
bourhood of (80' 0). There for p(s) also a Gaussian approximation can be
made, so
or
2 21tdetR
E detP
with the nxn-matrix P and (n-l)x(n-l) matrix R given by
From this equation the constant K(E) can be derived. In such ca1cula-
tions we can use an expression for aTlak at an which we derive next.
The Conormal Derivative of T at the Boundary

The approximation of T valid near the boundary dn satisfies the relation
(5.36)
This can be seen as follows. Taking the conormal derivative of the

expression for T(x) obtained above, and using the fact that for ~ = 0
we easily find
[ dT] = 2K(E) ß(6,0) E a ..(6,0)'U.(6) ~.

dk an E2 a nn(6,0) i,j = I IJ I dXj
We now introduce p(x) being the distance of a point x near dn to the

boundary. It is noted that at dn this function satisfies 'U = -grad p. We
then obtain the relation between 'Ui and dsldxi
Substitution of this relation and the relations
that follow from the coordinate transformation (5.19), then yields the
expression for the conormal derivative of Tat the boundary dn.
An Example
Let us consider the stochastic process
dXl = -XI + EdWI(t), (5.37a)

dX2 = -X2 + EdW2(t) (5.37b)
within the domain
with r(<!» > r(0) for 0 < <!> < 2x, see Fig. 5.5. Thus, (r(0),0) is the
point of dn nearest to the origin. The corresponding Fokker-Planck
equation reads
(5.38)
Fig. 5.5. The domain n with boundaries dOo and dnl .

The probability of exit through the part dn l of the boundary with Xl >0
is governed by the boundary value problem
du dU dU
-x l - - x2 -
E2
+ _!lu =0 or -r_
E2
+ _du =0 in n
dX l dX2 2 dr 2
with
u(r(<!»,<!» =1 for -1CI2 < <!> < 1CI2 (dn l )
and
u(r(<!»,<!» =0 for 1CI2 < <!> < 31C12 (dnJ.
Using the transformation ~ = (r(<!»-r)/E 2 in the differential equation we

obtain the asymptotic solution of the form
and
The stationary Fokker-Planck equation in polar coordinates reads
1_
_ e2 _ _
d (rp(s» + _
r dr 2 r dr
{1
d (r __
dp(s) ) + ___
i)r
i)2p(S)}
dq,2
1
r
= O.
This equation admits a simple solution:
(5.39)
Applying the divergence theorem to the functions u and p(S) we conclude

from (5.32) that the right-hand side only vanishes if the main contribu-
tion coming from a neighbourhood of q, = 0 at dnl is suppressed, which
is the case for c = 1.
For the expected exit time we have asymptotically
For the present problem (5.36) takes the form
dT - dT-
-(r(0),0) = -(r(0) , 0)
dk dr
=-K(e) 2;:(0) = -~ 1'rtr"(O)1r(0) e"i(O)'IE!

E2 E
or
K(e) = _E_ vxr"(O) 1;:(0) e"i(O)'IE!.

;:(0)
5.4 Exit from Attraction Domain 91
5.4 Exit from the Domain of Attraction
Let us consider a dynamical system
x'(t) = b(x(t» (5.41)
with two stable equilibria and an unstable equilibrium at the manifold

separating the attraction domain of the two stable equilibria. Adding a
small random perturbation to the system, its state X(t) may switch from
one attraction domain to the other. The question arises what the
expected time of switching iso
Fig. 5.6. The domains of attraction of the stable equilibria of (5.42).
We study this problem from the prototype of system
dX] = X2 dt, (5.42a)
(5.42b)
with t' = (±1,0) being the stable equilibria and !o = (0,0) the unstable
equilibrium, see Fig. 5.6. The two deterministic trajectories, that
approach the unstable equilibrium !o form the boundary an between the
two attraction domains. They are parameterized by the path variable s
along an
x = .i(s) with .i(0) = !o.

For n+, the domain of attraction of fS. + we construct an asymptotic

solution p(s)(x) of the stationary Fokker-Planck equation
(5.43)
P(s)(x) = e-'!I(X)I",
'..2
'I'()
x = -23 (-XI2 + I
IX I
4
+ 2
X2
I
+I
) .
It will turn out that for the stochastic exit from n+ the behaviour of
p(s)(x) at :!o is crucial, because there 'I' takes its minimal value at the
boundary an. This result can also be understood as folIows. Near the
point :!o the deterministic system slows down, so that there is time for a
stochastic excursion to the boundary.
The problem for the expected time of exit from the attraction
domain n+ of fS. + is formulated as follows
LT = -1 in n+ with T = 0 at an, (5.44)

where
From anywhere in n+ away from an the state X(I) will most likely go
towards the equilibrium fS. + and stay in its neighbourhood for a long
time. Thus T will be approximately some E-dependent, exponentially
large constant, while near an T rapidly decreases towards the boundary
value zero. As before we make the transformation T(x) = K(E)'t(X) with
't(x) "'" 1 away from the boundary.
For the region near an we introduce the local coordinate system
(s, p) with p being the distance to an along the normal u(s) and with s
the distance from:!o to the point at an, where the normal u(s) is taken.
Furthermore, we stretch this variable according to
11 = pIE.
Then taking only in account the leading order terms, the equation for
5.4 Exit from Attraction Domain 93
't(s,11) reads
d't d't d2't

a,,2 = 0
I
p(s) - + q(S)11- + 2" r(s)-
dS d11
with
P2 = b I2 + b22 ,
and
and with boundary and matching conditions
't(s,O) =0 and lim 't(s,11) = 1.

'1-+-
Its solution is of the form (Schuss, 1980):
(5.45)
with "f{s) satisfying the Bernoulli equation
dy + q(s) Y _ r(s) y3 = 0, (5.46)

ds p(s) 2p(s)
which is a linear equation for 1/y2(S) with solution
"f{s) = [_fs r(a) exp{2

o p(a)
j q(~) d~} daJ-II2.
Cf p(~)
(5.47)
The constant K(E) follows from the divergence theorem applied to the
functions p(s)(x) and T(x) satisfying asymptotically the stationary forward
equation (5.43) and the inhomogeneous backward equation (5.44). The
divergence theorem states that
where a . lak is the conormal derivative

a 2 a
ak - L U .aX_
i,j = 1 1 j
with U the outer normal to the boundary. The left-hand side with LT =
-1 has its largest contribution from an E-neighbourhood of ;±+, while at
the right-hand side the main contribution comes from an E-neighbour-
hood of:!o at the boundary an.
Similar to (5.35-5.36) we obtain
~(s)aT] = _~ ~
L ak x E~ FP
'""
or
e-'I'<t.,lIE'K()
E i-
L... n._x 2 ~1CR
a't ( ) -_ __ __
i,j = 1 1 aXj -Q E detP
with n the vector at :!o = (0,0) normal to the trajectories approaching :!o
forming an, R the second derivative of ljI at :!o in the direction tangent
to an and P the Hessian of ljI at ;±+. In first order approximation we
have that
ljI(X )
InK(E) =~ (1 + 0(1» with ljI~) = %.
2 E
In De Swart and Grasman (1987) a similar 3-dimensional system is

analyzed, which stands for a low-dimensional spectral model of the
atmospheric flow with the two stable equilibria denoting respectively a
blocking pattern and a zonal circulation pattern. These are preferred
types of flow of the atmosphere. For this problem ljI(x) had to be
determined by the ray method through the integration of (5.27) along a
ray that from the system x' = hex) connects the stable equilibrium ;±+
with the unstable equilibrium at the boundary. For the ray equations
°
(5.27) a point (x, p) with x = ;± an equilibrium of the system x' = hex)
satisfies p = (see Exercise 5.9). Therefore, such a point is also an
equilibrium of (5.27). The ray that connects the equilibria corresponds
with a heterocIinic orbit of (5.27). In Sect. 10.1 we discuss the spectral
analysis of De Swart and Grasman (1987) in more detail.
5.5 Exercises 95
Barcilon (1996) analyzes a system of the type (5.42) with the

damping term j-X2 dt replaced by a vanishing damping, see also Stone
and Holmes (1990). For a different approach to multistability see
Colonius et al. (1996).
5.5 Exercises
5.1 Derive the result (5.10) by applying the singular perturbation

method to
with T =0 at an.
5.2 Consider the stochastic process
dXI = dt + edWI(t), dX2 = edWit), 0< e « 1
for the domain n = {x I~ > O} and approximate the distribution of

the points of arrival at ~ = 0, if starting in (0,1). Hint: use (5.9).
5.3 Consider the same stochastic process as in Exercise 5.2, but now
for the domain n = {x IXI < O} and approximate the probability of
exit through an l = {x IXI = 0, x2 < O} for any starting value xe n.
5.4 Consider the stochastic process
for the domain n = {x I Ix I< I} and approximate the probability of

exit through an l = {x Ixean, XI< O}. Hint: use polar coordinates
and apply the stretching ~ = (1-r)/e 2•
5.5 Consider the stochastic dynarnical system
dX; = f;(JQdt + edW;(t), i = 1, ... ,n
with ft..x) having an unstable equilibrium at x = O. It is assumed

that the eigenvalues of the deterministic system linearized at x = 0

are real with AI = a the Iargest one. Show that the expected time
of Ieaving an o(l)-neighbourhood of x = 0 is of the order -a-IInE.
5.6 Give an approximation of the expected exit time for the domain
Q = {(XI' ~) 1 XI < I} of the system (5.37) if starting in the origin.
5.7 Verify that if b(x) and a(x) of (5.15) are such that
with
a-l(x)b(P)(x) = -grad V(x) and b(r)(x)· grad V(x) =0

for some potential function V(x), we may directly take
",(X) = 2(V(x) - V(:Y).
5.8 Show that in general in a point of the boundary, where \11 takes its
minimal value, a\ll/ak = -2 b . 'U. (Hint: use grad", 11 grad '" 1 = 'U
and (5.24).)
5.9 Show using (5.24) that a point (x,p) with X = :! an equilibrium of

the deterministic system x' = b(x), satisfies p = o. (Hint: the back-
ward operator is assumed to be uniformIy elliptic.)
5.10 Consider the stochastic system
for the domain Q = {(XI' X2) I XI> O}. Approximate asymptotically

to first order the expected arrival time at the boundary of the
attraction domain of the equilibrium (l,0) if this equilibrium is
taken as starting point.
Part 111
Applications
6. Dispersive Groundwater Flow
and Pollution
In this chapter we apply the asymptotic approximation method of the

previous chapter to the problem of arrival of contaminants in the
groundwater at a pumping well. For the study of groundwater pollution
it is not sufficient to model the transport of particles by advection only.
In addition the mechanism· of macroscopic dispersion has to be taken in
consideration. It accounts for the random motion of individual particles
in the flow. In this study we assume that the hydrodynamic dispersion is
proportional to the velocity with coefficients a L in the longitudinal
direction and a T in the transversal direction, see Bear and Verruijt
(1987). We analyse the properties of the random walk model for par-
tides from the Fokker-Planck equation. The concentration function for a
pollutant is interpreted as the space-time probability density function for
a contaminated water particle as it makes a random walk. We will take
a L and a T constant. The method also applies to spatial heterogeneous
dispersion constants, see Van Kooten (1996).
In Fig. 6.1 a typical pattern of flow towards a well is shown.
Separating streamlines ending in the stagnation point bound the region
of advective flow towards the well. As a result of dispersion a contami-
nated particle released in a point outside this stream domain may cross a
separating streamline and enter the well. Since dispersion contributes
considerably less to the displacement of a particle than advection we
approach the dispersion problem by perturbation techniques. The advec-
tive flow, computed either analytically or numerically, is the first order
approximation. Then using boundary layer techniques we compute,
where necessary in the domain, a second order approximation which
takes into account the dispersion. It turns out that transversal dispersion
near a separating streamline (towards a stagnation point) makes it
necessary to introduce a boundary layer correction.
Let at x = Xo be a source of pollution which starting from t = 0
contaminates the environment at a constant rate r, then the concentration
c(x, t) satisfies
100 6. Dispersive Groundwater Flow
(6.1a)
C(X,O) = 0, (6.1b)
where v is the veloeity vector, D the dispersion matrix and <>(x - xo) the
Dirae &-funetion in Rn, n = 1,2,3. The entries of the symmetrie matrix D
are given by
with <>ij the Kroneeker delta. For t ~ 00 the stationary state is reaehed
with the eoneentration c(x) satisfying
(6.2)
A one time spill of an amount q of eontaminating matter is deseribed by
(6.3a)
C(x,O) = q<>(x - xo). (6.3b)
Instead of deseribing the spread of a pollution by the eoneentration

c(x,t) satisfying (6.3) we mayas well follow the path of one partic1e.
Due to the dispersion we only know the position of the partic1e at a time
t with some probability . The probability density funetion p(x, t) satisfies
the same equation as c(x,t), see (6.3). It is the Fokker-Planek equation:
-ap = Mp, p(x,O) = ()(x - xo)' (6.4a)

at
M =-1: _a {(v. +
n 1:
n a )}
• +
...::..J).. 1:
n _a_
2
(D .. . ). (6.4b)
;=1 ax; 1 j=1 aXj I) ;,j=1 ax;axj I)
In the situation of Fig. 6.1 the well is exc1uded from the domain n
by a cireular domain with boundary an
l , away from the separating
6.1 Symmetrie Flow Field 101
streamlines. (For an!

we may take the point that denotes the position of
the weB.) The solution u(x) of the Diriehlet problem
Lu=O in n, (6.5a)
u = I at an!, u = 0 at ano, (6.5b)
equals the probability that a particle released at XE n reaehes an the

first time at the partan!. If the distanee ofano to the weB is sufficient-
ly large and x is not near ano,then u(x) also equals the probability that
a particle released at x reaehes the weB. Beeause the adveetive eompo-
nent of the flow dominates the dispersive eomponent, the probability of
reaehing the weB rapidly ehanges from about 0 to 1 in a boundary layer
along a separating streamline ending in the stagnation point. In Seet. 6.1
we study the dispersion through sueh a boundary layer for asymmetrie
flow, and in Seet. 6.2 for an arbitrary flow field with a stagnation point.
Fig. 6.1. A typical pattern of flow towards a weH. The weB is excluded
n
from by a eireular domain with boundary an!.
6.1 The Boundary Layer for aSymmetrie Flow Field
We first eonsider the 2-D symmetrie flow field near a stagnation point,
see Fig. 6.2. The adveetive flow is then given by
v(x,y) = (-x,y),
so that Lu = 0 takes the fonn
du + y_
-x_ du + _d (dU
D _ + D _dU)
dx dY dx xx dx xy dY
+ _D
d (dU_ +D _dU) = O. (6.6a)
dy xy dx YY dy
We will study the exit problem for the domain
n = {(x,y) I y > -R}

with R > 0 and y = -R away from y = O. Beeause of dispersion a eon-
taminated particle starting in the upper half plane may eross the separat-
ing streamline y = 0 and reaeh the boundary dn j : y = -R. The probabil-
ity u(x,y) that a partic1e starting in (x,y) E n reaehes y = -R satisfies
(6.6a) with boundary eonditions
u(x,-R) =1 and lim u(x,y) = O. (6.6be)

y .... =
Fig. 6.2. Dispersion through the boundary layer along the separating
streamline for the 2-D symmetrie flow with a stagnation point.
The dispersion tenns are given by
D xx = a T Iv I + (aL - a T)x 2 , Iv I ,
Dxy = -(aL - aT)xy 'Iv I, (6.7)
D yy = a T Iv I + (aL - a T)y2 , Iv I .
The probability u rapidly ehanges from elose to 0 to elose to 1 in a

boundary layer along the x-axis. Outside this boundary layer we may
negleet the dispersion tenns. There (6.6a) may be approximated by its
advective part
dÜ
-x_ + y_
dÜ = o. (6.8)
dX dy
For a partiele starting in a point (x,y) in the upper half plane outside the
boundary layer this yields the approximate solution ü = 0, and for a
partiele starting in the lower half plane outside the boundary layer ü = 1.
We now analyse (6.6) for a partiele starting in a point (x,y) of the
boundary layer with x > o. The ease x < 0 may be treated in the same
way. In our analysis we exelude a small neighbourhood of the origin
where a different approximation has to be made. Its outeome has only
very loeal importanee and is therefore not analyzed. We introduee a
loeal eoordinate 11: substitution of y =11VaT in (6.6a) yie1ds after letting
a T , aL ~ 0
(6.9a)
Matehing of ü(x,11) to the outer solutions ü = 0 and ü = 1 along the

eharaeteristics xy = eonstant of (6.8) leads to the eonditions
ü(x,11) =0 for 11 ~oo and X1l = c > 0, (6.9b)
Ü(x,11) =1 for 11 ~ - 0 0 and X1l = c < O. (6.ge)
For starting points in the boundary layer we thus obtain the solution for
the probability of arrival at dQI
(6.10)
The Expected Arrival Time

In a similar way we eompute the expeeted arrival time Tl(x,y) at l an
from the solution of the Diriehlet problem LT = -u in n and T = 0 at
an (see Chap. 2). For a starting point (x,y) in the upper half plane
outside the boundary layer we may approximate the Dirichlet problem
by
aT
-x_ + y_
aT = 0, (6.11a)
ax ay
lim T(x,y) =0 (6.11b)
with solution
T=O. (6.12)
For a particle starting in the lower half plane outside the boundary layer
we have the approximation
aT
-x_ + y_
aT = -1, (6.13a)
ax ay
T(x,-R) = O. (6.l3b)
The solution is given by
T(x,y) = -ln(-y) + InR, (6.14)
wh ich equals the adveetive travel time to the boundary y = -R. For
starting points in the boundary layer substitution of the loeal eoordinate
11 in LT = -u leads to
(6.15a)
where T is matched with the outer solutions (6.12) and (6.14) along the
characteristics xy = constant. We obtain the matching conditions
T(X,11) = ° for 11 -700 and X11 =c > 0, (6.15b)
T(X,11) :::: -ln(-11) - 2.lna T + InR

2
for 11 « -1 and X11 = c < 0. (6.15c)
We can easily find a particular solution for (6.15a):
T/x,11) = Ü(x, 11) lnx . (6.16)
Setting
(6.17)
and introducing new coordinates
(6.18)
we obtain the following homogeneous initial value problem for the

function Th( 't, ~)
iJTh iJ 2 Th
(6.19a)
iJ't = iJ~2'
(6.19b)
(6.19c)
This is satisfied by
Finally, returning to x,11-coordinates and using the relation Tl = T/u, we

obtain the expeeted arrival time for starting points inside the boundary
layer
T.bound(X, Tl) = -2.lna

2 T + InR
Ir'
J
~ l~
- { J e
~
~ dt}-I In(-Tl +t{ 2xI3 ) e-~ dt. (6.21)
Tj/V(2x/3) TltV(2xI3)
Table 6.1. Probability of arrival u and expeeted arrival time T at the

boundary y = -R with R = 2. Values for U'imul and Tsimul have been
obtained from N = 1000 simulations at eaeh starting point (x,y) with
x = 4; aL = 0.125 and a r = 0.05. The asymptotie approximations uasympr
and Tasympr have been eomputed from (6.10) and (6.21).
Y usimul Uasympt Tsimul Tasympr
0.4 0.13 0.14 2.84 2.84

0.3 0.24 0.21 2.63 2.73
0.2 0.30 0.29 2.59 2.60
0.1 0.42 0.39 2.44 2.47
0 0.51 0.50 2.35 2.32
-0.1 0.62 0.61 2.20 2.17
-0.2 0.70 0.71 2.01 2.01
-0.3 0.80 0.79 1.84 1.84
-0.4 0.87 0.86 1.66 1.67
A Cornparison with the Random Walk Model

We illustrate the asymptotie results for the symmetrie flow field with the
results of random walk simulations. The system of stoehastie differential
equations beeomes
6.2 Arbitrary Flow Field 107
A Monte Carlo simulation run for the symmetrie flow, similar to the one
for the uniform flow in Sect. 5.1, yields the results given in Table 6.1.
6.2 The Boundary Layer for an Arbitrary Flow Field

We now consider an arbitrary flow near a separating streamline ending
in a stagnation point, see Fig. 6.3. The flow is assumed to be free of
sources and sinks and irrotational in n, for wh ich the streamlines
leading towards and away from the stagnation point are perpendicular.
introduce new coordinates sand u. The coordinate s > °

We generalize the method used above for the symmetrie flow field. We
is the
coordinate along the separating streamline and U the one perpendicular
to it. The stagnation point is in (s, u) = (0,0). Let the velocity vector
near the separating streamline be given in new coordinates by
(v(s, u), w(s, u»). (6.22)
Along the separating streamline we assume a boundary layer of width

O(va r). For starting points inside this boundary layer we introduce the
local coordinate
Fig. 6.3. Arbitrary flow field near a stagnation point with coordinates s
and u along and perpendicular to the separating streamline.
(6.23)
Switching from the coordinates sand u to sand 11 we obtain from

Lu = 0 after letting a r , aL ~ 0 the asymptotic approximation
(6.24)
with ü(s,11) to be matched with the outer solutions Ü =0 and Ü =1

along the characteristics of the advective equation
dü
v(s,u)_ + w(s,u)_ =
dü o. (6.25)
ds du
The previous example suggests a solution of the form
1 J~ _'t 2
ü(S,11) = -- e"! dt. (6.26a)

J21t '1)(s)
Substitution in (6.24) yields
w (s,O)
y'(s) + u y(s) + y3(S) = O.
v(s,O)
Making use of the relation Wu = -v" at u = 0 for a flow that is free of

sources and sinks we find the solution
(6.26b)
The expression for u can be used to construct confidence domains where

e.g. 5% or less of the released pollution reaches the protected zone.
We note here that the problem of crossing a separatrix for starting
points in its neighbourhood is also considered by Mangel and Ludwig
(1977) and by Mangel (1979). They obtain comparable results for the
probability of arrival by constructing a formal asymptotic series solution
suggested by the analysis of a one-dimensional version.
The Expected Arrival Time

We now turn to the asymptotic solution of the Dirichlet problem
LT = -u in n, T = 0 at an, from which the expected arrival time at an!
can be obtained. Again we determine solutions on subdomains and
match them. For starting points in tbe region of advective flow towards
an! we also construct a composite expansion that is valid botb inside
and outside the boundary layer.
Starting points outside the boundary layer. For starting points in n

outside the boundary layer and not at the same side of the separating
streamline as an! we may neglect the dispersion terms. Approximating
u by ü = 0 we obtain the outer solution
T=O. (6.27)
For particles starting in n outside the boundary layer and at the same
side of the separating streamline as an! we may neglect the dispersion
terms and approximate u by ü = 1. This yields the advective travel time
Tadv to the boundary an! as solution of the Dirichlet problem. For
matching purposes we are interested in the bebaviour of tbis outer
solution Tadv near the boundary layer. In Van Herwaarden (1994) an
expression is obtained for this behaviour by making use of new
coordinates 0' and 11 near tbe streamline leading away from the stagna-
tion point in the direction of an!. The coordinate 0' < 0 is the coordinate
along this streamline and 11 the one perpendicular to it. By taking the
stagnation point as (0',11) = (0,0), denoting the point of intersection of
this streamline and an! as (0',11) = (O'b' 0), and writing the velocity
vector near this streamline as (r(O',I1),m(O',I1», the following expression
is derived for the behaviour of the outer solution for -1 « u < 0
1
Tadv(s, u) :::: ln(-u) + T (S'O'b) (6.28a)
vs(O,O) feg
with
o
Treis'O'b) = 1 In v(s,O) + f_l- _ 1 d$'
vs(O,O) -O'b vs(O, O)s s v($',O) vs(O,O)$'
f
ab
+ 1 (6.28b)
o r(Ö',0)
Starting points inside the boundary layer. For starting points in the
boundary layer we detennine T from
i)T i)T i) 2T _
v(s,O)_ + w (s,O>11- - v(s,O)_
i)s '\l i)11 dTt 2
-u(s,11), = (6.29a)
where we match T with the outer solutions (6.27) and (6.28) along the
characteristics -11V(s,O) = constant of the advective equation. This leads
to the conditions
T(s,11) = ° for 11 ~ co and -11v(s,O) =c > 0, (6.29b)
+ T (S'O"b)
T(s,11) <::
vio,1 0) In(-11v'a r ) reg
for 11 « -1 and -11v(s,O) = c < 0. (6.29c)
A particular solution of (6.29a) can be found
f_1- w,
s
T (s,11) = -ii(s,11) (6.30)
p p v(s,O)
where ß is an integration constant. Setting

(6.31)
yields a homogeneous problem for Th(s,11). By introduction of the new

coordinates
f
s
't = v(s,0)2ds, (6.32a)

o
~ = -11v(s,O) (6.32b)
we obtain for Th('t,~) the initial value problem
i)Th i) 2 Th
(6.33a)
i)'t = i)~2'
Th(O,~) = ° for ~ > 0, (6.33b)

(6.33c)
with
G.
+ [ r(;,O) - rG(O~O)Ö dö. (6.33d)
This is satisfied by
J g(~
-
- tfi/t) e-"!
If
dt. (6.34)
r./~(2t)
Expressing this solution in s;l1-coordinates and using (6.31) we find the

solution for T(S,11). By adding Tis,11) the integration constant ß is
removed. Using the relation T1 = Tlu we obtain the boundary layer
solution for the expected arrival time
with Treis,eJb) given by (6.28b) and )'(s) by (6.26b). We note that for the
evaluation of Tbound the velocity field only needs to be known along the
separating streamlines leading towards and away from the stagnation
point. It is also remarked that the boundary layer solution does not
depend on the particular shape of the boundary an 1, but only on the
point of intersection of an 1 with the streamline leading away from the
stagnation point. This can be explained intuitively by noting that starting
points inside the boundary layer are situated on streamlines that
approach very closely the streamline leading away from the stagnation
point. It is expected that in higher order approximations more properties
of the boundary an! are contained.
112 6. Dispersive Groundwater Aow
A composite expansion. For particles released in n in the region of

advective flow towards an l we have found two approximations for the
expected arrival time at an l . For starting points outside the boundary
layer we have the advective travel time T adv as approximation. For
starting points inside the boundary layer we have the approximation
Tbound given by (6.35). It is possible to construct a composite expansion
to avoid the difficulty of deciding whether a point is within or outside
the boundary layer, see Van Dyke (1975):
T comp = Tadv + Tbound - Tmatch' (6.36)
where Tmatch is given by the right-hand side of Eq. (6.28a). Inside the
boundary layer Tmatch cancels T adv ' SO T comp reduces to T bound ; outside the
boundary layer Tmatch compensates Tbound' which results in T comp "" T adv '
We note that for the symmetrie flow problem T comp and Tbound are equal.
Application to a Weil in a Uniform Background Flow

As an example of the method developed in the foregoing section we
consider the pollution of a weIl in a uniform 2-D background flow. The
complex potential for the flow field is
ro(z) =z - ln(z + 1), z =x + iy. (6.37)
The background flow is given by the velocity vector (1,0). The well is
located in (-1,0). For the velocity components one can derive
v _ dx _ x2 + X + y2
(6.38a)
x - dt - (1 + X)2 + y2 '
v = dy = -y (6.38b)
y dt (1 + X)2 + y2
Tbe stagnation point is (0,0) and the separating streamline is given by
x = -1 + _y_. (6.39)
tany
For particles released inside the stream domain of the weIl the advective
travel time to the weIl is given by
Tadv(x,y) = ln~
smy
- ln(-Y- - X-I) - x - I ,
tany
(6.40)
see Van der Hoek (1992). The region n is the x,y-plane from which we
have excluded an arbitrarily small circular domain with boundary an!
containing the weIl, see Fig. 6.4. Because of the symmetry we can
restrict our analysis to the upper half plane y ~ O. A point (x,y) of the
separating streamline towards the stagnation point corresponds in s;u-
coordinates with (s,O), where
s = fY (1 + (~ _ +)2)!l2 dy . (6.41)
o tany sm y 2
We first consider the probability ii(s, TI) that a particle starting in a

point (s, TI) of n reaches the weIl. It is given by (6.26ab). Using (6.41)
we can express y(s) as a function of y. We obtain
y(s) = ( 2 Q(Yt! IY
Q(y'")R(y'")dy
)-112
(6.42a)
Fig. 6.4. Flow pattern for a weIl in a uniform background flow. The
weIl is located in (-1,0).
with
(6.42b)
and
R(y) = (1 + (_1__ _ Y_ )
2)112
(6.42c)
tany sin2y
For a particle starting in a point (s, TI) of the boundary layer the
expected arrival time Tbound(S, TI) at the well is given by Eq. (6.35) with
ab = -1. It is possible to express Tbound(s, TI) as a function of y and TI.
We obtain
Tbo nd(s,T1)
u
= -2.1na
2
T - _y_ _ 2.1n(1 +
tany 2 lY(~ __ 1_)2)
tany
-{j e-~12dt}-1 j In(-T1 + tl)'(s»e-~12 dt. (6.43)

TJ)'(s) TJ)'(s)
We can use this boundary layer solution to construct a composite expan-

sion Tcomp according to (6.36). It is valid for starting points in the region
of advective flow towards the weIl both inside and outside the boundary
layer. We obtain
Tcomp = Tadv - + Ina T + In(-u)
- {f e-"!
00 1,2 00 1,2
dt}-l fln(-T1 + tl),(s»e-"! dt. (6.44)
TJ)'(S) TJ)'(S)
A Comparison with the Random Walk Model

We compare the analytical approximations for a weIl in a uniform back-
ground flow with the results of random walk simulations. The stochastic
differential equations are of the same type as in Sect. 6.1. Figure 6.5
yields results for the probability of arrival at the weIl. On the separating
streamline we consider the point C with coordinates (s,u) = (2.958,0)
corresponding with (x,y) = (-1.915,2). For a number of starting points

at the normal of the separating streamline through C a Monte Carlo
simulation run (N = 2000) has been made. In this way an approximation
has been found for the fraction of particles that reaches the weH. In Fig.
6.5 this fraction is compared with the asymptotic approximation for the
prob ability of arrival at the weH given by (6.26) and (6.42). The simula-
tion results for the expected arrival time at the weH are presented in
Figs. 6.6. In Fig. 6.6a they are compared with values of the boundary
layer solution Tbound given by (6.43) and the advective travel time Tadv
given by (6.40), which approximates the expected arrival time in the
stream domain of the weH outside the boundary layer. In Fig. 6.6b these
simulation results are compared with values of the composite expansion
Tcomp given by (6.44) for starting points inside the stream domain of the
weIl, and again with values of Tbound outside this domain. For increasing
1) > 0 the simulation results are based on a decreasing number of
particles that arrive at the weH. Therefore the error in these results
increases. It is noted that outside the boundary layer Tadvand Tbound do
not differ much (see Fig. 6.6a). This is due to the regular structure of
the uniform background flow. It is expected that for irregular flow
patterns this will not be the case. Then the composite formula is indis-
pensable for making an accurate approximation.
1.0
.s \
\
\ ,
x
.2
.1
-.12 -.06 o .06 .12 1)-
Fig. 6.5. Probability of arrival at a weH in a uniform background flow

from N = 2000 simulations at each point (s,1) with S = 2.958 (x); a T =
0.001 and a L = 0.01. The asymptotic approximation (--) has been com-
puted from (6.26) and (6.42).
(a) (b)
v- -.36 -.12 0 v- -.36 -.12 0
Fig. 6.6. Expected arrival time at a wen in a uniform background flow

from N = 2000 simulations at each point (s;u) with s = 2.958; a r =
0.001 and aL = 0.01. Simulation results are compared with the
asymptotic approximation Tbound' the advective travel time T adv and the
composite expansion T comp' ca1culated from (6.43), (6.40) and (6.44),
respectively. (a) Simulation results (x) compared with T adv (_) and T bound
(--). (b) Simulation results (x) compared with T comp ( - ) and Tbound (--).
A Contaminant with First Order Decay or Kinetic Adsorption

If a contaminant decays at a rate A. proportional with the concentration
the Fokker-Planck equation (6.4) changes into
(6.45)
Setting Pi. = pe-'M we observe that p must satisfy the original equation
(6.4). The factor e-'M can be seen as the probability that a particle has
not been "killed" before time t. For A. = 0 a particle starting in the
region of advective flow towards the weH, away from a separating
streamline, arrives at the wen with a probability u "" 1. For A. > 0 this
probability changes into
with Tadv the time needed to arrive at the weH coming from x with
dispersion disregarded (aT = a L = 0). In the boundary layer near the
separating streamline, where for A = 0 the prob ability of arriving at the
weH is approximated by (6.26), the formula changes for A > 0 into
u(s,u) = -1- f= U ( S, U -
a
__
i t ) e--ir' dt
/2
fiiC
sing
11"((S) y(s)
with
where Tsing is again the advective trave1 time towards the weH, approxi-
mated for -1 « u < 0 by (6.28ab), and u = Tl'laT' For more details, see
Van Kooten (1995).
The problem of first order reversible kinetics can be transformed to
the form (6.4) that has been analyzed before. Let c(x,t) be the concentra-
tion of the poHutant in the groundwater and s(x, t) that in the solid
medium adsorbing it for some time. Then the advection-dispersion
model reads
_dc = - d
En _(v.c) + En _d ( D .. _dc ) ds,
-_ (6.46a)
dt j = 1 dX i I i,j = 1 dX i IJ dXj dt
(6.46b)
The kinetic-adsorption process is then considered as a stochastic process

in which particles are alternately in the fluid and in the sorbed phase.
The residence time distributions can be used to decouple the transport
equation (6.46a) and the reaction equation (6.46b), see Van Kooten
(1996) for a fuH description of this method. Furthermore, the application
of the above method to an arbitrary 2-D flow pattern with sinks and
sources has been brought in a software package. This package, called
ECOWELL, uses the above asymptotic solutions for a boundary layer
region that is computed numericaHy from the given stream pattern.
Dispersion may be either homogeneous or heterogeneous.
7. Extinction in Systems
of Interacting Biological Populations
In Sect. 4.3 we already dealt with a single population that has a

stochastic logistic dynamics. In this chapter we fuHy analyse two
examples of two-dimensional systems: a prey-predator system and the
epidemiological problem of contact between infectives and susceptibles.
The method we use is rather complex. It is for that reason that we do
not expect that the method will be taken over by population biologists.
In Sect. 7.3 we show how the problem of extinction of one population
within a system of interacting populations can be approached in a more
conceivable way using a stochastic logistic approximation. Other bio-
logical applications of stochastic exit are found in Capocelli and Ricciar-
di (1971), Ebeling and Engel-Herbert (1982), and Cobb and Zacks
(1985).
7.1 A Prey-Predator System
Let N,(t) and N2(t) be respectively the size of the prey and the predator
population at time t. The transition probabilities over the time interval
(t,t+&) are given in Table 7.1, where
Cl, = b, - d, > 0, ~ = -b2 + ~ > 0 and 0< 0< 1. (7.1)
The probability of the event that either population increases or decreases

with 1 in a time interval of length & is given. The probability of two or
more events taking place in that time is of the order 0«&)2) and is not
taken in consideration.
7.1 A Prey-Predator System 119
Table 7.1. The transition probabilities of the prey-predator system.

transition probability
Using the scaling
(7.2)
we find for the change &; over the time interval (/,t+&):
and
where
Taking in account only terms of order 0(&), we obtain for the variance
For the corresponding diffusion process we have as Fokker-Planck

equation
120 7. Extinction in Interacting Populations
ap -_Mp =_ 'E --(bix)p)

-a a 2 {
+_1 a
_(a.(x)p)
2 }
,
K 1 +K2
K=_.."..-_
t aXj=l 2K ax/
j J 2
(7.3)
with
and
where
The deterministic system
x'(t) = b(x(t»
has three equilibria
!.(O) =(0,0), ll) =(1,0) and !.(6) =(1 - ö, ö),
see the phase portrait in Fig. 7.1. The equilibrium !.(6) is asymptotically
stable.
Xl -
Fig. 7.1. Phase portrait of the deterministic prey-predator system.
For K large the system will be most of the time near the equilibrium
l~). From time to time there will be a large excursion. At such an
occasion it may happen that either the boundary XI = 0 or the boundary
Xz = 0 is reached. This will occur with probability one within a finite
time. We pose the following questions: what is the probability that the
predator gets extinct first and what is the expected time that the bound-
ary is reached?
We have to combine the approach we made for the one population
problem of Sect. 4.3 with the analysis in several dimensions of Sect.
5.4. We first have to derive an asymptotic expression for the probability
u(x) of exit at boundary x2 = 0 given X = (X I ,X2) as starting point and for
the expected arrival time T(x) at the boundary. Both solutions contain a
yet undetermined constant which follows from the divergence theorem.
For that purpose an approximating solution p(s)(x) of the stationary
Fokker-Planck equation has to be found as weIl.
Probability that the Predator Becomes Extinct First

For the probability u(x) we have the boundary value problem for the
domain
with
Lu == E2 { au + _Ja.(x)
b.(x)_ __
a2u} = 0 in n, (7.4)
i = I J aXj 2K ax/
u = 0 at ano = {x I XI = 0, Xz > O},
u = 1 at an l = {x IXI > 0, Xz = O}.
Away from the boundaries u(x) "" c, see Sect. 5.3. Near ll) = (1,0) we
expect a local boundary layer, see Fig. 7.2. Using the transformation
(7.5)
we obtain after letting K -7 00

x{~)
0-
........._ _ _ _ _ _ _ _ _.l..-I--.X;;;..{_I) ....,J1'--____ !O(I1K)

o u=l
Fig.7.2. Boundary layers for the exit probability.
with
u(~. 0) =1 and lim u(~. TI) = C.

11--+-
This problem allows as solution
with
For the solution along the remaining part of anl' only the transform-
ation
(7.7)
is chosen. Substitution in (7.4) yields after letting K ~ 00
with conditions
U(XI' 0) =1 and lim u(xl' Tl) = c.

11--+-
Substitution of the similarity solution
(7.8)
leads to a linear differential equation for I(X I):
Its solution must be such that u(xI , Tl) matches (7.6) for XI ~ 1, or
lim I(X I ) = 1IlC.

x,--+I
This condition is met by
X )o.,la,( 1 _ X)o.,ö/<a,(l-Ö»
I(X I) = f 2cx (l-
I
x,
E2 - E 20s::
l
+ °2
s:: X
a)(1- x)x
(
_
XI
__
1- XI
dx. (7.9)
We note that the solution (7.6) is contained in (7.8-7.9). Therefore,

(7.8-7.9) is valid in a boundary layer of thickness O(~I) along the Xc
axis.
Along the x2-axis we expect a similar boundary layer, so we get
(7.10)
Substituting (7.10) in (7.4) and letting K ~ 00 we obtain
with a same type of solution
(7.11)
We obtain
with solution
(7.12)
The constant e is determined by matching u(1;,x2) with the outer solution

u = c along the characteristics of the advective equation yielding e = 0.
The three locally valid approximations can be put toge~er in a global
approximation
(7.13)
This approximation is valid in Ö = {x Ixj ~ 0, j = 1,2} except for a ~)

neighbourhood of the origin. A "corner layer" correction can be made,
but is not needed for the purpose of using u(x) in the divergence the-
orem.
The Stationary Fokker-Planck Equation

A function p(s)(x) satisfying the stationary equation Mp = 0, see (7.3), is
found in the way of Sect. 5.4. It is assumed that
with
For the computation of ",(x) and w(x) we may proceed in the way of
Sect. 5.3 by solving an equation of the type (5.24-5.25) along rays in
the x),x2-plane starting at a small circle around lÖ). The function ",(x),
which satisfies
t (h. + .!.2
j = ) J
a.
J
a",)
aX aX
j
a", = 0,
j
(7.14)
is found in an analogous way from the system of differential equations

for Xk' Pk (= aV/axJ and V:
(7.15a)
dP
_--L
k _ i.. (ab
_p.+ j
_ aa
1 _j Pj 2) , k = 1,2, (7.15b)
ds j = I aXk 1 2 aXk
_dV = :E2 1
_a.Pj'
2
(7.15c)
ds j=12 1
For use in the divergence theorem we are interested to know where V(x)
takes its minimal value at the boundary an. It can be shown that this
minimum value must be at an equilibrium of the deterministic system.
We will verify that it is reached in t l ) = (1,0). We first determine the
behaviour of V(x) in the neighbourhood of the boundary x 2 = O. Substi-
tuting the expansion
(7.16)
in (7.14), rearranging terms and setting the coefficient of x~ equal to

zero, we obtain
d'ifo 2a l (1 - XI)
dxl =- EI + Öl XI
with solution
From these equations we infer that the only extremum of the function
"'(XI'~) along the boundary X 2 = 0 is a minimum for XI = 1, that is in
the saddle point ~(1) of the deterministic system. Therefore, along the Xc
axis the probability density function p(S)(x) is peaked near XI = 1. This is
in agreement with the solution of a one-dimensional variant of our
model (~ = 0), cf. Sect. 4.3. We note, that substitution of the expansion
(7.16) into (7.14) also admits the relation d\f1o/d.x l = 0, which yields
\f!o(x l ) = constant. This solution does not lead to a probability density
function that is in agreement with the one-dimensional variant and is,
therefore, omitted. We note that substitution into (7.14) of the expansion
(7.18)
along the boundary XI = 0 yields 'lIo'(x2 ) = 0 or 'lIo'(x2 ) = 2~/E2 > 0, so

we conc1ude that the minimum value of 'I'(x) at the boundary an is
reached at the point :!(I).
For use in the divergence theorem we now determine the behaviour
of 'I'(x) in the neighbourhood of ll) in more detail. We substitute the
expansion for small values of (XI - 1) and x2
(7.19)
into (7.14). Working this out we find that 0/1 = 0 and that 0/2 = 0 or
0/2 = -K with K given by (7.6b), corresponding with the equilibria
of the system (7.15ab) of ray equations. The value of % = 'I'<:!(I» is

undetermined by the substitution of (7.19) in (7.14). It is computed by
integration of the system (7.15) along the ray connecting :!(Ö) with :!(I).
Since this ray corresponds with a heteroclinie orbit of (7.15) the starting
point and end point can only be reached approximately. For the way of
approximating numerically the ray that connects lÖ) with :!(I) we refer to
the technique of Roozen (1990), see Sect. 5.3. It appears that the
corresponding heteroclinic orbit of (7.15) connects the saddle point
<:!(Ö),O) with the saddle point <:!(I),Pö(I» given by (7.20b). Therefore, the
solution 0/2 = 0 is omitted. Substitution of (7.19) in (7.14) also yields
0/3 = 2a./(E I + Öl) or 0/3 = O. Only the former value agrees with the
solution for \f!o(x l ) along the boundary X 2 = 0 given by (7.17), which can
be seen by expanding (7.17) in a Taylor series around XI = 1. We
conc1ude that near :!(I) we have the expansion
(7.21)
If we try to integrate the equation for w(x) given by
j =I
(d'l' )dw
:E2 a._+b. _+:E2 _a._+ _
J dXj J dXj j = I 2 J dX/ dXj dXj
(1
daj _ w-O azv d'l') _ (7.22)
we find a singularity at the end point !.(1). When we analyse the behav-
iour of p(S)(x) locally at !.(I) direcdy from the differential equation (7.3)
by the transformation
we obtain for K ~ 00 the equation
which is satisfied by
(S)(~ ) _ const -a;,~2/(E, + 11,) + 1CIl (7.23)

P ~,11 - -- e .
11
The exponent agrees with the expansion (7.21) we have found for 'I'(x).
This solution indicates a singular behaviour of the function w
1
w-_.
x2
We note that this agrees with the result of substitution of the expansion
for small values of (XI - 1) and X2
and (7.21) into equation (7.22). This leads to recurrence relations for the
coefficients W i ' leaving the constant Wo undetermined. The numerical
integration of (7.15) and (7.22) along the ray connecting !.(II) with ll)
yie1ds us the unknown constant Wo as well as 'I'(;!(1).

We now apply the divergence theorem to the functions u(x) and p(s)(x)
for a domain
~ = {x IXI > EK-t, ~ > EK- I } with 0 < t « 1.
It is noted that the boundaries XI = 0 and X 2 = 0 are exc1uded because of

the singular behaviour of p(s)(x) and of other terms arising in the diver-
gence theorem:
J(p(S)Lu - uMp(S» dx l dx2

n,
with u j the components of the outer normal at the boundary an

e • The
left-hand side of this equation equals zero, while the main contribution
of the right-hand side comes from the neighbourhood of the point X =
(1,EK"I) where p(s) takes its maximal value. Using the approximations
valid in this neighbourhood
(7.25)
with the expansion (7.21) for 'I'(X I,X2), and
see (7.6), we obtain letting t ~ 0
So we find that
c = 1.
Consequently, from formula (7.13) we may conc1ude that u "" 1 every-

where except for points at a distance O(lIK) from the boundary Xl = O.
This means that X2 = 0 is the most likely exit boundary. Since in the
divergence theorem the contribution coming from the part of the bound-
ary near i l ) is relevant, the exit will most likely occur in a K- I12-neigh-
bourhood of this point.
The Expected Exit Time

For the expected extinction time T(x) we have, using the approach of
Sect. 5.3, an approximation like the one for u(x), see (7.13):
(7.26)
with 't(K) exponentially large. In the divergence equation' for p(s) and T
the left-hand side reduces to the integral of _p(s) over the region OE
because of the relations LT = -1 and Mp(s) = 0, while the right-hand side
is again determined by the contribution coming from the boundary
Xl = €K l . We obtain (i = 2)
At the left-hand side the main contribution to the integral comes in OE

from a K- I12-neighbourhood of ~(a). At the right-hand side it comes in
a~ from a neighbourhood of the point (l,€K l ). Using the approxima-
tions valid in this neighbourhood (7.25) for p(s)(XI ,X2) and
and letting E ~ 0, we obtain
with
Q_[ d~ ]
- dXidXj~)
so that, using expression (7 .6b) for 1(,
't(K) = 1- Ö ~ elJlctl)K. (7.27)

wo~ö ~iieiQ
7.2 Tbe SIR-Model in Stocbastic Epidemiology
We consider a type of infectious disease in an open population which is

described as folIows. The population of size N is divided in three
c1asses: susceptibles, infectives and removed. The sizes of these c1asses
are respectively S, I and R. In the deterministic version of the model the
rate of transition from susceptibles to infectives is assumed to be
proportional with S and I with transition rate constant ßIN. The rate of
transition from infectives to removed is proportional with I with rate
constant y, and renewal takes place with rate constant IJ. In the determin-
istic system the size of the total population is constant. See Fig. 7.3 for
a scheme of the transitions.
The dynamics of the deterministic system is given by
-dS ß - IJS,
= !JN - _SI (7.28a)
dt N
ß - yl -
-dI = _SI !Jl, (7.28b)
dt N
dR
- = yl - /JR. (7.28c)
dt
J.1S f.l/ f.lR
Fig.7.3. Diagram of possible transitions for the SIR-model.

7.2 Stochastic Epidemiology 131
We only need to take into consideration the elasses S and I. Using the
scaling
S(t) = Nxl(t), I(t) = Nxz{t), (7.29)
we obtain
(7.30a)
(7.30b)
There are two equilibria:
t = (1,0)
l) and .rl') = (Y + J.1, _J.1_ - ~). (7.31ab)
- P Y+J.1 P
We assume that
(7.32)
for which tl') is an internal equilibrium. The dynamies of the detennin-

istic system is elose to that of the prey-predator system of Sect. 7.1. The
main difference is that the boundary XI = 0 cannot be reached now. The
equilibrium t l ) is a saddle point, tl') is stable. We note that in the
detenninistic system once the disease is present in the population it will
not die out.
In the stochastic version of the model it is assumed that there is an
inflow of new susceptibles at a constant rate J.1N. The other transitions
are stochastic: the probabilities for these transitions in a time interval
(t,t+At) are given in Table 7.2. We note that in the stochastic model the
parameter N, that we assume to be large, takes a slightly different role:
it is the size of the population if the disease is absent.
Using the scaling S = NX I and 1= Nx2 , we arrive at the following
fIrst moments of the changes of XI and Xz
Table 7.2. The transition probabilities of the SIR-model.

S ~ S - 1, I ~ I + 1 ~N-1 SI &
I ~ 1- 1, R ~ R + 1 y/&
S ~S-1 JJS&
I ~/-l J1l&
R~R-l J1R&
The second moments are
so that, taking in account only terms of order 0(&), the covariance

matrix of Llx satisfies
1 1 r(~X2+Jl)Xl
Covar{Llx} = -{a,.(x)}2
N I} X
2 == -
N _R~ X
"""1 2
Making a diffusion approximation of the stochastic process described in

Table 7.2 we' arrive for the probability density function p(t,x) at the
Fokker-Planck equation
with aij(x) given by (7.33) and
(7.35ab)
in accordance with the deterministic vector field (7.30).

In the stochastic model the disease can die out because of the
stochastic fluctuations. With probability one this will happen within a
fmite time. We now pose the following questions. What is the probabil-
ity that a major outbreak of the disease will occur, if there are initially
one or a few infectives? What is the expected extinction time of the
disease, given that it has become endemic? And fmally, given that a
major outbreak takes place upon the introduction of one or a few
infectives into the population, what is the probability that the disease
will die out directly at the end of the major outbreak?
Probability of a Major Outbreak

First we formulate a boundary value problem that answers the question
about the probability of a major outbreak of the disease if there is
initially a small number of infectives. For that purpose we consider the
domain
n = {x lXI> (y + J.1)/ß, x 2 > O}
and the Dirichlet problem
Lu=O in n, (7.36a)
u =0 at ano = {xlx l = (y+ J.1)/ß, X 2 > O}, (7.36b)
u =1 at an l = {x IXI > (y + J.1)/ß, x 2 = O} (7.36c)
with the elliptic operator L being the formal adjoint of M in (7.34):
(7.37)
The function u(x) gives the probability that the boundary ~ = 0 is

reached before XI = (y + J.1)/ß for a starting point XE n. If X is elose to
X 2 = 0, and not near ano,
then u(x) also gives the probability that a
major outbreak does not occur for a small initial number of infectives.
Because of the direction of the deterministic trajectories this probability
is expected to change from 1 to about 0 in a small region along the x I -
axis. Boundary layer analysis shows the existence of a boundary layer of
thickness O(N- I ) along the xcaxis, in which a local boundary layer
region of thickness O(N- If2 )xO(N-I ) is contained near the saddle point
~(1), see Fig. 7.4.
t
n
'---_ _---&--"-_ _ _-"_--=_1..-_ _ _ tO(lIN)

o u=l
Fig. 7.4. Boundary layer regions for the Dirichlet problem (7.36) for
the probability that a major outbreak of the disease does not occur.
In the outer region, where we may neglect the diffusion terms, we

obtain using (7 .36c) the solution
u(x) =O. (7.38)
We now proceed along the same lines as from (7.5) to (7.9). Near ;z,(1)
we obtain using the transformation
(7.39)
and letting N ~ 00 the solution
u(~,Tl) = e-«ll with a = 2(ß - 'Y - Il). (7.40)

ß+'Y+1l
Inside the boundary layer along the x)-axis we derive with the trans-
formation
(7.41)
and for N ~ 00 as asymptotic approximation
u(x) = e-Nx,/(P(x,) (7.42a)
with
(7.42b)
We note that the solution (7.40) near t l) is contained in (7.42). In this

analysis we have left out a "corner layer" correction near the point of
intersection of the boundaries Xl = (y + J.l)/ß and X 2 = 0 that has only
local importance. In Van Herwaarden and Grasman (1995) the result
(7.42) is compared with an approximation due to Kendall (1956) based
on a discrete instead of a continuous model.
Duration of the Endemie Period

We now turn to the second question. If the system has survived the
initial stage, it may approach a N-I12-neighbourhood of the equilibrium
!.(Il) and become endemie. It stays near t
ll) for a long time until, during a
large excursion, the boundary Xz = 0 is hit. Then the disease leaves the
population. The expected time that this occurs from the moment the
system has left a neighbourhood of the boundary is almost independent
of the actual state:
T(x) = C(N)
for a starting point X away from the xl-axis. To compute the expo-
nentially large value C(N) we proceed in the same way as for the prey-
predator system of Sect. 7.1. We consider the domain
n = {x IXl > 0, X 2 > O}.

Boundary layer analysis again reveals the existence of a boundary layer
of width O(N- l ) along the xcaxis in which is contained a local boundary
layer region of width O(N- I12 )xO(N-l ) near the saddle point !.(l). For the
expected extinction time T(x) is found
with (xl) given by (7.42b). For the probability density function, needed
for use in the divergence theorem, we again assurne a WKB-expansion
p(S)(x) = w(x) e-NQ(x).

Near :!.(I) we find
P (S)(xI'x2) _
-
k(N) e-N(x, -
__
I)' - (Xx,)
x2
with
k(N) = Wo e-N Q(;(I)

-,
where a. is given by (7.40) and Wo and QC:!.(I» are eomputed numerieally

by integration along the ray that eonneets the stable equilibrium lfJ.) with
the saddle point ll). Finally, by applieation of the divergenee theorem
for p(S)(x) and T(x) on the domain
C(N) is found to be of the order
C(N) - _1_ eNQ(t.I) •
IN
For more details we refer to Van Herwaarden and Grasman (1995).
We re mark that the expression for the expeeted duration T of the
endemie period ean be written in the form
InT=AN-+lnN+B
with the eoefficients A and B, that are funetions of the system parame-
ters, to be eomputed numerieally using the ray method. However, if N is
the only parameter that varies, we ean earry out two sets of Monte Carlo
runs for two different large values of N to derive estimates of A and B
without going through the eomplete singular perturbation analysis of the
exit problem. For such an N-value a large number of simulation runs is
made at the basis of the transition probabilities given in Table 7.2 with
each time NlfJ.) as starting point. Then the average arrival time at the
boundary I = 0 determines T for that value of N.
Critieal Persistenee of an Epidemie

We address our third question for the stochastie SIR-model: given that a
major outbreak takes place upon the introduetion of one or a few
infeetives into the population, what is the probability that the disease
will die out directly at the end of the major outbreak? If Il is very small
the system will more or less behave as the stoehastie equivalent of the
general epidemie of Kermack and MeKendriek (1927) where Il = 0: the
fraetion of infeetives X 2 will be below the value N- l l2 before it may ever
reaeh a neighbourhood of !.(p.), see Fig. 7.5a, and so the infection will die
out. If Il is mueh larger, the system will, with probability of almost 1,
reaeh this neighbourhood, see Fig. 7.5b. There exists a range of Il values
in between, for whieh the stoehastie trajeetory may eome dose to the
boundary X 2 = O. Then the epidemie has a reasonable chance to either
eontinue or to die out. If it eontinues, it may spiral a seeond time along
the boundary X 2 = 0, and so on, until it arrives in a neighbourhood of
t ll). Then the epidemie has reaehed the endemie stage and it may die out
in the way deseribed before. This eritieal behaviour arising for inter-
mediate Il values has been analyzed by Van Herwaarden (1997). We
give an outline of the method.
(a) (b)
Fig. 7.5. Critieal persistenee of an epidemie: (a) small inflow Il, (b)
large inflow J.L.
In the x1,Xz-plane the trajeetories of the deterministie flow satisfy the

differential equation
dx2 b2(x,ll)
(7.43)
dx1 - b1(x,ll)
with Il a small parameter, see (7.35). The heteroclinie orbit starting at

t
and ending at ll) ean be approximated using singular perturbation
!.(l)
techniques, see Grasman and Veling (1973) and Grasman (1987), where
the Volterra-Lotka system has been analyzed in such a way. The result
is that when the orbit comes elose to the boundary X 2 = 0, the following
approximation holds the ftrst time this occurs:
(7.44)
with
K = exp{(ßxI + (ß-y)ln(1-xI »/fJ + Cl, (7.45)
where
C = -In -!x\ _fl (~ y(s-l-slns) + _1_)ds

ßxl-y I-xI ßs2(-s+(y/ß)lns+l)
x
I
s-x i
and with XI #: 1 satisfying
(7.46)
see Van Herwaarden (1997) for the derivation of this result.

As the state x(t) approaches the boundary X 2 = 0 stochastic effects
become important because the number of infected individuals Nx2(t) may
get of the order 0(1). Moreover the system slows down, so that there is
also time for an exceptional excursion to the boundary. In the X I'X2-
plane we consider the domain
n = {x 10 < x2 < _fJ_ - ~},

y+fJ ß
see Fig. 7.6. In n we approximate L by the parabolic operator
and solve the boundary value problem

,!(I)
o an l (Y+Il)/~ XI -
Fig. 7.6. The domain n with boundaries ano and an l.
Lou =0 in 0., (7.47)
(7.48a)
for (7.48b)
The solution u(x) denotes the probability of reaching the boundary l, an

see (7.48a), befare reaching the other boundary anogiven by (7.48b). If
this latter boundary is reached first the infection has not died out in the
critical phase.
The boundary value problem (7.47-7.48) is singularly perturbed.
Outside an N-I-neighbourhood of an
l the function u(x) approximately
satisfies
or u = constant along the deterministic trajectories. Inside the N-I-neigh-

bourhood the solution is approximated by using coordinate stretching
giving for (7.47) in the limit N ~ 00
Moreover, u(xpT]) must satisfy u(xI,O) = 1 and the matching condition

that u(xpT]) approaches a constant value as (x I,1l) leaves the N-I-neigh-
°
bourhood of aQI' For increasing XI (and t) the boundary ano is so that
u(xp1l) ~ along the deterministic trajectories. This parabolic problem
is well-posed and has as solution (Van Herwaarden, 1997)
with <J)(xl ) given by (7.42b).

Now we may derive from this result the constant value of u(x) if we
leave the N-I-neighbourhood of aQl in the opposite direction along a
deterministic orbit for decreasing t. In partieular we are interested in the
value of u(x) along the heteroclinic orbit that originates from ::!(l). Its
value is
U = exp{ -KNI1(ß/I1)(/l-r-fJ)/fJ e-/l/fJ }

(Y + 11) rc(ß - y - 11)111)
with r(.) the Gamma function and K given by (7.45).

If the epidemie survives the first critieal phase, other critieal phases
can be analyzed in the same way, see Van Herwaarden (1997). If all
eritieal phases are survived, the epidemie becomes endemie, for whieh
we computed asymptotically the expected duration before.
Remark. The approach we have chosen of taking diffusion only in con-

sideration near the boundary resembles the approximation method for
adveetion-diffusion problems in fluid dynamies. There the Peclet number
is a measure for neglecting diffusion, see Vreugdenhil and Koren
(1993). The Pedet number is Pe = ULle2 with U the order of velocity
and L the length seale of the problem. It is argued that their local values
should be taken with L the seale of gradients in the dependent variables.
For Pe » 1 diffusion ean be neglected. In our problem near the bound-
°
ary X 2 = both U and L get smalI. Consequently, our analysis turns out
to exhibit strong similarities with the analysis of Stommel' s ocean
eirculation model by Vreugdenhil and Koren (1993).
7.3 Extinction Within Interacting Populations 141
7.3 Extinction of a Population

Within a System of Interacting Populations
We eonsider population models of eontinuous type with the population

densities Xi' i = 1, ... , n satisfying the Fokker-Planek equation
(7.49)
About the deterministie dynamies of the system (E = 0) it is assumed

that an asymptotieally stable equilibrium :! exists with :!i>O. A
stoehastic trajeetory starting near this equilibrium will expeetedly stay
there, most of the time, but from time to time it will also make large
exeursions. If a solution visits the neighbourhood of a boundary, say
xi = 0, the population ~ is at risk of extinetion. In this seetion we study
the ease that indeed for one population ~ the probability of extinetion is
suffieiently large that it should be taken into eonsideration. Moreover, it
is assumed that in the plane xj = 0 an equilibrium lO) exists, that is
stable within this manifold xi = O. From the stoehastie analysis (Roozen,
1989) it is eoncluded that the boundary is most likely reaehed in a
neighbourhood of lO), see Seet. 5.4 and Exercise 5.9. Thus, only the
domain of attraction of :! and the part of the boundary xi = 0 near lO)
playa role in our analysis, see Fig. 7.7. The extinetion risk depends in
some particular way on the system parameters (Schoener and Spiller,
1987). In this section we will express the expeeted extinetion time in
these parameters.
x1 -
Fig. 7.7. The state spaee for n = 3 with population XI at risk of extinc-
tion.
The analysis of extinction from the diffusion process (7.49) turns out
to be rather complicated in the case of higher dimensional systems, as
we saw in the preceding sections. For this reason we incorporate the
step of dimension reduction: the population Xj that is at risk of extinc-
tion is modelIed separately in a stochastic logistic process with three
parameters to be fit. Since the full system is most of the time near the
stable equilibrium, we require that the local Gaussian approximation of
the stationary distribution (with expected value ;!) of the logistic process
is identical to the approximate stationary distribution of the correspon-
ding component in the full system. This yields one condition on the
three parameters that must be fit. Two more conditions follow from the
requirement that near the equilibrium ;l0) the drift and diffusion of the
logistic process should be the same as that of xj of the full system. It is
remarked that only near J..(O) this process correctly describes the actual
dynamics of Xj. This is important for a correct approximation of extinc-
tion. The reason that the logistic process suffices as approximation of
the long term stochastic dynamies is that the system is most of the time
near the two equilibria, because there the drift is small. It is also there
that we fit the parameters of the process. Therefore, the quasi-stationary
distribution is approximated weIl. Since the expected extinction time is
c10sely related to this distribution, the expected extinction time is also
approximated accurately by the logistic process.
One-Dimensional Systems
For n = 1 the Fokker-Planck equation has as stationary solution
p(X) = _C_ e-2o!>(x)/e' (7.50)

a(x)E 2
with
x
- b(s)
<!>(x) = f -a(s)
ds, (7.51)
x
see also Sect. 4.3. The constant C is a normalization constant that can
be chosen such that the integral of p(x) over the interval (x 1(E)/2,oo)
equals 1. Here X1(E) is the equivalent of one individual with xl(E)~O as
E ~ 0, see also Nisbet and Gurney (1982, p. 185) for the choice of the
boundary X1(E). For E small the prob ability density is concentrated in an
E-neighbourhood of the stable equilibrium J... We can, therefore, approxi-
mate p(x) near x =:! by a normal distribution N<:!,a) with
(7.52)
The expected time T(x) of reaching the boundary x =0 if starting in a

point x > 0 satisfies the boundary value problem:
dT e2
b(x)_ + _a(x)_ = -1
d 2T
(7.53a)
dx 2 W2
with boundary conditions
T(O) =0 and lim T'(x) = O. (7.53bc)
Its solution reads
2 JX J~ e (,(I)-,(s»/E'
2
T(x) =_ dsdt (7.54)
e2 0 I a(s)
with <!>(x) given by (7.51).

Since x is most likely near the equilibrium :! we may quantify
stochastic persistence by TC:!). Furthermore the main contribution to the
integral of (7.54) comes from a neighbourhood of (t,s) = (O,:!):
(7.55)
Other one-dimensional population problems are analyzed with singular

perturbations by Mangel (1979), Hanson and Tier (1981), Wazwaz and
Hanson (1986a,b).
Interacting Populations: the Logistic Approximation

For higher dimensional systems, boundary value problems of type (7.53)
handling the question of extinction do not admit an exact solution nor
an approximation in the form of an analytical expression. For this reason
we propose an approximate model from which the extinction time can
be derived analytieally. It makes use of a one-dimensional stoehastie

system of logistie type mimieking the long term stoehastic behaviour of
one eomponent of the full system (the one that gets extinet most likely).
We eonsider the special ease of stoehastie systems of dimension 2.
The eorresponding deterministie system is assumed to have a stable
intern al equilibrium :! = G!1'!.2) and an equilibrium tO) = (O,,rl°» at the
boundary. The latter equilibrium is stable on the x2-axis. It is expeeted
that if x approaehes the boundary it will most likely be near the equilib-
rium tal: the population XI is the one that is at risk of extinetion. The
probability density of the quasi-stationary state is eoneentrated in an E-
neighbourhood of the equilibrium :! and ean be approximated by the
stationary Fokker-Planek equation related to (7.49) with x =:! substi-
tuted in the diffusion eoefficients aij and with b; replaeed by its linear
approximation at:!. Writing
db. }
and B = { _'<!) , (7.56ab)
dXj 2x2
we find as approximation the bivariate normal distribution
1 - I (x-x>,s-' (x-x)
p(x) = _-;:::==== e"! - - (7.57)
21t V(1-
p2)cri cr~
with eovarianee matrix
(7.58)
satisfying
(7.59)
The sealar y approximating XI is a stoehastie variable with a distribu-

tion satisfying
_dP = -_(b(y)p)
d d2 (a(y)p)
E2 _
+_ (7.60)
dt dy 2 i)y2
with
a(y) = ay2 + ~y and b(y) = Y~ - y)y, (7.61 ab)
so that the approximating system is of logistic type with the equilibria

coinciding with the equilibrium values of XI of the full system. As we
stated already the three parameters a, ~ and y are determined such that
the behaviour of y approximates that of XI of the full system at both the
equilibria:
a) At X = lO) = (O,:!~O» we fit ~ and y of respectively a(y) and b(y) by
making a linear approximation at y = 0:
a'(O) = ~ = ~a
dx 11
<tal) (7.62a)
I
and
b'(O) = yx-I = ~b ',ta»~.

d I~ (7.62b)
XI
b) At X = :! = <':!1,:!2) we require that the Gaussian approximation of the

stationary distribution of y is identical to the Gaussian distribution of XI
for the full system:
2yai/E2_~
or a = ___ _ (7.63ab)
X
-I
The one-dimensional model (7.50-7.55) can be used to approximate the

expected extinction time.
The Stochastic Prey-Predator System

We again consider the prey-predator system of Sect. 7.1:
_dp = L2 { d
--(b.(x)p) + _1 _d (a.(x)p) }
2
dt j =I dXj J 2K dXj J
with
and
For the bivariate normal distribution of the quasi-stationary state with

expected value J: = (1 - 0, 0) we find
p(x) = 1 exp{- 21 (x - ~ys -l(X - !>} (7.64)

2n J(1 - p2)cr~cr;
with covariance matrix
satisfying
with
where
and
For analyzing the stochastic persistence of the predator X2 we study

an approximating logistic model for this population in the way of
(7.60-7.63). These same equations hold with
2 1
=_, ~
(7.65)
E Y=-
K l-ö
and
(7.66)
with cri following from (7.64):

a;ö(l-ötl (E I+ÖI) + CXI(CX2ÖHXI(1-Ö)2)(~+Ö2)
~ = ------------~-----------------
2cx; CX (1- ö)K
(7.67)
2
0.12
0.08
0.04
o 0.2 Y - 0.4 0.6 0.8

Fig. 7.8. The quasi-stationary distribution of the predator population:
the logistic approximation p(y) is compared with simulation results (bi =
1.25, d l = 0.25, b2 = 0.5, d2 = 1, ö = 0.3, K I = 250, K2 = 150).
In Fig. 7.8 we compare for the above predator population the

logistic quasi-stationary distribution p(y) given by (7.50), (7.60), (7.61),
(7.65-7.67) with a distribution obtained from simulating the discrete
process of Table 7.1. Moreover, in Grasman (1996) the expected extinc-
tion time of the predator, as computed from the logistic approximation,

is compared with the average extinction time of the full system of Table
7.1 for 50 runs starting in (N 1,N2 ) = (K p K 2). The parameters are varied
one at a time. It is observed that the approximation has the correct trend
and that quantitatively the logistic process gives a reasonable estimate of
the expected extinction time.
8. Stochastic Oscillation
The stochastic dynamics of an oscillator we study from a second order

differential equation of the type
d 2X dX dX
_ + f(X, - , E~)- + g(t, X, E~) = 0, (8.1)
dt 2 dt dt
where ~ = (~1(t), ... , ~n(t)) with ~P), j = 1, ... , n being independent noise
processes. In the case that (8.1) is a linear autonomous oscillator
d2X dX
_ + a(E~)_ + b(E~)X = 0, (8.2)
dt 2 dt
the stochastic stability of the equilibrium (x, dx/dt) = (0,0) may differ
from the stability of the deterministic system with E = 0, see Amold
(1974). This qualitative difference between the stochastic and the nearby
deterministic system is not due to the type of definition that is selected
(Hasminskii, 1980): the average damping may be of different sign than
that of the damping of the system for E = 0, see also Klosek-Dygas et
al. (1988). Besides this phenomenon, there are not that many qualitative
differences between the stochastic and the corresponding deterministic
system when dealing with linear systems. For nonlinear systems there is
more. The system may leave the domain of attraction of a stable limit
solution and switch to another one. Moreover, stochasticity may interact
with chaotic behaviour of a system (Grasman and Roerdink, 1989) and
in case of forced oscillation cyc1e jumps may occur.
In Sects. 8.1 and 8.2 we deal with methods to analyse nonlinear
stochastic oscillations for which a linear approximation can be made. In
the method of equivalent statistical linearization a linear system is
formulated with the solution having the same statistical properties as the
solution of the fuH nonlinear system. With the deterministic averaging
method (Verhulst, 1990) the amplitude and phase of a linear oscillator
150 8. Stochastic Oscillation
are required to satisfy a slowly varying system of differential equations

which takes into account the long term effect of non linear terms.
Following Freidlin and Wentzell (1984) this averaged system can be
augmented with noise terms so that the system obtained in this way
correctly approximates the stochastic dynamics of the full system, see
Sect. 8.2.
Finally in Sect. 8.3 we study stochastic relaxation oscillations. These
are essentially non linear and have a cycle that alternately exhibits a fast
and a slow motion.
8.1 Equivalent Statistical Linearization
We study the method of equivalent statistical linearization (Roberts and

Spanos, 1990) and its extended scope for small noise from the special
case of the Duffing equation forced by a single white noise process
d 2X dX
_ + k _ + X + qX3 = E~(t). (8.3)
dt 2 dt
The linearization method only applies in a unique way for k, q > O. Then
in the linear system
_d y + k _dY + co2Y = E~(t)

2
(8.4)
dt 2 dt
co is chosen such that for (8.3) the expected value
(8.5)
is minimal. An alternative is to choose co such that Var{X} = Var{ Y},

see Kozin (1988) and Bernard (1992). Yet another alternative is to
equalize the potential energy (Elishakoff and Zangh, 1992). Writing
(8.3) as
(8.6a)
dX2 = -(X1 + qXi + kX2 )dt + E dW(t), (8.6b)
we can find the solution of the corresponding stationary Fokker-Planck

8.1 Equivalent Statistical Linearization 151
equation
It reads
(8.8)
with
Consequently, the minimization problem (8.5) takes the form of mini-

mizing
Vi(ro2) -- f f (ro x 2
I -
xI -
qx I3)2 e-'I'(x"x,)/E' dx Idx2'
From dV/dro2 = 0 it follows that
with
IV
VI.
= -f 4 -'I'(x"O)IE'dx
XI e I
{f- 2 -'I'(xl'o)/E'dx }-I
XI e I'
Making the assumption that E is small we note that for both integrands
the largest contribution comes from a neighbourhood of the origin.
There
and because
f-xe
_
4 -kJil/E' dx - 3E2 J- xe
- _
2k_
2 -Iu'/E' dx ,
we have that a = 3E2/(2k), so for 0 < E « 1 the linearized system must

satisfy
(8.9)
An alternative approach comes from Rodriguez and Van Kampen (1976)

who analyse a perturbed Duffmg equation from the correlation functions
and the spectral densities, see also Weinstein and Benaroya (1994).
For the present problem we were in the position to give the exact
solution of the stationary Fokker-Planck equation. If such a solution is
not available, then already at that stage the small noise assumption
should be made to arrive at an approximating expression for the station-
ary solution in the way of Sect. 5.3.
8.2 Almost Linear Oscillation and Stochastic Averaging
As remarked in the previous section equivalent linearization does not

produce satisfactory results for all the characteristic features of nonline-
arity. If in a system of differential equations the nonlinear terms are
sma1l, we may think of perturbation methods. However, a straightfor-
ward perturbation solution (Crandall, 1963) is not useful for describing a
nonlinear oscillation, because an approximation should hold over a large
number of periods. In such a perturbation solution terms may arise that
increase algebraically with t (secular terms). For nonlinear oscillators
without noise this has led to an averaging theory deve10ped by
Bogoliubov and Mitropolsky (1961), see also Verhulst (1990). For
stochastic nonlinear oscillators a fundamental new element to the
averaging theory has to be added. In the following we summarize the
work of Freidlin and Wentzell (1984) who developed a rigorous theory
for this c1ass of problems. For recent results on stochastic systems with
two time scales we refer to Khasminskii and Yin (1996ab).
Let the oscillator (8.1) be of the special form
d 2X + X = E!(X,dX) + Eg(X, dX)~(t), O<E« 1 (8.10)

dt 2 Cdt Cdt
with ~(t) a continuous stationary Gaussian process with expected value

zero and with sufficiently strong mixing properties which are satisfied if
the correlation function satisfies
8.2 Stochastic Averaging 153
for 't ~ 00 with N sufficiently large. These conditions are satisfied by the
Ornstein-Uhlenbeck process (Sect. 1.2) which also is characterized as
"coloured noise". For E=O (8.10) represents a linear oscillator. For
O<E« 1 the forcing terms affect the amplitude and phase of this oscil-
lator, so that they vary slowly in time. The dynamics in this slow time
scale is found by replacing the state variables X and dX/dt by R and '"
with the transformation
X = R(t)cos(t+",(t», dX = -R(t)sin(t+",(t».
dt
We then obtain the slowly varying system
dR = -10 sin(t+ ",){f[R, "', t] + g[R, "', t] ~(t)}, (8.11a)

dt
_d", 10
= --cos(t+",){f[R, ""t] + g[R, ""t] ~(t)}, (8.l1b)
dt R
where f and gare 21t-periodic in t+",. We wish to approximate the

solution of (8.11) over a time interval of order 0(1/10). Taking a time
interval (t, t+27tN) with N integer and large but independent of 10 (E «
1IN), we observe that the change in Rand '" must still be small over
that interval. Keeping Rand", fixed and integrating the right-hand side
of (8.11) with respect to t over that time interval we obtain the averaged
system
(8.l2a)
(8.12b)
where
f sin(t+
2x
F(R) = ..2 ",)fiRcos(t+ "'), -Rsin(t+",» dt,

21t 0
= __ f
2x
G(R) -1 cos(t+",).f{Rcos(t+",), -Rsin(t+",» dt.

21tR 0
It is remarked that in the averaged system the nonlinearity is captured.

However, the stochasticity has disappeared due to the averaging pro-
cedure. Freidlin and Wentzell (1984) prove that the random process (Pe'
<Pe) defined by
R(t) = Ro(t) + --.JE Pe(t),

V(t) = Vo(t) + --.JE <Pe(t)
converges for E~ 0 to a process described by the Fokker-Planck
equation
dp = -F'(R (t» depp) _ pG'(R (t» dp (8.13)

dt 0 dp 0 d<P
where
JJD(t,s,R) sins sintdsdt,

21t ~
a(R) = _1_ (8.14a)

21t 0-
JJD(t,s,R) sins costdsdt,

21t ~
b(R) = _1_ (8.14b)

21tR 0 _
JJD(t,s,R) coss costdsdt

21t ~
c(R) = _1_2 (8.14c)

21tR 0 _
with
D(t,s,R) = K(t - s) g(Rcost,-Rsint) g(Rcoss,-Rsins),
see (8.10) for g(x, dx/dt) and the Gaussian process ~(t) for the correla-
tion function K('t).
In the previous chapters we only studied the Fokker-Planck equation
with coefficients independent of t. Thus we are just in the position to
analyse the stochastic dynamics near a possible limit cycle with Ro
constant or near an equilibrium of (8.12). There is no small parameter
multiplying the diffusion term, but this does not differ from before,
because we already carried out the stretching transformation. Spigler
(1985) analyzes the damped stochastic Duffing equation in the above
8.2 Stochastic Averaging 155
way, see also Schenk-Hoppe (1996). We will apply the method to the
Van der Poloscillator.
The Stochastically Forced Van der PolOscillator

We study the special case of (8.10) given by
(8.15a)
with ~(t) the stationary Omstein-Uhlenbeck process, see (1.20-1.26):
d~ = -k~dt + dW(t), 0<k« 1 (8.15b)
with the correlation function satisfying
The averaged system is of the form
-dR
dt
o
= -ER
2
I 1
o( - -I R0 ) ,
4
2
(8.16a)
d'l'o
_=0. (8.16b)
dt
Thus, from this approximating system we conc1ude that the equilibrium

R = 0 is unstable and the limit cyc1e with R = 2 is asymptotically stable.
Let us analyse the stochastic dynamics in a ~E-neighbourhood of the
limit cyc1e. Because we assumed that the drift in the Omstein-Uhlen-
beck process is small, see (8.15b), this process is c10se to a Wiener
process, with the correlation function being a o-function. Thus, in a ~E
neighbourhood of the limit cycle the dynamics of the Van der Pol
oscillator is govemed by the Fokker-Planck equation
(8.17)
This result can be compared with the formal asymptotic analysis of

Schuss et al. (1985). In agreement with them we find locally a station-
ary distribution p(p) = Cexp(-2p2). Furthermore they find for the

expected value of the period that the effect of the noise enters as a term
of the order O(E3 ). They derived this result by solving the exit problem
for the system with state variables Rand following from the trans-
formation X = R cos and dX/dt = -R sin<!>. As domain they ehoose
 < rtl2. Then the expeeted period follows from the over R averaged
expeeted exit time for starting values = -5rt12. In our present analysis
following Freidlin and Wentzell (1984), we see that the phase is already
randomly perturbed at a level O(VE). This means that we ean only
eonclude that in the stationary state the phase is uniformly distributed.
8.3 Stochastic Relaxation Oscillation
The prototype of a relaxation oseillation is the Van der Pol oseillator,

see Grasman (1987). It is a nonlinear oseillator with the specifie tem-
poral strueture as if it is periodically set in its initial state. The equation
reads
Using the transformations
't = tu, U = liVe

appropriate to the singularly perturbed ease, we arrive at the system
dx 1 3
E- = Y - -x + x, (8.18a)
dt 3
_dy --x.
_
(8.l8b)
dt
For E ~ 0 the limit eycle makes two jumps: from A to Band from C to
D (see Fig. 8.1). At the ares BC and DA the trajeetory satisfies y =
tx3 - x. Substitution in (8.18b) yields an expression for the period:
.!.. T
2
= Jx -x- 1 dx = 2. - ln2.
1
2
2
2
(8.19)
8.3 Stochastic Relaxation Oscillation 157
I
A y
,,
,,
,,
,,
,,
,,
Fig. 8.1. Trajectories of the system (8.18) in the limit e ~ o. For any
starting value (the origin exduded) the solution approaches the limit
cyde ABCD.
In a more refined approach of small but nonzero values of e, where the

jumps are replaced by boundary layer approximations, one obtains
T(e) "" 3 - 21n2 + 3ae213 + O(elne) (e ~ 0), (8.20)
where -a = -2.33811 is the first zero of the Airy function. Equation

(8.18) can be viewed as a representative of a large dass of nonlinear
oscillators.
The Generalized Van der PolOscillator

The relaxation oscillations we consider are described by a system of
differential equations of the form
dx.
e _' = F.(x,y;e), i = 1, ... , m, (8.21a)
dt '
dy.
_J = G.(x,y;e), j = 1, ... , n, (8.21b)
dt J
where e is a small, positive parameter. Here the Xi represent the vari-

ables which undergo fast relaxation and the Yj represent the slow vari-
ables. It is assumed that the system (8.21) has a relaxation oscillation as
a solution.
If we let E ~ 0, the so-called discontinuous approximation of the

oscillation is found which holds over a large phase of the cycle. The
approximating trajectory satisfies
dy = G(x,y;O) (8.22)
dt
and is restricted to the manifold
M = {(x,y)IF(x,y;O) = O}. (8.23)
A trajectory of (8.21) remains only near M, if for y fixed the stationary

solution x = Xx of (8.2Ia) is stable with Xx satisfying F(x"y;O) = 0 and
the point (xs'y) near the trajectory. When this is not the case, the trajec-
tory will exhibit a large change in X over a short time interval of length
O(E). It is assumed that indeed a subset S of M exists for which the
matrix
dF. }
A= { _ ' (8.24)
dXj mXm
has eigenvalues with negative real parts: the stable manifold. At the
boundary of S only one eigenvalue may have a real part in the form of a
simple zero resulting in detA = O. When the approximating trajectory
arrives at a point pEdS, it leaves the manifold M and the solution jumps
instantaneously to a point r lying in S with X r ;t; xp and Yr = yp' Clearly,
the equation F(x,y;O) = 0 must be nonlinear in x.
As an example, we consider relaxation oscillations of a system with
Olle "fast variable" x and two "slow" variables Yl and Y2' Expressing x as
a function of y, we obtain for M
x = H(y). (8.25)
This expression is locally valid: at different branches of M different

representations are needed. In Fig. 8.2 the manifold M is stable except
for the middle branch at the fold. For any starting value away from M a
trajectory of (8.21) will jump instantaneously (in the limit as E ~ 0) to
one of the stable branches. The periodic solution has a jump at y = Yo'
Its period satisfies
T = f['~{GiH(y),y;E)}2]-112 ds (E~O), (8.26)

J
Yo
Fig. 8.2. Relaxation oscillation with one fast and two slow variables. At
Y = Yo the limit solution (E ~ 0) jumps from one point of the manifold
M to a different point, where (8.2Ia) with (y,E) = (Yo,O) is stable.
where the integral is over the closed curve of the periodic solution. Let
us take an (n-l )-dimensional transversal intersection U eS with
detA *- 0 for all SE U. Approximating trajectories with jumps at as
generate a Poincare mapping
P: U~U. (8.27)
This mapping or a finite repetition of it may have a fixed point that

corresponds to a periodic solution. When this fixed point is stable, the
existence of a periodic solution of (8.21) with E > 0 can be proved, see
Mishchenko and Rosov (1980).
Randomly Perturbed OscilIators

First we will model the influence of random perturbations upon the
generalized Van der Poloscillator (8.21). Near S, points in Rm+n with
equal values of y will remain close to the trajectory starting in S.
Consequently, perturbations in the X j directions will not change the
velocity in the direction along S. Since we wish to study fluctuations in
the period, we only take into account perturbations in the slow variables
(yJ Thus, we analyse the system of stochastic differential equations
EdXj = F;<X,y)dt, i = 1, ...,m, (8.28a)

p
dY
J
= G.(X,Y)dt
J
+ 0 L O'k(X,y)dWk(t),
k=1 J
] = 1, ... ,n, (8.28b)
where WI(t), ... , Wit) denote P independent Wiener processes. It is

assumed that
0< E« 0« 1. (8.29)
In our perturbation analysis we let E ~ 0 and consider a jumping peri-

odic solution La of (8.21) and its stochastic perturbation given by (8.28).
We will apply methods for stochastic differential equations as described
in the first five chapters.
In the limit E ~ 0 we analyse the reduced system
p
dY = G.(H(Y),Y)dt + 0 L O'k(H(Y),y)dW/t), j = 1, ... ,n, (8.30)
J J k=1 J
where x = H(y) is a local solution of F(x,y) = O. The existence of a

periodic solution La for 0 = 0 implies that the mapping P of (8.27) has a
stable fixed point. This c10sed trajectory contains a number of jumps,
say N. The slow action is on M from a return point r k_ 1 to a leaving
point Pk' A jump is made from Pk to rk, k = 1, ... , N. It is noted that rN is
connected to PI by an interval of slow action. A set of points at S
containing rk-l is defined such that it contains a wide neighbourhood of
the trajectory La. Its projection in y-space is called Q(k) •
..... ...
Fig. 8.3. A segment of the discontinuous limit cyc1e La between a

return point and a leaving point projected in y-space. In projection all
trajectories leave Q(k) through aQ~k), which is part of the projection of
as, where detA = O.
Let ~ be the projeetion of Lo in the y-spaee and let P~ and r~_1

denote the projections of respectively Pie and rle_ l • We will analyse the
projeetion of the stoehastic trajeetories in the domain n(Ie). We eonsider
the exit problem for the domain n(k), where exit takes plaee through the
boundary anl k) with probability elose to I. The boundary anl k) is part of
the projeetion of as in the y-spaee, see Fig. 8.3. The time spent at n(k) is
eomputed as folIows. We first need to have information about the
distribution of the leaving points u at anl k) for a stationary oseillation as
it goes through the k-th jump. For a trajeetory starting at yE n(k), let the
probability density of exit before time t through a surfaee element
loeated at the point UE anl k) be denoted by
giu,y,t). (8.31)
The probability density of ultima te exit through u E anl k) is then given

by
(8.32)
and satisfies the baekward equation
(8.33b)
where
(8.34)
and with B.(u-y) a Dirae delta funetion defined on an(/c) = a~k) u anlk).
The set of return points in n(k) near r~_I' eorresponding with the set
of leaving points of the stochastie trajectories in n(k-I), is denoted by
anlk- I ), see Fig. 8.3. If the distribution of return points at anlk-I) for a
stationary relaxation oseillation is denoted by h-I(Y)' then
(8.35)
is the distribution of leaving points at anl k) being also the stationary dis-
tribution of return points at n(k+\). From the set of N equations (8.35)
with the index k modulo N we may determine Itr.<y), k = 1,2, ... ,N. For
sma1l noise intensity ~, the distribution is approximately of the form
(8.36)
and one obtains a set of relations among A k , k = 1, ... ,N.

Next we consider the interjump time distribution. The time Tk(y)
needed to reach an(k) for the first time from a point y belonging to n(k)
is a random variable with density agk(y, t)tat satisfying
gk(y,t) = f
do.~')
gk(u,y,t)du. (8.37)
Its first and second moments 111)(y) and 112)(y) are defmed by
(8.38)
They satisfy
(8.39a)
(8.39bc)
and
(8.40a)
(8.40bc)
where the elliptic operator L is defmed by (8.33a). The unconditional

probability density of the time Tk between jumps k-l and k is
gk(t) = f
aur-I)
gJy,t)!k(Y) dy (8.41)
with first and second moments given by
Tt 1 = f
agil-I)
Tt)(Y)h(Y) dy, n = 1, 2. (8.42)
Tbe Van der PolOscillator witb Random Forcing Term

We consider the following stochastically perturbed Van der Pol oscil-
lator:
EdX = (Y - .!..X3 + X)dt,

3
(8.43a)
dY = -Xdt + ödW(t). (8.43b)
The local solutions of the equation
are x = H+(y) for x> 1 and x = H_(y) for x< -1 (see Fig. 8.1). In this
case there are two jumps and, because of the symmetry, we only have to
compute the distribution of one interjump time. The set n satisfies y <
2/3 (or y > -2/3). Let us analyse the stochastic trajectories on the branch
The stochastic differential equation for the reduced problem (E=O) reads
dY = -H_(Y)dt + ödW(t), (8.44a)
Y(O) = y, y< 2/3. (8.44b)
The domain n is bounded by a reflecting boundary at y = - 0 0 and an

absorbing one at y = 2/3. For the problem (8.39) and (8.40) explicit
solutions can be found, see Chap. 3,
[L eXP{:2[R(U) -
2ßu
T(1)(y;Ö) = :2 R(Z)]}dzdU,
where
f
y
R(y) = HJu)du.
The integrals can be evaluated asymptotically for 0 < Ö « I,
We find, temporarily suppressing the y-dependence,
T.o(1) = -2.2 + 2.H:

2
- ln(-H )
- ,
T.O(2) = {T.o(1)V,
T?) = -2. - 2.H: + _1_ + 2In(-H ).

4 4 2H: -
Consequently, the interjump time moments are found by substitution of

y = -213 leading to the following expected value and variance:
E{T} = (2.2 - In2) - ":'Ö2 + O(Ö4),

16
(8.45a)
Var{T} = (-...:.16 + 2:ln2)Ö

8
2 + O(Ö4 ). (8.45b)
To verify this result, simulations of (8.43) can be carried out by numeri-

cally solving the stochastic difference equations
X(t + h) = X(t) + .!!:.. [Y(t) - 2.X3(t) + X(t)] , (8.46a)

E 3
Y(t + h) = Y(t) - hX(t) + Öh l12 G(t), (8.46b)

8.3 Stochastic Relaxation OsciIlation 165
where G(t) is a generator of random numbers with a normal distribution

N(O,l).
For 0 sufficiently small a linear noise approximation can be made:
the distribution of interjump times then has a normal distribution. For
larger values of 0, however, there will be nonnegligible contributions
from the tail of the normal distribution with negative values of the
interjump time, which are physically impossible. In that case it is
proposed to use the inverse Gaussian distribution
j{t;fl,A.) = A. )1/2 exp [A.(t

( __ - fl) 2], t ~ 0 (8.47)
21tt
3 2fl2t
as an approximation. This distribution is exact, if the drift were constant,

see Karlin and Taylor (1975). The idea behind such a parameterization
of the distribution time is that by the time the trajectory arrives in a
neighbourhood of the jumping point, it has "forgotten" its history. For
this distribution the expected value and variance are
B{T} = fl,
In Fig. 8.4 the distribution of 197 interjump times, numerically com-
puted by (8.46), is given in a histogram. For the values
E = 0.1 and 0 = 0.75,
the asymptotic theory yields
B{T} = 2.2 - In2 + 2.UE2I3

2
- "':'02
16
= 1.46,
Var{T} = (-..:.16 + ~ln2)02

8
= 0.32,
where with respect to E we used the higher order approximation (8.20)
of the deterministic system. Using the numerically computed determin-
istic interjump time (0 = 0)
TO(E) = 1.435 for E = 0.1

we have for the expected value of T and its variance
E{T} = To(E) - .2..82

16
= 1.33 and Var{T} = 0.32.
Consequently, in the inverse Gaussian distribution function (8.47) we
have to take
J.l = 1.33 and A = 7.42.
In Fig. 8.4 this distribution is represented by asolid line. It is noted that

it fits the data much better than the normal distribution with the same
mean and variance (dashed line).
Ö 1T- 2 3
Fig. 8.4. Distribution of 197 interjump times from a simulation ron of
the system (8.46) and its approximation by a normal distribution (dashed
line) and by an inverse Gaussian distribution (solid line).
In Kurrer and Schulten (1991) the effect of noise on a Bonhoef-

fer-Van der Pol type of system is analyzed by decomposing the noise in
a component perpendicular to the limit cyele and a component along the
limit cyc1e. It is coneluded by them that the oscillator is more sensitive
to noise during the phase that it comes elose to the (unstable) equilib-
rium and near the point where it leaves the stable manifold. For a
related problem see Lythe and Proctor (1993).
Forced Oscillation and Entrainment

Taleno et al. (1995) study a Van der Pol type forced relaxation oscilla-
tion of the form
EdX = {Y - F(X)}dt,
dY = {-X + V(t)} dt + ödW(t),
where
V(t) = A sin9(t),
Starting at a jump point in a phase 9 with distribution ho(9), the

system returns there with a distribution h l (9). In general we have
hi9) = Ph j9),
i i = 1, 2, 3, ....
Taleno et al. (1995) approximate this operator P numerically. Further-

more they iterate this map and observe in the case of subharmonie
entrainment with period T = 3Tf that rapidly a long lasting transient state
arises with a distribution of 9 over three peaks depending on the initial
distribution. Then very slowly these peaks are redistributed in an even
way. Thus, entrainment in one of the three stable phases is rapidly
achieved. Next by cyc1e jumps these phases are slowly redistributed.
The velocity of this process decreases strongly with E.
Phase locking has also been studied by Dupuis and Kushner (1987).
9. Confidence Domain, Return Time
and Control
In this chapter we analyse stochastic dynamical systems that have a

stable equilibrium. This equilibrium of the corresponding deterministic
system represents the "ideal" state of the system. Due to the stochastic
perturbations the system fluctuates about this equilibrium state. In order
to quantify the functioning of the system we introduce concepts as
confidence domain and return time. A confidence domain in state space
is a bounded domain containing the equilibrium. Within this domain the
probability density function for the stationary distribution is above a
fixed value. This value can be selected such that the system is with a
given probability within this domain. The return time is the expected
time it takes to return to such a domain given a starting point some-
where outside the domain. The approximation for the return time
appears to be independent of this starting point. The return time is
related to the notion of resilience that is used in ecology, see Sect. 9.2.
In Sect. 9.3 on applications in control theory we summarize the
result of Krtolica (1984) on maximizing the time spent in a domain con-
taining a stable equilibrium by deriving a feedback law. Furthermore, we
review the problem of estimating optimally the state variables of a
system perturbed by noise that, in addition, suffers from observation
nOise.
9.1 Confidence Domain
Let us consider stochastic systems of the type
m
dX; = bPQdt + E E criX) d~(t)
j = I
with the corresponding deterministic system having only one stable limit
solution: the origin being a stable equilibrium attracting over Rn. Then
9.1 Confidence Domain 169
the stationary solution of the Fokker-Planck equation
(9.1)
with
has as first order approximation
(9.2)
with ",(x) satisfying
En b(x)_
a", 1 n
+ _ E a ..(x) _ _
a", a", = 0 (9.3a)
1 = \ 1 ax 2 i,j = \ IJ aX aX
i j
and
",(0) = 0, (9.3b)
see Sect. 5.3. If we wish to have a 95% confidence domain, meaning

that the stationary system is with a probability of 0.95 in this domain,
we define this domain r as follows. Its boundary ar must satisfy
",(x) =c (9.4)
with C such that
J Je
=
J... J
~
e-'I'(X)/E'dx )'.. dx n / ••• -'I'(X)/E'dx \... dx n -- 095

• ,
r _~ _~
where the integral in the numerator is evaluated over r. Roozen (1990)

constructed a numerical scheme to derive a contour satisfying (9.4) that
goes through a given point x.
170 9. Confidence Domain, Return Time and Control
Linearization of the Dynamical System

For E very small the domain r covers a small area near the equilibrium
at the origin. Thus, we mayas weIl analyse the system linearized at the
equilibrium with a constant diffusion matrix
dX =BX dt + EO'o dW(t) (9.5)
with
B = [ ab.]
oX _I and 0'0 = [0' ..]
IJX=O
.
j x =0
Then, according to Sect. 5.3, we have
with S satisfying
A + BS + SB T =0 (9.6)
with
(9.7)
The stationary distribution for the linearized system is a multivariate

normal distribution with covariance matrix E2S:
(9.8)
Thus, the confidence domains for different probabilities are formed by

nested ellipsoids satisfying
x T S-l X = c. (9.9)
9.2 Return Time and Its Application in Ecology 171
9.2 Return Time of a Stochastic System

and Its Application in Ecology
In the mathematical modelling of ecological systems stability of an
equilibrium state is quantified in different manners. The stability defini-
tion, as it is used in the mathematical theory of dynamical systems, is a
qualitative one: an equilibrium is asymptotically stable if for all initial
states near the equilibrium the system returns to this equilibrium state as
time tends to infinity. This definition is not related to the velocity a
system returns to the equilibrium. For the purpose of quantifying this
velocity the notion of resilience has been introduced in ecology. It is
based on the assumption that deviations from the equilibrium state are
small so that the dynamic behaviour can be approximated by a linear
system of differential equations. Then the return time of the system is
governed by the real part of the eigenvalue nearest to the imaginary axis
in the complex plane. Resilience is defined as the reciprocal of the
return time: a highly resilient ecological system rapidly restores its
equilibrium if a deviation occurs. Since it takes an infinitely large time
span to return exactly in the equilibrium, the reciprocal of the real part
of the above mentioned eigenvalue is taken as a measure for the return
time. Consequently, the return time is defined apart from a
multiplicative constant (DeAngelis, 1992).
In this section we introduce the concept of return time for a
stochastic model of an ecological system. We make the assumption that
the random perturbations are small. We indicate the size of the perturba-
tions by the parameter E. We will show that the probability that the
system is in state space outside an E-neighbourhood of the equilibrium is
exponentially small with respect to E. This E-neighbourhood is the
domain in state space where the system can be most likely expected and
where it acts regularly. We call this the E-domain. When speaking of the
return time we mean the time needed to return to this domain. The
system may get outside this domain from two types of actions: either by
a sudden shock (Pimm, 1993) or by a sequence of small perturbations of
size E. These are already incorporated in the model: it may happen that
incidentally all these perturbations force the system in a certain direc-
tion.
Let us first formulate the return time correctly. Later on we will
simplify this formulation because the full computation cannot be carried
out in practice for higher dimensional systems. Let a stochastic
dynamical system be given by the state vector (Xt(t), ... ,Xit» and the
dynamics by a Fokker-Planck equation
i)p = Mp, (9.10)

i)t
where p(t,x) is the probability density function of finding the system in

astate x at time t. In the Fokker-Planck equation M is a linear elliptic
operator with coefficients depending on x and the perturbation parameter
e:
(9.11)
For any given initial distribution the system tends to a stationary dis-
tribution p(S)(x) concentrated in an e-neighbourhood of the stable internal
equilibrium. It may be quasi-stationary if probability density is slowly
leaking away at a boundary. The function ls)(x) satisfies. the stationary
Fokker-Planck equation Mp(s)(x) = o.
Let us formulate the expected return time T(xo) if starting in a point
Xo in state space. Then we first have to compute the expected arrival
time T(xo,x) at an arbitrary point x. Next the expected return time
follows from
(9.12)
This stochastic return time does hold for any stochastic dynamical
system. Van Kampen (1995) gives the very illustrative example of
magnetotactic bacteria that take the direction of the magnetic south pole.
In an experiment this direction is changed and the process of re-orienta-
tion is then observed. Van Kampen gives a mathematical analysis of this
process based on the formulas (9.10-9.12). Because the model he
presents is a one-dimensional stochastic dynamical system, he is in the
position to do all the calculations. For higher dimensional systems this
would become quite cumbersome. It is therefore that we simplify the
definition of the return time slightly. We define it as the time needed to
arrive in the e-domain. Since outside the e-domain the drift prevails over
the diffusion the expected return time is very weil approximated by that
of the corresponding deterministic system x' = hex).
We perform the calculations for one-dimensional systems and take
the stochastic logistic system as special case. Next we show how the
method applies to higher dimensional systems with a stochastic prey-
predator as example. We also discuss the concept of persistence. It is
argued that the diameter of the e-domain is a measure of how a system
elose to equilibrium copes with stochastic perturbations and persists to
remain elose to its equilibrium state. Finally the direct effect of parame-
ters on resilience, return time and persistence is analyzed.
The Stochastic Logistic System and Other One-Dimensional Systems

We analyse the one-dimensional stochastic birth and death process of
Sect. 4.3 with the probability density function p(t,x) satisfying the
Fokker-Planck equation
-
ap a
= - -{a.(1-x)xp} + -
1 2 2 a
-{(ßx+<X.X )p}. (9.13)
at ax 2K 2 ax
We approximate p(s)(x) near x = 1 asymptotically by
p(S)(x) =
1 exp { (x _1)2} , a. +_
& =_ A
"', K» 1. (9.14)
J2n& 2& 2a.K
We next need to indicate more precisely what means that the state of
the system is in an order O(ll"K) neighbourhood of the equilibrium
x = 1. For that purpose we introduce an arbitrary large constant M
independent of K with 1 «M« ...JK. Then the lI...JK-dornain is for this
system defined as
1 - MI...JK < x < 1 + MI...JK.
Selecting an arbitrary point x of the pOSluve x-axis away from the

boundary x = 0 and outside the lI...JK-domain, we approxirnate the
expected arrival time at this domain. Since outside the domain the drift
prevails over the random motion, we may take
I-MNK
T(x) =
f
x
1
ru(1 - s)
M
ds for x< 1 - _
...JK
(9.15a)
and
l+MIVK
T(x) =
J
x
1
ru(1- s)
M
ds for x> 1+_.
...JK
(9.15b)
Both formulas have the same asymptotic behaviour for Klarge:

174 9. Confidence Domain. Return Time and Control
T(x) = !....ln/K (1 + 0(1), (9.16)

a
where 0(1) denotes a term that eontains x and K and that tends to zero
for K ~oo. Consequently, the return time is asymptotieally independent
of the starting point. Tbis has to do with the faet that the system slows
down near the equilibrium, so most of the time is spent at the last part
of the return path. Tbus, we do not have to make the linearization
assumption as is done in the deterministic resilienee definition, it
naturally eomes up in the ealeulations.
It is noted that for K ~oo the lI..JK-domain shrinks to the equilib-
rium of the eorresponding deterministie logistie differential equation and
that the return time tends to infinity. Tbe loeal dynamies is governed by
the linear system
v' = -av with v(t) = x(t) - 1.
Aeeording to the deterministie definition of resilienee T = Cta with C

some positive eonstant whieh is of the same form as (9.16). However, it
is eounterintuitive that the resilienee inereases when the perturbation
term inereases. Tbe reason that it does is that the domain of regular
aetion inereases with the perturbation, so that the system returns earlier
in this domain. We will eome baek on these matters later on.
For an arbitrary one-dimensional system of the type satisfying the
Fokker-Planek equation
d = -_{b(x)p}
..!!... d + _E _d {a(x)p}
2 2
dt dx 2 dx 2
with a stable equilibrium at x =:! we find for the stochastie return time
T(x) = InE {I + 0(1)}, O<E« 1.

b'<9
Stochastic Systems of Dimension Two and Higher

For a two-dimensional system satisfying the Fokker-Planek equation
(9.17)
with the corresponding deterministic system x' = b(x) having a stable

equilibrium at x = :! the probability density is concentrated in an E-
neighbourhood of this equilibrium. The probability density function
p(s)(x) can be approximated by a bivariate normal distribution satisfying
the stationary Fokker-Planck equation corresponding with (9.17) with
b(x) and a(x) replaced by
b(x) ::::: B(x -,!} and a(x) ::::: A,
where
(9. 18ab)
The bivariate normal distribution is of the form
(9.19)
with covariance matrix
(9.20)
satisfying the matrix equation
(9.21)
Now the e-domain is the ellipsoid
(x-:!,l S-I (x-,!) =M

with Magain an arbitrary number independent of e with 1«M« 1/e2,
so that Me2 « 1. The way this ellipsoid is approached depends on the
eigenvalue(s) of B nearest to the imaginary axis in the complex plane. If
this is a real one, A.I = -n, then the trajectories approach along the
corresponding eigenvector v(1), see Fig. 9.1a. If the nearest eigenvalues
are complex AI ,2 = -a ± iß, then the trajectories spiral towards the

equilibrium, see Fig. 9.1b.
(a) (b)
o~~--~-+------------ O~----~----~-+--~~-------
o
o
Fig. 9.1. The approach of trajectories towards the E-domain: (a) AI is
real, (b) A1,2 are complex conjugates.
The time needed to travel from x(O) to X(I) is mostly spent at the last part
of the interval, where the distance to the equilibrium r(t) == I x(t) -.! I
approximately satisfies r' = -ar. Thus
(9.22)
It is noted that the direction of approach does not play any role in first
order approximation. Multiplicative factors in the covariance matrix that
are small, such as E2, determine the return time.
This analysis is readily extended to higher dimensional systems
resulting in the same formula.
Application to the Prey-Predator System

We consider the stochastic prey-predator system of Sect. 7.1. The
system of differential equations for the expected value of x(t) reads
(9.23a)
(9.23b)
We linearize this system at the equilibrium ~ = (1 - Ö, Ö) by substituting

x(t) = ~ + v(t) giving
V' = Bv
The eigenvalues of Bare
(9.24)
The corresponding diffusion process has a probability density function

p(t,x) satisfying the Fokker-Planck equation
_ap = - L2 _(b.(x)p)
a 1 a
2
+ _ _(a.(x)p)
at i = I ax; I 2K ax2
I
I
with b(x) given by (9.23) and with
see (7.3), so that in (9.18b)
(9.26)
Then the covariance matrix follows from (9.21), see (9.20), with
cri = U 1(E2 + Ö2)(l - Ö) + U2(E I + Öl)

(9.27a)
2U I U 2
(9.27b)
and
(9.27e)
The return time, if starting in x, is, see (9.24),
T(x, K) -1 lnyK
= __ Iv {1 + o(l)}. (9.28)
ReAl
Thus, the return time is in first order approximation independent of the

starting point.
Resilience Versus Persistence

A resilient system quiekly reeovers from a perturbation that puts it in
state spaee far away from the equilibrium in which it regularly operates.
The eharaeteristic feature of a persistent system should be different.
Persistenee of a population or an eeological system is quantified in
literature by the expeeted time that a population will die out. Extinetion
ean only be modelled by introduction of a random element. This ean be
of demographie origin, such as random birth and death, or from the
environment. This need for a random perturbation marks the differenee
between persistenee and resilienee. The definitions we give slightly
differ from the ones of the literature, see Holling (1973) and Ives
(1995).
In a resilient system there is a rapid return to the equilibrium state
beeause in the eomplex plane the eigenvalues of the linearized detennin-
istie system are suffieiently far away from the imaginary axis, while in a
system that lacks persistenee the random motion, that drives it away
from the equilibrium, is feIt. Randornness may be eaused by demo-
graphie or environmental forces. It is clear that persistenee depends on
the balance between these random forees and the size of the real part of
the eigenvalues nearest to the imaginary axis. The size of the E-domain
is detennined by this balance of opposite tendeneies. Computing the
return time we were in the fortunate position that the arbitrarily large
eonstant M dropped out in the first order approximation. If we quantify
the size of the E-domain by the maximal diameter of the domain, the
eonstant would remain in the expression for it. The ellipsoid of the same
fonn indieating the size of the varianee in all direetions would be a
better eandidate (this means that we ehoose M = 1). Thus we have to
find the maximal diameter of the ellipsoid
The transformation to y-coordinates coinciding with the axes of the

ellipsoid is of the form x = Uy with U a unitary matrix (ur = U- I ) with
U-ISU=D,
where D is a diagonal matrix having the entries d l , ••• , dn• The maximal
variance satisfies
For a two-dimensional system it is
It is proposed that the maximal variance is used as measure for the (lack
of) persistence of an equilibrium state. It is defined by the local
stochastic dynamics of the system. For the prey-predator system
(9.23-9.28) the persistence follows from (9.27).
Dependence of Return Time and Persistence Upon Parameters

of System
If we have more information about the size of parameters the express-
ions quantifying resilience, return time and persistence can be either
simplified or extended so that they contain more information about the
equilibrium state. We show this in the two examples we gave before.
For the domain of regular performance of the logistic system
(9.13-9.16) we chose the llVK-domain. However, if ais smaU, then the
domain is in reality larger. In effect we should take the cr-domain, see
(9.14). Then the return time equals
T(x) = ..!..lnVaK (1 + 0(1» (9.31)

a
instead of (9.16). It is remarked that (9.31) is also correct if a is not
smalI. The parameter a is the difference between the birth rate and the
death rate which indeed can be small. However, it is not allowed that
the product aK gets small. Then the probability density would not be
concentrated near the internal equilibrium anymore. Then anyway the
notion of "return" would be void.
For the prey-predator system (9.23-9.28) we may be especially
interested in the case of low resilience. If the eigenvalues are real, we
have
-1 « 1..1 < 0 or (9.32)
Thus, the source of low resilience is either a low net (negative) growth
rate <lz of the predator or an intern al equilibrium with a low predator
population of size ö. This also has a consequence for the return time.
Scanning the covariance matrix for multiplicative small factors present
in all entries we find that in case of low resilience this leads to areturn
time
1- ö c:-;;;-
T(x) = -_lnya K {l + o(l)}.
aß
2
For <lz having a value over the full range from small to large the return
time satisfies
T(x)
-1
= __ c:-;;;-
lnya2K {l + o(l)}
Re 1..1
provided that the product <lzK is large. If the eigenvalues are not real,
we have -1 « ReA 1 < O. This can occur for small values of a 1• Then
we obtain a similar formula for the return time with a 1 instead of <lz.
Using a formula manipulation software package we can easily derive
a formula for the persistence given by a~, see (9.30) and (9.27), and
also for the derivative of a;ax
with respect to each of the parameters of
the system.
9.3 Applications in Control Theory
In this section we study two applications in control theory. First the

problem of maximizing the time in a domain near a stable equilibrium.
This can be seen as an upgrading of the confidence domain of Sect. 9.1.
Secondly we discuss a method of optimal filtering.
9.3 Applications in Control Theory 181
Maximizing the Exit Time Using a Linear Control

Following Krtolica (1984) we consider the linear control system
dX = AX dt + u dt + E 0'0 dW(t), (9.33a)
dY = CX dt + E PodV(t) (9.33b)
with u the control vector, Yak-dimensional observation vector and V(t)

an i-dimensional Wiener process. It is assumed that A and C are such
that the system is observable.
We introduce the linear control law
udt =- RdY (9.34)
and find the matrix R that maximizes the expected exit time in n, if
starting in the origin. For (9.33-9.34) we write
dX = (A-RC)Xdt + E{crodW(t)-RpodV(t)}
or, replacing W(t) and V(t) by an n-dimensional Wiener process U(t),
dX = (A - RC)X dt + E cro(R) dU(t) (9.35)
with the diffusion matrix cro(R) given by
with
(9.36ab)
For the system (9.35) the stationary solution of the corresponding

Fokker-Planck equation is
with the symmetrie matrix H given by the matrix equation

Wehave to choose R such that the minimum value of
at an is maximized:
K = max {min 'V(x)}.
R an
We may interchange the minimization and maximization, as the bound-

ary an is independent of R. From results by Wonham (1968) it is
deduced that 'V(x) is at its maximum at an for
R -- PCG-
er
1
with P satisfying the Riccati equation
Optimal Filtering
Following Katzur et al. (1984ab) we consider the problem of estimating
optimally the state X(t) of a dynamical system perturbed by noise
through a noisy measurement process with observation variable Y(t). Let
this system be one-dimensional and of the form
dX = b(X) dt + (j dV(t), (9.37a)
dY =X dt + E dW(t), °< E « 1 (9.37b)
with V(t) and W(t) independent Wiener processes. To estimate X(t) the
realization of Y over the interval [0, t] is used: the optimal estimator xC!)
is the conditional expectation
x(t) = E{X(t) I Y(s) =y(s), ° ~ s ~ t}.
The conditional probability density function for X(t) satisfies Kushner' s

equation
dp
a
= {-_(b(x)p) (jzaz } dt + _p(x-x)dJ(t)
+ _-1!.. 1 , (9.38)
ax 2 ax 2 E
9.3 Applications in Control Theory 183
with J(t) the so-called innovation process
EdJ(t) = dY - x(t)dt,
see Jazwinsky (1970). A solution is sought of the form
p(x, t) = w(x, t; E) exp{ -,!,(X,X)/E} .

Putting the condition that in (9.38) the coefficients of dt and dJ vanish,
we obtain the following expressions
(x - x?
,!,(x,x) = ~=--_
2cr
and
W(x,x,t) = 1
";2TCcrE
exp[~ {(x -
u-
x)b(x) - f b(~)d~} +
i
x
O(E)] ,
see Katzur et al. (1984a) for the details of this computation. From this
probability density function we can derive the variance of the error in
the estimation of X(t):
Var{X(t) - x(t)} = Ecr + E2b'(x(t» + O(E3 ).
For the analysis of a two-dimensional system we refer to Yaesh et al.

(1990), see also Bobrovsky and Schuss (1982).
10. A Markov Chain Approximation
of the Stochastic Dynamical System
Dealing with a stochastic dynamical system with state vector X(t)

satisfying a nonlinear Langevin equation of the type
dx =fix)dt + a(x)dW(t),
we may only be interested in qualitative changes and their statistics.
Typical qualitative changes are the switch from one domain of attraction
to a neighbouring one or in the case of population dynamics the extinc-
tion or introduction of a species. For that purpose we introduce the
Markov chain approximation. For a precise mathematical description of
the connection between such a Markov chain and the stochastic
r
dynamical system we refer to Chap. 6 of Freidlin and Wentzell (1984).

Here we work out two examples. One modelling the preferent states of
the atmospheric circulation and one dealing with the occupation rate of a
patch of land by some biological species.
10.1 Preferent States in a Low Order Spectral Model

of the Atmospheric Circulation
In this section low order spectral solutions of the barotropic potential

vorticity equation are studied. We discuss the spectral analysis of De
Swart and Grasman (1987). A spectral model consists of a system of
coupled nonlinear ordinary differential equations for the time dependent
coefficients of the spectral expansion. Truncation of this expansion
yields a finite dimensional approximation of the atmospheric flow
described by the vorticity equation.
First we consider a 3-dimensional model having two stable equilibria
and one unstable equilibrium at the separatrice. The equilibria can be
seen as preferent states of the atmosphere. The irregular alternation of
these preferent states, as observed in circulation patterns, is not reflected
10.1 Preferent States of Atmospheric Circulation 185
by the simple 3-dimensional model. One way to compensate the effects

of the severe truncation in the spectral model is to add stochastic forcing
to the system. Next an analysis of this stochastic problem is presented.
Special attention is given to the expected time of residence near a
preferent state. Moreover, a discrete state Markov process is formulated;
it describes the stochastic alternation of preferent states. Finally a higher
dimensional spectral model is discussed. Important in a lO-dimensional
model is the occurrence of a chaotic solution (strange attractor) that
visits, in an irregular way, different regular unstable limit solutions,
which are situated in different parts of state space (regimes).
Derivation of the Spectral Model

For a large scale barotropic flow over a slowly varying topography in a
midlatitude beta-plane we assume the following: let H be the character-
istic height, k- 1 the horizontal length scale en a- 1 the time scale. The
topography has a characteristic amplitude ho. The meridional scale of the
flow is assumed to be much smaller than the radius of the earth ro. The
potential vorticity equation for this circulation model reads in nondimen-
sional form
where 'I'(x,y) is the stream function, h the position of the earth's surface
and '1'* a forcing stream function. Furthermore,
J(a,b) == da db _ da db,
dX dY dY dX
y==-,
10 ho and
aH
where
10 == 2Qsin<1>0'
with <1>0 the central latitude and Q the angular speed of rotation of the
earth. Finally, OE is the depth of the Ekman layer near the surface. We
investigate the existence of travelling wave solutions in a rectangular
186 10. Markov Chain Approximation of Dynamical System
channel with length L and width B = tbL. The nondimensional length

and width are 21t and 1tb. The boundary conditions are
",(x,y,t) = ",(x+21t,y,t),
J a",ay
211:
a", = 0 and ~ dx =0 at y =0 and y = 1tb.

ax at 0
Let <1>;, i = 1,2,... be an orthonormal set of eigenfunctions of the

Laplace operator for the domain of the channel:
<1>1 = "./2 cos(ylb), <1>2 = 2 cosx sin(ylb),

<1>3 = 2 sinx sin(ylb), <1>4 ="./2cos(2ylb), ....
Moreover, the functions ",' and h are assumed to be of the form
Substitution of the expansion
",(x,y,t) = b E- xP) <l>n(x,y) (10.1)

n=1
yields an infin~te system of differential equations for xit), n = 1,2, ....
The 3-Dimensional Model with Stochastic Forcing

Taking x: = 0 and xit) = 0 for n = 4,5, ... , we obtain by substitution of
(10.1) in the vorticity equation a system of differential equations for the
remaining coefficients
(lO.2a)
(lO.2b)
with
31t -
a= _2b_ , ß = -31tß- = 2.55, C=_C=0.2
1+b 2 4/2 4/2
or
dx.
- ' = f(x), i = 1,2,3. (10.3)
dt '
The stationary points x satisfy the equation J(X) = O. Depending on the

parameter values either one or three real valued roots are· found. In Fig.
10.1 the first component of the equilibrium x is given as a function of
x;.Figure 10.2 gives the three circulation patterns that correspond with
the three equilibria forx; = 10. The two stable equilibria with attraction
domains .Qj are denoted by x(i), i = 1,3 (X}l) > iP\ and the unstable
one at the separatrice r by X<2).
10
o0 10 x; -
Fig. 10.1. Equilibrium solution Xl as a function of x; for b = 1.
Next we consider the system (10.3) with each term forced by white
noise of intensity E
dx.I = J;~(x)dt + EdW.(t),

I
i = 1,2,3, (10.4)
where Wj(t), i = 1,2,3, are independent Wiener processes. This stochastic

input compensates the absence of higher order spectral terms. The
stochastic dynamical system (10.4) can be approximated by a diffusion

process. Let p(t,x) be the probability density distribution that the system
is in state x at time t. Then p(t,x) satisfies the Fokker-Planck equation
dp = ~E2~p - V' (Pf(x» or dp = Mp. (10.5)

dt dt
(a)
(b)
i
l~!
I y _-1 "'"
i I -4 .,..--..j....., "
-2 ..f...-/ '. \ O!
(c)
Fig. 10.2. Dimensional stream function patterns for the equilibrium

states of the 3-dimensional spectral model. Dashed lines represent
contours of the orography: (a) the equilibrium i(ll, (b) the equilibrium
i(2), (c) the equilibrium i(3).
Let at time t = 0 the system be in XE Q;. Then 't(x) is defined as the

first arrival time at the separatrice r = dQ; of the deterministic system.
Its expected value T(x) satisfies, see Sect. 2.2,
LT= -1 in Q;, (10.6a)
T=0 at r, (1O.6b)
where L is the formal adjoint of M:
The elliptic singular perturbation problem (10.6) has an asymptotic

solution of th~ form
T(x) = C; eKle' in Q; outside a neighbourhood of r, (1O.7a)
T(x) = C;eK/e' J2/1C r)

o
e-tt' dt in Q; near r (1O.7b)
with
s(x)
2
= -{
E
f dUdf
r(x)
0
_rdr}',
!
where U is the normal at r, the derivative is defined by
_d = Lu._
d
dU ; I dX;
and r(x) the distance to r. The constants C; and K; are determined as

follows. Let p(S)(x) satisfy the stationary Fokker-Planck equation in Q;
and be of the form
p(S)(x) = w(x)e-Q(x)/e' (10.8)
with
Q(x(;») =0 and Q(x) > 0 for X * x(i).

The functions Q(x) and w(x) are determined by the ray method, see Sect.
5.3. Substitution of (10.7) and (10.8) in the formula for the divergence
theorem gives
For E ~ 0 this equation must hold asymptotically which yields the

values of Ki and Ci' We only give
K i = lim Q(x), K I = 0.23 and K 2 = 0.52.

x-+i(2)
It is concluded that most of the time the system is in an E-neigh-

bourhood of one of the two stable equilibria. The attraction domain of
these equilibria is most likely left through the separatrice r in an E-
neighbourhood of the unstable equilibrium i(2). The expected residence
time in domain n i is
T=::C
i i e
K/t' .
Near the unstable equilibrium the system remains a time of order
where A is the largest positive eigenvalue of the deterministic system

linearlzed at i(2). Estimates of E for atmospheric models are given by
Egger and Schilling (1983). They found E2 =:: 0.2.
A discrete Markov process is formulated as folIows. Let Qij denote
the transition probability per unit of time from state i to j (i,j = 1,2,3)
and let Pi(t) denote the probability of being in state i at time t. Then Pi(t)
satisfy
dP I
dt = -(Q12+Q21)P I - Q21 P3 + Q21'
dP3
dt = -Q23 P I - (Q32+Q23)P 3 + Q23'
P2 =1 - PI - P3 ,
where
1 1 1
Q23 = Q21 = 2T' QI2 = -- and Q32 = --.
2 ~ ~
In Fig. 10.3 the probability functions p;(t) are given for a process that
starts in state I with probability 1.
. . 1. . . . ..
t
-----~_ ..... _-_ ... _-_ ... ..... _... -- .. - ....... -- ... --_ ...
p,
_---- ...-
P,s
o ~--~----~--~----~--~
o 50
Fig. 10.3. Evolution of the probability distribution of the Markov chain

starting in state 1. The dotted lines represent the stationary distribution.
Higher Dimensional Spectral Models

In higher dimensional spectral models the system will exhibit irregular
dynamics from itself. No stochastic forcing is needed to obtain vacilla-
tion between states with a zonal flow of different intensities, see De
Swart (1988). His purpose is to formulate a spectral model with the
lowest dimension that still has chaotic behaviour with two cIearly
different scales of motion (planetary/synoptic) and that has a zonal
component (XI) that varies over a sufficiently large realistic range. Using
physical arguments it is understood that 10 dimensions must be the
minimum as only then energy exchange between wave triades is poss-
ible. In Fig. lO.4a the xccomponent of a solution is given. Its largest
Lyapunov exponent has a positive value, which indicates the presence of
astrange attractor. Examining the course of a trajectory projected in the
x2 ,x3-plane, we observe that this strange attractor remains from time to
time elose to three different periodic orbits. The behaviour strongly
resembles a discrete state Markov process of the type we gave above,

see Fig. 10.4b. The deterministic chaotic model can be used to study the
predictability of atmospheric fIow from a theoretical point of view.
Ca) (b)
o t 2 3 4
Fig. 10.4. A chaotic solution of the lO-dimensional model:

component, (b) sketch of unstable periodic solutions.
10.2 Extinction and Recolonization in Population Biology
We will work out the method of Sect. 7.3 of reducing a complex

stochastic model of interacting biological populations to a simple
stochastic logistic model for a population that is at risk of extinction. In
the case of metapopulations being populations spread out over intercon-
nected patches of land, we make the assumption that one population can
be identified as the one at risk. A quantitative analysis is made of the
expected extinction time and of the expected fraction of time the local
population is present. Two essential assumptions are made. Firstly the
time scale: the study concems the intermediate time scale for which only
one local population is at risk. Secondly, for the full deterministic
system it is assumed that there is an internal stable equilibrium and that
there is also an equilibrium nearby the boundary in which the population
at risk would be just negative, see Fig. 10.5. If we put the size of this
population zero then the equilibrium should be stable. This comes close
to species-deletion stability (Pimm, 1982). The system remains most
likely in a domain of state space containing these two equilibria, so the
relevant deterministic dynamics is qualitatively completely described by
this configuration. In this way we concentrate our analysis only upon the
event that the metapopulation will vanish locally in the patch where it is
at risk.
10.2 Extinction and Recolonization in Biology 193
We analyse two such populations that are connected through migra-

tion with an intensity proportional to the size of the population that is
left. Let the proportionality constant be smalI. We will give a formula
for the dependence of the expected extinction time upon this parameter
and upon the other parameters of the metapopulation.
For the process of recolonization a formula is derived for the
occupation rate. It is assumed that the full system is at the boundary
near the equilibrium mentioned before. This is the most likely situation,
if the population at risk is absent. Then we know the expected time of
arrival of an individual. Next we have to account for the risk that the
population directly dies out again before growing to its fuH size. These
results are used to compute the fraction of time the population is pres-
ent. It turns out that already an extremely small migration rate has a
positive effect upon this occupation rate of the patch. Finally, we derive
from our analysis a Markov chain approximation as it is used by biol-
ogists, see Hanski (1994).
In Sect. 4.3 we studied the stochastic dynamics of a population
described by the logistic process. We now consider two populations
modelIed by such a stochastic logistic system and assurne that migration
may take place proportional with the size of the population that is left.
Since our aim is to study the effect of migration upon the extinction
risk, we consider the case of two connected populations with identical
intrinsic birth and death rates. The stochastic model is formulated in
Table 10.1, where the transition probabilities are given that during a
time interval (t,t+~t) the populations NI and N2 change by one individ-
ual. In this table (l = b - d and i takes the value 1 or 2. Assuming that
K I < K 2 we scale the population sizes as follows
(1O.9a)
Table 10.1. Two stochastic logistic populations with migration.

bN;M
( dN;+;:;2 )M
NI ~ NI - 1, N2 ~ N2 + 1 ~IM
N2 ~ N2 - 1, NI ~ NI + 1 ~2M
and use in the sequel that
K1 =K and K 2 = KK (K> 1). (l0.9b)
We obtain for the ehanges L\xj over the time interval (t,t+M) the follow-
ing first and seeond statistical moments
and
E { (L\x1)2} = ~ {(ß + axl)X1 + /1(x t + K(2)} ~t,
K
E{L\x 1L\x2} = -..!:(K-1X1 + X2)~t,

K
K- 1
E{ (L\x2)2} = - { (ß + ax2)X2 + /1(~IXI + xz>} ~t,
K
where
ß = b + d.
Taking only in aeeount terms of order O(~t) we obtain for the veetor L\x
the eovarianee matrix K-Ia(x)~t with
(lO.lla)
(l0.11b)
(1O.11e)
We assume that 0 < /1 « 1. The deterministic dynamics is sketehed in

Fig. 10.5. For Xi' X 2 ~ 0 there are two equilibria: (0,0) and the interna!
stable one !. = <!.1,:!2) with
1 K - 1
K -
X = 1 + - - /1 + 0(/1),
-I <X
2
X
-.z =1 - <XK
2
- - /1 + 0(/1).
lO.2 Extinction and Recolonization in Biology 195
There are also two equilibria lying just outside the domain XI' X 2 ;::: o.
We denote these by ll) and l2):
and
(0,0)
Fig. 10.5. The dynamies of the deterministic system x' = b(x) with b(x)
given by (10.10) with 0 < 1.1 « 1. The population with scaled density XI
is at risk of extinction because in Table 10.1 we have that KI < K 2 • The
system is most likely near:! and, if not there, then most likely near l2).
The probability density function p(t,x) satisfies the Fokker-Planck equa-

tion
with b(x) and a(x) given by (10.10-10.11).
The Approximating One-Dimensional Stochastic Logistic System

Next we approximate the 10ng term stochastic behaviour of population
NI. As it is argued in Sect. 7.3 we may use a one-dimensional stochastic
logistic process as approximation
1 d2
-dp = --{q(y)p}
d
+ ---{r(y)p} (10.12)
dt dY 2K dy 2
with the drift term q(y) and diffusion term r(y) being quadratic functions
of y. First we fit these terms such that the reduced system has the same
dynamics as the component XI of the full system as it is near extinction
(0 < XI « 1). It is most likely that X 2 is then near the equilibrium value
::!.i 2). Thus we require that
q'(O) = db
_I (0, X(2» = (l - Il
dX I -'2
and
da
r( 0) = a 11'-'2
(0 X(2» = 1110;(2) r'(0) = _11 (0, X(2» = 13 + Il.
r -'2 '
dX I
-'2
The remaining two parameters, the coefficients of the quadratic terms,

are chosen such that the reduced system correctly approximates the long
term stochastic behaviour near the internal equilibrium .:!. Thus, the drift
term q(y) must be such that there is an equilibrium at y = .:!I:
q(y) = IlKx<2) +
-'2
«l - Il)y + öy2, Ö= -(l + O(1l2) (10.13a)
and
r(y) = IlKX(2)
-'2
+ (13 + Il)y + Ey2. (10.13b)
In the coefficient
of the quadratic term of r(y) the parameter y should be chosen such that
the variance of the Gaussian distribution for the quasi-stationary behav-
iour of the one-dimensional system equals that of NI of the full system.
The approximating Gaussian distribution of the one-dimensional system
has a variance
~)
(10.14)
2Kq'(~)
The quasi-stationary approximation of the fuH system is a bivariate

normal distribution
with .:! the stable internal equilibrium and with covariance matrix
where ~ satisfies
so that by equating this expression with (10.14) we obtain
The Approximated Expected Extinction Time

For the one-dimensional system the expected extinction time, if starting
in y, satisfies
dT 1 d2 T
q(y)_ + _r(y)_ = -1 for y > 0
dy 2K dy 2
with
T(O) =0 and T'(y) ~ 0 as y ~ 00.
Its solution reads
II
y ~
T(y) = 2K exp{2K('I'(t) - 'I'(s»}r(st1dsdt (10.15)

o t
with
x
'I'(y) = I-I q(s) ds.

y
r(s)
198 lO. Markov Chlün Approximation of Dynamical System
The largest contribution to the integral (10.15) with y = :!l comes from a
neighbourhood of (t,s) = (O':!I)' where the exponent of the integrand
takes its largest value. Consequently,
InT<! )
_~_I
2K
"" '1'(0) = J
!,
0
q(s) ds.
r(s)
(10.16)
We are in particular interested in the dependence of '1'(0) upon J.l. Let us

go one step back and write 'I'(y) = 'I'(y;J.l). Using (10.13) the integral
(10.16) can be evaluated with an error of order 0(J.l). If we try to expand
this integral with respect to J.l, we meet serious difficulties as 'I'(y; J.l) is
not differentiable at (y,J.l) = (0,0). The zero of r(y) that is just below y =
o and that tends to 0 for J.l ~ 0 is responsible for this behaviour. Evalu-
ating this singular part of the integral we obtain
'I'(0;J.l) = <1>(0) + (a - ß) KJ.llnJ.l + 0(J.l) (10.17)

ß2
with
In Grasman and HilleRisLambers (1997) the results (10.16) and (10.17)

are compared with the outcome of simulations of the full system given
by Table 10.1.
Approximation of tbe Occupation Rate

If population NI is extinct, recolonization will take place by individuals
coming from population N2 • The migration rate depends on the actual
size of this population. Since N2 is most likely near its equilibrium value
:!i2), the migration rate can be taken J1K2' Let there arrive one individual.
Then the recolonization is successful with some probability , see also
Stephan and Wissel (1994). We calculate this probability as folIows. For
the system (10.12) the probability of arriving at x* (with O<x*< 1) if
starting in y (with O<y<x*) satisfies the boundary value problem
q(y) du + r(y) d 2u =0 for O<y<x*

dy 2K dy 2
with
u(O) =0 and u(x*) = 1.

For Klarge, x* away from the boundaries, and Il and y small the
solution is approximated by
u(y) =1 - exp(-2Kay/(3).
Thus, a successful recolonization is achieved at a rate
A. =!-1K2U(1/K) = !-1K2(1 - exp(-2aJ(3)). (10.18)
The time needed to arrive in a neighbourhood of ::!I can be neglected

compared with the expected waiting time 1/A..
For -Kllln Il« 1 the expected extinction time TI for starting points
near ::!I can be approximated by the one for the isolated population NI'
Using a higher order approximation with respect to K (Sect. 4.3) we
have
T -
I - a
(3 J 1t
a(a + (3)K
e2K~O). (10.19)
For the complete system of the two coupled populations the

expected fraction of the time that population NI is present is zero for an
infinite time domain as the total population NI + N 2 will vanish in a
finite time. In the system there are two characteristic extinction times:
the one of NI denoted by TI and the much larger one TI+2 öf NI +N2 • We
are interested in the expected fraction of time f that population NI is
present at a time span T with TI« T« TI+2 • The answer is as we will
verify from the Markov chain approximation
(10.20)
In Fig. 10.6 this formula is compared with simulation runs for different
values of Il. For
b = 1.25, d = 0.75, K = 20 and K = 60

I 2
we have that TI = 0(102 ) and TI+2 = 0(106 ), so T = 104 is a suitable

time span. As starting values N;(O) = K;, i = 1,2 are taken.
+
0.8
+
f +
+
0.4
+ +
+
o
10-6 10-4 10-2
Fig. 10.6. The fraction of time f the population Nt is present with at
least one individual for different values of fl. For the other parameter
values see the text.
The Markov Chain Approximation

Hanski (1994) formulates the following Markov chain model, which we
can work out here for two connected populations. The state of popula-
tion Ni is quantified by the vector
with Pi the probability that Ni> 0 (and I-Pi the probability that Ni = 0).
The state of the two populations is measured at discrete times with the
intervals in between being of unit length. Let Ci be the probability that
within such a time interval population Ni' when equal zero, becomes
strict1y positive (colonization) and that Ei is the probability that popula-
tion Ni gets extinct. The matrix of transition probabilities is thus
For the two connected populations with logistic dynamics we described

above we are in the position to assign values to the entries of the
transition matrices:
10.2 Extinction and Reco1onization in Bio1ogy 201
and
with TI and A. given by respectively (10.19) and (10.18). Clearly, P2 = 1

at all times. The value of PI depends on the starting value; it tends to
the stationary value f given by (10.20).
Literature
Arnold, L. (1974), Stochastic Differential Equations, Wiley, New York.

Barcilon, V. (1996), "Singular perturbation analysis of the Fokker-
Planck equation: Kramers' undamped problem", SIAM J. Appl.
Math. 56, p. 446-479.
Bear, J., and A. Verruijt (1987), Modelling Groundwater Flow and
Pollution, Reidel, Dordrecht.
Bernard, P. (1992), "About stochastic linearization" , in Nonlinear
Stochastic Mechanics, N. Bellomo and F. Casciati (eds.), Springer,
Berlin Heidelberg, p. 61-70.
Bobrovsky, B., and Z. Schuss (1982), "Singular perturbation method for
. the computation of the mean first passage time in a nonlinear
filter", SIAM J. Appl. Math. 42, p. 174-187.
Bogoliubov, N.N., and Y.A. Mitropolsky (1961), Asymptotic Methods in
the Theory 0/ Nonlinear Oscillations, Gordon and Breach,
New York.
Capocelli, R.M., and L.M. Ricciardi (1971), "Diffusion approximation
and first passage time problem for a model neuron"; Kybernetik 8,
p.214-233.
Cobb, S., and S. Zacks (1985), "Application of catastrophe theory for
statistical modelling in the biosciences", J. Am. Stat. Association
80, p. 793-802.
Colonius, F., F. Javier de la Rubia and W. Kliemann (1996), "Stochastic
models with multistability and extinction levels", SIAM J. Appl.
Math. 56, p. 919-945.
Cook, L.P., and W. Eckhaus (1973), "Resonance in a boundary value
problem of singular perturbation type", Studies in Appl. Math. 52,
p. 129-139.
Crandall, S.H. (1963), "Perturbation techniques for random vibration of
nonlinear systems", J. Acoust. Soc. Am. 35, p. 1700-1705.
Day, M.V. (1990), "Large deviations results for the exit problem with
characteristic boundary", J. Math. Appl. 147, p. 134-153.
204 Literature
DeAngelis, D.L. (1992), Dynamies of Nutrient Cycling and Food Webs,

Chapman and Hall, London.
De Groen, P.P.N. (1980), "The singularly perturbed tuming point prob-
lem: A spectral approach", in Singular Perturbations and Asympto-
ties, RE. Meijer and S.V. Parker (eds.), Acad. Press, New York,
p. 149-172.
De Swart, H.E. (1988), Vacillation and Predietability Properties of Low-
order Atmospherie Speetral Models, Thesis, Utrecht Univ.,
The Netherlands.
De Swart, H.E., and J. Grasman (1987), "Effect of stochastic perturba-
tions on a low-order spectral model of the atmospheric circulation",
Tellus 39A, p. 10-24.
Dupuis, P., and HJ. Kushner (1987), "Stochastic systems with small
noise, analysis and simulations; a phase locked loop example",
SIAM J. Appl. Math. 47, p. 643-661.
Ebeling, W., and H. Engel-Herbert (1982), "Extremal principles and
catastrophe theory for stochastic models of non linear irreversible
processes" , in Thermodynamies and Kineties of Biologieal Pro-
eesses, I. Lamprecht and A.I. Zotin (eds.), Walter de Gruyter,
Berlin, p. 197-215.
Eckhaus, W., and E.M. De Jager (1966), "Asymptotic solutions of singu-
lar perturbation problems for linear differential equations", Arch.
for Ration. Mech. and Analysis 23, p. 26-86.
Egger, J., and H.D. Schilling (1983), "On the theory of the long-term
variability of the atmosphere", J. Atmos. Sei. 40, p. 1073-1085.
Elishakoff, 1., and R Zangh (1992), "Comparison of the new energy-
based versions of the stochastic linearization technique", in Non-
linear Stoehastie Meehanies, N. Bellomo and F. Casciati (eds.),
Springer, Berlin Heidelberg, p. 201-212.
Feller, W. (1971), An Introduetion to Probability Theory and its Appli-
eations, Vois. land II, Wiley, New York.
Freidlin, M.I., and A.D. Wentzell (1984), Random Perturbations of
Dynamieal Systems, Springer, New York.
Gardiner, C.W. (1983), Handbook of Stoehastie Methods for Physies,
Chemistry and the Natural Scienees, Springer, Berlin Heidelberg.
Gillespie, J .H. (1985), "The interaction of genetic drift and mutation
with selection in a fluctuating environment", Theor. Pop. Biology
27, p. 222-237.
Graham, R, and T. Tel (1985), "Weak-noise limit of Fokker-Planck
models and nondifferentiable potentials for dissipative dynamical
systems", Phys. Rev. A 31, p. 1109-1122.
Literature 205
Graham, R., D. Roekaerts and T. Tel (1985), "Integrability of

Hamiltonians associated with Fokker-Planck equations", Phys.
Rev. A 31, p. 3364-3375.
Grasman, J. (1968), "On singular perturbations and parabolic boundary
layers", J. Engin. Math. 2, p. 163-172.
Grasman, J. (1971), On the Birth of Boundary Layers, Thesis, Mathem-
atical Centre Amsterdam (CWI), tract.
Grasman, J., and E. Veling (1973), "An asymptotic formula for the
period of a Volterra-Lotka system", Math. Biosci. 18, p. 185-189.
Grasman, J., and BJ. Matkowsky (1977), "A variational approach to
singularly perturbed boundary value problems for ordinary and
partial differential equations with turning points", SIAM J. Appl.
Math. 32, p. 588-597.
Grasman, J. (1979), "On a dass of elliptic singular perturbations with
applications in population genetics", Math. Meth. in the App1. Sei.
1, p. 432-441.
Grasman, J., and D. Ludwig (1983), "The accuracy of the diffusion
approximation to the expected time of extinction for some discrete
stochastic processes", J. Appl. Prob. 20, p. 305-321.
Grasman, J. (1985), "Estimates of large failure times from the theory of
stochastidy perturbed dynamical systems with and without feed-
back", in The Road-Vehicle-system and Related Mathematics,
H. Neunzert (ed.), Teubner, Stuttgart, p. 234-246.
Grasman, J. (1987), "Life time distributions and stochastic dynamical
systems", in Probability and Bayesian Statistics, R. Viertl (ed.),
Plenum Press, New York, p. 219-224.
Grasman, J. (1987), Asymptotic Methods for Relaxation Oscillations and
Applications, Springer, New York.
Grasman, J. (1989), "Asymptotic analysis of nonlinear systems with
small stochastic perturbations", Mathematics and Computers in
Simulation 31, p. 41-54.
Grasman, J., and J.B.T.M. Roerdink (1989), "Stochastic and chaotic
relaxation oscillations", J. Stat. Physics 54, p. 949-970.
Grasman, J. (1990), "Estimate of failure time of a nonlinear system with
stochastic input", Struct. Safety 8, p. 337-344.
Grasman, J. (1996), "The expected extinction time of a population
within a system of interacting biological populations", Bul1. Math.
Bio1. 58, p. 555-568.
Grasman, J., and R. HilleRisLambers (1997), "On local extinction in a
metapopulation", Eco1. Modelling 103, p. 71-80.
206 Literature
Grasman, J. (1998), "Stochastie epidemies: the expected duration of the

endemie period in higher dimensional models", Math. Biosci. 152,
p. 13-27.
Hagan, P.S., C.R. Doering and C.D. Levermore (1989), "Mean exit
times for partieies driven by weakly colored noise", SIAM J. App1.
Math. 49, p. 1480-1530.
Hanski, I. (1994), "A practical model of metapopulation dynamics", J.
Anim. Beo1. 63, p. 151-162.
Hanson, F.B., and C. Tier (1981), "An asymptotic solution of the fIrst
passage problem for singular diffusion in population biology",
SIAM J. App1. Math. 40, p. 113-132.
Hasminskii, R.Z. (1980), Stochastic Stability 0/ Differential Equations,
Sijthoff and Noordhoff, Groningen.
Holling, C.S. (1973), "Resilience and stability of ecologieal systems",
Ann. Rev. Eco1. Systems 4, p. 1-23.
Ives, A.R. (1995), "Measuring resilience in stochastic systems", Beo1.
Monogr. 65, p. 217-233.
Jazwinski, A.H. (1970), Stochastic Processes and Filtering Theory,
Acad. Press, New York.
Kamin, S. (1979), "On elliptic singular perturbation problems with
turning points", SIAM J. Math. Anal. 10, p. 447-455.
Karlin, S., and H.M. Taylor (1975), A First Course in Stochastic Pro-
cesses, Acad. Press, New York.
Karlin, S., and H.M. Taylor (1981), A Second Course in Stochastic Pro-
cesses, Acad. Press, New York.
Kath, W., C. Knessl and B. Matkowsky (1987), "A variational approach
to nonlinear singularly perturbed boundary value problems",
Studies in Appl. Math. 77, p. 61-88.
Katz, A., and Z. Schuss (1985), "Reliability of elastie structures driven
by random loads", SIAM J. Appl. Math. 45, p. 383-402. Erratum
p.l054.
Katzur, R., B.Z. Bobrovsky and Z. Schuss (1984), "Asymptotie analysis
of the optimal fIltering problem for one-dimensional diffusions
measured in a low noise channel, part I", SIAM J. Appl. Math. 44,
p.591-604.
Katzur, R., B.Z. Bobrovsky and Z. Schuss (1984), "Asymptotic analysis
of the optimal fIltering problem for one-dimensional diffusions
measured in a low noise channel, part 11", SIAM J. Appl. Math.
44, p. 1176-1191.
Kendall, D.G. (1956), "Deterrninistic and stochastie epidemics in closed
populations", Proc. Third Symp. Math. Stal. Prob., Berkeley, 4.
Literature 207
Kermack, W.O., and A.G. McKendrick (1927), "Contributions to the

mathematical theory of epidemics", Roy. Stat. Soc. J. 115, p. 700-
721.
Kevorkian, J., and J.D. Cole (1981), Perturbation Methods in Applied
Mathematics, Springer, New York.
Khasminskii, R.Z. (1963), "On diffusion processes with a small parame-
ter", Jzv. Akad. Nauk. U.S.S.R. Sov. Mat. 27, p. 1280-1300.
Khasminskii, R.Z., and G. Yin (1996a), "Asymptotic series for singular-
ly perturbed Kolmogorov-Fokker-Planck equations", SIAM J.
Appl. Math. 56, p. 1766-1793.
Khasminskii, R.Z., and G. Yin (1996b), "On transition densities of
singularly perturbed diffusions with fast and slow components ",
SIAM J. Appl. Math. 56, p. 1794-1822.
Kloeden, P.E., and E. Platen (1992), Numerical Solution of Stochastic
Differential Equations, Springer, Berlin Heidelberg.
Klosek-Dygas, M.M., BJ. Matkowsky and Z. Schuss (1988), "Colored
noise in dynamical systems", SIAM J. Appl. Math. 48, p. 425-441.
Klosek-Dygas, M.M., BJ. Matkowsky and Z. Schuss (1988), "Stochastic
stability of nonlinear oscillators" , SIAM J. Appl. Math. 48, p.
1115-1127.
Knessl, C., BJ. Matkowsky, Z. Schuss and C. Tier (1985), "An
asymptotic theory of large deviations for Markov jump processes",
SIAM J. Appl. Math. 46, p. l006-lO28.
Kozin, F. (1988), "The method of statistical linearization for nonlinear
stochastic vibrations" , IUTAM Symposium Innsbruck, Springer,
Berlin Heidelberg, p. 45-46.
Krtolica, R. (1984), "A singular perturbation model of reliability in
systems control", Automatica 20, p. 51-58.
Kurrer, c., and K. Schulten (1991), "Effect of noise and perturbations
on limit cycle systems", Physica D 50, p. 311-320.
Lange, C. (1983), "On spurious solutions of singular perturbation
problems", Studies in Appl. Math. 68, p. 227-257.
Ludwig, D. (1975), "Persistence of dynamical systems under random
perturbations", SIAM Rev. 17, p. 605-640.
Lythe, G.D., and M.R.E. Proctor (1993), "Noise and slow-fast dynamics
in a three-wave resonance problem", Phys. Rev. E 47, p. 3122-
3127.
Lythe, G.D. (1995), "Dynamics controled by additive noise", Il Nuovo
Cimento 17, p. 855-861.
Maier, R.S., and D.L. Stein (1993), "The escape problem for irreversible
systems", Phys. Rev. E 48, p. 931-938.
208 Literature
Mangel, M., and D. Ludwig (1977), "Probability of extinction in a

stochastic competition", SIAM J. Appl. Math. 33, p. 256-266.
Mangel, M. (1979), "SmalI fluctuations in systems with multiple steady
states", SIAM J. Appl. Math. 36, p. 544-572.
Mangel, M. (1994), "Barrier transitions driven by fluctuations with
applications to evolution and ecology", Theor. Pop. Biol. 45, p. 16-
40.
Matkowsky, BJ., and Z. Schuss (1977), "The exit problem for randomly
perturbed dynamical systems", SIAM J. Appl. Math. 33, p. 365-382.
Matkowsky, BJ., Z. Schuss and C. Tier (1983), "Diffusion across
characteristic boundaries with critical points", SIAM J. Appl. Math.
43, p. 673-695.
Mishchenko, E.F., and N. Kh. Rosov (1980), Differential Equations with
Small Parameters and Relaxation Oscillations, Plenum Press, New
York.
Naeh, T., M.M. Klosek, B.J. Matkowsky and Z. Schuss (1990), "A
direct approach to the exit problem", SIAM J. Appl. Math. 50, p.
595-627.
Nisbet, R.M., and W.S.C. Gumey (1982), Modelling Fluctuating Popu-
lations, Wiley-Interscience, New York.
Pimm, S.L. (1982), Food Webs, Chapman and Hall, London.
Pimm, S.L. (1984), "The complexity and stability of ecosystems",
Nature 307, p. 321-326.
Pimm, S.L. (1993), "Nature's short sharp shocks ", Current Biology 3,
p.288-290.
Risken, H. (1984)~ The Fokker-Planck Equation, Springer, Berlin
Heidelberg.
Roberts, J.B., and P.D. Spanos (1990), Random Vibrations and Statisti-
cal Linearization, Wiley, New York.
Rodriguez, R., and N.G. Van Kampen (1976), "Systematic treatment of
fluctuations in a nonlinear oscillator", Physica A 85, p. 347-362.
Roozen, H. (1987), "Equilibrium and extinction in stochastic population
dynamics", BuH. Math. Biology 49, p. 671-696.
Roozen, H. (1989), "An asymptotic solution to a two-dimensional exit
problem arising in population dynamies", SIAM J. Appl. Math. 49,
p. 1793-1810.
Roozen, H. (1989), "Stochastic stability of the loaded stiff rod", J. En-
gin. Math. 23, p. 357-376.
Roozen, H. (1990), Analysis of the Exit Problem for Randomly Per-
turbed Dynamical Systems in Applications, Thesis, Wageningen
Agricult. Univ., The Netherlands.
Literature 209
Roughgarden, J. (1979), Theory 0/ Population Genetics and Evolution-

ary Ecology: An Introduction, MacMillan, New York.
Schenk-Hoppe, K.R. (1996), "Deterministic and stochastic Duffing-Van
der Poloscillators are non-explosive", Z. für Angew. Math. und
Phys. 47, p. 740-759.
Schoener, T.W., and D.A. Spiller (1987), "High population persistence
in a system with high tumover", Nature 330, p. 474-477.
Schuss, Z. (1980), Theory and Applications 0/ Stochastic Differential
Equations, Wiley, New York.
Schuss, Z., C. Tier and BJ. Matkowsky (1985), "Frequency fluctuations
in noisy oscillators", SIAM J. App1. Math. 45, p. 843-854.
Soize, C. (1994), The Fokker-Planck Equation/or Stochastic Dynamical
Systems and its Explicit Steady State Solutions, World Scientific,
Singapore.
Spigler, R. (1985), "A stochastic model for nonlinear oscillators of
Duffing type", SIAM J. App1. Math. 45, p. 990-1005.
Stephan, T., and C. Wissel (1994), "Stochastic extinction models dis-
crete in time", Eco1. Modelling 75n6, p. 183-192.
Stone, E., and P.J. Holmes (1990), "Random perturbations of heter-
oclinic cycles", SIAM J. App1. Math. SO, p. 726-743.
Taleno, T., S. Doi, S. Sato and L.M. Ricciardi (1995), "Stochastic phase
lockings in a relaxation oscillator forced by a periodic input with
additive noise: a first passage-time approach", J. Stat. Phys. 78,
p.917-935.
Talkner, P. (1987), "Mean first passage times and the life time of a
metastable state", Z. Phys. B 68, p. 201-207.
Van der Hoek; CJ. (1992), "Contamination of a well in a uniform back-
ground flow", Stochast. Hydro1. and Hydrau1. 6, p. 191-207.
Van Dyke, M. (1975), Perturbation Methods in Fluid Mechanics, The
Parabolic Press, Stanford.
Van Herwaarden, O.A., and J. Grasman (1991), ','Dispersive groundwater
flow and pollution", Math. Models and Methods in App1. Sei. 1,
p.61-81.
Van Herwaarden, O.A. (1994), "Spread of pollution by dispersive
groundwater flow", SIAM J. App1. Math. 54, p. 26-41.
Van Herwaarden, O.A., and J. Grasman (1995), "Stochastic epidemies:
major outbreaks and the duration of the endemie period", J. Math.
Biology 33, p. 581-601.
Van Herwaarden, O.A. (1996), Analysis 0/ Unexpected Exits Using the
Fokker-Planck Equation, Thesis, Wageningen Agricult. Univ., The
Netherlands.
210 Literature
Van Herwaarden, O.A. (1997), "Stochastic epidernies: the probability of

extinction of an infectious disease at the end of a major outbreak" ,
J. Math. Biology 35, p. 793-813.
Van Kampen, N.G. (1981), Stochastic Processes in Physics and Chemis-
try, North-Holland, Amsterdam.
Van Kampen, N.G. (1995), "The tuming of magnetotactic bacteria", J.
Stat. Phys. 80, p. 23-34.
Van Kooten, IJ.A. (1995), "An asymptotic method for predicting the
contarnination of a pumping weIl", Adv. in Water Resources 18,
p.295-313.
Van Kooten, J.J.A. (1996), "A method to solve the advection-dispersion
equation with kinetic adsorption", Adv. in Water Resources 19,
p. 193-206.
Verhulst, F. (1990), Nonlinear Differential Equations and Dynamical
Systems, Springer, Berlin Heidelberg.
Vreugdenhil, C.B., and B. Koren, eds. (1993), Numerical Methods for
Advection-Diffusion Problems, Vieweg, Braunschweig.
Ward, M.J. (1992), "Elirninating indeterrninacy in singularly perturbed
boundary value problems with translation invariant potentials",
Studies in Appl. Math. 87, p. 95-134.
Wazwaz, A.M., and F.B. Hanson (1986a), "Matched uniform approxima-
tions for a singular boundary point and interior tuming point",
SIAM J. Appl. Math. 46, p. 943-961.
Wazwaz, A.M., and F.B. Hanson (1986b), "Singular boundary resonance
with tuming point resonance", SIAM J. Appl. Math. 46, p. 962-
977.
Weinstein, E.M., and H. Benaroya (1994), "The Van Kampen expansion
for the Fokker-Planck equation of a Duffing oscillator", J. Stat.
Phys. 77, p. 667-679.
Williams, M. (1982), "Asymptotic exit time distributions", SIAM J.
Appl. Math. 42, p. 149-154.
Wonham, W.M. (1968), "On a matrix Riccati equation of stochastic
control", SIAM J. Control 6, p. 681-697.
Yaesh, 1., B.Z. Bobrovsky and Z. Schuss (1990), "Asymptotic analysis
of the optimal filtering problem for two dimensional diffusions
measured in a low noise channel", SIAM J. Appl. Math. 50,
p. 1134-1155.
Answers to Exercises
1.1 b) and c).
1.2 dX = U(I- X)X + EU X2 ~(t).

dt K K2
1.3 X(t) =1 - cost + EW(t).
1.4 C(t) = 1.
1.5 X(t) = K exp(-tt + W(t».
f
I
1.7 X(t)::= e-I + re-I e-s dW(s).

o
2. f sin(2't) dW('t) , 2. f 1 + cos(2't) dW('t).

I I
1.8b) RI(t) = VI(t) =

2 0 2 0
1.9a) X(t) = a [1 + E{(ael +l-atI J(ae s +l-a)dW(S)}],

a+(1-a)e-1 0
= 1 + Ee-tJ eSdW(s).
I
1.9c) X(t)
o
2.1 p(S)(<j» = Cexp(2/(2+cos<j») with Ca normalization constant.

(2+COS<j»2
2.2 q(t,x) = E- .4 exp { -_E

1 2(2n+l)2n:2t} sin{(2n+1)n:x}.
n=O n:(2n + 1) 2
212 Answers to Exercises
2.4a) T(x) = {1-exp(2/E2)t1 [(X-l)eXp(~) - X + exp{2(~~X)}J
2.4b) u(x) = {l-eXp(2/E2)}-1 [-exp{ 2(~~X)} + 1}
2.4c) T(x) ::::: 1 - x - exp (- ~} u(x)::::: e-2x1E'.
2.5a) X(t) =x exp { - ~ t + W(t)} ,

2.5b) T(x) = 2lnx.
2.6 T(x) = 2. JX
E2 o
J~ ~ exp{2.(r-S)} dsdr.
r
s E2
3.1a) p(s)(x) = cexp (2C;SX) with Ca normalization constant,
3.1b) p(S)(x) = cexp ( 2X;X 2

) with Ca normalization constant.
3.2 p(s)(x) = _2_ exp(- x: ).

Ern E
3.3 p(S)(x) =~ exp(- 2X) with Ca normalization constant.

x l E2
3.4 p(qS)(x) = _1_ exp (- x: ).

Ern E
3.5 T(x)::::: ln(x+ 1).

Answers to Exercises 213
3.6 u(x) ~ eXPl -;} T(x) = In (x + 1).
3.7 a) x = -1, b) x = 1.
4.1 u(x) "" exp{ 2(~~X)}.
4.2a) u(x) "" ~ {1- erf(: )},

4.2b) u(x) "" ~ [1 + exp{ -2(;2+ X)} - exp{ 2(XE~ 1)}}
4.3 u(x):=:: exp { 3(x -l)}.
2E2
4.4b) T(x):=:: 4r;;;? exp (_1 )[1_exp(_~)_exp{3(X-1)}].

16~ 2~ 2~ l
4.5
JJ~
XIr,2 00
4.7 T(x) = 2.exp{2(T\ -~)}d~dT\ "" lnx - 2lnE for x» E2.

o 11
JJ
xle ~
4.10 T(x) = -2 exp(T\2 - ~2)dT\d~ + ß - In E :=:: -ln Ix I for x» E,

o 0
with ß given by (4.62).
5.2 j{x l ) = _1__1_ exp ( _ _1_).

~
Ev 21t XI
3/2 2E2XI
214 Answers to Exercises
5.4 u(x ) = exp { 2(1 - r)Coscp} .

EZ
5.6 T(O,O) "" EVTt exp(:Z )-
5.10 T(1,O) "" exp(_l_).

l3E
z
Author Index
Amold, L. 149,203 FeIler, W. 27,204

Freidlin, M.l. 150,152,154,
Barcilon, V. 95,203 156,184,204
Bear, J. 99,203
Benaroya, H. 152,210 Gardiner, C.W. 3,7,21,24,25,
Bemard, P. 150,203 204
Bobrovsky, B. 183,203,206,210 Gillespie, J.H. 53,204
Bogoliubov, N.N. 152,203 Graham, R 73,204,205
Grasman, J. 46,76,78,94,135,
Capocelli, RM. 118,203 136,138,147,149,156,184,
Cobb, S. 118,203 198,204,205,206,209
Cole, J.D. 44,207 Gumey, W.S.C. 142,208
Colonius, F. 95,203
Cook, L.P. 49,65,203 Hagan, P.S. 73,206
CrandaIl, S.H. 152,203 Hanski, 1. 193,200,206
Hanson, F.B. 143,206,210
Day, M.V. 73,203 Hasminskii, RZ. 149,206
DeAngelis, D.L. 171,204 HilleRisLambers, R 198,205
De Groen, P.P.N. 49,204 Holling, C.S. 178,206
De Jager, E.M. 78,204 Holmes, P.J. 95,209
De Swart, H.E. 94,184,191,204
Doering, C.R 206 Ives, A.R. 178,206
Doi, S. 209
Dupuis, P. 167,204 Javier de la Rubia, F. 203
Jazwinsky, A.H. 183,206
Ebe1ing, W. 118,204
Eckhaus, W. 49,65,78,203,204 Kamin, S. 80,206
Egger, J. 190,204 Karlin, S. 27,53,76,165,206
Elishakoff, 1. 150,204 Kath, W. 46,206
Engel-Herbert, H. 118,204 Katz, A. 206
216 Author Index
Katzur, R. 182,183,206 Roerdink, J.B.T.M. 149,205

Kendall, D.G. 135,206 Roozen, H. 85,126,141,169,
Kermack, W.O. 137,207 208
Kevorkian, J. 44,207 Rosov, N.Kh. 159,208
Khasminskii, R.Z. 73,78,152,207 Roughgarden, J. 27,53,209
Kliemann, W. 203
Kloeden, P.E. 12,207 Sato, S. 209
Klosek-Dygas, M.M. 10,149,207, Schenk-Hoppe, K.R. 155,209
208 Schilling, H.D. 190,204
Knessl, C. 73,206,207 Schoener, T.W. 141,209
Koren, B. 140,210 Schulten, K. 166,207
Kozin, F. 150,207 Schuss, Z. 21,49,51,68,78,93,
Krtolica, R. 168,181,207 155,183,203,206,207,208,
Kurrer, C. 166,207 209,210
Kushner, HJ. 167,204 Soize, C. 28,209
Spanos, P.D. 150,208
Lange, C. 46,207 Spigler, R. 154,209
Levermore, C.D. 206 Spiller, D.A 141,209
Ludwig, D. 85,108,205,207,208 Stein, D.L. 73,207
Lythe, G.D. 73,166,207 Stephan, T. 198,209
Stone, E. 95,209
Maier, R.S. 73,207
Mangel, M. 108,143,208 Taleno, T. 167,209
Matkowsky, B.J. 46,49,51,68,205, Talkner, P. 73,209
206,207,208,209 Taylor, H.M. 27,53,76,165,
McKendrick, AG. 137,207 206
Mishchenko, E.F. 159,208 Tel, T. 73,204,205
Mitropolsky, Y.A 152,203 Tier, C. 143,206,207,208,209
Naeh, T. 208 Van der Hoek, C.J. 113,209

Nisbet, R.M. 142,208 Van Dyke, M. 65,112,209
Van Herwaarden, O.A 37,69,
Pimm, S.L. 171,192,208 109,135,137,140,209,210
Platen, E. 12,207 Van Kampen, N.G. 152,172,
Proctor, M.R.E. 166,207 208,210
Van Kooten, J.J.A 99,117,210
Ricciardi, L.M. 118,203,209 Veling, E. 138,205
Risken, H. 27,208 Verhulst, F. 149,152,210
Roberts, J.B. 150,208 Verruijt, A 99,203
Rodriguez, R. 152,208 Vreugdenhil, C.B. 140,210
Roekaerts, D. 205
Author Index 217
Ward, MJ. 48,210 Yaesh, 1. 183,210

Wazwaz, A.M. 143,210 Yin, G. 73,152,207
Weinstein, E.M. 152,210
Wentzell, A.D. 150,152,154,156, Zacks, S. 118,203
184,204 Zangh, R. 150,204
Williams, M. 46,210
Wissel, C. 198,209
Wonham, W.M. 182,210
Subject Index
absorbing boundary 21,27,31 - against drift 80

almost linear oscillation 152 - matrix 7
atmospheric flow 94,184 vanishing - 52
attraction domain 91 dispersive groundwater flow 99
autocorrelation divergence theorem 49,86
- matrix 3 drift
- function 4,10,152 transversal - 78
averaging 152 - from equilibrium 78
Duffing equation 150,154
backward Kolmogorov equation 20
barotropic vorticity equation 184 ecological system 171
Bernoulli equation 93 Ecowell 117
Bonhoeffer-Van der Pol eq. 166 entrainment 167
boundary layer 44 epidemiology 130
Brownian motion 4 equivalent statistical lineariza-
tion 150
circular parallel flow 77 Euler-Lagrange equation 46
composite expansion 64,112 exit
confidence domain 168 - probability 23,32,43,73
conormal derivative 86,88 - time 23,32,50,73
contaminant extinction
- with decay 116 population - 118,141,192
- with adsorption 116
control Fokker-Planck equation 18,73
- theory 180 forced relaxation oscill. 167
- law 181 forward Kolmogorov eq. 18
cyde jump 149
Gaussian process 6
diffusion Green's function 21
- across drift 74
- along drift 78 Hamilton function 83
220 Subject Index
Ito ca1culus 7 simulation 12

slowly varying system 153
Kolmogorov equation small noise expansion 10
forward - 18 spectral model 185
backward - 20 stagnation point 99
Kushner' s equation 182 stationary
- distribution 28
Langevin equation 6 - process 3,10
magnetotactic bacteria 172 stochastic

Markov - differential equation 7
- chain 184 - logistic equation 55,
- process 3 143,173,195
- oscillation 149
Ornstein-Uhlenbeck process 9,153 - perturbation 6
- process 3
parabolic boundary layer 75
Pec1et number 140 unlikely exit 57
persistence 178
prey-predator system 118,145,176 Van der Pol equation 155,
probability current 19,28 156,163
vanishing diffusion 52
quasi-stationary distribution 28 variational method 46
Volterra-Lotka system 138
ray 84
recolonization in biology 192 white noise 4,7
reflecting boundary 24,27,28,31 Wiener
relaxation oscillation 150,156 - process 4,7
resilience 171 - increment 7
return time 171 WKB-method 57,82
Riccati equation 182
Springer
and the
environment
At Springer we firmly believe that an
international science publisher has a
special obligation to the environment,
and our corporate policies consistently
reflect this conviction.
We also expect our business partners -
paper mills, printers, packaging
manufacturers, etc. - to commit
themselves to using materials and
production processes that do not harm
the environment. The paper in this
book is made from low- or no-chlorine
pulp and is acid free, in conformance
with international standards for paper
permanency.
Springer

Springer-Verlag Berlin Heidelberg GMBH

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Springer-Verlag Berlin Heidelberg GMBH

Uploaded by

Copyright:

Available Formats

Asymptotic Methods for the Fokker-Planck Equation

and the Exit Problem in Applications

Springer-Verlag Berlin Heidelberg GmbH

A selection of volumes in the Springer Series in Synergetics:

Library of Congress Cataloging-in-Publication Data.

© Springer-Verlag Berlin Heidelberg 1999

For a nonlinear stoehastie dynamical system the probability density

The approach we take is that for a given stochastically perturbed

Wageningen, Johan Grasman

Part I The Fokker-Planck Equation

1. Dynamical Systems Perturbed by Noise:

2. The Fokker-Planck Equation: First Exit from a Domain ....... 18

3. The Fokker-Planck Equation: One Dimension ......................... 27

Part 11 Asymptotic Solution of the Exit Problem

4. Singular Perturbation Analysis of the Differential Equations

5. The Fokker-Planck Equatiou in Several Dimensions:

Part 111 Applications

6. Dispersive Groundwater Flow and Pollution ... .......................... 99

8. Stochastic Oscillation ............................... .......... ......................... 149

9. Confidence Domain, Return Time and Control .... .................. 168

10. A Markov Chain Approximation of the Stochastic

Literature ................... .......................................................................... 203

Answers to Exercises .......................................................................... 211

Author Index ....................................................................................... 215

Subject Index....................................................................................... 219

The Fokker-Planck Equation

In this monograph we analyse the dynamics of finite-dimensional

1.1 Stochastic Processes and the Effect of Small Noise

A time-dependent vector function X(t) of which the evolution depends

C(t) = E{ X(t) XT(t+t) } (1.1)

C('t) = E{ ~(t)~(t+'t)} = Ö('t)

E{~} =0 and Var{~} = lIß.t.

W(t) = ~(s) ds . (1.3)

This is called Brownian motion or the Wiener process. In a simulation

W(t + ß.t) = W(t) + ~ß.t (1.4a)

where 11 is a random number with E{11} = 0 and Var{11} = 1, e.g.

E{ W(t)} =0 and Var{W(t)} = t. (1.5ab)

A stochastic process X(t) with each component of the vector function

Let this system be perturbed by m independent white noise processes

These perturbations are assumed to have an intensity E that is sufficient-

-dX = g(X, E~(t» . (1.8)

Linearization with respect to the perturbation gives the Langevin equa-

dX = b(X) + EO(X)~(t) (1.9)

and with o(X) the diffusion matrix:

1.2 The Itö Calculus

For the integration of stochastic differential equations we will employ

dX = b(X) + O(X)~(t) (1.10)

is then written as the stochastic differential equation

dX = b(X) dt + o(X) dW(t), (1.11)

where dWi(t) = Wi(t + dt) - Wi(t) is the Wiener increment.

E{ G(s) dW(s)} =0 (1.12)

G(s)(dW(s)f = G(s) ds or (dW(t»2 = dt (1.13)

is in particular used if we compute expressions of the form

E{ G(s) dW(S»2} = E { G(r) G(s) dW(r) dW(s) }

because dW(r) and dW(s) are independent for r'* s.

dftX) =f'(X) dX + ±f"(X)(dX)2. (1.14)

More specifically we have

dftW(t» = f'(W(t» dW(t) + ±f"(W(t» dt (1.15)

We give two examples of differential equations that can be inte-

a) Stochastically Perturbed Constant Motion

dX = cdt + crdW(t), X(O) =Xo (1.16)

(c and cr constant) can be integrated directIy giving

X(t) = Xo + ct + crdW(s). (1.17)