Normal form transforms separate slow and fast modes in stochastic dynamical systems
arXiv:math/0701623 · doi:10.1016/j.physa.2007.08.023
Abstract
Modelling stochastic systems has many important applications. Normal form coordinate transforms are a powerful way to untangle interesting long term macroscale dynamics from detailed microscale dynamics. We explore such coordinate transforms of stochastic differential systems when the dynamics has both slow modes and quickly decaying modes. The thrust is to derive normal forms useful for macroscopic modelling of complex stochastic microscopic systems. Thus we not only must reduce the dimensionality of the dynamics, but also endeavour to separate all slow processes from all fast time processes, both deterministic and stochastic. Quadratic stochastic effects in the fast modes contribute to the drift of the important slow modes. The results will help us accurately model, interpret and simulate multiscale stochastic systems.
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