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arXiv · 1105.1580

Deterministic Brownian motion generated from differential delay equations

Jinzhi Lei·Michael C. Mackey
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Abstract

This paper addresses the question of how Brownian-like motion can arise from the solution of a deterministic differential delay equation. To study this we analytically study the bifurcation properties of an apparently simple differential delay equation and then numerically investigate the probabilistic properties of chaotic solutions of the same equation. Our results show that solutions of the deterministic equation with randomly selected initial conditions display a Gaussian-like density for long time, but the densities are supported on an interval of finite measure. Using these chaotic solutions as velocities, we are able to produce Brownian-like motions, which show statistical properties akin to those of a classical Brownian motion over both short and long time scales. Several conjectures are formulated for the probabilistic properties of the solution of the differential delay equation. Numerical studies suggest that these conjectures could be "universal" for similar types of "chaotic" dynamics, but we have been unable to prove this.

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BibTeXRIS

Jinzhi Lei, Michael C. Mackey. 2011-10-11. Deterministic Brownian motion generated from differential delay equations. https://doi.org/10.1103/physreve.84.041105

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