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Measures of path-based nonlinear expansion rates and Lagr...
Michal Branicki, Kenneth Uda · 2018-10-17 · via math.PR updates on arXiv.org

We develop a probabilistic characterisation of trajectorial expansion rates in non-autonomous stochastic dynamical systems that can be defined over a finite time interval and used for the subsequent uncertainty quantification in Lagrangian (trajectory-based) predictions. These expansion rates are quantified via certain divergences (pre-metrics) between probability measures induced by the laws of the stochastic flow associated with the underlying dynamics. We construct scalar fields of finite-time divergence/expansion rates, show their existence and space-time continuity for general stochastic flows. Combining these divergence rate fields with our 'information inequalities' derived in allows for quantification and mitigation of the uncertainty in path-based observables estimated from simplified models in a way that is amenable to algorithmic implementations, and it can be utilised in information-geometric analysis of statistical estimation and inference, as well as in a data-driven machine/deep learning of coarse-grained models. We also derive a link between the divergence rates and finite-time Lyapunov exponents for probability measures and for path-based observables.