# Analysis of Stochastic/Nonlinear Models

We consider a three-dimensional slow-fast system with quadratic nonlinearity and additive noise. The associated deterministic system of this stochastic differential equation (SDE) exhibits a periodic orbit and a slow manifold. The deterministic slow manifold can be viewed as an approximate parameterization of the fast variable of the SDE in terms of the slow variables. In other words the fast variable of the slow-fast system is approximately "slaved" to the slow variables via the slow manifold. We exploit this fact to obtain a two dimensional reduced model for the original stochastic system, which results in the Hopf-normal form with additive noise. Both, the original as well as the reduced system admit ergodic invariant measures describing their respective long-time behaviour. We will show that for a suitable metric on a subset of the space of all probability measures on phase space, the discrepancy between the marginals along the radial component of both invariant measures can be upper bounded by a constant and a quantity describing the quality of the parameterization. An important technical tool we use to arrive at this result is Girsanov's theorem, which allows us to modify the SDEs in question in a way that preserves transition probabilities. This approach is then also applied to reduced systems obtained through stochastic parameterizing manifolds, which can be viewed as generalized notions of deterministic slow manifolds.

Optimal control of harvested population at the edge of extinction in an unprotected area, is considered. The underlying population dynamics is governed by a Kolmogorov-Petrovsky-Piskunov equation with a harvesting term and space-dependent coefficients while the control consists of transporting individuals from a natural reserve. The nonlinear optimal control problem is approximated by means of a Galerkin scheme. Convergence result about the optimal controlled solutions and error estimates between the corresponding optimal controls, are derived. For certain parameter regimes, nearly optimal solutions are calculated from a simple logistic ordinary differential equation (ODE) with a harvesting term, obtained as a Galerkin approximation of the original partial differential equation (PDE) model. A critical allowable fraction of the reserve's population is inferred from the reduced logistic ODE with a harvesting term. This estimate obtained from the reduced model allows us to distinguish sharply between survival and extinction for the full PDE itself, and thus to declare whether a control strategy leads to success or failure for the corresponding rescue operation while ensuring survival in the reserve's population. In dynamical terms, this result illustrates that although continuous dependence on the forcing may hold on finite-time intervals, a high sensitivity in the system's response may occur in the asymptotic time. We believe that this work, by its generality, establishes bridges interesting to explore between optimal control problems of ODEs with a harvesting term and their PDE counterpart.

By means of Galerkin-Koornwinder (GK) approximations, an efficient reduction approach to the Stuart-Landau (SL) normal form and center manifold is presented for a broad class of nonlinear systems of delay differential equations (DDEs) that covers the cases of discrete as well as distributed delays. The focus is on the Hopf bifurcation as the consequence of the critical equilibrium's destabilization resulting from an eigenpair crossing the imaginary axis. The nature of the resulting Hopf bifurcation (super- or subcritical) is then characterized by the inspection of a Lyapunov coefficient easy to determine based on the model's coefficients and delay parameter. We believe that our approach, which does not rely too much on functional analysis considerations but more on analytic calculations, is suitable to concrete situations arising in physics applications.

Thus, using this GK approach to the Lyapunov coefficient and SL normal form, the occurrence of Hopf bifurcations in the cloud-rain delay models of Koren and Feingold (KF) on one hand, and Koren, Tziperman and Feingold (KTF), on the other, are analyzed. Noteworthy is the existence for the KF model of large regions of the parameter space for which subcritical and supercritical Hopf bifurcations coexist. These regions are determined in particular by the intensity of the KF model's nonlinear effects. ``Islands'' of supercritical Hopf bifurcations are shown to exist within a subcritical Hopf bifurcation ``sea;'' these islands being bordered by double-Hopf bifurcations occurring when the linearized dynamics at the critical equilibrium exhibit two pairs of purely imaginary eigenvalues.

Singularly perturbed barotropic Quasi-Geostrophic (QG) models are considered. A boundary layer analysis is presented and the convergence of solutions is studied. Based on the rigorous analysis of the underlying boundary layer problems, an enriched spectral method (ESM) is proposed to solve the QG models. It consists of adding to the Legendre basis functions, analytically-determined boundary layer elements called “correctors," with the aim of capturing most of the complex behavior occurring near the boundary with such elements. Through detailed numerical experiments, it is shown that high-accuracy is often reached by the ESM scheme with only a relatively low number N of basis functions, when compared to approximations based on spectral elements which typically display non-physical oscillations throughout the physical domain, for such values of N. The key to success relies on our analytically-based boundary layer elements, which, due to their highly nonlinear nature, are able to capture most of the steep gradients occurring in the problem’s solution, near the boundary. Our numerical results include multi-dimensional as well as time-dependent problems.

The spectrum of the generator (Kolmogorov operator) of a diffusion process, referred to as the Ruelle-Pollicott (RP) spectrum, provides a detailed characterization of correlation functions and power spectra of stochastic systems via decomposition formulas in terms of RP resonances; see Part I of this contribution (Chekroun et al. in Theory J Stat. https://doi.org/10.1007/s10955-020-02535-x, 2020). Stochastic analysis techniques relying on the theory of Markov semigroups for the study of the RP spectrum and a rigorous reduction method is presented in Part I Chekroun et al. (2020). This framework is here applied to study a stochastic Hopf bifurcation in view of characterizing the statistical properties of nonlinear oscillators perturbed by noise, depending on their stability. In light of the Hörmander theorem, it is first shown that the geometry of the unperturbed limit cycle, in particular its isochrons, i.e., the leaves of the stable manifold of the limit cycle generalizing the notion of phase, is essential to understand the effect of the noise and the phenomenon of phase diffusion. In addition, it is shown that the RP spectrum has a spectral gap, even at the bifurcation point, and that correlations decay exponentially fast. Explicit small-noise expansions of the RP eigenvalues and eigenfunctions are then obtained, away from the bifurcation point, based on the knowledge of the linearized deterministic dynamics and the characteristics of the noise. These formulas allow one to understand how the interaction of the noise with the deterministic dynamics affect the decay of correlations. Numerical results complement the study of the RP spectrum at the bifurcation point, revealing useful scaling laws. The analysis of the Markov semigroup for stochastic bifurcations is thus promising in providing a complementary approach to the more geometric random dynamical system (RDS) approach. This approach is not limited to low-dimensional systems and the reduction method presented in Chekroun et al. (2020) is applied to a stochastic model relevant to climate dynamics in the third part of this contribution (Tantet et al. in J Stat Phys. https://doi.org/10.1007/s10955-019-02444-8, 2019).

A theory of Ruelle–Pollicott (RP) resonances for stochastic differential systems is presented. These resonances are defined as the eigenvalues of the generator (Kolmogorov operator) of a given stochastic system. By relying on the theory of Markov semigroups, decomposition formulas of correlation functions and power spectral densities (PSDs) in terms of RP resonances are then derived. These formulas describe, for a broad class of stochastic differential equations (SDEs), how the RP resonances characterize the decay of correlations as well as the signal’s oscillatory components manifested by peaks in the PSD. It is then shown that a notion reduced RP resonances can be rigorously defined, as soon as the dynamics is partially observed within a reduced state space *V*. These reduced resonances are obtained from the spectral elements of reduced Markov operators acting on functions of the state space *V*, and can be estimated from series. They inform us about the spectral elements of some coarse-grained version of the SDE generator. When the time-lag at which the transitions are collected from partial observations in *V*, is either sufficiently small or large, it is shown that the reduced RP resonances approximate the (weak) RP resonances of the generator of the conditional expectation in *V*, i.e. the optimal reduced system in *V* obtained by averaging out the contribution of the unobserved variables. The approach is illustrated on a stochastic slow-fast system for which it is shown that the reduced RP resonances allow for a good reconstruction of the correlation functions and PSDs, even when the time-scale separation is weak. The companions articles, Part II and Part III, deal with further practical aspects of the theory presented in this contribution. One important byproduct consists of the diagnosis usefulness of stochastic dynamics that RP resonances provide. This is illustrated in the case of a stochastic Hopf bifurcation in Part II. There, it is shown that such a bifurcation has a clear manifestation in terms of a geometric organization of the RP resonances along discrete parabolas in the left half plane. Such geometric features formed by (reduced) RP resonances are extractable from time series and allow thus for providing an unambiguous “signature” of nonlinear oscillations embedded within a stochastic background. By relying then on the theory of reduced RP resonances presented in this contribution, Part III addresses the question of detection and characterization of such oscillations in a high-dimensional stochastic system, namely the Cane–Zebiak model of El Niño-Southern Oscillation subject to noise modeling fast atmospheric fluctuations.

The Jin-Neelin model for the El Niño–Southern Oscillation (ENSO for short) is considered for which the authors establish existence and uniqueness of global solutions in time over an unbounded channel domain. The result is proved for initial data and forcing that are sufficiently small. The smallness conditions involve in particular key physical parameters of the model such as those that control the travel time of the equatorial waves and the strength of feedback due to vertical-shear currents and upwelling; central mechanisms in ENSO dynamics.

From the mathematical view point, the system appears as the coupling of a linear shallow water system and a nonlinear heat equation. Because of the very different nature of the two components of the system, the authors find it convenient to prove the existence of solution by semi-discretization in time and utilization of a fractional step scheme. The main idea consists of handling the coupling between the oceanic and temperature components by dividing the time interval into small sub-intervals of length *k* and on each sub-interval to solve successively the oceanic component, using the temperature *T* calculated on the previous sub-interval, to then solve the sea-surface temperature (SST for short) equation on the current sub-interval. The passage to the limit as *k* tends to zero is ensured via a priori estimates derived under the aforementioned smallness conditions.

In this article it is proved that the dynamical properties of a broad class of semilinear parabolic problems are sensitive to arbitrarily small but smooth perturbations of the nonlinear term, when the spatial dimension is either equal to one or two. This topological instability is shown to result from a local deformation of the global bifurcation diagram associated with the corresponding elliptic problems. Such a deformation is shown to systematically occur via the creation of either a multiple-point or a new fold-point on this diagram when an appropriate small perturbation is applied to the nonlinear term. More precisely, it is shown that for a broad class of nonlinear elliptic problems, one can always find an arbitrary small perturbation of the nonlinear term, that generates a local S on the bifurcation diagram whereas the latter is e.g. monotone when no perturbation is applied; substituting thus a single solution by several ones. Such an increase in the local multiplicity of the solutions to the elliptic problem results then into a topological instability for the corresponding parabolic problem.

The rigorous proof of the latter instability result requires though to revisit the classical concept of topological equivalence to encompass important cases for the applications such as semi-linear parabolic problems for which the semigroup may exhibit non-global dissipative properties, allowing for the coexistence of blow-up regions and local attractors in the phase space; cases that arise e.g. in combustion theory. A revised framework of topological robustness is thus introduced in that respect within which the main topological instability result is then proved for continuous, locally Lipschitz but not necessarily C1 nonlinear terms, that prevent in particular the use of linearization techniques, and for which the family of semigroups may exhibit non-dissipative properties.

Optimal control problems of nonlinear delay equations (DDEs) are considered for which we propose a general Galerkin approximation scheme built from Koornwinder polynomials. Error estimates for the resulting Galerkin-Koornwinder approximations to the optimal control and the value function, are derived for a broad class of cost functionals and nonlinear DDEs. The approach is illustrated on a delayed logistic equation set not far away from its Hopf bifurcation point in the parameter space. In this case, we show that low-dimensional controls for a standard quadratic cost functional can be efficiently computed from Galerkin-Koornwinder approximations to reduce at a nearly optimal cost the oscillation amplitude displayed by the DDE's solution. Optimal controls computed from the Pontryagin's maximum principle (PMP) and the Hamilton-Jacobi-Bellman equation (HJB) associated with the corresponding ODE systems, are shown to provide numerical solutions in good agreement. It is finally argued that the value function computed from the corresponding reduced HJB equation provides a good approximation of that obtained from the full HJB equation.

Nonlinear optimal control problems in Hilbert spaces are considered for which we derive approximation theorems for Galerkin approximations. Approximation theorems are available in the literature. The originality of our approach

relies on the identification of a set of natural assumptions that allows us to deal with a broad class of nonlinear evolution equations and cost functionals for which we derive convergence of the value functions associated with the optimal control problem of the Galerkin approximations. This convergence result holds for a broad class of nonlinear control strategies as well. In particular, we show that the framework applies to the optimal control of semilinear heat equations posed on a general compact manifold without boundary. The framework is then shown to apply to geoengineering and mitigation of greenhouse gas emissions formulated here in terms of optimal control of energy balance climate models posed on the sphere S^{2}.

The problem of emergence of fast gravity-wave oscillations in rotating, stratified flow is reconsidered. Fast inertia-gravity oscillations have long been considered an impediment to initialization of weather forecasts, and the concept of a “slow manifold” evolution, with no fast oscillations, has been hypothesized. It is shown on a reduced Primitive Equation model introduced by Lorenz in 1980 that fast oscillations are absent over a finite interval in Rossby number but they can develop brutally once a critical Rossby number is crossed, in contradistinction with fast oscillations emerging according to an exponential smallness scenario such as reported in previous studies, including some others by Lorenz. The consequences of this dynamical transition on the closure problem based on slow variables is also discussed. In that respect, a novel variational perspective on the closure problem exploiting manifolds is introduced. This framework allows for a unification of previous concepts such as the slow manifold or other concepts of “fuzzy” manifold. It allows furthermore for a rigorous identification of an optimal limiting object for the averaging of fast oscillations, namely the optimal parameterizing manifold (PM). It is shown through detailed numerical computations and rigorous error estimates that the manifold underlying the nonlinear Balance Equations provides a very good approximation of this optimal PM even somewhat beyond the emergence of fast and energetic oscillations.

This article revisits the approximation problem of systems of nonlinear delay differential equations (DDEs) by a set of ordinary differential equations (ODEs). We work in Hilbert spaces endowed with a natural inner product including a point mass, and introduce polynomials orthogonal with respect to such an inner product that live in the domain of the linear operator associated with the underlying DDE. These polynomials are then used to design a general Galerkin scheme for which we derive rigorous convergence results and show that it can be numerically implemented via simple analytic formulas. The scheme so obtained is applied to three nonlinear DDEs, two autonomous and one forced: (i) a simple DDE with distributed delays whose solutions recall Brownian motion; (ii) a DDE with a discrete delay that exhibits bimodal and chaotic dynamics; and (iii) a periodically forced DDE with two discrete delays arising in climate dynamics. In all three cases, the Galerkin scheme introduced in this article provides a good approximation by low-dimensional ODE systems of the DDE's strange attractor, as well as of the statistical features that characterize its nonlinear dynamics.

This article proposes a new approach based on finite-horizon parameterizing manifolds (PMs) for the design of low-dimensional suboptimal controllers to optimal control problems of nonlinear partial differential equations (PDEs) of parabolic type. Given a finite horizon [0,T] and a low-mode truncation of the PDE, a PM provides an approximate parameterization of the uncontrolled high modes by the controlled low ones so that the unexplained high-mode energy is reduced, in an L2-sense, when this parameterization is applied. Analytic formulas of such PMs are derived by application of the method of pullback approximation of the high-modes. These formulas allow for an effective derivation of reduced ODE systems, aimed to model the evolution of the low-mode truncation of the controlled state variable, where the high-mode part is approximated by the PM function applied to the low modes. A priori error estimates between the resulting PM-based low-dimensional suboptimal controller u_R* and the optimal controller u* are derived. These estimates demonstrate that the closeness of u_R* to u*? is mainly conditioned on two factors: (i) the parameterization defect of a given PM, associated respectively with u_R* and u*; and (ii) the energy kept in the high modes of the PDE solution either driven by u_R* or u* itself. The practical performances of such PM-based suboptimal controllers are numerically assessed for various optimal control problems associated with a Burgers-type equation. The numerical results show that a PM-based reduced system allows for the design of suboptimal controllers with good performances provided that the associated parameterization defects and energy kept in the high modes are small enough, in agreement with the rigorous results. The practical performances of such PM-based suboptimal controllers are numerically assessed for optimal control problems associated with a Burgers-type equation; the locally as well as globally distributed cases being both considered. The numerical results show that a PM-based reduced system allows for the design of suboptimal controllers with good performances provided that the associated parameterization defects and energy kept in the high modes are small enough, in agreement with the rigorous results.

This first volume is concerned with the analytic derivation of explicit formulas for the leading-order Taylor approximations of (local) stochastic invariant manifolds associated with a broad class of nonlinear stochastic partial differential equations. These approximations take the form of Lyapunov-Perron integrals, which are further characterized in Volume II as pullback limits associated with some partially coupled backward-forward systems. This pullback characterization provides a useful interpretation of the corresponding approximating manifolds and leads to a simple framework that unifies some other approximation approaches in the literature. A self-contained survey is also included on the existence and attraction of one-parameter families of stochastic invariant manifolds, from the point of view of the theory of random dynamical systems.

New avenues are explored for the numerical study of the two dimensional inviscid hydrostatic primitive equations of the atmosphere with humidity and saturation, in presence of topography and subject to physically plausible boundary conditions for the system of equations. Flows above a mountain are classically treated by the so-called method of terrain following coordinate system. We avoid this discretization method which induces errors in the discretization of tangential derivatives near the topography. Instead we implement a first order finite volume method for the spatial discretization using the initial coordinates x and p. A compatibility condition similar to that related to the condition of incompressibility for the Navier- Stokes equations, is introduced. In that respect, a version of the projection method is considered to enforce the compatibility condition on the horizontal velocity field, which comes from the boundary conditions. For the spatial discretization, a modified Godunov type method that exploits the discrete finite-volume derivatives by using the so-called Taylor Series Expansion Scheme (TSES), is then designed to solve the equations. We report on numerical experiments using realistic parameters. Finally, the effects of a random small-scale forcing on the velocity equation is numerically investigated.

In this second volume, a general approach is developed to provide approximate parameterizations of the "small" scales by the "large" ones for a broad class of stochastic partial differential equations (SPDEs). This is accomplished via the concept of parameterizing manifolds (PMs), which are stochastic manifolds that improve, for a given realization of the noise, in mean square error the partial knowledge of the full SPDE solution when compared to its projection onto some resolved modes. Backward-forward systems are designed to give access to such PMs in practice. The key idea consists of representing the modes with high wave numbers as a pullback limit depending on the time-history of the modes with low wave numbers. Non-Markovian stochastic reduced systems are then derived based on such a PM approach. The reduced systems take the form of stochastic differential equations involving random coefficients that convey memory effects. The theory is illustrated on a stochastic Burgers-type equation.

This paper is concerned with the integrodifferential equation

arising in the Coleman-Gurtin's theory of heat conduction with hereditary memory, in presence of a nonlinearity of critical growth. Rephrasing the equation within the history space framework, we prove the existence of global and exponential attractors of optimal regularity and finite fractal dimension for the related solution semigroup, acting both on the basic weak-energy space and on a more regular phase space.