Stochastic Logarithmic Lipschitz Constants: A Tool to Analyze Contractivity of Stochastic Differential Equations

Abstract

We introduce the notion of stochastic logarithmic Lipschitz constants and use these constants to characterize stochastic contractivity of It\^o stochastic differential equations (SDEs) with multiplicative noise. We find an upper bound for stochastic logarithmic Lipschitz constants based on known logarithmic norms (matrix measures) of the Jacobian of the drift and diffusion terms of the SDEs. We discuss noise-induced contractivity in SDEs and common noise-induced synchronization in network of SDEs and illustrate the theoretical results on a noisy Van der Pol oscillator. We show that a deterministic Van der Pol oscillator is not contractive. But, adding a multiplicative noise makes the underlying SDE stochastically contractive.