Abstract:
The paper is devoted to developing Lyapunov's methods for analyzing the stability of an equilibrium of a dynamical system in the space of probability measures that is defined by a nonlocal continuity equation. Sufficient stability conditions are obtained based on the basis of an analysis of the behaviour of a nonsmooth Lyapunov function in a neighbourhood of the equilibrium and the investigation of a certain quadratic form defined on the tangent space of the space of probability measures. The general results are illustrated by the study of the stability of an equilibrium for a gradient flow in the space of probability measures and the Gibbs measure for a system of connected simple pendulums.
Bibliography: 28 titles.
Keywords:
nonlocal continuity equation, Lyapunov's second method, nonsmooth Lyapunov function, stability, derivatives in the space of measures.
This paper is devoted to the study of the qualitative properties of the dynamical system in the space of probability measures defined by the nonlocal continuity equation
This equation describes the behaviour of a system of infinitely many identical particles in the case when the right-hand side does not only depend on the positions of the particles but also on their current distribution. In this case the function $f$ plays the role of a vector field governing the motion of each particle.
Note that the continuity equation arises in models of systems of charged particles (see [1]), of the behaviour of supermassive black holes (see [2]), of the behaviour of large groups of animals (see [3]), of the dynamics of biological processes (see [4]), of the dynamics of public opinion (see [5]) and so on.
Previously, some properties of the nonlocal continuity equation such as stability with respect to the parameters (see [6]) and exponential stability (see [7]) were considered in the literature. In addition, the paper [8] dealt with problems of the stability of the support of a measure and integral stability in the case when the equilibrium in question is a Dirac measure.
In our paper we study Lyapunov stability. This concept was first proposed by Lyapunov in his famous works [9] and [10] for systems of ordinary differential equations, and thereafter gained numerous applications. Since that time, the concept of Lyapunov stability has been attracting much attention from researchers (see, in particular, [11]–[15]).
The study of stability is based on Lyapunov’s first and second methods (see [9] and [10]). In the first method the stability of a system is characterized in terms of its linear approximation. In the second method we assume the existence of a differentiable function with certain properties, which is called a Lyapunov function. We also note that stability problems for dynamical systems on Banach and metric spaces were considered in [16]–[18]. The proof of Lyapunov’s second method in these cases is based on directional derivatives of a nonsmooth Lyapunov function.
Lyapunov’s methods have received significant development in the area of controlled systems, especially in stabilization problems (see [19] and [20]). Note that nonsmooth Lyapunov functions are often used in the control theory. In this case sub- and supergradients are used instead of derivatives.
One feature of the dynamical system under consideration, defined by the nonlocal continuity equation, lies in the fact that its phase space, which is the space of probability measures, is not linear. At the same time, we can introduce the notion of intrinsic derivative (see [21]) on it, as well as a number of analogues of concepts from nonsmooth analysis (see [22]) including, in particular, strong and weak sub- and superdifferentials. Note that in the space of probability measures the squared distance to a given measure is generally a nondifferentiable function. However, some superdifferential elements can be described explicitly (see [22]).
To construct an analogue of Lyapunov’s second method, a nonsmooth Lyapunov function is used in this paper. The proposed construction of Lyapunov’s second method is based on the definition of a barycentric subdifferential (superdifferential) presented in § 2.3. Note that the barycentric subdifferential (superdifferential) can be constructed on the basis of the strong Fréchet subdifferential (superdifferential) proposed in [22]. This method makes it possible, in particular, to find sufficient stability conditions for systems of particles with dynamics specified by a gradient flow in the space of probability measures.
Based on Lyapunov’s second method, we study the stability of a stationary solution of the continuity equation in the case when the vector field is linear with respect to the phase variables. For this result we use the second method with the Lyapunov function equal to one half of the squared distance to the equilibrium. As an illustration the stability of the Gibbs measure in a system of connected simple pendulums is considered.
The rest of the paper is structured as follows.
In § 2 we present the general definitions and notation used in the paper. Equivalent definitions of a solution of the continuity equation are introduced; some properties of these solutions are described. These properties are proved in § 5.1.
Subsection 2.3 is devoted to generalizations of concepts in nonsmooth analysis to functions on the space of probability measures. In that subsection we introduce the notions of intrinsic derivative borrowed from [21] and of barycentric subdifferentials (superdifferentials) of functionals of measures. Some properties of these objects are described; their proofs are presented in § 5.2.
Section 3 presents a generalization of Lyapunov’s second method for an analysis of the stability of a dynamical system. In that section the Lyapunov function is not assumed to be smooth but only barycentrically superdifferentiable in a neighbourhood of the equilibrium. In § 3.1 we consider an example of dynamics defined by a gradient flow.
In § 4 stability conditions are deduced for systems with linear vector fields. We also consider there an example of dynamics specified by a system of connected simple pendulums.
Subsection 5.1 contains proofs of the properties of trajectories generated by the nonlocal continuity equation.
In § 5.2 we give the proofs of the properties of functions on the space of probability measures described previously and relating their derivatives of different types.
Finally, § 5.3 contains the proof of the boundedness of barycentric subdifferentials (superdifferentials) of locally Lipschitz functions.
§ 2. Terminology and notation
2.1. General definitions and notation
Recall that a metric space $(X,\rho)$ is called Polish if it is complete and separable.
We assume in this subsection that $(X,\rho)$ is a Polish space, $( Y, \|\,{\cdot}\,\| )$ is a separable Banach space and $p > 1$.
In what follows we use the following notation:
$\bullet$ $\mathbb{R}_+$ is the ray $[0,+\infty)$ on the number axis $\mathbb{R}$;
$\bullet$ $\mathbb R^d$ is the space of $d$-dimensional column vectors;
$\bullet$ $\mathbb{R}^{d*}$ is the space of $d$-dimensional row vectors;
$\bullet$ ${}^\top$ is the operation of transposition;
$\bullet$ $\mathsf{B}_R(x)$ is the closed ball of radius $R$ with centre $x$, that is,
$$
\begin{equation*}
\mathsf{B}_R(x) \triangleq \{ y \in X\colon \rho(x,y) \leqslant R \};
\end{equation*}
\notag
$$
$\bullet$ $\mathsf{S}_R(x)$ is the sphere of radius $R$ with centre $x$, that is,
$\bullet$ if $(\Omega,\mathcal{F})$ and $(\Omega',\mathcal{F}')$ are measurable spaces, $\mu$ is a measure on $\mathcal{F}$ and a map $h\colon \Omega \to \Omega'$ is $\mathcal{F}/\mathcal{F}'$-measurable, then $h\sharp \mu$ is the push-forward measure of $\mu$ through the function $h$ defined by
$\bullet$ $\mathcal{P}_p(X)$ is the subspace of elements of $\mathcal{P}(X)$ with finite $p$th moment;
$\bullet$ if $\{X_i\}_{i=1}^n$ is a finite set of arbitrary Polish spaces and $x= (x_i)_{i=1}^n \in X_1 \times \dots \times X_n$, then $p^I$ is the projection operator defined by
Definition 2.2 (see [22], Definition 8.4.1). Let $\mu \in \mathcal{P}_p(\mathbb R^d)$. Then the tangent space of the space $\mathcal{P}_p(\mathbb R^d)$ at $\mu$ is the closure of the set of gradients of test functions in the space $L_p(\mathbb R^d,\mu;\mathbb{R}^{d*})$, that is,
Definition 2.3 (see [23], Problem 1.2 and § 5.1). A plan between measures ${\mu \mkern-1mu\!\in\! \mathcal{P}(\mkern-1mu X\mkern-1mu)}$ and $\nu \in \mathcal{P}(Y)$ is a measure $\pi \in \mathcal{P}(X \times Y)$ such that
The set of all plans is denoted by $\Pi(\mu,\nu)$.
Definition 2.4 (see [23], Problem 1.2 and § 5.1). The Kantorovich metric between two measures $\mu \in \mathcal{P}_p(X)$ and $\nu \in \mathcal{P}_p(X)$ is the function
the boundedness of a set in the space of measures in the sense of its inclusion in some ball is equivalent to the uniform boundedness of $\varsigma_p(\mu)$ for all measures $\mu$ in this set.
Definition 2.7. A function $\phi\colon \mathcal{P}_p(X) \to \mathbb{R}$ is said to be locally Lipschitz if for each $\alpha > 0$ there exists $K_\alpha > 0$ such that
for any measures $m_1,m_2 \in \mathcal{P}_p(X)$ such that $\varsigma_p(m_i) \leqslant \alpha$.
We assume that $K_\alpha$ is a nondecreasing function of $\alpha$ that is right continuous and has a limit from the left (a càdlàg function).
Note that $K_\alpha$ is bounded on a compact set of values of $\alpha$.
Definition 2.8 (see [24], Definition 10.4.2). Let $\pi \in \mathcal{P}(X_1 \times \dots \times X_n)$ and $\mathfrak{p}^k\sharp \pi \in \mathcal{P}(X_k)$ for some $k$. We introduce the notation
Then a family of measures $\{ \widehat{\pi}^k(\,\cdot\mid x_k)\colon x_k \in X_k \} \subseteq \mathcal{P}(\widehat{X}_k)$ is said to be a disintegration of $\pi$ with respect to the $k$th variable if
for each test function $\phi \in C_{\mathrm b}(X_1 \times \dots \times X_n)$.
Remark 2.9. If $X_i=\mathbb R^d$ for all $i$, then it follows from [24], Corollary 10.4.13, that disintegrations exist for any measures in $\mathcal{P}(X_1 \times \dots \times X_n)$ with respect to any variables.
2.2. The nonlocal continuity equation
The main object in this paper is the initial value problem for the nonlocal continuity equation:
where $f\colon \mathbb R^d \times \mathcal{P}_p(\mathbb R^d) \to \mathbb R^d$ is a vector field. Throughout what follows $p > 1$ is a fixed parameter. As already noted above, this equation describes a system of particles with dynamics specified by the equation
for arbitrary $x \in \mathbb R^d$ and $\mu \in \mathcal{P}_p(\mathbb R^d)$.
In what follows we introduce two definitions of a solution of the nonlocal continuity equation (2.1) on the interval $[0,T]$. Of course, a solution of the initial value problem (2.1), (2.2) is a solution of the continuity equation (2.1) satisfying condition (2.2).
Definition 2.12. A measure-valued function $m_{\cdot}$ is a solution of the continuity equation (2.1) on the interval $[0,T]$ in the sense of distributions if it satisfies the relation
for each function $\varphi \in C^\infty_{\mathrm c}(\mathbb R^d \times (0,T);\mathbb{R})$.
Definition 2.13. A measure-valued function $m_{\cdot}$ is a solution of the continuity equation (2.1) on the interval $[0,T]$ in the sense of Kantorovich if there exists a measure $\eta \in \mathcal{P}_p(\Gamma_T(\mathbb R^d))$ such that
It follows from Proposition 8.2.1 of [22], that Definitions 2.12 and 2.13 of a solution of the continuity equation are equivalent. It was proved in [25] that a solution of this type exists and is unique under even more general conditions than those considered in our paper.
Remark 2.14. Due to the fact that the solution exists for any $T > 0$ and the solution on a larger interval is an extension of the solution on a smaller one, we can assume that the solution is defined on the whole half-axis $\mathbb{R}_+$.
In what follows we let $\mathsf{X}^{s,z}_{m_{\cdot}}(r)$ denote the solution of the initial value problem
for a fixed trajectory $m_{\cdot}$, calculated at time $r$.
At the end of this subsection we give some properties of the solution of the nonlocal continuity equation.
Proposition 2.15. Assume that $T > 0$, $m_*$ and $\alpha$ are such that $\varsigma_p(m_*) \leqslant \alpha$, and $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2). Then there exists a function $G_1(T,\alpha)$ such that the trajectory $\{ m_t\colon t \in [0,T] \}$ of the solution satisfies
Proposition 2.16. Assume that $T > 0$, $m_*$ and $\alpha$ are such that $\varsigma_p(m_*) \leqslant \alpha$, and $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2). Then there exists a function $G_2(T,\alpha)$ such that
2.3. Differentiability in the space of probability measures
In spaces of measures there are rather many different generalizations of the concept of differentiability. Some of them can be found in [22], [26] and [21]. We will use the notion of intrinsic derivative proposed by P.-L. Lions. In addition, we introduce the notions of barycentric sub- and superdifferentials. The relationships between some variants of generalizations of the notion of differential are discussed in more details in § 5.2.
Following [21], to introduce the notion of intrinsic derivative of a functional on the space of probability measures we define the flat derivative.
Definition 2.17 (see [21], Definition 2.2.1). Let $\Phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}$. Then the flat derivative of a functional $\Phi$ at a point $m_* \in \mathcal{P}_p(\mathbb R^d)$ is a function ${\delta {\Phi}}/{\delta m}$: $\mathcal{P}_p(\mathbb R^d) \times \mathbb R^d \to \mathbb{R}$ such that
Definition 2.20 (see [21], Definition 2.2.2). Let $\Phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}$ have a flat derivative ${\delta {\Phi}}/{\delta m}$ that is differentiable with respect to the second argument. Then the intrinsic derivative of $\Phi$ at a point $m \in \mathcal{P}_p(\mathbb R^d)$ is the function $\nabla_m \Phi\colon \mathcal{P}_p(\mathbb R^d) \times \mathbb R^d \to \mathbb{R}^{d*}$ defined by
Proposition 2.21. Assume that $m_*,m \in \mathcal{P}_p(\mathbb R^d)$, $\pi \in \Pi(m_*,m)$, $\Phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}$ and the flat derivative ${\delta {\Phi}}/{\delta m}$ is differentiable with respect to the second argument. Then the variational and intrinsic derivatives satisfy the relation
Finally, we introduce the notions of barycentric sub- and superdifferentials.
Definition 2.22. Assume that $q\,{=}\,p'\,{=}\,{p}/(p\,{-}\,1)$ and a functional $\phi\colon \mathcal{P}_p(\mathbb R^d) {\kern1pt}{\to}\, \mathbb{R}$ is upper semicontinuous. Then the barycentric superdifferential $\partial^+_b \phi(m)$ of $\phi$ at a point $m$ is the set of all functions $\gamma \in L_q(\mathbb{R}^{d*},m;\mathbb{R}^{d*})$ such that for any function $b \in L_p(\mathbb R^d,m;\mathbb R^d)$ there exists a function $\xi\colon \mathbb{R}_+\to \mathbb{R}$ with the following properties:
The barycentric subdifferential $\partial^-_b\phi(m)$ of $\phi$ at the point $m$ is the set of functions $\gamma \in L_q(\mathbb{R}^{d*},m;\mathbb{R}^{d*})$ such that
The barycentric differential $\partial_b\phi(m)$ of $\phi$ at the point $m$ is the intersection $\partial^+_b\phi(m) \cap \partial^-_b\phi(m)$.
From now on, except in § 5, sub- and superdifferentiability are understood precisely as barycentric sub- and superdifferentiability.
Remark 2.23. If a function has a nonempty barycentric differential, then the latter contains precisely one element.
Proposition 2.24. Assume that $m \in \mathcal{P}_p(\mathbb R^d)$ and a function $\phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}$ has an intrinsic derivative $\nabla_m \phi$ at $m$. Then $\nabla_m \phi(m,\cdot) \in \partial_b\phi(m)$.
The boundedness property of the barycentric superdifferential of a locally Lipschitz function, which we regard as also being of interest, is described in § 5.3.
§ 3. Lyapunov’s second method
We introduce the main notions of the theory of Lyapunov stability.
Definition 3.1. We say that $\widehat{m}$ is an equilibrium for equation (2.1) if the measure-valued function $m_{\cdot}$ defined as $m_t \equiv \widehat{m}$ is a solution of the continuity equation (2.1). Using Definition 2.12, we can formulate this condition as the equality
for all $m_*$ satisfying $W_p(\widehat{m},m_*) < \delta$ and all $t>0$, where $m_{\cdot}$ is a solution of the continuity equation with the initial condition $m_0=m_*$.
We now state the main result in this section, namely, an analogue of Lyapunov’s second method for establishing the stability of an equilibrium. Recall that $\mathsf{S}_\varepsilon(\widehat{m})$ and $\mathsf{B}_R(\widehat{m})$ are the sphere of radius $\varepsilon$ and the ball of radius $R$ with centre $\widehat{m}$, respectively.
Definition 3.3. Assume that $\widehat{m}$ is an equilibrium of the continuity equation (2.1) and $\phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}_+$ is a locally Lipschitz function such that $\phi(\widehat{m})=0$ and
for some $R>0$ and each $\varepsilon \leqslant R$. The function $\phi$ is called a superdifferentiable Lyapunov function for the equilibrium $\widehat{m}$ if it additionally satisfies the following conditions:
The function $\phi$ is called a subdifferentiable Lyapunov function for the equilibrium $\widehat{m}$ if it additionally satisfies the following conditions:
The function $\phi$ is called a differentiable Lyapunov function for the equilibrium $\widehat{m}$ if it additionally satisfies the following conditions:
Theorem 3.4 (Lyapunov’s second method for the nonlocal continuity equation). Assume that a measure $\widehat{m} \in \mathcal{P}_p(\mathbb R^d)$ is an equilibrium for equation (2.1), $f\colon \mathbb R^d \times \mathcal{P}_p(\mathbb R^d) \!\to\! \mathbb R^d$ satisfies Assumption 2.10, and there exists a superdifferentiable Lyapunov function $\phi$ for the equilibrium $\widehat{m}$. Then the equilibrium $\widehat{m}$ is stable.
To prove Theorem 3.4 we need an auxiliary lemma stating that the map ${t\!\mapsto\!\mkern-1mu \phi(\mkern-1mu m_t\mkern-1mu)}$ , where $\phi$ is a Lyapunov function, has a weak maximum at the point $t=0$.
Lemma 3.5. Assume that $T>0$, $m_* \in \mathcal{P}_p(\mathbb R^d)$, $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2), and ${\phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}_+}$ is a locally Lipschitz function satisfying the following conditions:
Proof. First of all, we need the following fact: there exists a constant $C(T,m_*)$ such that for each $\varepsilon > 0$ and all $s \in [0,T)$ there exists $r \in (0,T]$ such that
We take an arbitrary $\varepsilon > 0$ and fix a moment of time $s \in [0,T)$. Based on condition (2) in the lemma, we choose a superdifferential $\gamma_s \in \partial^+_b(m_s)$ so that
Setting $C(T,m_*) \triangleq 2+\check{K} G_2(T,\varsigma_p(m_*))$ and taking account of inequalities (3.2) and (3.3) we deduce the required estimate (3.1).
It is nonempty since $0 \in \Theta$. Set $ f\check{\theta} \triangleq \sup \Theta$. The continuity of $m_{\cdot}$ and $\phi(\,{\cdot}\,)$ implies that $\check{\theta} \in \Theta$. We will show that $\check{\theta}=T$.
Reasoning by contradiction, we assume that $\check{\theta} < T$. Owing to (3.1), there is $\theta \in (\check{\theta},T]$ such that
Proof of Theorem 3.4. First we note that, by the continuity of $\phi$ at the point $\widehat{m}$, for an arbitrary positive number $\Omega$ there exists $\omega > 0$ such that any $m \in \mathcal{P}_p(\mathbb R^d)$ satisfying the condition $W_p(m,\widehat{m}) < \omega$ also satisfies
Now, to show the stability of the equilibrium $\widehat{m}$ we assume the opposite. More precisely, let $\varepsilon > 0$ be such that for each $\delta > 0$ there exist a measure ${m_* \in \mathcal{P}_p(\mathbb R^d)}$ and time $\widehat T>0$ such that
We can similarly deduce a theorem concerning Lyapunov’s second method in the case of a subdifferentiable Lyapunov function.
Theorem 3.6 (Lyapunov’s second method for the nonlocal continuity equation). Assume that a measure $\widehat{m} \in \mathcal{P}_p(\mathbb R^d)$ is an equilibrium for (2.1), $f\colon \mathbb R^d \times \mathcal{P}_p(\mathbb R^d) \!\to\! \mathbb R^d$ satisfies Assumption 2.10, and there exists a subdifferentiable Lyapunov function $\phi$ for the equilibrium $\widehat{m}$. Then this equilibrium is stable.
Like in the previous case, the proof of this theorem is based on the following lemma.
Lemma 3.7. Assume that $T>0$, $m_* \in \mathcal{P}_p(\mathbb R^d)$, $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2), and $\phi\colon \mathcal{P}_p(\mathbb R^d) \to \mathbb{R}_+$ is a locally Lipschitz function satisfying the following conditions:
Proposition 2.24 and Theorem 3.4 yield the following result directly.
Corollary 3.8. Let $\widehat{m} \in \mathcal{P}_p(\mathbb R^d)$ be an equilibrium for equation (2.1), let $f\colon \mathbb R^d \times \mathcal{P}_p(\mathbb R^d) \to \mathbb R^d$ satisfy Assumption 2.10, and assume that there exists a differentiable Lyapunov function $\phi$ for the equilibrium $\widehat{m}$. Then this equilibrium is stable.
3.1. Example: a gradient flow
Let $v\colon \mathbb R^d \times \mathcal{P}_2(\mathbb R^d) \to \mathbb{R}_+$. Consider the functional
Therefore, the equilibrium $\widehat{m}$ and the function $\phi$ satisfy the assumptions of Theorem 3.4. This implies the stability of $\widehat{m}$.
§ 4. Stability of systems with linear vector fields
In this section we assume that $p=2$. In what follows we need some additional assumptions on the dynamics $f$ and the equilibrium $\widehat{m}$, which we present below.
Assumption 4.1. The function $f(x,m)$ is linear and has separated variables, that is,
where $A$ and $B$ are constant $d \times d$ matrices.
Assumption 4.2. The measure $\widehat{m}$ is absolutely continuous with respect to the Lebesgue measure.
When Assumption 4.2 holds, it follows from [22], Theorem 6.2.4, that there exists a unique optimal transport $P$ between $\widehat{m}$ and any measure $m \in \mathcal{P}_2(\mathbb R^d)$. As a consequence, there exists an optimal plan of the form $\pi=(\operatorname{Id},P) \sharp \widehat{m} \in \Pi_{\mathrm o}(\widehat{m},m)$.
As a Lyapunov function we take one-half of the squared distance to the equilibrium, namely,
is the barycentric superdifferential of $\phi$ at $m$.
Proof. We derive from [22], Theorem 10.2.2, that for any triplet of measures $\mu^1,\mu^2,\mu^3 \in \mathcal{P}_2(\mathbb R^d)$ and any measure $\boldsymbol{\mu} \in \mathcal{P}(\mathbb R^d \times \mathbb R^d \times \mathbb R^d)$ such that
$$
\begin{equation*}
\phi((\operatorname{Id}+\tau b) \sharp m) - \phi(m) \leqslant \tau \int_{\mathbb R^d} \widehat{\pi}^1(x) b(x)\,m(dx) +\tau \xi(\tau).
\end{equation*}
\notag
$$
The proposition is proved.
Now we state the main result in this section, namely, an analogue of Lyapunov’s method for establishing the stability of equilibria of systems with linear vector fields.
Theorem 4.4 (stability of a system with a linear vector field). Assume that $f\colon \mathbb R^d \times \mathcal{P}_2(\mathbb R^d)$ satisfies Assumptions 2.10 and 4.1 and $\widehat{m} \in \mathcal{P}_2(\mathbb R^d)$ is an equilibrium satisfying Assumption 4.2. Also assume that
for an arbitrary measure $m \!\in\! \mathcal{P}_2(\mathbb R^d)$ and an arbitrary function ${f\colon \mathbb R^d \!\times\! \mathcal{P}_2(\mathbb R^d) \mkern-1mu\!\to\!\mkern-1mu \mathbb R^d}$, where $\pi=(\operatorname{Id},P)\sharp \widehat{m} \in \Pi_{\mathrm o}(\widehat{m},m)$.
Proof. Adding and subtracting $\displaystyle\int_{\mathbb R^d\times\mathbb R^d} (x-\widehat{x})^\top f(\widehat{x},\widehat{m})\, \pi(d\widehat{x} \,dx)$ on the left-hand side of (4.3) we obtain
that is, there exists a sequence $\varphi_n \in C^\infty_{\mathrm c}(\mathbb R^d)$ such that
$$
\begin{equation*}
\nabla\varphi_n \to (P-\operatorname{Id}) \text{ in the space } L_2(\mathbb R^d,\widehat{m};\mathbb R^d) \text{ as } n \to \infty.
\end{equation*}
\notag
$$
Since $\widehat{m}$ is an equilibrium, it is true that
This fact and (4.4) yield the assertion of the lemma.
Lemma 4.6. Assume that $f\colon \mathbb R^d \times \mathcal{P}_2(\mathbb R^d) \to \mathbb R^d$ satisfies Assumptions 2.10 and 4.1 and $\widehat{m} \in \mathcal{P}_2(\mathbb R^d)$ satisfies Assumption 4.2. Also assume that (4.2) holds for each $\xi \in \operatorname{Tan}(\widehat{m})\setminus\{0\}$. Then
is a superdifferentiable Lyapunov function. Owing to the assumptions of Theorem 4.4, it suffices to verify only the condition on the superdifferential of $\phi$.
According to Proposition 4.3 for the function $\phi(\,{\cdot}\,)=W_2(\cdot,\widehat{m})$, $\partial^+_b\phi(m)$ contains $\widehat{\pi}^1(\,{\cdot}\,)$ for $\pi \in \Pi_{\mathrm o}(m,\widehat{m})$. We consider the integral
In the case when $n > 1$, a vector composed of multidimensional quantities is interpreted as a vertical concatenation, squaring as taking the scalar square, $H_1$ ($H_2$, respectively) denotes the vector of partial derivatives of $H$ with respect to the components of $x_1$ ($x_2$, respectively).
where $B$ is a negative definite matrix. Note that the first term in this equation describes the free motion of a pendulum, whereas the second specifies the effect of all other pendulums on the distinguished one. Thus, (4.8) describes a system of connected simple pendulums. This system is associated with the continuity equation
where $Z(\beta)$ is a normalizing coefficient, and that its first moment is zero. We show that $\widehat{m}$ is an equilibrium for equation (4.9), that is,
The Gibbs measure is invariant with respect to the Hamiltonian dynamics; therefore, its density satisfies Liouville’s equation (see, for example, [28]):
Calculating the $L_p(\mathbb R^d,m_*;\mathbb R^d)$-norms of both sides and applying Minkowski’s inequality to the right-hand side twice, we arrive at the estimate
Finally, using the Gronwall–Bellman inequality in the integral form and the conditions imposed on $\alpha$ and $T$ in Proposition 2.15, we conclude that
The last estimate depends only on the constant $\alpha$ and the terminal time $T$.
Proposition 5.1. Assume that $T > 0$, $m_*$ and $\alpha$ are such that $\varsigma_p(m_*) \leqslant \alpha$, and $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2). Then there exists a function $G_3(T)$ such that
We add and subtract $z$ to/from $\mathsf{X}^{s,z}_{m_{\cdot}}(\tau)$ on the right-hand side; then using the triangle inequality and Proposition 2.15 we deduce the inequalities
The first two factors in the last estimate depend only on the terminal time $T$. The proposition is proved.
Proposition 5.2. Assume that $T > 0$, $m_*$ and $\alpha$ are such that $\varsigma_p(m_*) \leqslant \alpha$, and $m_{\cdot} \in \Gamma_T(\mathcal{P}_p(\mathbb R^d))$ is a solution of the initial value problem (2.1), (2.2). Then there is a function $G_4(T,\alpha)$ such that
Calculating the $L_p(\mathbb R^d,m_s;\mathbb R^d)$-norms of both sides and then applying Minkowski’s inequality and Proposition 2.15 to the right-hand side we obtain
Definition 5.3. We say that $\boldsymbol{\mu} \in \mathcal{P}(X \times X \times X)$ is a 3-plan for measures $\nu \in \mathcal{P}_{pq}(X \times X)$ and $\mu^3 \in \mathcal{P}_p(X)$ if
The set of all 3-plans is denoted by $\Pi^3(\nu,\mu^3)$.
Definition 5.4 (see [22], Definition 10.3.1). Let $\mu_1 \in \mathcal{P}_p(X)$, and let $\phi\colon {\mathcal{P}_p(X) \!\to\! \mathbb{R}}$ be an upper semicontinuous functional. A measure $\alpha \in \mathcal{P}_{pq}(X \times X)$ is said to belong to the strong Fréchet superdifferential $\partial^+\phi(\mu^1)$ of $\phi$ at $\mu^1$ if for any measure $\mu^3 \mathcal{P}_p(X)$ and any 3-plan $\boldsymbol{\mu} \in \Pi^3(\alpha,\mu^3)$ there exists a function $\zeta\colon \mathbb{R}_+\to \mathbb{R}$ such that:
Proposition 5.5. Assume that $m \in \mathcal{P}_2(X)$ and a function $\phi\colon {\mathcal{P}_2(X) \to \mathbb{R}}$ has a nonempty strong Fréchet superdifferential $\partial^+\phi(m)$. Then the barycentre $\displaystyle \int_X x_2\alpha(dx_2\,|\, x_1)$ of any $\alpha \in \partial^+\phi(m)$ belongs to the barycentric superdifferential $\vphantom{\rule{0pt}{12pt}}\partial^+_b\phi(m)$.
5.3. The boundedness of the barycentric differential
Of a certain interest is the following property of uniform boundedness of barycentric superdifferentials in a certain sense in the case when $p=2$.
Proposition 5.6. Assume that $m \in \mathcal{P}_2(\mathbb R^d)$ and $\alpha$ are such that $\varsigma_2(m) \leqslant \alpha$. Also assume that a function $\phi\colon \mathcal{P}_2(\mathbb R^d) \to \mathbb{R}$ is locally Lipschitz and superdifferentiable at $m$. Then
for all $\gamma \in \partial^+_b\phi(m)$, where $K_\alpha$ is the Lipschitz constant of $\phi$ on the ball of radius $\alpha$.
Proof. We set $b=-\gamma^\top$ in the definition of the superdifferential. Then there exists a function $\xi\colon \mathbb{R} \to \mathbb{R}$ such that
The analogous assertion for subdifferentials can be proved similarly.
Proposition 5.7. Assume that $m \in \mathcal{P}_2(\mathbb R^d)$ and $\alpha > 0$ are such that $\varsigma_2(m) \leqslant \alpha$. Also assume that a function $\phi\colon \mathcal{P}_2(\mathbb R^d) \to \mathbb{R}$ is locally Lipschitz and subdifferentiable at $m$. Then
for all $\gamma \in \partial^-_b\phi(m)$, where $K_\alpha$ is the Lipschitz constant of $\phi$ on the ball of radius $\alpha$.
§ 6. Conclusions
In this paper we have considered an autonomous dynamical system in the space of probability measures specified by the nonlocal continuity equation. Sufficient conditions for local stability have been studied on the basis of Lyapunov’s second method. The above results can be transferred to questions of great interest, such as trajectory stability analysis and global stability problems.
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Citation:
Yu. V. Averboukh, A. M. Volkov, “Lyapunov stability of an equilibrium of the nonlocal continuity equation”, Sb. Math., 216:2 (2025), 140–167