Fractional stochastic differential equations satisfying fluctuation-dissipation theorem
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Publication:1685490
DOI10.1007/S10955-017-1866-ZzbMATH Open1386.82053OpenAlexW2563245034MaRDI QIDQ1685490FDOQ1685490
fractional Brownian motionCaputo derivativesubdiffusiongeneralized Langevin equationfluctuation-dissipation-theoremfractional SDE
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional ordinary differential equations (34A08) Fractional partial differential equations (35R11) Dynamical aspects of statistical mechanics (37A60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Abstract: We propose in this work a fractional stochastic differential equation (FSDE) model consistent with the over-damped limit of the generalized Langevin equation model. As a result of the `fluctuation-dissipation theorem', the differential equations driven by fractional Brownian noise to model memory effects should be paired with Caputo derivatives, and this FSDE model should be understood in an integral form. We establish the existence of strong solutions for such equations and discuss the ergodicity and convergence to Gibbs measure. In the linear forcing regime, we show rigorously the algebraic convergence to Gibbs measure when the `fluctuation-dissipation theorem' is satisfied, and this verifies that satisfying `fluctuation-dissipation theorem' indeed leads to the correct physical behavior. We further discuss possible approaches to analyze the ergodicity and convergence to Gibbs measure in the nonlinear forcing regime, while leave the rigorous analysis for future works. The FSDE model proposed is suitable for systems in contact with heat bath with power-law kernel and subdiffusion behaviors.
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Cited in
(26)- Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
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