Fractional stochastic differential equations satisfying fluctuation-dissipation theorem

DOI10.1007/S10955-017-1866-ZzbMATH Open1386.82053arXiv1612.04274OpenAlexW2563245034MaRDI QIDQ1685490FDOQ1685490

Authors: Lei Li, Jian-Guo Liu, Jianfeng Lu 

Publication date: 14 December 2017

Published in: Journal of Statistical Physics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1612.04274

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zbMATH Keywords

fractional Brownian motionCaputo derivativesubdiffusiongeneralized Langevin equationfluctuation-dissipation-theoremfractional SDE

Mathematics Subject Classification ID

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)

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Cited In (26)

• Fractional kinetics in Kac-Zwanzig heat bath models
• A Discretization of Caputo Derivatives with Application to Time Fractional SDEs and Gradient Flows
• Cauchy problems for Keller-Segel type time-space fractional diffusion equation
• A note on Euler method for the overdamped generalized Langevin equation with fractional noise
• On the completely positive kernels for nonuniform meshes
• A class of monotonicity-preserving variable-step discretizations for Volterra integral equations
• Some Compactness Criteria for Weak Solutions of Time Fractional PDEs
• A family of fractional diffusion equations derived from stochastic harmonic chains with long-range interactions
• The challenge of non-Markovian energy balance models in climate
• Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case
• Order estimation for a fractional Brownian motion model of glucose control
• Model order reduction for (stochastic-) delay equations with error bounds
• The overdamped generalized Langevin equation with Hermite noise
• Some Grönwall inequalities for a class of discretizations of time fractional equations on nonuniform meshes
• Strong dissipativity of generalized time-fractional derivatives and quasi-linear (stochastic) partial differential equations
• Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
• Nonequilibrium fractional correlation functions and fluctuation-dissipation in linear viscoelasticity
• Some properties on the reversibility and the linear response theory of Langevin dynamics
• A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations
• An Euler–Maruyama method and its fast implementation for multiterm fractional stochastic differential equations
• Euler-Maruyama scheme for multi-term Caputo fractional stochastic differential equations
• Fluctuation-dissipation theorems for nonlinear Fokker-Planck equations of the Desai-Zwanzig type and Vlasov-Fokker-Planck equations
• Stochastic differential equations with fractal noise
• Numerical stability of Grünwald-Letnikov method for time fractional delay differential equations
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
• Application of capacities to space–time fractional dissipative equations I: regularity and the blow-up set

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