Beyond Itô versus Stratonovich
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Publication:3301372
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic integral equations (60H20)
Abstract: Recently, a novel framework to handle stochastic processes has emerged from a series of studies in biology, showing situations beyond 'It^o versus Stratonovich'. Its internal consistency can be demonstrated via the zero mass limit of a generalized Klein-Kramers equation. Moreover, the connection to other integrations becomes evident: the obtained Fokker-Planck equation defines a new type of stochastic calculus that in general differs from the {alpha}-type interpretation. A unique advantage of this new approach is a natural correspondence between stochastic and deterministic dynamics, which is useful or may even be essential in practice. The core of the framework is a transformation from the usual Langevin equation to a form that contains a potential function with two additional dynamical matrices, which reveals an underlying symplectic structure. The framework has a direct physical meaning and a straightforward experimental realization. A recent experiment has offered a first empirical validation of this new stochastic integration.
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Cited in
(13)- The zeroth law of thermodynamics and volume-preserving conservative system in equilibrium with stochastic damping
- Itô vs Stratonovich in the presence of absorbing states
- Curl flux induced drift in stochastic differential equations in the zero-mass limit
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