Beyond Itô versus Stratonovich

DOI10.1088/1742-5468/2012/07/P07010zbMATH Open1456.60168arXiv1203.6600OpenAlexW3123267254MaRDI QIDQ3301372FDOQ3301372

Authors: Ruoshi Yuan, Ping Ao 

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1203.6600

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Mathematics Subject Classification ID

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)

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Cited In (11)

• The zeroth law of thermodynamics and volume-preserving conservative system in equilibrium with stochastic damping
• Curl flux induced drift in stochastic differential equations in the zero-mass limit
• A stochastic model of bacterial infection associated with neutrophils
• The generalized Lyapunov function as Ao's potential function: existence in dimensions 1 and 2
• Weak-noise solution of Fokker-Planck equations with \(n(>2)\) variables: a simpler evaluation near equilibrium points
• ASYMPTOTIC BEHAVIOUR OF THE STOCHASTIC MAKI–THOMPSON MODEL WITH A FORGETTING MECHANISM ON OPEN POPULATIONS
• Generally covariant state-dependent diffusion
• Stochastic modeling of nonlinear oscillators under combined Gaussian and Poisson white noise: a viewpoint based on the energy conservation law
• Broken detailed balance and non-equilibrium dynamics in noisy social learning models
• Relation of a new interpretation of stochastic differential equations to Itô process
• Markov blankets, information geometry and stochastic thermodynamics

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