Power-law behaviors from the two-variable Langevin equation: Ito's and Stratonovich's Fokker-Planck equations

DOI10.1088/1742-5468/2013/02/P02015MaRDI QIDQ3301494zbMATH OpenFDO

Authors Ran Guo, Jiulin Du

Publication date 11 August 2020

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

Full work available at URL https://arxiv.org/abs/1212.3980

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Classical dynamic and nonequilibrium statistical mechanics (general) (82C05)

Abstract: We study power-law behaviors produced from the stochastically dynamical system governed by the well-known two-variable Langevin equations. The stationary solutions of the corresponding Ito's, Stratonovich's and the Zwanzig's (the backward Ito's) Fokker-Planck equations are solved under a new fluctuation-dissipation relation, which are presented in a unified form of the power-law distributions with a power index containing two parameter kappa and sigma, where kappa measures a distance away from the thermal equilibrium and sigma distinguishes the above three forms of the Fokker-Planck equations. The numerical calculations show that the Ito's, the Stratonovich's and the Zwanzig's form of the power-law distributions are all exactly the stationary solutions based on the two-variable Langevin equations.

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(8)

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• The mean first passage time in an energy-diffusion controlled regime with power-law distributions
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• A two-dimensional Fokker-Planck equation degenerating on a straight line.
• Entropy and entropy production in Fokker-Plank equation under the generalized fluctuation-dissipation relation
• Power-law distributions and fluctuation-dissipation relation in the stochastic dynamics of two-variable Langevin equations
• On the correlation between kappa and Lévy stable distributions

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