Generally covariant state-dependent diffusion
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Publication:3301639
Abstract: Statistical invariance of Wiener increments under SO(n) rotations provides a notion of gauge transformation of state-dependent Brownian motion. We show that the stochastic dynamics of non gauge-invariant systems is not unambiguously defined. They typically do not relax to equilibrium steady states even in the absence of extenal forces. Assuming both coordinate covariance and gauge invariance, we derive a second-order Langevin equation with state-dependent diffusion matrix and vanishing environmental forces. It differs from previous proposals but nevertheless entails the Einstein relation, a Maxwellian conditional steady state for the velocities, and the equipartition theorem. The over-damping limit leads to a stochastic differential equation in state space that cannot be interpreted as a pure differential (Ito, Stratonovich or else). At odds with the latter interpretations, the corresponding Fokker-Planck equation admits an equilibrium steady state; a detailed comparison with other theories of state-dependent diffusion is carried out. We propose this as a theory of diffusion in a heat bath with varying temperature. Besides equilibrium, a crucial experimental signature is the non-uniform steady spatial distribution.
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Cited in
(6)- Quantum state-dependent diffusion and multiplicative noise: A microscopic approach
- On the correspondence between a large class of dynamical systems and stochastic processes described by the generalized Fokker-Planck equation with state-dependent diffusion and drift coefficients
- Generalization of Stokes–Einstein relation to coordinate dependent damping and diffusivity: an apparent conflict
- Small mass limit of a Langevin equation on a manifold
- Intrinsic and extrinsic measurement for Brownian motion
- Stochastic thermodynamics of holonomic systems
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