Relation of a new interpretation of stochastic differential equations to Itô process

DOI10.1007/S10955-012-0532-8MaRDI QIDQ453762zbMATH OpenOpenAlexFDO

Authors Jianghong Shi, Tianqi Chen, Ruoshi Yuan, Ping Ao, Bo Yuan

Publication date 27 September 2012

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

Full work available at URL https://arxiv.org/abs/1111.2987

zbMATH Keywords

Boltzmann-Gibbs distributionFokker-Planck equationpotential functionstochastic differential equation

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: Stochastic differential equations (SDE) are widely used in modeling stochastic dynamics in literature. However, SDE alone is not enough to determine a unique process. A specified interpretation for stochastic integration is needed. Different interpretations specify different dynamics. Recently, a new interpretation of SDE is put forward by one of us. This interpretation has a built-in Boltzmann-Gibbs distribution and shows the existence of potential function for general processes, which reveals both local and global dynamics. Despite its powerful property, its relation with classical ones in arbitrary dimension remains obscure. In this paper, we will clarify such connection and derive the concise relation between the new interpretation and Ito process. We point out that the derived relation is experimentally testable.

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Cited in

(9)

• The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
• Irreversible samplers from jump and continuous Markov processes
• Beyond Itô versus Stratonovich
• Stochastic modeling of nonlinear oscillators under combined Gaussian and Poisson white noise: a viewpoint based on the energy conservation law
• Accurate chemical master equation solution using multi-finite buffers
• A decomposition of irreversible diffusion processes without detailed balance
• Potentials of continuous Markov processes and random perturbations
• The free energy principle made simpler but not too simple
• Quantum pure noise-induced transitions: a truly nonclassical limit cycle sensitive to number parity

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