Multiplicative noise: A mechanism leading to nonextensive statistical mechanics

DOI10.1063/1.1617365MaRDI QIDQ4833174zbMATH OpenOpenAlexWikidataFDO

Authors Celia Anteneodo, C. Tsallis

Publication date 14 December 2004

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

Full work available at URL https://arxiv.org/abs/cond-mat/0205314

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: A large variety of microscopic or mesoscopic models lead to generic results that accommodate naturally within Boltzmann-Gibbs statistical mechanics (based on $S_{1}equiv-kintdup(u)lnp(u)$). Similarly, other classes of models point toward nonextensive statistical mechanics (based on $S_{q}equivk[1-intdu[p(u){]}^q]/[q-1]$, where the value of the entropic index $qinRe$ depends on the specific model). We show here a family of models, with multiplicative noise, which belongs to the nonextensive class. More specifically, we consider Langevin equations of the type $dotu=f(u)+g(u)xi(t)+eta(t)$, where $xi(t)$ and $eta(t)$ are independent zero-mean Gaussian white noises with respective amplitudes $M$ and $A$. This leads to the Fokker-Planck equation $partia{l}_{t}P(u,t)=-partia{l}_u[f(u)P(u,t)]+Mpartia{l}_{u}g(u)partia{l}_u[g(u)P(u,t)]+Apartia{l}_{uu}P(u,t)$. Whenever the deterministic drift is proportional to the noise induced one, i.e., $f(u)=-aug(u)g^{\prime }(u)$, the stationary solution is shown to be $$ (with $qequivfracau+3Mau+M$ and $$). This distribution is precisely the one optimizing $S_q$ with the constraint $<[g(u){]}^2{>}_{q}equivintdu[g(u){]}^2[P(u){]}^q/intdu[P(u){]}^q=$constant. We also introduce and discuss various characterizations of the width of the distributions.

Recommendations

• Generalized Brownian motion and anomalous diffusion
• The Langevin and Fokker-Planck equations in the framework of a generalized statistical mechanics
• Itō-Langevin equations within generalized thermostatistics
• Nonextensive statistical mechanics: a brief introduction
• Introduction to nonextensive statistical mechanics. Approaching a complex world

Cites work

• Contributions to the Theory of Multiplicative Stochastic Processes
• Fluctuation Dissipation Relation for a Langevin Model with Multiplicative Noise
• Generalization of Shannon’s theorem for Tsallis entropy
• Ito versus Stratonovich
• Power-law sensitivity to initial conditions---new entropic representation
• Superdiffusion in decoupled continuous time random walks

Cited in

(19)

• Temperature fluctuations of the cosmic microwave background radiation: a case of non-extensivity?
• On the average uncertainty for systems with nonlinear coupling
• Stochastic resonance in bistable systems with nonlinear dissipation and multiplicative noise: a microscopic approach
• What should a statistical mechanics satisfy to reflect nature?
• Itō-Langevin equations within generalized thermostatistics
• Inhomogeneous quantum diffusion and decay of a meta-stable state
• Stochastic bifurcation in FitzHugh-Nagumo ensembles subjected to additive and/or multiplicative noises
• Quantum state-dependent diffusion and multiplicative noise: A microscopic approach
• Generalized Brownian motion and anomalous diffusion
• Multi-diffusive nonlinear Fokker-Planck equation
• A solvable model for non-additive stochastic processes
• On non-Gaussianity and dependence in financial time series: a nonextensive approach
• The nonadditive entropy S_q and its applications in physics and elsewhere: some remarks
• The transformation groupoid structure of the \(q\)-Gaussian family
• Quasi-power laws in multiparticle production processes
• Loewner time conversion for q-generalized stochastic dynamics
• A mechanism leading to \(q\)-power law distribution due to the inhomogeneity of phase space in the self-gravitational system
• From short to fat tails in financial markets: a unified description
• A nonextensive approach to the dynamics of financial observables

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