Brownian motion with multiplicative noises revisited
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Publication:5396972
DOI10.1088/1751-8113/47/1/012001zbMATH Open1284.60152arXiv1309.4189OpenAlexW3104295916MaRDI QIDQ5396972FDOQ5396972
Author name not available (Why is that?)
Publication date: 4 February 2014
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Abstract: The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the mathematical relationship between the different rules and how to translate from one rule to another are well-established, it still remains controversial what is a more {it physically} natural rule. In this communication, we derive the overdamped Langevin equation with multiplicative noise for Brownian particles, by systematically eliminating the fast degrees of freedom of the underdamped Langevin equation. The Langevin equations obtained here vary depending on the choice of the noise conventions but they are different representations for an identical phenomenon. The results apply to multi-variable, nonequilibrium, non-stationary systems, and other general settings.
Full work available at URL: https://arxiv.org/abs/1309.4189
Cited In (5)
- On the representation of multiplicative noise in modeling Dansgaard-Oeschger events
- Statistical physics approach to thermophoresis of colloids
- Diffusive search for diffusing targets with fluctuating diffusivity and gating
- Statistical descriptions of polydisperse turbulent two-phase flows
- Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
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