Brownian motion with multiplicative noises revisited

DOI10.1088/1751-8113/47/1/012001MaRDI QIDQ5396972zbMATH OpenOpenAlexFDO

Authors

Publication date 4 February 2014

Published in Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.4189

zbMATH Keywords

Brownian motionmultiplicative noiseLangevin equationoverdamp limit

Mathematics Subject Classification ID

Brownian motion (60J65)

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.

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Cited in

(9)

• Rules of calculus in the path integral representation of white noise Langevin equations: the Onsager-Machlup approach
• On the representation of multiplicative noise in modeling Dansgaard-Oeschger events
• Statistical physics approach to thermophoresis of colloids
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
• Kinetic energy of the Langevin particle
• Diffusive search for diffusing targets with fluctuating diffusivity and gating
• Statistical descriptions of polydisperse turbulent two-phase flows
• Fluctuation-dissipation relations in the presence of multiplicative noise
• Universal form of stochastic evolution for slow variables in equilibrium systems

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