Noise-Induced Drift in Stochastic Differential Equations with Arbitrary Friction and Diffusion in the Smoluchowski-Kramers Limit

Scott Hottovy, Giovanni Volpe, Jan Wehr

Research output: Contribution to journalArticle

30 Scopus citations

Abstract

We consider the dynamics of systems with arbitrary friction and diffusion. These include, as a special case, systems for which friction and diffusion are connected by Einstein fluctuation-dissipation relation, e. g. Brownian motion. We study the limit where friction effects dominate the inertia, i. e. where the mass goes to zero (Smoluchowski-Kramers limit). Using the Itô stochastic integral convention, we show that the limiting effective Langevin equations has different drift fields depending on the relation between friction and diffusion. Alternatively, our results can be cast as different interpretations of stochastic integration in the limiting equation, which can be parametrized by α∈ℝ. Interestingly, in addition to the classical Itô (α=0), Stratonovich (α=0. 5) and anti-Itô (α=1) integrals, we show that position-dependent α=α(x), and even stochastic integrals with α∉[0,1] arise. Our findings are supported by numerical simulations.

Original languageEnglish (US)
Pages (from-to)762-773
Number of pages12
JournalJournal of Statistical Physics
Volume146
Issue number4
DOIs
StatePublished - Feb 1 2012

Keywords

  • Brownian motion
  • Einstein mobility-diffusion relation
  • Smoluchowski-Kramers approximation
  • Stochastic differential equations

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Mathematical Physics

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