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

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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.

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Authors and Affiliations

  1. Department of Mathematics and Program in Applied Mathematics, University of Arizona, Tucson, AZ, 85721, USA

    Scott Hottovy & Jan Wehr

  2. Max-Planck-Institut für Intelligente Systeme, Heisenbergstraße 3, 70569, Stuttgart, Germany

    Giovanni Volpe

  3. 2. Physikalisches Institut, Universität Stuttgart, Pfaffenwaldring 57, 70569, Stuttgart, Germany

    Giovanni Volpe

  4. Department of Physics, Bilkent University, Cankaya, Ankara, 06800, Turkey

    Giovanni Volpe

Authors
  1. Scott Hottovy
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  2. Giovanni Volpe
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  3. Jan Wehr
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Corresponding author

Correspondence to Scott Hottovy.

Additional information

S.H. was supported by the VIGRE grant through the University of Arizona Applied Mathematics Program. J.W. was partially supported by the NSF grant DMS 1009508.

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Hottovy, S., Volpe, G. & Wehr, J. Noise-Induced Drift in Stochastic Differential Equations with Arbitrary Friction and Diffusion in the Smoluchowski-Kramers Limit. J Stat Phys 146, 762–773 (2012). https://doi.org/10.1007/s10955-012-0418-9

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  • DOI: https://doi.org/10.1007/s10955-012-0418-9

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