Brownian motion with multiplicative noises revisited

@article{Kuroiwa2014BrownianMW,
  title={Brownian motion with multiplicative noises revisited},
  author={T. Kuroiwa and K. Miyazaki},
  journal={Journal of Physics A},
  year={2014},
  volume={47},
  pages={012001}
}
  • T. Kuroiwa, K. Miyazaki
  • Published 2014
  • Mathematics, Physics
  • Journal of Physics A
  • The Langevin equation with multiplicative noise and a state-dependent transport coefficient should 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, the subject of which is a more physically natural rule still remains controversial. In this communication, we derive the overdamped Langevin equation… CONTINUE READING
    12 Citations
    Marcus versus Stratonovich for systems with jump noise
    • 29
    • PDF
    Stochastic differential calculus for Gaussian and non-Gaussian noises: A critical review
    • G. Falsone
    • Mathematics, Computer Science
    • Commun. Nonlinear Sci. Numer. Simul.
    • 2018
    • 5
    Active Brownian Dynamics
    Markov Processes linking Thermodynamics and Turbulence
    • 1
    • PDF
    Quantifying non-ergodicity of anomalous diffusion with higher order moments
    • 49
    • PDF

    References

    SHOWING 1-10 OF 33 REFERENCES
    Itô versus Stratonovich white-noise limits for systems with inertia and colored multiplicative noise.
    • 92
    • PDF
    Brownian motion in inhomogeneous suspensions.
    • M. Yang, M. Ripoll
    • Physics, Medicine
    • Physical review. E, Statistical, nonlinear, and soft matter physics
    • 2013
    • 14
    • PDF
    State-dependent diffusion: Thermodynamic consistency and its path integral formulation.
    • A. W. Lau, T. Lubensky
    • Mathematics, Medicine
    • Physical review. E, Statistical, nonlinear, and soft matter physics
    • 2007
    • 197
    • PDF
    Prescription-induced jump distributions in multiplicative Poisson processes.
    • 13
    • PDF
    Generally covariant state-dependent diffusion
    • 23
    • PDF
    Brownian colloidal particles: Ito, Stratonovich, or a different stochastic interpretation.
    • J. Sancho
    • Mathematics, Medicine
    • Physical review. E, Statistical, nonlinear, and soft matter physics
    • 2011
    • 26
    • PDF
    Intrinsic noise-induced phase transitions: beyond the noise interpretation.
    • 43
    • PDF