Langevin equations with multiplicative noise: resolution of time discretization ambiguities for equilibrium systems

@article{Arnold2000LangevinEW,
  title={Langevin equations with multiplicative noise: resolution of time discretization ambiguities for equilibrium systems},
  author={Arnold},
  journal={Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics},
  year={2000},
  volume={61 6 Pt A},
  pages={6091-8}
}
  • Arnold
  • Published 2000 in
    Physical review. E, Statistical physics, plasmas…
A Langevin equation with multiplicative noise is an equation schematically of the form dq/dt=-F(q)+e(q)xi, where e(q)xi is Gaussian white noise whose amplitude e(q) depends on q itself. Such equations are ambiguous, and depend on the details of one's convention for discretizing time when solving them. I show that these ambiguities are uniquely resolved if… CONTINUE READING