Noise - induced drift in stochastic differential equations with arbitrary friction and diffusion in the smoluchowski-kramers limit

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Author
Hottovy, S.
Volpe, G.
Wehr, J.
Date
2012Journal Title
Journal of Statistical Physics
Print ISSN
0022-4715
Electronic ISSN
1572-9613
Publisher
Springer
Volume
146
Issue
4
Pages
762 - 773
Language
English
Type
Article
Metadata
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http://hdl.handle.net/11693/21602Abstract
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. © 2012 Springer Science+Business Media, LLC.