Role of the interpretation of stochastic calculus in systems with cross-correlated Gaussian white noises

Vicenç Méndez, S. I. Denisov, Daniel Campos, Werner Horsthemke

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7 Citations (Scopus)

Abstract

We derive the Fokker-Planck equation for multivariable Langevin equations with cross-correlated Gaussian white noises for an arbitrary interpretation of the stochastic differential equation. We formulate the conditions when the solution of the Fokker-Planck equation does not depend on which stochastic calculus is adopted. Further, we derive an equivalent multivariable Ito stochastic differential equation for each possible interpretation of the multivariable Langevin equation. To demonstrate the usefulness and significance of these general results, we consider the motion of Brownian particles. We study in detail the stability conditions for harmonic oscillators with two white noises, one of which is additive, random forcing, and the other, which accounts for fluctuations of either the damping or the spring coefficient, is multiplicative. We analyze the role of cross correlation in terms of the different noise interpretations and confirm the theoretical predictions via numerical simulations. We stress the interest of our results for numerical simulations of stochastic differential equations with an arbitrary interpretation of the stochastic integrals. © 2014 American Physical Society.
Original languageEnglish
Article number012116
JournalPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume90
DOIs
Publication statusPublished - 18 Jul 2014

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