Generalized Fokker-Planck equation: Derivation and exact solutions

We derive the generalized Fokker-Planck equation associated with the Langevin equation (in the Ito sense) for an overdamped particle in an external potential driven by multiplicative noise with an arbitrary distribution of the increments of the noise generating process. We explicitly consider this equation for various specific types of noises, including Poisson white noise and Lévy stable noise, and show that it reproduces all Fokker-Planck equations that are known for these noises. Exact analytical, time-dependent and stationary solutions of the generalized Fokker-Planck equation are derived and analyzed in detail for the cases of a linear, a quadratic, and a tailored potential.     

Two competing species in super-diffusive dynamical regimes

The dynamics of two competing species within the framework of the generalized Lotka-Volterra equations, in the presence of multiplicative α-stable Lévy noise sources and a random time dependent interaction parameter, is studied. The species dynamics is characterized by two different dynamical regimes, exclusion of one species and coexistence of both, depending on the values of the interaction parameter, which obeys a Langevin equation with a periodically fluctuating bistable potential and an additive α-stable Lévy noise. The stochastic resonance phenomenon is analyzed for noise sources asymmetrically distributed. Finally, the effects of statistical dependence between multiplicative noise and additive noise on the dynamics of the two species are studied.     

Stability of Exponential Euler Method for Stochastic Systems under Poisson White Noise Excitations

The stability of stochastic systems under Poisson white noise excitations which based on the quantum theory is investigated in this paper. In general, the exact solution of the most of the stochastic systems with jumps is not easy to get. So it is very necessary to investigate the numerical solution of equations. On the one hand, exponential Euler method is applied to study stochastic delay differential equations, we can find the sufficient conditions for keeping mean square stability by investigating numerical method of systems. Through the comparison, we get the step-size of this method which is longer than the Euler-Maruyama method. On the other hand, mean square exponential stability of exponential Euler method for semi-linear stochastic delay differential equations under Poisson white noise excitations is confirmed.     

Mean-square displacement of a stochastic oscillator: Linear vs quadratic noise

Using the Langevin equations, we calculated the stationary second-order moment (mean-square displacement) of a stochastic harmonic oscillator subject to an additive random force (Brownian motion in a parabolic potential) and to different types of multiplicative noise (random frequency or random damping or random mass). The latter case describes Brownian motion with adhesion, where the particles of the surrounding medium may adhere to the oscillator for some random time after the collision. Since the mass of the Brownian particle is positive, one has to use quadratic (positive) noise. For all types of multiplicative noise considered, replacing linear noise by quadratic noise leads to an increase in stability.     

WKB-type expansion for Langevin equations: II. Covariant expansion

We show how to compute in a covariant way the WKB-type expansion for the transition probability density of the Markovian processes generated by general multiplicative noise Langevin equations. The method uses phase space functional integrals and normal coordinates around the classical path. We compare with our earlier non-covariant methods and compute explicitly the first order correction to the WKB-approximation.     

加性和乘性泊松白噪声联合激励下光滑非连续振子的随机响应

利用广义胞映射方法,研究了加性和乘性泊松白噪声联合作用下SD振子(smooth and discontinuous oscillator)的随机响应问题.基于图分析算法,获得确定SD振子的吸引子、吸引域、域边界、鞍和不变流形等全局特性.基于矩阵分析算法,计算了SD振子在泊松白噪声激励下的瞬态和稳态响应.结果表明:随机响应的概率密度函数演化方向和确定情况下的不稳定流形形状之间存在密切联系.蒙特卡罗模拟结果表明,所使用的方法是有效且准确的.     

Dynamics of the Langevin model subjected to colored noise: Functional-integral method

We have discussed the dynamics of Langevin model subjected to colored noise, by using the functional-integral method (FIM) combined with equations of motion for mean and variance of the state variable. Two sets of colored noise have been investigated: (a) one additive and one multiplicative colored noise, and (b) one additive and two multiplicative colored noise. The case (b) is examined with relevance to a recent controversy on the stationary subthreshold voltage distribution of an integrate-and-fire model including stochastic excitatory and inhibitory synapses and a noisy input. We have studied the stationary probability distribution and dynamical responses to time-dependent (pulse and sinusoidal) inputs of the linear Langevin model. Model calculations have shown that results of the FIM are in good agreement with those of direct simulations (DSs). A comparison is made among various approximate analytic solutions such as the universal colored noise approximation (UCNA). It has been pointed out that dynamical responses to pulse and sinusoidal inputs calculated by the UCNA are rather different from those of DS and the FIM, although they yield the same stationary distribution.     

Integration of Langevin equations with multiplicative noise and the viability of field theories for absorbing phase transitions

Efficient and accurate integration of stochastic (partial) differential equations with multiplicative noise can be obtained through a split-step scheme, which separates the integration of the deterministic part from that of the stochastic part, the latter being performed by sampling exactly the solution of the associated Fokker-Planck equation. We demonstrate the computational power of this method by applying it to the most absorbing phase transitions for which Langevin equations have been proposed. This provides precise estimates of the associated scaling exponents, clarifying the classification of these nonequilibrium problems, and confirms or refutes some existing theories.     

Exact solution of a Langevin equation with nonlinear periodic noise

An exact stochastic average of a Langevin equation with a multiplicative nonlinear periodic noise is performed. The noise is described by an arbitrary periodic function of the diffusion Wiener-Lévy stochastic process. The solution of this stochastic equation is given by periodic solutions of the Hill equation.     

Simulations of Two-Step Maruyama Methods for Nonlinear Stochastic Delay Differential Equations

In this paper, we investigate the numerical performance of a family of P-stable two-step Maruyama schemes in mean-square sense for stochastic differential equations with time delay proposed in [8, 10] for a certain class of nonlinear stochastic delay differential equations with multiplicative white noises. We also test the convergence of one of the schemes for a time-delayed Burgers' equation with an additive white noise. Numerical results show that this family of two-step Maruyama methods exhibit similar stability for nonlinear equations as that for linear equations.     

Two Stochastic Resonances Induced by Two Different Multiplicative Telegraphic Noises for an Electric System

In this paper, an electric system with two dichotomous resistors is investigated. It is shown that this system can display two stochastic resonances, which are the amplitude of the periodic response as the functions of the two dichotomous resistors strengthes respectively. In the limits of Gaussian white noise and shot white noise (i.e., the two noises are both Gaussian white noise or shot white noise), no phenomena of resonance appear. By further study, we find that when the system is with three or more multiplicative telegraphic noises, there are three or more stochastic resonances.     

Stochastic Resonance in a Linear Fractional Langevin Equation

The fractional Langevin equation is derived from the generalized Langevin equation driven by the additive fractional Gaussian noise. We investigate the stochastic resonance (SR) phenomenon in the underdamped linear fractional Langevin equation under the external periodic force and multiplicative symmetric dichotomous noise. Applying the Shapiro-Loginov formula and the Laplace transform technique, we obtain the exact expressions of the amplitude and signal-to-noise ratio (SNR) of the system. By studying the impacts of the driving frequency and the noise parameters, we find the non-monotonic behaviors of the output amplitude and SNR. The results indicate that the bona fide SR, conventional SR and the wide sense of SR phenomena occur in the proposed linear fractional system.     

Nonlocal stochastic quantization of scalar electrodynamics

Quantization of the electromagnetic interactions of scalar charged particles is considered within the stochastic Langevin and Schwinger-Dyson equations with nonlocal white noise. Fulfillment of the gauge-invariant condition in such a scheme is studied in detail. Matrix elements of the vacuum polarization and self-energy diagrams of the scalar electrodynamics are calculated explicitly, which reduce to usual nonlocal scalar electrodynamic results.     

General transformations from multiplicative noise to additive noise

General transformations from multiplicative noise to additive noise are obtained for systems whose dynamical evolution is given by multidimensional Langevin equations.     

Augmented Langevin description of multiplicative noise and nonlinear dissipation in Hamiltonian systems

The augmented Langevin approach described in a previous article is applied to the problem of introducing multiplicative noise and nonlinear dissipation into an arbitrary Hamiltonian system in a thermodynamically consistent way, so that a canonical equilibrium distribution is approached asymptotically at long times. This approach leads to a general nonlinear fluctuation-dissipation relation which, for a given form of the multiplicative noise (chosen on physical grounds), uniquely determines the form of the nonlinear dissipative terms needed to balance the fluctuations. In addition to the noise and dissipation terms, the augmented Langevin equation contains an additional term whose form depends on the stochastic interpretation rule used. This term vanishes when the Stratonovich rule is chosen and the noise itself is of a Hamiltonian origin. This development provides a simple phenomenological route to results previously obtained by detailed analysis of microscopic system-bath models. The procedure is illustrated by applications to a mechanical oscillator with fluctuating frequency, a classical spin in a fluctuating magnetic field, and the Brownian motion of a rigid rotor.     

A Three-Josephson-Junction Device with Noise

A Gaussian white noise model and a symmetric dichotomous noise model for a three-Josephson-junction device are studied. It is shown that the symmetric noise can produce net voltage (Its corresponding dc current is zero), which sterns from the multiplicative noise,the asymmetry of the potential or the asymmetry of the potential itselt; respectively for the Gaussian white noise model or for the dichotomous noise model. The net voltage is negative,and exhibits a peak with increasing the additive noise strength (the stochastic resonance). The dc current-voltage characteristics are calculated for the two models. In addition, we find that when the dc current is not zero, in some scope the absolute value of the dc voltage versus the additive noise strength also presents the stochastic resonance.     

Fluctuating hydrodynamics for driven granular gases

We study a granular gas heated by a stochastic thermostat in the dilute limit. Starting from the kinetic equations governing the evolution of the correlation functions, a Boltzmann-Langevin equation is constructed. The spectrum of the corresponding linearized Boltzmann-Fokker-Planck operator is analyzed, and the equation for the fluctuating transverse velocity is derived in the hydrodynamic limit. The noise term (Langevin force) is thus known microscopically and contains two terms: one coming from the thermostat and the other from the fluctuating pressure tensor. At variance with the free cooling situation, the noise is found to be white and its amplitude is evaluated.