Related papers: It\^o versus H\"anggi-Klimontovich
Stochastic phenomena in which the noise amplitude is proportional to the fluctuating variable itself, usually called {\it multiplicative noise}, appear ubiquitously in physics, biology, economy and social sciences. The properties of…
We study the small-mass limit, also known as the Smoluchowski-Kramers diffusion approximation (see \cite{kra} and \cite{smolu}), for a system of stochastic damped wave equations, whose solution is constrained to live in the unitary sphere…
Some intriging connections between the properties of nonlinear noise driven systems and the nonlinear dynamics of a particular set of Hamilton's equation are discussed. A large class of Fokker-Planck Equations, like the Schr\"odinger…
In this article, we give a new proof of the It\^o formula for some integral processes related to the space-time L\'evy white noise introduced in Balan (2015) as an alternative for the Gaussian white noise perturbing an SPDE. We discuss two…
A system of spins coupled to a bath is a traditional setup in open quantum systems. Through Heisenberg's equation, the spin dynamics can be modeled by a set of first-order differential equations. Interpreting the terms as colored noise and…
Analytical non-perturbative study of the three-dimensional nonlinear stochastic partial differential equation with additive thermal noise, analogous to that proposed by V.N. Nikolaevskii [1]-[5]to describe longitudinal seismic waves, is…
This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…
We discuss stochastic derivations, stochastic Hamiltonians and the flows that they generate, algebraic fluctuaion-dissipation theorems, etc., in a language common to both classical and quantum algebras. It is convenient to define distinct…
Both for the theoretical and practical treatment of Inverse Problems, the modeling of the noise is a crucial part. One either models the measurement via a deterministic worst-case error assumption or assumes a certain stochastic behavior of…
In this article we establish a new formula for the difference of a test function of the solution of a stochastic differential equation and of the test function of an It\^o process. The introduced formula essentially generalizes both the…
It is a well established result that, in classical dynamical systems with sufficient time-scale separation, the fast chaotic degrees of freedom are well modeled by (Gaussian) white noise. In this paper, we present the stochastic dynamical…
These notes rigorously construct the stochastic integral of a Hilbert Space valued process driven by a Cylindrical Brownian Motion. We expand upon this stochastic calculus to present an introduction to stochastic differential equations in…
The Ito and Stratonovich approaches are carried over to quantum stochastic systems. Here the white noise representation is shown to be the most appropriate as here the two approaches appear as Wick and Weyl orderings, respectively. This…
We study stochastic Euler equations in both compressible and incompressible regimes, on the whole space and on the torus, driven by genuinely mixed multiplicative noise: continuous Stratonovich/It\^o components and a discontinuous Marcus…
We study a stochastic Schr{\"o}dinger equation with a quadratic nonlinearity and a space-time fractional perturbation, in space dimension less than 3. When the Hurst index is large enough, we prove local well-posedness of the problem using…
We study the impact of stochastic perturbations to deterministic dynamical systems using the formalism of the Ruelle response theory and explore how stochastic noise can be used to explore the properties of the underlying deterministic…
We extend the Ito -to- Stratonovich analysis or quantum stochastic differential equations, introduced by Gardiner and Collett for emission (creation), absorption (annihilation) processes, to include scattering (conservation) processes.…
This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…
The concept of stochastic Lagrangian and its use in statistical dynamics is illustrated theoretically, and with some examples. Dynamical variables undergoing stochastic differential equations are stochastic processes themselves, and their…
In this paper, we study the stochastic partial differential equation with multiplicative noise $\frac{\partial u}{\partial t} =\mathcal L u+u\dot W$, where $\mathcal L$ is the generator of a symmetric L\'evy process $X$ and $\dot W$ is a…