{"title":"About the Optimal FPE for Non-linear 1d-SDE with Gaussian Noise: The Pitfall of the Perturbative Approach","authors":"Marco Bianucci, Mauro Bologna, Riccardo Mannella","doi":"10.1007/s10955-023-03228-x","DOIUrl":null,"url":null,"abstract":"<p>This paper deals with the problem of finding the Fokker Planck Equation (FPE) for the single-time probability density function (PDF) that optimally approximates the single-time PDF of a 1-D Stochastic Differential Equation (SDE) with Gaussian correlated noise. In this context, we tackle two main tasks. First, we consider the case of weak noise and in this framework we give a formal ground to the effective correction, introduced elsewhere (Bianucci and Mannella in J Phys Commun 4(10):105019, 2020, https://doi.org/10.1088/2399-6528/abc54e), to the Best Fokker Planck Equation (a standard “Born-Oppenheimer” result), also covering the more general cases of multiplicative SDE. Second, we consider the FPE obtained by using the Local Linearization Approach (LLA), and we show that a generalized cumulant approach allows an understanding of why the LLA FPE performs so well, even for noises with long (but finite) time scales and large intensities.</p>","PeriodicalId":667,"journal":{"name":"Journal of Statistical Physics","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Statistical Physics","FirstCategoryId":"101","ListUrlMain":"https://doi.org/10.1007/s10955-023-03228-x","RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"PHYSICS, MATHEMATICAL","Score":null,"Total":0}
引用次数: 0
Abstract
This paper deals with the problem of finding the Fokker Planck Equation (FPE) for the single-time probability density function (PDF) that optimally approximates the single-time PDF of a 1-D Stochastic Differential Equation (SDE) with Gaussian correlated noise. In this context, we tackle two main tasks. First, we consider the case of weak noise and in this framework we give a formal ground to the effective correction, introduced elsewhere (Bianucci and Mannella in J Phys Commun 4(10):105019, 2020, https://doi.org/10.1088/2399-6528/abc54e), to the Best Fokker Planck Equation (a standard “Born-Oppenheimer” result), also covering the more general cases of multiplicative SDE. Second, we consider the FPE obtained by using the Local Linearization Approach (LLA), and we show that a generalized cumulant approach allows an understanding of why the LLA FPE performs so well, even for noises with long (but finite) time scales and large intensities.
期刊介绍:
The Journal of Statistical Physics publishes original and invited review papers in all areas of statistical physics as well as in related fields concerned with collective phenomena in physical systems.