Langevin equations with multiplicative noise: resolution of time discretization ambiguities for equilibrium systems
A Langevin equation with multiplicative noise is an equation schematically of the form dq/dt=-F(q)+e(q)xi, where e(q)xi is Gaussian white noise whose amplitude e(q) depends on q itself. Such equations are ambiguous, and depend on the details of one's convention for discretizing time when solving them. I show that these ambiguities are uniquely resolved if the system has a known equilibrium distribution exp[-V(q)/T] and if, at some more fundamental level, the physics of the system is reversible. I also discuss a simple example where this happens, which is the small frequency limit of Newton's equation &quml;+e(2)(q)&qdot;=-nablaV(q)+e(-1)(q)xi with noise and a q-dependent damping term. The resolution does not correspond to simply interpreting naive continuum equations in a standard convention, such as Stratonovich or Itoinsertion mark.
Arnold
P
Department of Physics, University of Virginia, Charlottesville, Virginia 22901, USA.