Reviews of topical problems

Theory of stochastic systems with singular multiplicative noise

Sumy State University, ul. Rimskogo-Korsakova 2, Sumy, 244007, Ukraine

Noisy, interacting, stochastic systems are analyzed for the case in which their noise intensity varies with the hydrodynamic mode amplitude x according to the power law x2a, x \in [0, 1]. It is shown that the phase space domain of definition of the stochastic variable x forms a self-affine set of fractal dimensionality D = 2(1-a). Using the gauge procedure, a system of calculus is chosen which is not reducible either to the Ito case or the Stratonovich case. By generalizing the microscopic picture of phase transitions it is demonstrated that the system may reduce its symmetry (for 1 < D \leqslant 2) or lose ergodicity (for 0 < D \leqslant 1). Over the entire interval D \in [0, 2], a noise-induced transition is shown to be possible.

PACS: 05.40.+j, 05.70.Fh, 64.60.−i, 82.20.Fd (all)
DOI: 10.1070/PU1998v041n03ABEH000377
Citation: Olemskoi A I "Theory of stochastic systems with singular multiplicative noise" Phys. Usp. 41 269–301 (1998)
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RT Journal
T1 Theory of stochastic systems with singular multiplicative noise
A1 Olemskoi,A.I.
PB Physics-Uspekhi
PY 1998
FD 10 Mar, 1998
JF Physics-Uspekhi
JO Phys. Usp.
VO 41
IS 3
SP 269-301
DO 10.1070/PU1998v041n03ABEH000377

Оригинал: Олемской А И «Теория стохастических систем с сингулярным мультипликативным шумом» УФН 168 287–321 (1998); DOI: 10.3367/UFNr.0168.199803c.0287

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