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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.

Fulltext pdf (523 KB)
Fulltext is also available at DOI: 10.1070/PU1998v041n03ABEH000377
PACS: 05.40.+j, 05.70.Fh, 64.60.−i, 82.20.Fd (all)
DOI: 10.1070/PU1998v041n03ABEH000377
URL: https://ufn.ru/en/articles/1998/3/c/
000073306100003
Citation: Olemskoi A I "Theory of stochastic systems with singular multiplicative noise" Phys. Usp. 41 269–301 (1998)
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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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