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arXiv · 1603.07927

On Uniqueness of "SDE Decomposition" in A-type Stochastic Integration

Ruoshi Yuan·Ying Tang·Ping Ao
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Abstract

An innovative theoretical framework for stochastic dynamics based on a decomposition of a stochastic differential equation (SDE) has been developed with an evident advantage in connecting deterministic and stochastic dynamics, as well as useful applications in physics, engineering, chemistry and biology. It introduces the A-type stochastic integration for SDE beyond traditional Ito's or Stratonovich's interpretation. Serious question on its uniqueness was recently raised. We provide here both mathematical and physical demonstrations that the uniqueness is guaranteed. Such discussion leads to a better understanding on the robustness of the novel framework. We also discuss the limitation of a related approach of obtaining potential function from steady state distribution.

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BibTeXRIS

Ruoshi Yuan, Ying Tang, Ping Ao. 2016-03-25. On Uniqueness of "SDE Decomposition" in A-type Stochastic Integration. https://arxiv.org/abs/1603.07927

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