State dependent jump processes: Itô-Stratonovich interpretations, potential, and transient solutions

Abstract

The abrupt changes that are ubiquitous in physical and natural systems are often well characterized by shot noise with a state dependent recurrence frequency and jump amplitude. For such state dependent behavior, we derive the transition probability for both the Itô and Stratonovich jump interpretations, and subsequently use the transition probability to pose a master equation for the jump process. For exponentially distributed inputs, we present a novel class of transient solutions, as well as a generic steady state solution in terms of a potential function and the Pope-Ching formula. These new results allow us to describe state dependent jumps in a double well potential for steady state particle dynamics, as well as transient salinity dynamics forced by state dependent jumps. Both examples showcase a stochastic description that is more general than the limiting case of Brownian motion to which the jump process defaults in the limit of infinitely frequent and small jumps. Accordingly, our analysis may be used to explore a continuum of stochastic behavior from infrequent, large jumps to frequent, small jumps approaching a diffusion process.