Itô vs Stratonovich in the presence of absorbing states

Abstract

It is widely assumed that there exists a simple transformation from the Itô interpretation to the one by Stratonovich and back for any stochastic differential equation of applied interest. While this transformation exists under suitable conditions, and transforms one interpretation into the other at the price of modifying the drift of the equation, it cannot be considered universal. We show that a class of stochastic differential equations, characterized by the presence of absorbing states and of interest in applications, does not admit such a transformation. In particular, formally applying this transformation may lead to the disappearance of some absorbing states. In turn, this modifies the long-time, and even the intermediate-time, behavior of the solutions. The number of solutions can also be modified by the unjustified application of the mentioned transformation, as well as by a change in the interpretation of the noise. We discuss how these facts affect the classical debate on the Itô vs Stratonovich dilemma.