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arXiv · 2210.03781

Interpretation of generalized Langevin equations

David Sabin-Miller·Daniel M. Abrams
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Abstract

Many real-world systems exhibit ``noisy'' evolution in time; interpreting their finitely-sampled behavior as arising from continuous-time processes (in the It\^o or Stratonovich sense) has led to significant success in modeling and analysis in a wide variety of fields. Yet such interpretation hinges on a fundamental linear separation of randomness from determinism in the underlying dynamics. Here we propose some theoretical systems which resist easy and self-consistent interpretation into this well-defined class of equations, requiring an expansion of the interpretive framework. We argue that a wider class of stochastic differential equations, where evolution depends nonlinearly on a random or effectively-random quantity, may be consistently interpreted and in fact exhibit finite-time stochastic behavior in line with an equivalent It\^o process, at which point many existing numerical and analytical techniques may be used. We put forward a method for this conversion, and demonstrate its use on both a toy system and on a system of direct physical relevance: the velocity of a meso-scale particle suspended in a turbulent fluid. This work enables the theoretical and numerical examination of a wide class of mathematical models which might otherwise be oversimplified due to a lack of appropriate tools.

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David Sabin-Miller, Daniel M. Abrams. 2022-10-07. Interpretation of generalized Langevin equations. https://arxiv.org/abs/2210.03781

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