Small Mass Limit of a Langevin Equation on a Manifold
Jeremiah Birrell, Scott Hottovy, Giovanni Volpe & Jan Wehr
Annales Henri Poincaré 18(2), 707—755 (2017)
DOI: 10.1007/s00023-016-0508-3
arXiv: 1604.04819

We study damped geodesic motion of a particle of mass m on a Riemannian manifold, in the presence of an external force and noise. Lifting the resulting stochastic differential equation to the orthogonal frame bundle, we prove that, as m → 0, its solutions converge to solutions of a limiting equation which includes a noise-induced drift term. A very special case of the main result presents Brownian motion on the manifold as a limit of inertial systems.

The small-mass limit for Langevin dynamics with unbounded coefficients and positive friction
David P. Herzog, Scott Hottovy & Giovanni Volpe
Journal of Statistical Physics 163(3), 659—673 (2016)
DOI: 10.1007/s10955-016-1498-8
arXiv: 1510.04187

A class of Langevin stochastic differential equations is shown to converge in the small-mass limit under very weak assumptions on the coefficients defining the equation. The convergence result is applied to three physically realizable examples where the coefficients defining the Langevin equation for these examples grow unboundedly either at a boundary, such as a wall, and/or at the point at infinity. This unboundedness violates the assumptions of previous limit theorems in the literature. The main result of this paper proves convergence for such examples.

The Smoluchowski-Kramers limit of stochastic differential equations with arbitrary state-dependent friction
Scott Hottovy, Austin McDaniel, Giovanni Volpe & Jan Wehr
Communications in Mathematical Physics 336(3), 1259—1283 (2015)
DOI: 10.1007/s00220-014-2233-4
arXiv: 1404.2330

We study a class of systems of stochastic differential equations describing diffusive phenomena. The Smoluchowski-Kramers approximation is used to describe their dynamics in the small mass limit. Our systems have arbitrary state-dependent friction and noise coefficients. We identify the limiting equation and, in particular, the additional drift term that appears in the limit is expressed in terms of the solution to a Lyapunov matrix equation. The proof uses a theory of convergence of stochastic integrals developed by Kurtz and Protter. The result is sufficiently general to include systems driven by both white and Ornstein–Uhlenbeck colored noises. We discuss applications of the main theorem to several physical phenomena, including the experimental study of Brownian motion in a diffusion gradient.

Stratonovich-to-Itô transition in noisy systems with multiplicative feedback
Giuseppe Pesce, Austin McDaniel, Scott Hottovy, Jan Wehr & Giovanni Volpe
Nature Communications 4, 2733 (2013)
DOI: 10.1038/ncomms3733
arXiv: 1206.6271

Intrinsically noisy mechanisms drive most physical, biological and economic phenomena. Frequently, the system’s state influences the driving noise intensity (multiplicative feedback). These phenomena are often modelled using stochastic differential equations, which can be interpreted according to various conventions (for example, Itô calculus and Stratonovich calculus), leading to qualitatively different solutions. Thus, a stochastic differential equation–convention pair must be determined from the available experimental data before being able to predict the system’s behaviour under new conditions. Here we experimentally demonstrate that the convention for a given system may vary with the operational conditions: we show that a noisy electric circuit shifts from obeying Stratonovich calculus to obeying Itô calculus. We track such a transition to the underlying dynamics of the system and, in particular, to the ratio between the driving noise correlation time and the feedback delay time. We discuss possible implications of our conclusions, supported by numerics, for biology and economics.

Thermophoresis of Brownian particles driven by coloured noise
Scott Hottovy, Giovanni Volpe & Jan Wehr
EPL (Europhysics Letters) 99(6), 60002 (2012)
DOI: 10.1209/0295-5075/99/60002
arXiv: 1205.1093

Brownian motion of microscopic particles is driven by collisions with surrounding fluid molecules. The resulting noise is not white, but coloured, due, e.g., to the presence of hydrodynamic memory. The noise characteristic time-scale is typically of the same order of magnitude as the inertial time-scale over which the particle’s kinetic energy is lost due to friction. We demonstrate theoretically that, in the presence of a temperature gradient, the interplay between these two characteristic time-scales can have measurable consequences on the particle’s long-time behaviour. Using homogenization theory, we analyse the infinitesimal generator of the stochastic differential equation describing the system in the limit where the two time-scales are taken to zero keeping their ratio constant and derive the thermophoretic transport coefficient, which, we find, can vary in both magnitude and sign, as observed in experiments. Studying the long-term stationary particle distribution, we show that particles accumulate towards the colder (positive thermophoresis) or the hotter (negative thermophoresis) regions depending on their physical parameters.

Noise-induced drift in stochastic differential equations with arbitrary friction and diffusion in the Smoluchowski-Kramers limit
Scott Hottovy, Giovanni Volpe & Jan Wehr
Journal of Statistical Physics 146(4), 762—773 (2012)
DOI: 10.1007/s10955-012-0418-9
arXiv: 1112.2607

We consider the dynamics of systems with arbitrary friction and diffusion. These include, as a special case, systems for which friction and diffusion are connected by Einstein fluctuation-dissipation relation, e.g. Brownian motion. We study the limit where friction effects dominate the inertia, i.e. where the mass goes to zero (Smoluchowski-Kramers limit). Using the Itô stochastic integral convention, we show that the limiting effective Langevin equations has different drift fields depending on the relation between friction and diffusion. Alternatively, our results can be cast as different interpretations of stochastic integration in the limiting equation, which can be parametrized by α∈ℝ. Interestingly, in addition to the classical Itô (α=0), Stratonovich (α=0.5) and anti-Itô (α=1) integrals, we show that position-dependent α=α(x), and even stochastic integrals with α∉[0,1] arise. Our findings are supported by numerical simulations.