Stochastic processes with non-additive fluctuations

B.J. West, A.R. Bulsara, K. Lindenberg, V. Seshadri and K.E. Shuler

Physica A: Statistical Mechanics and its Applications, 1979, vol. 97, issue 2, 211-233

Abstract: We present a comparison of the Fokker-Planck equations obtained by the Itô prescription and by the Stratonovich prescription for physical systems described by a Langevin equation with non-additive fluctuations. Our main conclusion is that the Stratonovich prescription is the one that should always be used to describe physical systems. This conclusion is shown to be consistent with results obtained from path integral and Master equation approaches.

Date: 1979
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:97:y:1979:i:2:p:211-233

DOI: 10.1016/0378-4371(79)90103-1

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