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Multiplicative Lévy processes: Itô versus Stratonovich interpretation

Tomasz Srokowski

  • Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland

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Phys. Rev. E 80, 051113 – Published 12 November, 2009

DOI: https://doi.org/10.1103/PhysRevE.80.051113

Abstract

Langevin equation with a multiplicative stochastic force is considered. That force is uncorrelated, it has the Lévy distribution and the power-law intensity. The Fokker-Planck equations, which correspond both to the Itô and Stratonovich interpretation, are presented. They are solved for the case without drift and for the harmonic oscillator potential. The variance is evaluated; it is always infinite for the Itô case whereas for the Stratonovich one it can be finite and rise with time slower that linearly, which indicates subdiffusion. Analytical results are compared with numerical simulations.

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Phys. Rev. E 80, 051113– Published 12 November, 2009
  • Received 25 May 2009

© 2009 American Physical Society

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