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arXiv · 1004.0722

Time evolution towards q-Gaussian stationary states through unified Ito-Stratonovich stochastic equation

B. Coutinho dos Santos·C. Tsallis
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Abstract

We consider a class of single-particle one-dimensional stochastic equations which include external field, additive and multiplicative noises. We use a parameter $θ\in [0,1]$ which enables the unification of the traditional Itô and Stratonovich approaches, now recovered respectively as the $θ=0$ and $θ=1/2$ particular cases to derive the associated Fokker-Planck equation (FPE). These FPE is a {\it linear} one, and its stationary state is given by a $q$-Gaussian distribution with $q = \frac{τ+ 2M (2 - θ)}{τ+ 2M (1 - θ)}<3$, where $τ\ge 0$ characterizes the strength of the confining external field, and $M \ge 0$ is the (normalized) amplitude of the multiplicative noise. We also calculate the standard kurtosis $κ_1$ and the $q$-generalized kurtosis $κ_q$ (i.e., the standard kurtosis but using the escort distribution instead of the direct one). Through these two quantities we numerically follow the time evolution of the distributions. Finally, we exhibit how these quantities can be used as convenient calibrations for determining the index $q$ from numerical data obtained through experiments, observations or numerical computations.

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B. Coutinho dos Santos, C. Tsallis. 2010-04-05. Time evolution towards q-Gaussian stationary states through unified Ito-Stratonovich stochastic equation. https://doi.org/10.1103/physreve.82.061119

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