Colored Stochastic Multiplicative Processes with Additive Noise Unveil a Third-Order PDE, Defying Conventional FPE and Fick-Law Paradigms

TL;DR

This paper reveals that in stochastic systems with colored multiplicative noise and additive white noise, the probability density function obeys a third-order PDE, challenging the traditional Fokker-Planck framework and Fick's law.

Contribution

It introduces a third-order PDE for such systems, showing a fundamental departure from the standard second-order Fokker-Planck equation in the presence of additive noise.

Findings

Derivation of a third-order PDE for the equilibrium PDF.

Numerical simulations show deviations from FPE-based predictions.

Breakdown of Fick's law in these stochastic processes.

Abstract

Research on stochastic differential equations (SDE) involving both additive and multiplicative noise has been extensive. In situations where the primary process is driven by a multiplicative stochastic process, additive white noise typically represents an intrinsic and unavoidable fast factor, including phenomena like thermal fluctuations, inherent uncertainties in measurement processes, or rapid wind forcing in ocean dynamics. This work focuses on a significant class of such systems, particularly those characterized by linear drift and multiplicative noise, extensively explored in the literature. Conventionally, multiplicative stochastic processes are also treated as white noise in existing studies. However, when considering colored multiplicative noise, the emphasis has been on characterizing the far tails of the probability density function (PDF), regardless of the spectral properties of the noise. In the absence of additive noise and with a general colored multiplicative SDE, standard perturbation approaches lead to a second-order PDE known as the Fokker-Planck Equation (FPE), consistent with Fick's law. This investigation unveils a notable departure from this standard behavior when introducing additive white noise. At the leading order of the stochastic process strength, perturbation approaches yield a \textit{third-order PDE}, irrespective of the white noise intensity. The breakdown of the FPE further signifies the breakdown of Fick's law. Additionally, we derive the explicit solution for the equilibrium PDF corresponding to this third-order PDE Master Equation. Through numerical simulations, we demonstrate significant deviations from outcomes derived using the FPE obtained through the application of Fick's law.