Ito vs. Stratonovich dilemma

Statistical Physics and Complexity Group meeting

Ito vs. Stratonovich dilemma

Event details

Dealing with many degrees of freedom is often greatly simplified by considering fast degrees of freedom as a "random" noise, often assumed to be uncorrelated (white). I will discuss how adding (multiplicative) white noise to differential equations rises some ambiguities not present in the standard calculus as well as how to resolve them (Ito vs. Stratonovich dilemma). Finally, I will review a recent controversy claiming that a Brownian colloidal particle near a wall follows unusual interpretation of stochastic calculus different from the one of Ito and Stratonovich - a story that might be interesting to experimentalists as well.