We study the validity of the so-called Smoluchowski-Kramers approximation for a two dimensional system of stochastic partial differential equations, subject to a constant magnetic field. As the small mass limit does not yield to the solution of the corresponding first order system, we regularize our problem by adding a small friction. We show that in this case the Smoluchowski-Kramers approximation holds. We also give a justification of the regularization, by showing that the regularized problems provide a good approximation to the original ones.
We show that the solutions to the damped stochastic wave equation converge pathwise to the solution of a stochastic heat equation. This is called the Smoluchowski-Kramers approximation. Cerrai and Freidlin have previously demonstrated that this result holds in the cases where the system is exposed to additive noise in any spatial dimension or when the system is exposed to multiplicative noise and the spatial dimension is one. The current paper proves that the Smoluchowski-Kramers approximation is valid in any spatial dimension when the system is exposed to multiplicative noise.
We study the validity of a large deviation principle for a class of stochastic nonlinear damped wave equations, of Klein-Gordon type, in the joint small mass and small noise limit. The friction term is assumed to be state dependent.
We discuss here the validity of the small mass limit (the so-called Smoluchowski-Kramers approximation) on a fixed time interval for a class of semi-linear stochastic wave equations, both in the case of the presence of a constant friction term and in the case of the presence of a constant magnetic field. We also consider the small mass limit in an infinite time interval and we see how the approximation is stable in terms of the invariant measure and of the large deviation estimates and the exit problem from a bounded domain of the space of square integrable functions.
We prove the convergence, in the small mass limit, of statistically invariant states for a class of semi-linear damped wave equations, perturbed by an additive Gaussian noise, both with Lipschitz-continuous and with polynomial non-linearities. In particular, we prove that the first marginals of any sequence of invariant measures for the stochastic wave equation converge in a suitable Wasserstein metric to the unique invariant measure of the limiting stochastic semi-linear parabolic equation obtained in the Smoluchowski-Kramers approximation. The Wasserstein metric is associated to a suitable d…
In this paper, we generalize the results of Evans and Tabrizian, by deriving asymptotics for the time-rescaled Kramers-Smoluchowski equations, in the case of a general non-symmetric potential function with multiple wells. The asymptotic limit is described by a system of reaction-diffusion equations whose coefficients are determined by the Kramers constants at the saddle points of the potential function and the Hessians of the potential function at global minima.
We study the validity of a Smoluchowski-Kramers approximation for a class of wave equations in a bounded domain of $\mathbb{R}^n$ subject to a state-dependent damping and perturbed by a multiplicative noise. We prove that in the small mass limit the solution converges to the solution of a stochastic quasilinear parabolic equation where a noise-induced extra drift is created.
We study the small mass limit of the equation describing planar motion of a charged particle of a small mass $μ$ in a force field, containing a magnetic component, perturbed by a stochastic term. We regularize the problem by adding a small friction of intensity $\e>0$. We show that for all small but fixed frictions the small mass limit of $q_{μ, \e}$ gives the solution $q_\e$ to a stochastic first order equation, containing a noise-induced drift term. Then, by using a generalization of the classical averaging theorem for Hamiltonian systems by Freidlin and Wentzell, we take the limit of the sl…
In this paper we study a second-order mean-field stochastic differential systems describing the movement of a particle under the influence of a time-dependent force, a friction, a mean-field interaction and a space and time-dependent stochastic noise. Using techniques from Malliavin calculus, we establish explicit rates of convergence in the zero-mass limit (Smoluchowski-Kramers approximation) in the $L^p$-distances and in the total variation distance for the position process, the velocity process and a re-scaled velocity process to their corresponding limiting processes.
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known Smoluchowski--Kramers diffusion approximation result states that the slow component of the considered system converges to the solution of a standard Itô stochastic differential equation. We propose and analyse schemes for strong and weak effective approximation of the slow component. Such schemes satisfy an asymptotic preserving property and generalize the methods proposed in a recent article. We fill a gap in the …
We study a class of systems of stochastic differential equations describing diffusive phenomena. The Smoluchowski-Kramers approximation is used to describe their dynamics in the small mass limit. Our systems have arbitrary state-dependent friction and noise coefficients. We identify the limiting equation and, in particular, the additional drift term that appears in the limit is expressed in terms of the solution to a Lyapunov matrix equation. The proof uses a theory of convergence of stochastic integrals developed by Kurtz and Protter. The result is sufficiently general to include systems driv…
