Stochastic maps, continuous approximation, and stable distribution

Phys Rev E. 2017 Oct;96(4-1):042139. doi: 10.1103/PhysRevE.96.042139. Epub 2017 Oct 17.

Abstract

A continuous approximation framework for general nonlinear stochastic as well as deterministic discrete maps is developed. For the stochastic map with uncorelated Gaussian noise, by successively applying the Itô lemma, we obtain a Langevin type of equation. Specifically, we show how nonlinear maps give rise to a Langevin description that involves multiplicative noise. The multiplicative nature of the noise induces an additional effective force, not present in the absence of noise. We further exploit the continuum description and provide an explicit formula for the stable distribution of the stochastic map and conditions for its existence. Our results are in good agreement with numerical simulations of several maps.