Indian Institute of Science Education and Research, Kolkata 8th November 2010

Discussion on “Nonlinear Oscillator with

Multiplicative Noise”
Non-equilibrium Statistical Mechanics (ID – 419)
Indian Institute of Science Education and Research, Kolkata
Name: Harsh Purwar
Roll No.: 07MS – 76

Additive and Multiplicative Noise:

A diffusion process is a Markovian random process ( ) that satisfies a stochastic differential equation
(SDE) of the form,
̇( ) ( ) ( ) ( )
where and are given functions of their arguments and , and ( ) is a Gaussian white noise
satisfying,
⟨ ( )⟩ ⟨ ( ) ( )⟩ ( )
Further note that, for the driven variable ( ) to be a stationary random process as well, it is necessary
(not sufficient though) that and must have no explicit time dependence.
Now if happens to be a constant then it corresponds to an additive noise whereas any other form of
corresponds to a multiplicative noise.
The equation of motion for a nonlinear oscillator with a multiplicative noise can be written in the following
form,
̈ ̇ √ ( ) (1)
Here is the position, is proportional to the damping constant, ( ) is the Gaussian white noise and √
can be regarded as the strength of the noise.

Analysis of a Simple Nonlinear Oscillator

Figure 1: Shape of ( ) in ( ̇ ( )) space for .

Now before analyzing this system lets consider a relatively simple system with no damping and noise. For
this simple system we have,
1 | Nonlinear Oscillator with Multiplicative Noise
Indian Institute of Science Education and Research, Kolkata 8th November 2010
̈
̇
̇

∫ ̇ ̇ ∫( )
̇

̇
( )
The shape of ( ) for a few cases depending on the values/signs of the variables and is analyzed in
( ̇ ( )) space in Figure 1 for . It can be observed that ( ) is a single well potential for and
it is a double well potential for .
When , ( ) satisfies,
( )
̇ ̈ ̇ ̇
̇( ̈ ) (2)

Now as from the equation of motion we have,

̈ ̇ (3)
̈ ̇ ̇ (4)
n
Substituting Eq (4) in (2) we get,
( )
̇ (5)
Therefore, the trajectory ( ̇ ) moves on the surface of ( ) so that ( ) decreases until converges
to one of the equilibriums where ̇ . For , and , the only equilibrium is ̅ ( ) and
( ) satisfies,
( ) if and only if ̅,
( ) and ̇ ( ) for ̅.
On the other hand, for , and , there are three equilibrium points as shown in the …………
The equilibrium points for the system (with , and and no noise) can be obtained by
n
putting ̇ in Eq (3) to get,
( )
The three roots to this equation are,
√ √
The stability of these points could be determined from ……………. However there are more rigorous
methods for determining this (like analysis of the eigenvalues of the Jacobian matrix) which I am not going
to discuss here. Now let me introduce noise in the system as mentioned above in Eq n (1).

Nonlinear Oscillator with Multiplicative Noise:

In the presence of damping, nonlinearity and noise the equation of motion can be written in the form as
mentioned in Eqn (1),
√ ( ) (6)
Transforming variables as follows gives us the dimensionless variables and ,
(7)
√

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Indian Institute of Science Education and Research, Kolkata 8th November 2010

(8)
√
Also,
( )( ) (9)
√ √
Substituting results from Eqns (7), (8) & (9) back in Eqn (6) we get,
√ ( )
√ √ √ √ √
̈ ̇ √ ( ) (10)
where coefficients and are also dimensionless given by,

The deviations from the trivial solution ( ) ̇( ) , which are described by equation (10), will lead to
a new non-trivial solution when the Lyapunov index ( ) defined as,
( )
∫ { } (11)
( )
changes the sign. Now expanding ( ) using Talyor expansion we get,
( ) ( ) ( )
Neglecting higher order, ( ) terms and substituting back in Eqn (11) we get,
( ) ̇( )
∫ { }
( )
̇( )
∫ { }
( )
̇( )
∫ { ( ) }
( )
̇( )
∫ { ( )}
( )
̇( )
∫ (12)
( )
Now let,
( )
( )
∫ ( ) ⟨ ⟩ ∫ ( ) (13)
Now in order to find the asymptotic probability distribution function, ( ) for the variable , I first try to
find out the Langevin equation for and then using the Fokker-Plank equation asymptotic form of the PDF
could be computed.
Here we note that close to the origin, , the stability of the system is defined by the linear form of
the equation (6),
̈ ̇ √ ( ) (14)
Now we have,
( )
( )

3 | Nonlinear Oscillator with Multiplicative Noise

Indian Institute of Science Education and Research, Kolkata 8th November 2010

( )
( ) ( )
Using Eqn (14) we get,
( ̇ √ ( ) ) ̇

√ ( ) (15)
Above is the required Langevin equation for .

So far I have not made any assumptions about the type of noise in the original equation (6). However for
different type of noise one gets different forms of the Fokker-Plank equation corresponding to the
Langevin equation (15). For a Gaussian white noise ( ),
⟨ ( )⟩ ⟨ ( ) ( )⟩ ( ) (16)
the Stratonovich form of the Fokker-Plank equation for ( ) which corresponds to the Langevin
equation (15) with noise of the form (16) has the following form,
( ) ( )
(( ) ( )) (17)
Now in the limit , we would have,
( )

( )
(( ) ( ))
( ) ( )
( ) ( ) ( ) (18)
Now this linear homogeneous differential equation with variable coefficients can be solved for ( ) using
the method of constants to give,
( ) ∫ ( [ ( ) ( )]) (19)
where,
( )

Figure 2: Lyapunov exponent of a linear damped oscillator with parametric white noise as a function of the noise
amplitude for different values of the control parameter ( ).
4 | Nonlinear Oscillator with Multiplicative Noise
Indian Institute of Science Education and Research, Kolkata 8th November 2010
On substituting equation (19) back in equation (13) we get,
∫ √ [( ) ]
{ }
∫ [( ) ]
√
For different values of the parameters & defined above the Lyapunov index can either be positive,
describing thereby the stability of the origin , or negative which represents an instability.
Analysis of the function ( ) shown in Figure 2 shows that,
 For , changes sign once (noise-induced instability).
 For , changes sign twice (noise induced reentrant transition)
 For , is positive for all (no transition).
Hence noise can suppress oscillations by stabilizing a fixed point which was unstable in the absence of
noise.

Works Cited
1. Gitterman, Moshe. The Noisy Oscillator. s.l. : World Scientific Publishing Co. Pte. Ltd., 2005. pp. 125-132.
ISBN: 981-256-512-4.
2. Kanamaru, Takashi. Duffing Oscillator. Scholarpedia. [Online] 2008.
http://www.scholarpedia.org/article/Duffing_oscillator. doi:10.4249/scholarpedia.6327.
3. Balakrishnan, V. The Fokker-Plank equation and the Ornstein-Uhlenbeck distribution. Elements of
Nonequilibrium Statistical Mechanics. 1st Edition. Madras : Ane Books Pvt. Ltd., 2009, Chapter 6, pp. 70-73.

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