Time-dependent probability density function in cubic stochastic processes

Abstract

We report time-dependent probability density functions (PDFs) for a nonlinear stochastic process with a cubic force using analytical and computational studies. Analytically, a transition probability is formulated by using a path integral and is computed by the saddle-point solution (instanton method) and a new nonlinear transformation of time. The predicted PDF p(x,t) in general involves a time integral, and useful PDFs with explicit dependence on x and t are presented in certain limits (e.g., in the short and long time limits). Numerical simulations of the Fokker-Planck equation provide exact time evolution of the PDFs and confirm analytical predictions in the limit of weak noise. In particular, we show that transient PDFs behave drastically differently from the stationary PDFs in regard to the asymmetry (skewness) and kurtosis. Specifically, while stationary PDFs are symmetric with the kurtosis smaller than 3, transient PDFs are skewed with the kurtosis larger than 3; transient PDFs are much broader than stationary PDFs. We elucidate the effect of nonlinear interaction on the strong fluctuations and intermittency in the relaxation process.