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 driven by both white and Ornstein-Uhlenbeck colored noises. We discuss applications of the main theorem to several physical phenomena, including the experimental study of Brownian motion in a diffusion gradient. arXiv:1404.2330v4 [math-ph] 24 Oct 2014 II. SMOLUCHOWSKI-KRAMERS APPROXIMATION For the main theorem, we assume x m t , x t ∈ U ⊂ R d , an open set, and v m t ∈ R d for all 0 ≤ t ≤ T . For an arbitrary vector a ∈ R d , |a| is the Euclidean norm and, for a d × d matrix A ∈ R d×d , |A| is the induced operator norm. We now state the assumptions and main theorem.

Intrinsically noisy mechanisms drive most physical, biological and economic phenomena. Frequently, the system's state influences the driving noise intensity (multiplicative feedback). These phenomena are often modelled using stochastic differential equations, which can be interpreted according to various conventions (for example, Itô calculus and Stratonovich calculus), leading to qualitatively different solutions. Thus, a stochastic differential equationconvention pair must be determined from the available experimental data before being able to predict the system's behaviour under new conditions. Here we experimentally demonstrate that the convention for a given system may vary with the operational conditions: we show that a noisy electric circuit shifts from obeying Stratonovich calculus to obeying Itô calculus. We track such a transition to the underlying dynamics of the system and, in particular, to the ratio between the driving noise correlation time and the feedback delay time. We discuss possible implications of our conclusions, supported by numerics, for biology and economics.

A linear stochastic model is presented for the dynamics of water vapor and tropical convection. Despite its linear formulation, the model reproduces a wide variety of observational statistics from disparate perspectives, including (i) a cloud cluster area distribution with an approximate power law; (ii) a power spectrum of spatiotemporal red noise, as in the “background spectrum” of tropical convection; and (iii) a suite of statistics that resemble the statistical physics concepts of critical phenomena and phase transitions. The physical processes of the model are precipitation, evaporation, and turbulent advection–diffusion of water vapor, and they are represented in idealized form as eddy diffusion, damping, and stochastic forcing. Consequently, the form of the model is a damped version of the two-dimensional stochastic heat equation. Exact analytical solutions are available for many statistics, and numerical realizations can be generated for minimal computational cost and for any desired time step. Given the simple form of the model, the results suggest that tropical convection may behave in a relatively simple, random way. Finally, relationships are also drawn with the Ising model, the Edwards–Wilkinson model, the Gaussian free field, and the Schramm–Loewner evolution and its possible connection with cloud cluster statistics. Potential applications of the model include several situations where realistic cloud fields must be generated for minimal cost, such as cloud parameterizations for climate models or radiative transfer models.