Optimal FPE for non-linear 1d-SDE. I: Additive Gaussian colored noise

Abstract: Many complex phenomena occurring in physics,chemistry, biology, finance, etc. can be reduced, by some projection process, to a 1-d stochastic Differential Equation (SDE) for the variable of interest. Typically, this SDE is both non-linear and non-markovian, so a Fokker Planck equation (FPE), for the probability density function (PDF), is generally not obtainable. However, a FPE is desirable because it is the main tool to obtain relevant analytical statistical information such as stationary PDF and First Passage Time. This problem has been addressed by many authors in the past, but due to an incorrect use of the interaction picture (the standard tool to obtain a reduced FPE) previous theoretical results were incorrect, as confirmed by direct numerical simulation of the SDE. We will show, in general, how to address the problem and we will derived the correct best FPE from a perturbation approach. The method followed and the results obtained have a general validity beyond the simple case of exponentially correlated Gaussian driving used here as an example; they can be applied even to non Gaussian drivings with a generic time correlation.