About the Optimal FPE for Non-linear 1d-SDE with Gaussian Noise: The Pitfall of the Perturbative Approach

Abstract This paper deals with the problem of finding the Fokker Planck Equation (FPE) for the single-time probability density function (PDF) that optimally approximates the single-time PDF of a 1-D Stochastic Differential Equation (SDE) with Gaussian correlated noise. In this context, we tackle two main tasks. First, we consider the case of weak noise and in this framework we give a formal ground to the effective correction, introduced elsewhere (Bianucci and Mannella in J Phys Commun 4(10):105019, 2020, https://doi.org/10.1088/2399-6528/abc54e ), to the Best Fokker Planck Equation (a standard “Born-Oppenheimer” result), also covering the more general cases of multiplicative SDE. Second, we consider the FPE obtained by using the Local Linearization Approach (LLA), and we show that a generalized cumulant approach allows an understanding of why the LLA FPE performs so well, even for noises with long (but finite) time scales and large intensities.