Marcus versus Stratonovich for systems with jump noise

The famous Ito-Stratonovich dilemma arises when one examines a dynamical system with a multiplicative white noise. In physics literature, this dilemma is often resolved in favour of the Stratonovich prescription because of its two characteristic properties valid for systems driven by Brownian motion: (i) it allows physicists to treat stochastic integrals in the same way as conventional integrals, and (ii) it appears naturally as a result of a small correlation time limit procedure. On the other hand, the Marcus prescription (IEEE Trans. Inform. Theory 24 164 (1978); Stochastics 4 223 (1981)) should be used to retain (i) and (ii) for systems driven by a Poisson process, Levy flights or more general jump processes. In present communication we present an in-depth comparison of the Ito, Stratonovich and Marcus equations for systems with multiplicative jump noise. By the examples of a real-valued linear system and a complex oscillator with noisy frequency (the Kubo-Anderson oscillator) we compare solutions obtained with the three prescriptions.