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Covariant Non-equilibrium Thermodynamics from Ito-Langevin Dynamics

Using the recently developed covariant Ito-Langevin dynamics, we develop a non-equilibrium thermodynamic theory for small systems coupled to multiplicative noises. The theory is based on Ito-calculus, and is fully covariant under time-independent nonlinear transformation of variables. Assuming instantaneous detailed balance, we derive expressions for various thermodynamic functions, including work, heat, entropy production, and free energy, both at ensemble level and at trajectory level, and prove the second law of thermodynamics for arbitrary non-equilibrium processes. We relate time-reversal asymmetry of path probability to entropy production, and derive its consequences such as fluctuation theorem and non-equilibrium work relation. For Langevin systems with additive noises, our theory is equivalent to the common theories of stochastic energetics and stochastic thermodynamics. We also discuss examples of multiplicative noises where the common theories are inapplicable, but our theory yields correct results.