Master Equation in Phase Space for a Spin in an Arbitrarily Directed Uniform External Field

The time evolution equation for the probability density function of spin orientations in the phase space representation of the polar and azimuthal angles is derived for the nonaxially symmetric problem of a quantum paramagnet subjected to a uniform magnetic field of arbitrary direction. This is accomplished by first rotating the coordinate system into one in which the polar axis is collinear with the field vector, then writing the reduced density matrix equation in the new coordinate system as an explicit inverse Wigner-Stratonovich transformation so that the phase space master equation may be derived just as in the axially symmetric case [Yu.P. Kalmykov et al., J. Stat. Phys. 131:969, 2008]. The properties of this equation, resembling the corresponding Fokker-Planck equation, are investigated. In particular, in the large spin limit, S→∞, the master equation becomes the classical Fokker-Planck equation describing the magnetization dynamics of a classical paramagnet in an arbitrarily directed uniform external field.     

Stochastic evolution of cosmological parameters in the early universe

We develop a stochastic formulation of cosmology in the early universe, after considering the scatter in the redshift-apparent magnitude diagram in the early epochs as an observational evidence for the non-deterministic evolution of early universe. We consider the stochastic evolution of density parameter in the early universe after the inflationary phase qualitatively, under the assumption of fluctuating w factor in the equation of state, in the Fokker-Planck formalism. Since the scale factor for the universe depends on the energy density, from the coupled Friedmann equations we calculated the two variable probability distribution function assuming a flat space geometry.     

A comment on the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T.D. Frank

The purpose of this comment is to correct mistaken assumptions and claims made in the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T. D. Frank [T.D. Frank, Stochastic feedback, non-linear families of Markov processes, and nonlinear Fokker-Planck equations, Physica A 331 (2004) 391]. Our comment centers on the claims of a “non-linear Markov process” and a “non-linear Fokker-Planck equation.” First, memory in transition densities is misidentified as a Markov process. Second, the paper assumes that one can derive a Fokker-Planck equation from a Chapman-Kolmogorov equation, but no proof was offered that a Chapman-Kolmogorov equation exists for the memory-dependent processes considered. A “non-linear Markov process” is claimed on the basis of a non-linear diffusion pde for a 1-point probability density. We show that, regardless of which initial value problem one may solve for the 1-point density, the resulting stochastic process, defined necessarily by the conditional probabilities (the transition probabilities), is either an ordinary linearly generated Markovian one, or else is a linearly generated non-Markovian process with memory. We provide explicit examples of diffusion coefficients that reflect both the Markovian and the memory-dependent cases. So there is neither a “non-linear Markov process”, nor a “non-linear Fokker-Planck equation” for a conditional probability density. The confusion rampant in the literature arises in part from labeling a non-linear diffusion equation for a 1-point probability density as “non-linear Fokker-Planck,” whereas neither a 1-point density nor an equation of motion for a 1-point density can define a stochastic process. In a closely related context, we point out that Borland misidentified a translation invariant 1-point probability density derived from a non-linear diffusion equation as a conditional probability density. Finally, in the Appendix A we present the theory of Fokker-Planck pdes and Chapman-Kolmogorov equations for stochastic processes with finite memory.     

Incompatibility of the Schrödinger equation with Langevin and Fokker-Planck equations

Quantum mechanics posits that the wave function of a one-particle system evolves with time according to the Schrödinger equation, and furthermore has a square modulus that serves as a probability density function for the position of the particle. It is natural to wonder if this stochastic characterization of the particle's position can be framed as a univariate continuous Markov process, sometimes also called a classical diffusion process, whose temporal evolution is governed by the classically transparent equations of Langevin and Fokker-Planck. It is shown here that this cannot generally be done in a consistent way, despite recent suggestions to the contrary.     

Exact solution for the diffusion in bistable potentials

We solve analytically the Fokker-Planck equation for a one-parameter family of symmetric, attractive, nonharmonic potentials which include double-well situations. The exact knowledge of the eigenfunctions and eigenvalues allows us to fully discuss the transient behavior of the probability density. In particular, for the bistable potentials, we can give analytical expressions for the probability current over the working barrier and for the onset time which characterizes the transition from uni- to bimodal probability densities.On leave from the Department of Theoretical Physics, Université de Genève, CH-1211, Genève 4, Switzerland.Supported by the Swiss National Fund for Scientific Research.On leave from the Institute of Theoretical Physics, Academia Sinica, Beijing, China.Supported in part by the Robert A. Welch Foundation.     

Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force

We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ?a(t)x ² + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems. Received 23 October 2001 and Received in final form 24 December 2001     

Non-homogeneous random walks, generalised master equations, fractional Fokker-Planck equations, and the generalised Kramers-Moyal expansion

A generalised random walk scheme for random walks in an arbitrary external potential field is investigated. From this concept which accounts for the symmetry breaking of homogeneity through the external field, a generalised master equation is constructed. For long-tailed transfer distance or waiting time distributions we show that this generalised master equation is the genesis of apparently different fractional Fokker-Planck equations discussed in literature. On this basis, we introduce a generalisation of the Kramers-Moyal expansion for broad jump length distributions that combines multiples of both ordinary and fractional spatial derivatives. However, it is shown that the nature of the drift term is not changed through the existence of anomalous transport statistics, and thus to first order, an external potential Φ(x) feeds back on the probability density function W through the classical term ∝/ x (x)W(x, t), i.e., even for Lévy flights, there exists a linear infinitesimal generator that accounts for the response to an external field. Received 30 June 2000 and Received in final form 12 November 2000     

Non-equilibrium agglomeration of helium-vacancy clusters in irradiated materials

Abstract

Time evolution of non-equilibrium systems, where the probability density is described by a continuum Fokker-Planck (F-P) equation, is a central area of interest in stochastic processes. In this paper, a numerical solution of a two-dimensional (2-D) F-P equation describing the growth of helium-vacancy clusters (HeVCs) in metals under irradiation is given. First, nucleation rates and regions of stability of HeVCs in the appropriate phase space for fission and fusion devices are established. This is accomplished by solving a detailed set of cluster kinetic rate equations. A nodal line analysis is used to map spontaneous and stochastic nucleation regimes in the helium-vacancy (h-v) phase space. Growth trajectories of HeVCs are then used to evaluate the average HeVC size and helium content during the growth phase of HeVCs in typical growth instability regions.

The growth phase of HeVCs is modeled by a continuum 2-D, time-dependent F-P equation. Growth trajectories are used to define a finite solution space in the h-v phase space. A highly efficient dynamic remeshing scheme is developed to solve the F-P equation. As a demonstration, typical HFIR irradiation conditions are chosen. Good agreement between the computed size distributions and those measured experimentally are obtained.     

Stochastic tumor growth system with two different kinds of time delay

The dynamical properties of a noise-driven tumor cell growth system are investigated when there exist two different kinds of time delays, in the deterministic and fluctuating forces, respectively. Using the approximation probability density approach, the delayed Fokker-Planck equation is obtained. The effects of two different time delays on the stationary probability distribution (SPD), the mean value and the mean passage time (MFPT) are discussed. It is found that the time delay τ₁ in the deterministic force can enhance tumor cell number, while the time delay τ₂ in the fluctuating force can induce a decrease in tumor cell numbers. On the other hand, while τ₁ can hold back the extinction of tumor cells, τ₂ can speed up their extinction.     

The nonlinear Fokker-Planck equation with state-dependent diffusion - a nonextensive maximum entropy approach

Nonlinear Fokker-Planck equations (e.g., the diffusion equation for porous medium) are important candidates for describing anomalous diffusion in a variety of systems. In this paper we introduce such nonlinear Fokker-Planck equations with general state-dependent diffusion, thus significantly generalizing the case of constant diffusion which has been discussed previously. An approximate maximum entropy (MaxEnt) approach based on the Tsallis nonextensive entropy is developed for the study of these equations. The MaxEnt solutions are shown to preserve the functional relation between the time derivative of the entropy and the time dependent solution. In some particular important cases of diffusion with power-law multiplicative noise, our MaxEnt scheme provides exact time dependent solutions. We also prove that the stationary solutions of the nonlinear Fokker-Planck equation with diffusion of the (generalized) Stratonovich type exhibit the Tsallis MaxEnt form. Received 26 February 1999     

Interplay between topology and dynamics in the World Trade Web

We present an empirical analysis of the network formed by the trade relationships between all world countries, or World Trade Web (WTW). Each (directed) link is weighted by the amount of wealth flowing between two countries, and each country is characterized by the value of its Gross Domestic Product (GDP). By analysing a set of year-by-year data covering the time interval 1950–2000, we show that the dynamics of all GDP values and the evolution of the WTW (trade flow and topology) are tightly coupled. The probability that two countries are connected depends on their GDP values, supporting recent theoretical models relating network topology to the presence of a `hidden' variable (or fitness). On the other hand, the topology is shown to determine the GDP values due to the exchange between countries. This leads us to a new framework where the fitness value is a dynamical variable determining, and at the same time depending on, network topology in a continuous feedback.     

Variational supersymmetric approach to evaluate Fokker-Planck probability

In this work we introduce a method to determine the time dependent probability density for the one-dimensional Fokker-Planck equation. The treatment is based in an analysis of the Schrödinger equation through the variational method associated to the formalism of supersymmetric quantum mechanics (SQM). The approach uses an ansatz for the superpotential which allows us to obtain the trial functions of the variational method. The hierarchy of effective Hamiltonians permits us to determine the variational eigenfunctions and energies of the excited states to the evaluation of the probability. The symmetric bistable potential is used to illustrate the approach whose results are compared with results obtained by the state-dependent diagonalization method and by direct numerical calculation.     

A path-integral solution for unstable systems

We have considered the decay of an unstable state within the framework of the path-integral method, using a complete analogy between the Fokker-Planck equation and the Bloch equation for the temperature density matrix. A numerical solution of the problem permits the evolution of the system to be considered for arbitrary values of the parameters.     

Computing the non-linear anomalous diffusion equation from first principles

We investigate asymptotically the occurrence of anomalous diffusion and its associated family of statistical evolution equations. Starting from a non-Markovian process à la Langevin we show that the mean probability distribution of the displacement of a particle follows a generalized non-linear Fokker-Planck equation. Thus we show that the anomalous behavior can be linked to a fast fluctuation process with memory from a microscopic dynamics level, and slow fluctuations of the dissipative variable. The general results can be applied to a wide range of physical systems that present a departure from the Brownian regime.     

Dynamics of spinor condensates and stochastic approach

The dynamics of the collective spin for Bose-Einstein condensates with nonlinear interactions, is studied within the framework of the two-component spinor. We discuss the spin resonance when the system is submitted to a periodically-modulated magnetic field at the zero temperature. In this case, the nonlinearity parameter controls the critical change between a localized and a homogeneous spin state. When the temperature is finite – or a random magnetic field is considered – the movement of the collective spin is governed by the Landau-Lifshitz-Gilbert equation, from which the complete Fokker-Planck equation is derived. This equation is the essential tool to describe the time-evolution of the probability distribution function for the collective spin. The functional integral approach is used to solve analytically examples of BEC spin behavior in a static magnetic field at finite temperature. We show how such a method can lead effectively to the complete solution of the Fokker-Planck equation for this kind of problems.     

Nonlinear theory of polarization-mode dispersion for fiber solitons

We consider the evolution of optical solitons inside a nonlinear dispersive fiber with random birefringence, causing polarization-mode dispersion. We convert the pair of coupled nonlinear Schr?dinger equations satisfied by the orthogonally polarized components into a Fokker-Planck equation using the collective-variable approach. We solve this equation and derive expressions for the probability density functions associated with the differential group delay and the pulse width in the limit of large propagation distances.     

On stochastic complex beam-beam interaction models with Gaussian colored noise

This paper is to continue our study on complex beam-beam interaction models in particle accelerators with random excitations Y. Xu, W. Xu, G.M. Mahmoud, On a complex beam-beam interaction model with random forcing [Physica A 336 (2004) 347-360]. The random noise is taken as the form of exponentially correlated Gaussian colored noise, and the transition probability density function is obtained in terms of a perturbation expansion of the parameter. Then the method of stochastic averaging based on perturbation technique is used to derive a Fokker-Planck equation for the transition probability density function. The solvability condition and the general transforms using the method of characteristics are proposed to obtain the approximate expressions of probability density function to order ε.Also the exact stationary probability density and the first and second moments of the amplitude are obtained, and one can find when the correlation time equals to zero, the result is identical to that derived from the Stratonovich-Khasminskii theorem for the same model under a broad-band excitation in our previous work.     

Classical probability waves

Probability waves in the configuration space are associated with coherent solutions of the classical Liouville or Fokker-Planck equations. Distributions localized in the momentum space provide action waves, described by the probability density and the generating function of the Hamilton-Jacobi theory. It is shown that by introducing a minimum distance in the coordinate space, the action distributions aquire the phase-space dispersion specific to the quantum objects. At finite temperature, probability density waves propagating with the sound velocity can arise as nonstationary solutions of the classical Fokker-Planck equation. The results suggest that in a system of quantum Brownian particles, a transition from complex to real probability waves could be observed.