Fluctuations and stability of stationary non-equilibrium systems in detailed balance

A generalized thermodynamic potential for Markoffian systems with detailed balance and far from thermal equilibrium has been derived in a previous paper. It was shown that the principle of detailed balance is equivalent to a set of conditions fulfilled by this potential (“potential conditions”). The properties of this potential allow us to extend the validity of a number of thermodynamic concepts well known for systems in or near thermal equilibrium to stationary states far from thermal equilibrium. The concept of symmetry breaking phase transitions for these systems is introduced in analogy to thermal equilibrium systems by considering the dependence of the stationary probability density of the system on a set of externally controlled parameters {λ}. A functional of the time dependent probability density of the system is defined in close analogy to the Gibb's definition of entropy. This functional has the properties of a Ljapunov functional of the governing Fokker-Planck equation showing the stability of the stationary probability density. The Langevin equations connected with the Fokker-Planck equation are considered. It is shown that, by means of the potential conditions, generalized “thermodynamic” fluxes and forces may be defined in such a way that the smoothly varying part of the Langevin equations (kinetic equations) constitutes a linear relation between fluxes and forces. The matrix of coefficients is given by the diffusion matrix of the Fokker-Planck equation. The symmetry relations which hold for this matrix due to the potential conditions then lead to the Onsager-Casimir symmetry relations extended to systems with detailed balance near stationary states far from thermal equilibrium. Finally it is shown that under certain additional assumptions the generalized thermodynamic potential may be used as a Ljapunov function of the kinetic equations.     

First passage times for correlated random walks and some generalizations

It is generally difficult to solve Fokker-Planck equations in the presence of absorbing boundaries when both spatial and momentum coordinates appear in the boundary conditions. In this note we analyze a simple, exactly solvable model of the correlated random walk and its continuum analogue. It is shown that one can solve for the moments recursively in one dimension in exact analogy with first passage problems for the Fokker-Planck equation, although the boundary conditions are somewhat more complicated. Further generalizations are suggested to multistate random walks.     

On the theory of fluctuations around non-equilibrium steady states: A generalized time-convolutionless projector formalism

A new method of finding nonlinear Langevin type equations of motion for relevant macrovariables and the corresponding master equation for systems far from thermal equilibrium is presented by generalizing the time-convolutionless formalism proposed previously for equilibrium hamiltoian systems by Tokuyama and Mori. The Langevin type equation consists of a fluctuating force, and the nonlinear drift coefficients which are always identical to those of the master equation. A simple formula which relates the drift coefficients to the time correlation of the fluctuating forces is derived. This is a generalization of the fluctuation-dissipation theorem of the second kind in equilibrium systems and is valid not only for transport phenomena due to internal fluctuations but also for transport phenomena due to externally-driven fluctuations. A new cumulant expansion of the master equation is also obtained. The conditions under which a Langevin and a Fokker-Planck equation of a generalized type for non-equilibrium open systems can be derived are clarified.The theory is illustrated by studying hydrodynamic fluctuations near the Rayleigh-Bénard instability. The effects of two kinds of fluctuations, internal fluctuations of irrelevant macrovariables and external (thermal) noises, on the convective instability are investigated. A stochastic Ginzburg-Landau type equation for the order parameter and the corresponding nonlinear Fokker-Planck equation are derived.     

Some New Features of Linear Theory for Describing Non-linear Diffusion

The non-linear flux equation, the non-linear Fokker-Planck equation (or Smoluchowski equation), and the non-linear Langiven equation are the basicequations for describing particle diffusion in non-ideal system subjected totime-dependent external fields. Nevertheless, the exact solution of thoseequations is still a challenge because of their inherent complexity of thenon-linear mathematics. Li et al. found that, based on the defined apparentvariables, the non-linear Fokker-Planck equation and the non-linear flux equation could be transformed to linear forms under the condition of strong friction limit or local equilibrium assumption. In this paper, some new features of the theory were found: (i) The linear flux equation for describing non-linear diffusion can be obtained from the irreversible thermodynamic theory; (ii) The linear non-steady state diffusion equation for describing non-linear diffusion of the non-steady state, which was described by the non-linear Fokker-Planck equation, can be derived more consistently from the microscopic molecular statistical theory; (iii) In the theory, thenon-linear Langiven equation also bears a linear form; (iv) For some special cases, e.g. diffusion in a periodic total potential system, the local equilibrium assumption or the strong friction limit is not required in establishing the linear theory for describing non-linear diffusion, so the linear theory may be important in the study of Brown motor.     

Kinetic and hydrodynamic models of chemotactic aggregation

We derive general kinetic and hydrodynamic models of chemotactic aggregation that describe certain features of the morphogenesis of biological colonies (like bacteria, amoebae, endothelial cells or social insects). Starting from a stochastic model defined in terms of N coupled Langevin equations, we derive a nonlinear mean-field Fokker-Planck equation governing the evolution of the distribution function of the system in phase space. By taking the successive moments of this kinetic equation and using a local thermodynamic equilibrium condition, we derive a set of hydrodynamic equations involving a damping term. In the limit of small frictions, we obtain a hyperbolic model describing the formation of network patterns (filaments) and in the limit of strong frictions we obtain a parabolic model which is a generalization of the standard Keller-Segel model describing the formation of clusters (clumps). Our approach connects and generalizes several models introduced in the chemotactic literature. We discuss the analogy between bacterial colonies and self-gravitating systems and between the chemotactic collapse and the gravitational collapse (Jeans instability). We also show that the basic equations of chemotaxis are similar to nonlinear mean-field Fokker-Planck equations so that a notion of effective generalized thermodynamics can be developed.     

No-pumping theorem for non-Arrhenius rates

The no-pumping theorem refers to a Markov system that holds the detailed balance, but is subject to a time-periodic external field. It states that the time-averaged probability currents nullify in the steady periodic (Floquet) state, provided that the Markov system holds the Arrhenius transition rates. This makes an analogy between features of steady periodic and equilibrium states, because in the latter situation all probability currents vanish explicitly. However, the assumption on the Arrhenius rates is fairly specific, and it need not be met in applications. Here a new mechanism is identified for the no-pumping theorem, which holds for symmetric time-periodic external fields and the so called destination rates. These rates are the ones that lead to the locally equilibrium form of the master equation, where dissipative effects are proportional to the difference between the actual probability and the equilibrium (Gibbsian) one. The mechanism also leads to an approximate no-pumping theorem for the Fokker-Planck rates that relate to the discrete-space Fokker-Planck equation.     

Some properties of stochastic equations for coupled chemical reactions far from equilibrium

Solutions of master equations for coupled chemical reactions far from equilibrium with one varying molecule species are studied and used for getting information about nonlinear Fokker-Planck equations and slow time-dependent processes such as extinction to an absorbing state and transition between several steady states. The Fokker-Planck equation solution is compared to that of the master equation in a relative sense and it is shown that they agree quite well in some important situations but that in general the cases can deviate considerably, when, e.g., accounting for the mutual importance of two probability maxima.     

Master Equation in Phase Space for a Uniaxial Spin System

A master equation, for the time evolution of the quasi-probability density function of spin orientations in the phase space representation of the polar and azimuthal angles is derived for a uniaxial spin system subject to a magnetic field parallel to the axis of symmetry. This equation is obtained from the reduced density matrix evolution equation (assuming that the spin-bath coupling is weak and that the correlation time of the bath is so short that the stochastic process resulting from it is Markovian) by expressing it in terms of the inverse Wigner-Stratonovich transformation and evaluating the various commutators via the properties of polarization operators and spherical harmonics. The properties of this phase space master equation, resembling the Fokker-Planck equation, are investigated, leading to a finite series (in terms of the spherical harmonics) for its stationary solution, which is the equilibrium quasi-probability density function of spin “orientations” corresponding to the canonical density matrix and which may be expressed in closed form for a given spin number. Moreover, in the large spin limit, the master equation transforms to the classical Fokker-Planck equation describing the magnetization dynamics of a uniaxial paramagnet.     

Quantum fluctuations,master equation and Fokker-Planck equation

In order to describe quantum fluctuations a general method is developed, which also may be applied to nonstationary systems as well as to states far from thermodynamic equilibrium. After a concise derivation of the master equation quantum mechanically determined dissipation and fluctuation coefficients are introduced, for which several theorems and relations are given. By using these coefficients there is set up a general Fokker-Planck equation for the diffusion of the statistical operator due to quantum fluctuations.     

On the validity of the Onsager-Machlup postulate for nonlinear stochastic processes

It is shown that: (i) the Onsager-Machlup postulate applies to nonlinear stochastic processes over a time scale that, while being much longer than the correlation times of the random forces, is still much shorter than the time it takes for the nonlinear distortion to become visible; (ii) these are also the conditions for the validity of the generalized Fokker-Planck equation; and (iii) when the fine details of the space-time structure of the stochastic processes are unimportant, the generalized Fokker-Planck equation can be replaced by the ordinary Fokker-Planck equation.     

Augmented Langevin approach to fluctuations in nonlinear irreversible processes

A Fokker-Planck equation derived from statistical mechanics by M. S. Green [J. Chem. Phys. 20:1281 (1952)] has been used by Grabertet al. [Phys. Rev. A 21:2136 (1980)] to study fluctuations in nonlinear irreversible processes. These authors remarked that a phenomenological Langevin approach would not have given the correct reversible part of the Fokker-Planck drift flux, from which they concluded that the Langevin approach is untrustworthy for systems with partly reversible fluxes. Here it is shown that a simple modification of the Langevin approach leads to precisely the same covariant Fokker-Planck equation as that of Grabertet al., including the reversible drift terms. The modification consists of augmenting the usual nonlinear Langevin equation by adding to the deterministic flow a correction term which vanishes in the limit of zero fluctuations, and which is self-consistently determined from the assumed form of the equilibrium distribution by imposing the usual potential conditions. This development provides a simple phenomenological route to the Fokker-Planck equation of Green, which has previously appeared to require a more microscopic treatment. It also extends the applicability of the Langevin approach to fluctuations in a wider class of nonlinear systems.     

流行色统计理论探讨

服装流行色可以看成是某种社会相变。本文根据协同学(Synergetics)的基本原理,导出了Fokker-Planck方程对这种社会现象进行统计描述,研究了描述子系统动力学行为的确定性方程定态解的分又过程以及与此相对应的Fokker-Planck方程的不同的概率分布构型,后者可以看作社会系统分叉过程的随机描述,最后给出了数值计算结果及其解释。     

The Motion of Repulsive Brownian Particles in Quenched Disorder

Brownian motion of the particles with repulsive interaction is investigated. When the potential condition is satisfied, the eigenvalue problem of interaction Fokker-Planck equation under certain conditions can be transformed to that of a many-particle Schrödinger equation. Using the Green's function method, we obtain the effective single-variable Fokker-Planck equation in the low density limit. We find that the diffusion of coupled Brownian particles in quenched disorder media is also anomalous in 2D. The Mittag-Leffler relaxation of pancake vortices is investigated by fractional Fokker-Planck equation.     

Fokker-Planck equation approach to fluctuations about nonequilibrium steady states

We examine the properties of steady states in systems which interact at the boundary with a nonequilibrium environment. The examination is based on a nonlinear Fokker-Planck equation, the structure of which is determined by the fact that it also governs the time evolution of the equilibrium fluctuations of the system. The nonlinearities in the Fokker-Planck equation may have two origins: thermodynamic nonlinearities which arise if the thermodynamic potential is not a bilinear function of the state variables, and nonlinear mode coupling which arises if the transport coefficients depend on the state. While these nonlinearities have only a small effect on the equilibrium fluctuations of a system away from critical points, they are shown to be important for the determination of fluctuations about nonequilibrium steady states. In particular the state dependence of the transport coefficients may lead to deviations from local equilibrium and to a breakdown of detail balance. An explicit formula for the time correlations of fluctuations about the nonequilibrium steady state is obtained. The formula leads to long-range correlations in fluids in the presence of a temperature gradient. The result is compared with earlier approaches to the same problem. Finally, we study the linear response to external forces and obtain a generalization of the fluctuation-dissipation formula relating the response functions with the nonequilibrium correlation functions.     

等离子体中Fokker-Planck方程的有限元模拟

利用有限元方法设计了一套相对简单明了的求解Fokker-Planck方程的方案.这个方案不必严格限制计算格点的步长和时间步长,就可以确保分布函数的非负性和粒子数的守恒.通过一维程序模拟,进一步证实了这个方案的可靠性.对于多维问题的分析和一维问题完全一样,所以非常容易将其推广到多维问题.     

Microscopic theory of brownian motion: III. The nonlinear Fokker-Planck equation

The nonlinear Fokker-Planck equation for the momentum distribution of a brownian particle of mass M in a bath of particles of mass m is derived. The contribution to this equation arising from initial deviation from bath equilibrium is analysed. This contribution is free of slow M-dependent decays and with certain restrictions leads to an effective shift in the initial value of the B particle momentum. The nonlinear Fokker-Planck equation for an initial bath equilibrium state is analyzed in terms of its predictions for momentum relaxation and mode coupling effects. It is found that in addition to nonlinear renormalization of the type previously found for the momentum correlation function, mode coupling leads to long-lived memory of the initial momentum state.