Eigenvalues and eigenfunctions of the Fokker-Planck equation for the extremely underdamped Brownian motion in a double-well potential

The eigenvalues and eigenfunctions of the Fokker-Planck equation describing the extremely underdamped Brownian motion in a symmetric double-well potential are investigated. By transforming the Fokker-Planck equation to energy and position coordinates and by performing a suitable averaging over the position coordinate, a differential equation depending only on energy is derived. For finite temperatures this equation is solved by numerical integration, whereas in the weak-noise limit an analytic result for the lowest nonzero eigenvalue is obtained. Furthermore, by using a boundary-layer theory near the critical trajectory, the correction term to the zero-friction-limit result is found.     

The Fokker-Planck equation for arbitrary nonlinear noise

We present the Fokker-Planck equation for arbitrary nonlinear noise terms. The white noise limit is taken as the zero correlation time limit of the Ornstein-Uhlenbeck process. The drift and diffusion coefficients of the Fokker-Planck equation are given by triple integrals of the fluctuations. We apply the Fokker-Planck equation to the active rotator model with a fluctuating potential barrier which depends nonlinearly on an additive noise. We show that the nonlinearity may be transformed into the correlation of linear noise terms.     

Derivation of Smoluchowski equations with corrections for Fokker-Planck and BGK collision models

The time evolution of the phase space distribution function for a classical particle in contact with a heat bath and in an external force field can be described by a kinetic equation. From this starting point, for either Fokker-Planck or BGK (Bhatnagar-Gross-Krook) collision models, we derive, with a projection operator technique, Smoluchowski equations for the configuration space density with corrections in reciprocal powers of the friction constant. For the Fokker-Planck model our results in Laplace space agree with Brinkman, and in the time domain, with Wilemski and Titulaer. For the BGK model, we find that the leading term is the familiar Smoluchowski equation, but the first correction term differs from the Fokker-Planck case primarily by the inclusion of a fourth order space derivative or super Burnett term. Finally, from the corrected Smoluchowski equations for both collision models, in the spirit of Kramers, we calculate the escape rate over a barrier to fifth order in the reciprocal friction constant, for a particle initially in a potential well.     

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.     

Rogue wave solutions for a generalized nonautonomous nonlinear equation in a nonlinear inhomogeneous fiber

In this paper, we investigate a generalized nonautonomous nonlinear equation which describes the ultrashort optical pulse propagating in a nonlinear inhomogeneous fiber. By virtue of the generalized Darboux transformation, the first- and second-order rogue-wave solutions for the generalized nonautonomous nonlinear equation are obtained, under some variable–coefficient constraints. Properties of the first- and second-order rogue waves are graphically presented and analyzed: When the coefficients are all chosen as the constants, we can observe the some functions, the shapes of wave crests and troughs for the first- and second-order rogue waves change. Oscillating behaviors of the first- and second-order rogue waves are observed when the coefficients are the trigonometric functions.     

Thermal mechanics: A quantum mechanical analogue of nonequilibrium statistical thermodynamics

A formal but not conventional equivalence between stochastic processes in nonequilibrium statistical thermodynamics and Schrödinger dynamics in quantum mechanics is shown. It is found, for each stochastic process described by a stochastic differential equation of Itô type, there exists a Schrödinger-like dynamics in which the absolute square of a wavefunction gives us the same probability distribution as the original stochastic process. In utilizing this equivalence between them, that is, rewriting the stochastic differential equation by an equivalent Schrödinger equation, it is possible to obtain the notion of deterministic limit of the stochastic process as a semi-classical limit of the “Schrödinger” equation. The deterministic limit thus obtained improves the conventional deterministic approximation in the sense of Onsager-Machlup. The present approach is valid for a general class of stochastic equations where local drifts and diffusion coefficients depend on the position. Two concrete examples are given. It should be noticed that the approach in the present form has nothing to do with the conventional one where only a formal similarity between the Fokker-Planck equation and the Schrödinger equation is considered.     

Generalized Fokker-Planck equation: Derivation and exact solutions

We derive the generalized Fokker-Planck equation associated with the Langevin equation (in the Ito sense) for an overdamped particle in an external potential driven by multiplicative noise with an arbitrary distribution of the increments of the noise generating process. We explicitly consider this equation for various specific types of noises, including Poisson white noise and Lévy stable noise, and show that it reproduces all Fokker-Planck equations that are known for these noises. Exact analytical, time-dependent and stationary solutions of the generalized Fokker-Planck equation are derived and analyzed in detail for the cases of a linear, a quadratic, and a tailored potential.     

The equation of motion for the trajectory of a circling particle with an overdamped circle center

Inspired by biological microorganisms swimming in circles in liquid with low Reynolds number, I developed the dynamic theory for computing the helical trajectory of a circling particle with an overdamped circle center. The equation of motion for the circling particle is a hybrid equation of deterministic terms and stochastic terms. Observing the motion of a swimming microorganism, I found the strength of stochastic fluctuations should be much smaller than that governs deterministic dynamics. This dynamic theory predicts a nonlinear transverse motion perpendicular to the direction of external force. Both the living microorganism and artificial circling particle are applicable for an experimental check of this prediction. For the convenience of easy theoretical research, I further derived the probability conservation equations based on this dynamic theory both in two-dimensional and three-dimensional space.     

Moment analysis of the Hodgkin-Huxley system with additive noise

We consider a classical space-clamped Hodgkin-Huxley (HH) model neuron stimulated by a current which has a mean μ together with additive Gaussian white noise of amplitude σ. A system of 14 deterministic first-order nonlinear differential equations is derived for the first- and second-order moments (means, variances and covariances) of the voltage, V, and the subsidiary variables n, m and h. The system of equations is integrated numerically with a fourth-order Runge-Kutta method. As long as the variances as determined by these deterministic equations remain small, the latter accurately approximate the first- and second-order moments of the stochastic Hodgkin-Huxley system describing spiking neurons. On the other hand, for certain values of μ, when rhythmic spiking is inhibited by larger amplitude noise, the solutions of the moment equation strongly overestimate the moments of the voltage. A more refined analysis of the nature of such irregularities leads to precise insights about the effects of noise on the Hodgkin-Huxley system. For suitable values of μ which enable rhythmic spiking, we analyze, by numerical examples from both simulation and solutions of the moment equations, the three factors which tend to promote its cessation, namely, the increasing variance, the nature and shape of the basins of attraction of the limit cycle and stable equilibrium point and the speed of the process.     

Modification of the Coulomb Potential from a Kaluza-Klein Model with a Gauss-Bonnet Term in the Action

In four dimensions a Gauss-Bonnet term in the action corresponds to a total derivative, and therefore it does not contribute to the classical equations of motion. For higher-dimensional geometries this term has the interesting property (which it shares with other dimensionally continued Euler densities) that when the action is varied with respect to the metric, it gives rise to a symmetric, covariantly conserved tenser of rank two which is a function of the metric and its first- and second-order derivatives. Here we review the unification of general relativity and electromagnetism in the classical five-dimensional, restricted (with g₅₅ = 1) Kaluza-Klein model. Then we discuss the modifications of the Einstein-Maxwell theory that results from adding the Gauss-Bonnet term in the action. The resulting four-dimensional theory describes a non-linear U(1) gauge theory non-minimally coupled to gravity. For a point charge at rest we find a perturbative solution for large distances which gives a mass-dependent correction to the Coulomb potential. Near the source we find a power-law solution which seems to cure the short-distance divergency of the Coulomb potential. Possible ways to obtain an experimental upper limit to the coupling of the hypothetical Gauss-Bonnet term are also considered.     

A novel unsplit perfectly matched layer for the second-order acoustic wave equation

When solving acoustic field equations by using numerical approximation technique, absorbing boundary conditions (ABCs) are widely used to truncate the simulation to a finite space. The perfectly matched layer (PML) technique has exhibited excellent absorbing efficiency as an ABC for the acoustic wave equation formulated as a first-order system. However, as the PML was originally designed for the first-order equation system, it cannot be applied to the second-order equation system directly. In this article, we aim to extend the unsplit PML to the second-order equation system. We developed an efficient unsplit implementation of PML for the second-order acoustic wave equation based on an auxiliary-differential-equation (ADE) scheme. The proposed method can benefit to the use of PML in simulations based on second-order equations. Compared with the existing PMLs, it has simpler implementation and requires less extra storage. Numerical results from finite-difference time-domain models are provided to illustrate the validity of the approach.     

Solutions for a non-Markovian diffusion equation

Solutions for a non-Markovian diffusion equation are investigated. For this equation, we consider a spatial and time dependent diffusion coefficient and the presence of an absorbent term. The solutions exhibit an anomalous behavior which may be related to the solutions of fractional diffusion equations and anomalous diffusion.     

Non-Markovian master equation for a system of Fermions interacting with an electromagnetic field

For a system of charged Fermions interacting with an electromagnetic field, we derive a non-Markovian master equation in the second-order approximation of the weak dissipative coupling. A complex dissipative environment including Fermions, Bosons and the free electromagnetic field is taken into account. Besides the well-known Markovian term of Lindblad’s form, that describes the decay of the system by correlated transitions of the system and environment particles, this equation includes new Markovian and non-Markovian terms proceeding from the fluctuations of the self-consistent field of the environment. These terms describe fluctuations of the energy levels, transitions among these levels stimulated by the fluctuations of the self-consistent field of the environment, and the influence of the time-evolution of the environment on the system dynamics. We derive a complementary master equation describing the environment dynamics correlated with the dynamics of the system. As an application, we obtain non-Markovian Maxwell-Bloch equations and calculate the absorption spectrum of a field propagation mode transversing an array of two-level quantum dots.     

The Fokker-Planck equation in the second-order pitch angle approximation and its exact solution

The diffusive particle propagation and its pitch angle scattering is studied using kinetic equation of the Fokker-Planck form. The case is considered when charged particles preferable propagate along the strong mean magnetic field direction and undergo the pitch angle scattering with respect to it. The paper deals with solution of the equation for particle distribution function in the second-order approximation in the pitch angle. The exact analytical solution is obtained in an integral form. The well-known solution in the first-order pitch angle approximation can be restored performing the small time limit in the result. Unlike the first-order solution the obtained solution in the second approximation rightly shows that the pitch angle diffusion is closely connected with the particle transport along the mean magnetic field. The expression for particle density for the point instantaneous unidirectional source also has been obtained.     

Fokker-Planck equation with fractional coordinate derivatives

Using the generalized Kolmogorov-Feller equation with long-range interaction, we obtain kinetic equations with fractional derivatives with respect to coordinates. The method of successive approximations, with averaging with respect to a fast variable, is used. The main assumption is that the correlation function of probability densities of particles to make a step has a power-law dependence. As a result, we obtain a Fokker-Planck equation with fractional coordinate derivative of order 1<α<2.     

Studies in nonlinear stochastic processes. III. Approximate solutions of nonlinear stochastic differential equations excited by Gaussian noise and harmonic disturbances

A fusion of the highly successful methods of harmonic and statistical linearization is used as a first approximation in determining, either iteratively or via a nonlinear integral equation, the effects of higher harmonics and non-Gaussian distortion terms on the second-order statistics of a wide variety of nonlinear stochastic differential equations perturbed by some linear combination of Gaussian noise and a periodic deterministic/stochastic excitation. Physical a posteriori applicability criteria are presented which justify when these higher order effects may be neglected. A simple modification of this statistical-harmonic linearization procedure based upon the Fokker-Planck variance is proposed.This work was supported in part by the National Science Foundation under grant CHE75-20624.