Stochastic quantization and detailed balance in Fokker-Planck dynamics

The path integral and operator formulations of the Fokker-Planck equation are considered as stochastic quantizations of underlying Euler-Lagrange equations. The operator formalism is derived from the path integral formalism. It is proved that the Euler-Lagrange equations are invariant under time reversal if detailed balance holds and it is shown that the irreversible behavior is introduced through the stochastic quantization. To obtain these results for the nonconstant diffusion Fokker-Planck equation, a transformation is introduced to reduce it to a constant diffusion Fokker-Planck equation. Critical comments are made on the stochastic formulation of quantum mechanics.     

Coarsely grained stochastic Boltzmann equation and its moment equations

The stochastic Boltzmann equation is coarsely grained. The coarsely grained stochastic (CGS) Boltzmann equation has fluctuating terms in its collision term. On the basis of the CGS Boltzmann equation, reduced Grad’s 26 moment equations are derived. Coarsely grained moment equations obtained from the CGS Boltzmann equation show that fluctuating terms remain as nonvanishing terms owing to the nonlinearity in the collision term of the CGS Boltzmann equation. The Navier-Stokes-Fourier law obtained using the CGS Boltzmann equation indicates that the pressure deviator and heat flux include fluctuations of their one-order higher moments.     

On a transformed stochastic equation

A linear stochastic equation is considered. As a result of the transformation used in the theory of integral equations for improving the convergence of successive approximations, transformed stochastic equations are obtained. The latter are exact and are equivalent to the original equation. By solving the transformed stochastic equations by the method of small perturbations the conditions are derived for the applicability of the approximate Keller equations for a value of the field averaged over the ensemble, which satisfies the original stochastic equation. As an application, the applicability boundaries of the Dyson equations are estimated in the Foldy and Burre approximation. In the first case it is assumed that the medium consists of Rayleigh scatters, while in the second case it is assumed that the fluctuations of the permeability of the medium are small-scale ones. If the medium is bounded and has the form of a sphere, the applicability condition of the Dyson equations impose an upper constraint on the radius of the sphere which nevertheless may take values that exceed the extinction length.Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 15, No. 1, pp. 66–72, January, 1972.     

Periodic solutions of Wick-type stochastic Korteweg–de Vries equations

Nonlinear stochastic partial differential equations have a wide range of applications in science and engineering. Finding exact solutions of the Wick-type stochastic equation will be helpful in the theories and numerical studies of such equations. In this paper, Kudrayshov method together with Hermite transform is implemented to obtain exact solutions of Wick-type stochastic Korteweg–de Vries equation. Further, graphical illustrations in two- and three-dimensional plots of the obtained solutions depending on time and space are also given with white noise functionals.     

Stochastic theory for classical and quantum mechanical systems

We formulate from first principles a theory of stochastic processes in configuration space. The fundamental equations of the theory are an equation of motion which generalizes Newton's second law and an equation which expresses the condition of conservation of matter. Two types of stochastic motion are possible, both described by the same general equations, but leading in one case to classical Brownian motion behavior and in the other to quantum mechanical behavior. The Schrödinger equation, which is derived here with no further assumption, is thus shown to describe a specific stochastic process. It is explicitly shown that only in the quantum mechanical process does the superposition of probability amplitudes give rise to interference phenomena; moreover, the presence of dissipative forces in the Brownian motion equations invalidates the superposition principle. At no point are any special assumptions made concerning the physical nature of the underlying stochastic medium, although some suggestions are discussed in the last section.     

Variable-stepsize Runge–Kutta methods for stochastic Schrödinger equations

Stochastic wave equations of Schrödinger type are widely employed in physics and have numerous potential applications in chemistry. While some accurate numerical methods exist for particular classes of stochastic differential equations they cannot generally be used for Schrödinger equations. Efficient and accurate methods for their numerical solution therefore need to be developed. Here we show that existing Runge–Kutta methods for ordinary differential equations (odes) can be modified to solve stochastic wave equations provided that appropriate changes are made to the way stepsizes are selected. The order of the resulting stochastic differential equation (sde) scheme is half the order of the ode scheme. Specifically, we show that an explicit 9th order Runge–Kutta method (with an embedded 8th order method) for odes yields an order 4.5 method for sdes which can be implemented with variable stepsizes. This method is tested by solving systems of equations originating from master equations and from the many-body Schrödinger equation.     

Perturbation expansion of the convolutionless master equation of Shibata et al.

It is noted that the structure of the higher order terms in a perturbation expansion of the convolutionless master equation of Shibata et al. may easily be written down by comparing their expansion using the stochastic Liouville equation with that of van Kampen using linear stochastic differential equations.     

A method for solving stochastic equations by reduced order models and local approximations

A method is proposed for solving equations with random entries, referred to as stochastic equations (SEs). The method is based on two recent developments. The first approximates the response surface giving the solution of a stochastic equation as a function of its random parameters by a finite set of hyperplanes tangent to it at expansion points selected by geometrical arguments. The second approximates the vector of random parameters in the definition of a stochastic equation by a simple random vector, referred to as stochastic reduced order model (SROM), and uses it to construct a SROM for the solution of this equation.The proposed method is a direct extension of these two methods. It uses SROMs to select expansion points, rather than selecting these points by geometrical considerations, and represents the solution by linear and/or higher order local approximations. The implementation and the performance of the method are illustrated by numerical examples involving random eigenvalue problems and stochastic algebraic/differential equations. The method is conceptually simple, non-intrusive, efficient relative to classical Monte Carlo simulation, accurate, and guaranteed to converge to the exact solution.     

A STOCHASTIC OPTIMAL SEMI-ACTIVE CONTROL STRATEGY FOR ER/MR DAMPERS

A stochastic optimal semi-active control strategy for randomly excited systems using electrorheological/magnetorheological (ER/MR) dampers is proposed. A system excited by random loading and controlled by using ER/MR dampers is modelled as a controlled, stochastically excited and dissipated Hamiltonian system with n degrees of freedom. The control forces produced by ER/MR dampers are split into a passive part and an active part. The passive control force is further split into a conservative part and a dissipative part, which are combined with the conservative force and dissipative force of the uncontrolled system, respectively, to form a new Hamiltonian and an overall passive dissipative force. The stochastic averaging method for quasi-Hamiltonian systems is applied to the modified system to obtain partially completed averaged Itô stochastic differential equations. Then, the stochastic dynamical programming principle is applied to the partially averaged Itô equations to establish a dynamical programming equation. The optimal control law is obtained from minimizing the dynamical programming equation subject to the constraints of ER/MR damping forces, and the fully completed averaged Itô equations are obtained from the partially completed averaged Itô equations by replacing the control forces with the optimal control forces and by averaging the terms involving the control forces. Finally, the response of semi-actively controlled system is obtained from solving the final dynamical programming equation and the Fokker-Planck-Kolmogorov equation associated with the fully completed averaged Itô equations of the system. Two examples are given to illustrate the application and effectiveness of the proposed stochastic optimal semi-active control strategy.     

The Stochastic Adiabatic Approximation of Multidimensional Non-Markovian Systems Driven by the Ornstein-Uhlenbeck Noises

A set of nonlinear stochastic differential equations (NSDE'S) that describes a large class of nonlinear multidimensional non-Markovian dynamical systems driven by the Ornstein- Uhlenbeck(O-U) noises is studied. By virtue of the stochastic generalization of usual adiabatic approximation, we obtain the equation for the order parameter. The statistical properties of the new stochastic variables occurred are studied. The effective Fokker-Planck equation (EFPE) corresponding to the equation for the order parameter is derived and the stationary solution of EFPE is calculated.     

Elimination of Fast Variables for a Class of Nonlinear Stochaqtic Dynamical Systems

A set of nonlinear stochastic differential equations (NSDE's) that describes a large class of nonlinear stochastic dynamical systems is studied. By virtue of the stochastic generalization of. usual adiabatic approximation, we obtain the solution of equation for the fast variable, and obtain a closed equation for the slow variable. The statistical properties of the-new stochastic variables occurred are studied. The formal NSDE's are treated in the Stratonovich sense and the Ito sense respectively.     

Additive noise-induced Turing transitions in spatial systems with application to neural fields and the Swift-Hohenberg equation

This work studies the spatio-temporal dynamics of a generic integral-differential equation subject to additive random fluctuations. It introduces a combination of the stochastic center manifold approach for stochastic differential equations and the adiabatic elimination for Fokker-Planck equations, and studies analytically the systems’ stability near Turing bifurcations. In addition two types of fluctuation are studied, namely fluctuations uncorrelated in space and time, and global fluctuations, which are constant in space but uncorrelated in time. We show that the global fluctuations shift the Turing bifurcation threshold. This shift is proportional to the fluctuation variance. Applications to a neural field equation and the Swift-Hohenberg equation reveal the shift of the bifurcation to larger control parameters, which represents a stabilization of the system. All analytical results are confirmed by numerical simulations of the occurring mode equations and the full stochastic integral-differential equation. To gain some insight into experimental manifestations, the sum of uncorrelated and global additive fluctuations is studied numerically and the analytical results on global fluctuations are confirmed qualitatively.     

基于拉氏概率密度的两相湍流二阶矩模型

用颗粒运动的拉氏分析和PDF方法,改进了颗粒相的二阶矩模型。由拉氏两相运动的随机微分方程出发,采用随机过程分析和信号分析法得到湍流两相流动的PDF输运方程,双流体模型方程和两相脉动速度相关的基本模式的封闭式,和用其它方法导出的方程与封闭式的结果一致,对封闭式作了重要的改进,在分析颗粒轨道上的流体湍流作用时间时,全面地引入拉氏分析的轨道穿越效应、惯性效应、连续效应和湍流的各向异性。     

Extension of Nelson?s stochastic quantization to finite temperature using thermo field dynamics

We present an extension of Nelson?s stochastic quantum mechanics to finite temperature. Utilizing the formulation of Thermo Field Dynamics (TFD), we can show that Ito?s stochastic equations for tilde and non-tilde particle positions reproduce the TFD-type Schrödinger equation which is equivalent to the Liouville-von Neumann equation. In our formalism, the drift terms in the Ito?s stochastic equation have the temperature dependence and the thermal fluctuation is induced through the correlation of the non-tilde and tilde particles. We show that our formalism satisfies the position-momentum uncertainty relation at finite temperature.     

Decoherence effects in Bose–Einstein condensate interferometry I. General theory

The present paper outlines a basic theoretical treatment of decoherence and dephasing effects in interferometry based on single component Bose–Einstein condensates in double potential wells, where two condensate modes may be involved. Results for both two mode condensates and the simpler single mode condensate case are presented. The approach involves a hybrid phase space distribution functional method where the condensate modes are described via a truncated Wigner representation, whilst the basically unoccupied non-condensate modes are described via a positive P representation. The Hamiltonian for the system is described in terms of quantum field operators for the condensate and non-condensate modes. The functional Fokker–Planck equation for the double phase space distribution functional is derived. Equivalent Ito stochastic equations for the condensate and non-condensate fields that replace the field operators are obtained, and stochastic averages of products of these fields give the quantum correlation functions that can be used to interpret interferometry experiments. The stochastic field equations are the sum of a deterministic term obtained from the drift vector in the functional Fokker–Planck equation, and a noise field whose stochastic properties are determined from the diffusion matrix in the functional Fokker–Planck equation. The stochastic properties of the noise field terms are similar to those for Gaussian–Markov processes in that the stochastic averages of odd numbers of noise fields are zero and those for even numbers of noise field terms are the sums of products of stochastic averages associated with pairs of noise fields. However each pair is represented by an element of the diffusion matrix rather than products of the noise fields themselves, as in the case of Gaussian–Markov processes. The treatment starts from a generalised mean field theory for two condensate modes, where generalised coupled Gross–Pitaevskii equations are obtained for the modes and matrix mechanics equations are derived for the amplitudes describing possible fragmentations of the condensate between the two modes. These self-consistent sets of equations are derived via the Dirac–Frenkel variational principle. Numerical studies for interferometry experiments would involve using the solutions from the generalised mean field theory in calculations for the stochastic fields from the Ito stochastic field equations.     

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.     

GEAR算法在随机轨道模型计算中的应用

本文对随机轨道模型中颗粒相常微分方程组的刚性问题进行了分析，结果表明：当采用常规算法如四阶Runge－kutta法求解方程组时，方程组的刚性是导致某些情况下计算发散或计算时间过长的原因。为此，本文将适用于求解刚性方程组的Gear算法应用于随机轨道模型的计算中，取得了良好的效果．     

随机微分方程计算方法及其应用

介绍随机微分方程离散化格式的构造、收敛性法则、强收敛格式、弱收敛格式、带跳跃的随机微分方程的计算方法,偏微分方程的概率求解以及它们在物理、工程和金融等领域中的一些应用.