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.     

Distribution function for classical and quantum systems far from thermal equilibrium

We consider a system composed of many subsystems which are coupled to individual reservoirs at different temperatures. We show how the solution of a many-dimensional Fokker-Planck equation may be reduced to a Fokker-Planck equation of dimensionn, wheren is the number of relevant constants of motion. We treat also a Fokker-Planck equation with continuously many variables and the time-dependent one. The usefulness of the present procedure to determine explicitly distribution functions is exhibited by several examples. If all temperatures are equal the Boltzman distribution function is obtained as a special case. Using the method of quantum-classical correspondence, the distribution function for quantum systems may be found.     

Quasi-exactly solvable Fokker-Planck equations

We consider exact and quasi-exact solvability of the one-dimensional Fokker-Planck equation based on the connection between the Fokker-Planck equation and the Schrödinger equation. A unified consideration of these two types of solvability is given from the viewpoint of prepotential together with Bethe ansatz equations. Quasi-exactly solvable Fokker-Planck equations related to the sl(2)-based systems in Turbiner’s classification are listed. We also present one sl(2)-based example which is not listed in Turbiner’s scheme.     

The quantum Fokker-Planck equation for certain boson systems

Quantum relations between a class of boson Langevin equations and the associated Fokker-Planck equations are derived. The Fokker-Planck equations for the Wigner distribution Φ_sym related with symmetric ordering of the boson operators, the distribution Φ_A related with antinormal ordering, and the distribution Φ_N related with normal ordering (P-representation) are given.     

The Fokker-Planck equation of a laser with many modes and multi-level atoms

Using the Glauber-SudarshanP-representation for the field modes and a quasi-distribution function recently presented for arbitrary quantum systems we derive an exact generalized Fokker-Planck equation for a multi-mode laser containing a set of multi-level atoms with homogeneous and inhomogeneous level broadening. By introduction of suitable collective atomic coordinates this generalized Fokker-Planck equation is reduced to an ordinary one which may serve as a basis for the adequate treatment of laser light statistics.     

A comparative study of the P and Q representations of a feedback controlled two-qubit system

In this Letter the Master equation of a two qubit system is transformed into Fokker-Planck equations in order to find the Glauber-Sudarshan P function representation. For the two qubit system examined in this Letter, the P representation is ill defined, which indicates the system is non-classical. A qualitative measure of the non-classical nature of the system is found by taking the semi-classical limit of the Fokker-Planck equation and obtaining a simplified Glauber-Sudarshan P representation. The agreement between the simplified P representation and the Q representation as well as the system stability are discussed when feedback is present and absent.     

Numerical studies on the phase-space evolution of relative motion of two heavy ions

The two-dimensional Fokker-Planck equation describing the phase-space evolution of the reduced density matrixf(r, v; t) with respect to radial distancer and radial velocityv is numerically solved for various cases of inelastic heavy-ion collisions. A comparison of the exact solution with the global moment approach (GMA) used so far by several authors clearly shows that the GMA is not applicable for deeply inelastic collisions. A local moment approach (LMA) is proposed as an approximate solution to the Fokker-Planck equation.     

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.     

Classical and fractal analysis of vehicle demand on the ferry-boat system

Transportation problems are important complex systems because of the increased number of vehicles in cities. In this paper, we study time series of vehicle demand by using the ferry-boat system between Salvador city and Itaparica island, in Bahia, Brazil. We compare the traditional demand analysis (ARIMA method) with the self-affine ones (the scaling exponent α and the density of crossing points ρ). In addition, taking into account the inherent self-affine behavior we study the stationary states of this dynamic process by using a nonlinear Fokker-Planck equation. The present findings indicate that the scaling exponent α describes some properties of flux of vehicles using the ferry-boat system. The behavior of α gives an alternative explanation about demand analysis, and the nonlinear Fokker-Planck equation presents a solution close to the stationary behavior of this complex dynamical analysis.     

Solutions of the Fokker-Planck equation in detailed balance

The solutions of the Fokker-Planck equation in detailed balance are investigated. Firstly the necessary and sufficient conditions obtained by Graham and Haken are derived by an alternative method. An equivalent form of these conditions in terms of an operator equation for the Fokker-Planck Liouville operator is given. Next, the transition probability is expanded in terms of an biorthogonal set of eigenfunctions of a certain operatorL. The necessary and sufficient conditions for detailed balance leads to a simple operator equation forL. This operator equation guarantees that on!y half of the biorthogonal set needs to be calculated. Finally the dependence of the eigenvalues on the reversible and irreversible drift coefficient is discussed.     

Nongaussian processes in fluid dynamics

Computer experiments are performed to establish the relevance of nongaussian effects for the velocity v in dense fluids. Both nongaussianicity and long time features are interpreted assuming that v is driven by a nonlinear Fokker-Planck equation, yet compatible with canonical equilibrium.     

Fluctuation-dissipation theorems for systems in non-thermal equilibrium and applications

The linear response theory of systems obeying Fokker-Planck equations is discussed under the assumption that the principle of detailed balance is satisfied. This theory is used to obtain fluctuation-dissipation theorems for systems in a non-thermal equilibrium state corresponding to the steady state solution of the Fokker-Planck equation. Some of the aspects of the threshold region of a single mode laser (without detuning) are discussed. In particular it is shown that, contrary to the results established recently by others, the “linear susceptibility” χ(Ω) is acontinuous function of the pump parameterp. The results are then specialized to Gaussian Markov process in which case an alternate form of the fluctuation-dissipation theorems is also given. Finally few other generalizations of the fluctuation-dissipation theorems are also briefly discussed.     

Brownian motion of a classical particle through potential barriers. Application to the helix-coil transitions of heteropolymers

We discuss some properties of the one-dimensional Fokker-Planck equation, and in particular the time required to go through a potential barrier of arbitrary size and shape. We apply the resulting formulas to the melting of helical polymers made of two types of monomers (A and B) with different melting temperatures: We consider a restricted problem in irreversible melting, where onesingle boundary (separating a coil region from a helical region) moves through the chemical sequence. In a crude approximation the distribution function for the boundary point is then ruled by a simple Fokker-Planck equation. When the temperatureT is equal to or higher than the average melting point¯T, the boundary tends to move over macroscopic distances, thus extending the size of the coil regions. In an interval¯T ^* the progression is predicted to be slow (logarithmic). At higher temperatureT>T ^* essentially all barriers are overcome and the progression is fast.     

On the covariance of the Fokker-Planck equation

We study the covariance of the Fokker-Planck equation under general gross variables transformations by means of Riemann differential geometry using an affine connection Γ^?_μν unsymmetric in their lower indices and without assuming that the covariant derivative of the diffusion tensor D^μν_;? be zero. We come to the conclusion that to achieve our aim we only need the value of the contraction Γ^?_?ν, all other components of the affine connection remaining completely arbitrary. We argue, therefore, that the most economic way of presenting the covariance of the Fokker-Planck equation is by means of exterior differential calculus. As an application we study physical systems under detailed balance showing that for them the irreversible part of the contravariant drift vector, that is then uniquely determined, is related only to a symmetric tensor while its reversible component is exclusively related to an antisymmetric tensor. A criticism of a compact Fokker-Planck equation is also included.     

Distribution function for systems far from thermal equilibrium

We present the general stationary solution of the Fokker-Planck equation for a system of interacting subsystems weakly coupled to reservoirs at different temperatures, T_j. For T_j = T, it reduces to the Boltzman distribution function.     

Fokker-Planck approximation for N-dimensional nonmarkovian langevin equations

The Fokker-Planck approximation for n-dimensional nonmarkovian Langevin equations is discussed through an expansion in powers of the correlation time of the noise. Exact cases are considered and an application to brownian motion is presented.     

The Langevin equation with fourier acceleration and its equilibrium action

We derive the Fokker-Planck equation of the Langevin equation for SU(N) models with nonlocal step size. We solve this equation for the SU(N) × SU(N) spin model and determine the rescaled coupling constant and the correction of observables.     

Fokker-Planck Type Equations Associated with Subordinated Processes Controlled by Tempered α-stable Processes

In this paper we introduce two models of stochastic processes driven by Brownian motion and fractional Brownian motion subordinated with tempered α-stable waiting times. By using a new integro-differential operator we obtain the generalized Fokker-Planck type equations associated with these subordinated stochastic processes.     

On the solution of Fokker-Planck equation for electron transport

Two different techniques have been used to solve the Fokker-Planck equation for electron transport in infinite homogeneous medium namely, maximum entropy and flux-limited approach. The solutions obtained for the scalar flux function φ₀(x,s) by both methods are numerically compared.