Langevin description of markovian integro-differential master equations

For a given master equation of a discontinuous irreversible Markov process, we present the derivation of stochastically equivalent Langevin equations in which the noise is either multiplicative white generalized Poisson noise or a spectrum of multiplicative white Poisson noise. In order to achieve this goal, we introduce two new stochastic integrals of the Ito type, which provide the corresponding interpretation of the Langevin equations. The relationship with other definitions for stochastic integrals is discussed. The results are elucidated by two examples of integro-master equations describing nonlinear relaxation.     

From shape to randomness: A classification of Langevin stochasticity

The Langevin equation–perhaps the most elemental stochastic differential equation in the physical sciences–describes the dynamics of a random motion driven simultaneously by a deterministic potential field and by a stochastic white noise. The Langevin equation is, in effect, a mechanism that maps the stochastic white-noise input to a stochastic output: a stationary steady state distribution in the case of potential wells, and a transient extremum distribution in the case of potential gradients. In this paper we explore the degree of randomness of the Langevin equation’s stochastic output, and classify it à la Mandelbrot into five states of randomness ranging from “infra-mild” to “ultra-wild”. We establish closed-form and highly implementable analytic results that determine the randomness of the Langevin equation’s stochastic output–based on the shape of the Langevin equation’s potential field.     

Fluctuating hydrodynamic equations of mixed and of chemically reacting gases

The method of the nonlinear Langevin equation is generalized to ordinary mixed and to chemically reacting gases. The stochastic Boltzmann equations of these gases, the fluctuating hydrodynamic equations of mixed gases, and the Langevin equations for the number density of each component of a reaction-diffusion system are obtained.This work was supported financially by the Alexander von Humboldt Foundation. The main part of the paper was written during the author's stay at the Max-Planck Institut für Festkörperforschung (Stuttgart) as a Humboldt fellow.     

Langevin equations and stochastic integrals

The ambiguity of stochastic integrals involved in Langevin equations is removed by the postulate of invariance with respect to nonlinear transformations of the coordinates. The Stratonovich sense of the integrals, which is imposed thereby, is also strongly suggested by stability considerations requiring small changes of the solutions whenever the perturbations are changed by a small amount. The associated Fokker-Planck equation must include the spurious drift which arises from the transition from the Stratonovich to the Itô sense of the Langevin equations and describes one aspect of the systematic motion due to nonconstant fluctuations.     

Noise-induced coupling and phase transition in initially homogeneous bistable system

We show that a colored spatial noise induces a heterogeneous behavior and coupling of initially uncoupled single bistable units. A formal approximation reduces a non-Markovian stochastic process described by the initial set of equations into Markovian process in terms of Langevin equation, for which a simple piecewise linear emulation was used to represent the nonlinear deterministic force. It turned out that the coupling leads to a phase transition due to the noise-induced diffusive term. As an example, a typical bistable noisy system with symmetric double-well potential was studied.     

Stochastic Perturbation of Power Law Optical Solitons

The soliton perturbation theory is used to study and analyze the stochastic perturbation of optical solitons, with power law nonlinearity, in addition to deterministic perturbations, that is governed by the nonlinear Schrödinger’s equation. The Langevin equations are derived and analysed. The deterministic perturbations that are considered here are due to filters and nonlinear damping.     

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.     

Foundations of quantum mechanics: The Langevin equations for QM

Stochastic derivations of the Schrödinger equation are always developed on very general and abstract grounds. Thus, one is never enlightened which specific stochastic process corresponds to some particular quantum mechanical system, that is, given the physical system—expressed by the potential function, which fluctuation structure one should impose on a Langevin equation in order to arrive at results identical to those comming from the solutions of the Schrödinger equation. We show, from first principles, how to write the Langevin stochastic equations for any particular quantum system. We also show the relation between these Langevin equations and those proposed by Bohm in 1952. We present numerical simulations of the Langevin equations for some quantum mechanical problems and compare them with the usual analytic solutions to show the adequacy of our approach. The model also allows us to address important topics on the interpretation of quantum mechanics.     

Stochastic theory of synchronization transitions in extended systems

We propose a general Langevin equation describing the universal properties of synchronization transitions in extended systems. By means of theoretical arguments and numerical simulations we show that the proposed equation exhibits, depending on parameter values: (i) a continuous transition in the bounded Kardar-Parisi-Zhang universality class, with a zero largest Lyapunov exponent at the critical point; (ii) a continuous transition in the directed percolation class, with a negative Lyapunov exponent, or (iii) a discontinuous transition (that is argued to be possibly just a transient effect). Cases (ii) and (iii) exhibit coexistence of synchronized and unsynchronized phases in a broad (fuzzy) region. This reproduces almost all of the reported features of synchronization transitions, providing a unified theoretical framework for the analysis of synchronization transitions in extended systems.     

Statistical Dynamics of Solitons in Optical Fibers

The soliton perturbation theory is used to study and analyze the stochastic perturbation of optical solitons in addition to deterministic perturbations of optical solitons that are governed by the nonlinear Schro¨dinger's equation. The Langevin equations are derived and analyzed. The deterministic perturbations that are considered here are of both Hamiltonian as well as of non-Hamiltonian type.     

Langevin description of critical phenomena with two symmetric absorbing states

On the basis of general considerations, we propose a Langevin equation accounting for critical phenomena occurring in the presence of two symmetric absorbing states. We study its phase diagram by mean-field arguments and direct numerical integration in physical dimensions. Our findings fully account for and clarify the intricate picture known so far from the aggregation of partial results obtained with microscopic models. We argue that the direct transition from disorder to one of two absorbing states is best described as a (generalized) voter critical point and show that it can be split into an Ising and a directed percolation transition in dimensions larger than one.     

Analysis of a nonlinear stochastic model of cooperative behaviour

A stochastic model of cooperative behaviour is analyzed with regard to its critical properties. A cumulant expansion to fourth order is used to truncate the infinite set of coupled evolution equations for the moments. Linear stability analysis is performed around all the permissible steady states. The method is shown to be incapable of reproducing the critical boundary and the nature of the phase transition. A linearization, which respects the symmetry of the potential, is proposed which reproduces all the basic features associated with the model. The dynamics predicted by this approximation is shown to agree well with the Monte-Carlo simulation of the nonlinear Langevin equation.     

Exact solution of a Langevin equation with nonlinear periodic noise

An exact stochastic average of a Langevin equation with a multiplicative nonlinear periodic noise is performed. The noise is described by an arbitrary periodic function of the diffusion Wiener-Lévy stochastic process. The solution of this stochastic equation is given by periodic solutions of the Hill equation.     

The quasiclassical Langevin equation and its application to the decay of a metastable state and to quantum fluctuations

We report on investigations on the consequences of the quasiclassical Langevin equation. This Langevin equation is an equation of motion of the classical type where, however, the stochastic Langevin force is correlated according to the quantum form of the dissipation-fluctuation theorem such that ultimately its power spectrum increases linearly with frequency. Most extensively, we have studied the decay of a metastable state driven by a stochastic force. For a particular type of potential well (piecewise parabolic), we have derived explicit expressions for the decay rate for an arbitrary power spectrum of the stochastic force. We have found that the quasiclassical Langevin equation leads to decay rates which are physically meaningful only within a very restricted range. We have also studied the influence of quantum fluctuations on a predominantly deterministic motion and we have found that there the predictions of the quasiclassical Langevin equations are correct.     

THE FOKKER-PLANCK EQUATiON AND THE SCHWI NGER-DYSON EQUATION IN LATTICE GAUGE THEORY

The stochastic quantization in Lattice Gauge Theory (LGT) is discussed by using Langevin equations and Fokker-Planck equations. It is shown that the evolution equation in stochastic process reduces to Schwinger-Dyson equation when lattice system reaches equilibrium.     

Brownian motion in inhomogeneous media and with interacting particles

Brownian motion in media with a space-dependent temperature and density is described by Langevin equations in phase space. Elimination of the velocity shows that diffusion inx-space cannot in general be characterized by a single diffusion parameter, nor can space-dependence always be accounted for by mere assignment of some sense of stochastic integration to the Langevin equation which has been reduced as in the homogeneous case. Steady solutions of the resulting equations agree with thermodynamics. Interactions between Brownian particles (giving rise to nonlinear Fokker-Planck equations) lead to a generalization of Einstein's relation.Work supported by the Swiss National Science Foundation     

Theory of nonlinear Gaussian noise

We consider stochastic differential equations of the Langevin type in which the noise enters nonlinearly. In particular we study quadratic gaussian noise and we derive equations for the probability density under different approximations. In the limit of small intensity and small correlation time of the noise we obtain a Fokker-Planck equation which accounts for the main effects of the nonlinear noise. We present some examples and we discuss the consequences of our results in the analysis of an electrohydrodynamic instability in liquid crystals in the presence of external noise.