Solving Langevin equation with the bicolour rooted tree method

Stochastic differential equations, especially the one called Langevin equation, play an important role in many fields of modern science. In this paper, we use the bicolour rooted tree method, which is based on the stochastic Taylor expansion, to get the systematic pattern of the high order algorithm for Langevin equation. We propose a popular test problem, which is related to the energy relaxation in the double well, to test the validity of our algorithm and compare our algorithm with other usually used algorithms in simulations. And we also consider the time-dependent Langevin equation with the Ornstein-Uhlenbeck noise as our second example to demonstrate the versatility of our method.     

Effective potential for complex Langevin equations

We construct an effective potential for the complex Langevin equation on a lattice. We show that the minimum of this effective potential gives the space–time and Langevin time average of the complex Langevin field. The loop expansion of the effective potential is matched with the derivative expansion of the associated Schwinger–Dyson equation to predict the stationary distribution to which the complex Langevin equation converges.     

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.     

Fractional generalized Langevin equation approach to single-file diffusion

Fractional generalized Langevin equation with external force is used to model single-file diffusion. It is found that for external force that varies with power law the solution for such a fractional Langevin equation gives the correct short and long time behavior for the mean square displacement of single-file diffusion when appropriate choice of parameters associated with fractional generalized Langevin equation are used. By considering some special cases of the fractional generalized Langevin equation, a new class of closed analytic expressions for the mean square displacement of single-file diffusion can be obtained. The effective Fokker-Planck equation associated with single-file diffusion is briefly considered.     

Stochastic Resonance in a Linear Fractional Langevin Equation

The fractional Langevin equation is derived from the generalized Langevin equation driven by the additive fractional Gaussian noise. We investigate the stochastic resonance (SR) phenomenon in the underdamped linear fractional Langevin equation under the external periodic force and multiplicative symmetric dichotomous noise. Applying the Shapiro-Loginov formula and the Laplace transform technique, we obtain the exact expressions of the amplitude and signal-to-noise ratio (SNR) of the system. By studying the impacts of the driving frequency and the noise parameters, we find the non-monotonic behaviors of the output amplitude and SNR. The results indicate that the bona fide SR, conventional SR and the wide sense of SR phenomena occur in the proposed linear fractional system.     

Langevin equation with two fractional orders

A new type of fractional Langevin equation of two different orders is introduced. The solutions for this equation, known as the fractional Ornstein-Uhlenbeck processes, based on Weyl and Riemann-Liouville fractional derivatives are obtained. The basic properties of these processes are studied. An example of the spectral density of ocean wind speed which has similar spectral density as that of Weyl fractional Ornstein-Uhlenbeck process is given.     

Emergence of bimodality in noisy systems with single-well potential

We study the stationary probability density of a Brownian particle in a potential with a single-well subject to the purely additive thermal and dichotomous noise sources. We find situations where bimodality of stationary densities emerges due to presence of dichotomous noise. The solutions are constructed using stochastic dynamics (Langevin equation) or by discretization of the corresponding Fokker-Planck equations. We find that in models with both noises being additive the potential has to grow faster than |x| in order to obtain bimodality. For potentials ∝|x| stationary solutions are always of the double exponential form.     

Fractional Fokker-Planck equations for subdiffusion with space- and time-dependent forces

We derive a fractional Fokker-Planck equation for subdiffusion in a general space- and time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived from a generalized master equation and is shown to be equivalent to a subordinated stochastic Langevin equation.     

Diffusion and electromigration on disordered surfaces

We study a one-dimensional disordered solid-on-solid model in which neighboring columns are shifted by quenched random phases. The static height-difference correlation function displays a minimum at a nonzero temperature. The model is equipped with volume-conserving surface diffusion dynamics, including a possible bias due to an electromigration force. In the case of Arrhenius jump rates a continuum equation for the evolution of macroscopic profiles is derived and confirmed by direct simulation. Dynamic surface fluctuations are investigated using simulations and phenomenological Langevin equations. In these equations the quenched disorder appears in the form of time-independent random forces. The disorder does not qualitatively change the roughening dynamics of near-equilibrium surfaces, but in the case of biased surface diffusion with Metropolis rates it induces a new roughening mechanism, which leads to an increase of the surface width as . Received 7 February 2000     

Lévy flights and Lévy-Schrödinger semigroups

We analyze two different confining mechanisms for Lévy flights in the presence of external potentials. One of them is due to a conservative force in the corresponding Langevin equation. Another is implemented by Lévy-Schrödinger semigroups which induce so-called topological Lévy processes (Lévy flights with locally modified jump rates in the master equation). Given a stationary probability function (pdf) associated with the Langevin-based fractional Fokker-Planck equation, we demonstrate that generically there exists a topological Lévy process with the same invariant pdf and in reverse.     

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.     

On the Time Fractional Generalized Fisher Equation:Group Similarities and Analytical Solutions

In this letter,the Lie point symmetries of the time fractional Fisher(TFF) equation have been derived using a systematic investigation.Using the obtained Lie point symmetries,TFF equation has been transformed into a different nonlinear fractional ordinary differential equations with the Erd′elyi–Kober fractional derivative which depends on the parameter α.After that some invariant solutions of underlying equation are reported.     

线性过阻尼分数阶Langevin方程的共振行为

通过将广义Langevin方程中的系统内噪声建模为分数阶高斯噪声,推导出分数阶Langevin方程, 其分数阶导数项阶数由系统内噪声的Hurst指数所确定.讨论了处于强噪声环境下的线性过阻尼分数阶 Langevin方程在周期信号激励下的共振行为,利用Shapiro-Loginov公式和Laplace变换, 推导了系统响应的一、二阶稳态矩和稳态响应振幅、方差的解析表达式.分析表明,适当参数下, 系统稳态响应振幅和方差随噪声的某些特征参数、周期激励信号的频率及系统部分参数的变化出现了 广义的随机共振现象.     

Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force

We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ?a(t)x ² + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems. Received 23 October 2001 and Received in final form 24 December 2001