Exact Stationary Solution of Fokker-Planck Equation and Generalized Potential for Non-Equilibrium Systems Without Detailed Balance

An exact analogy is approached between systems in thermal equilibrium and those far from equilibrium which can be the cases without detailed balance. The analogy is based on the requirement that a given drift in the Fokker-Planck equation can be decomposed into two parts, one of which is divergence-free and the other can be derived from a potential which is invariant along the direction of the first part. If the conditions are fulfilled the Fokker-Planck equation changes in to a standard Poisson equation. The relations of this requirement to other conditions are diecussed. As a concrete example, the stationary Fokker-Planck equation for optical bistability is solved by using"this method.     

Transition state theory: A generalization to nonequilibrium systems with power-law distributions

Transition state theory (TST) is generalized to nonequilibrium systems with power-law distributions. The stochastic dynamics that gives rise to the power-law distributions for the reaction coordinate and momentum is modeled by Langevin equations and corresponding Fokker-Planck equations. It is considered that a system far away from equilibrium does not have to relax to a thermal equilibrium state with Boltzmann-Gibbs distribution, but asymptotically approaches a nonequilibrium stationary state with a power-law distribution. Thus, we obtain a possible generalization of TST rates to nonequilibrium systems with power-law distributions. Furthermore, we derive the generalized TST rate constants for one-dimensional and n-dimensional Hamiltonian systems away from equilibrium, and obtain a generalized Arrhenius rate for systems with power-law distributions.     

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.     

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.     

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.     

Kinetic and hydrodynamic models of chemotactic aggregation

We derive general kinetic and hydrodynamic models of chemotactic aggregation that describe certain features of the morphogenesis of biological colonies (like bacteria, amoebae, endothelial cells or social insects). Starting from a stochastic model defined in terms of N coupled Langevin equations, we derive a nonlinear mean-field Fokker-Planck equation governing the evolution of the distribution function of the system in phase space. By taking the successive moments of this kinetic equation and using a local thermodynamic equilibrium condition, we derive a set of hydrodynamic equations involving a damping term. In the limit of small frictions, we obtain a hyperbolic model describing the formation of network patterns (filaments) and in the limit of strong frictions we obtain a parabolic model which is a generalization of the standard Keller-Segel model describing the formation of clusters (clumps). Our approach connects and generalizes several models introduced in the chemotactic literature. We discuss the analogy between bacterial colonies and self-gravitating systems and between the chemotactic collapse and the gravitational collapse (Jeans instability). We also show that the basic equations of chemotaxis are similar to nonlinear mean-field Fokker-Planck equations so that a notion of effective generalized thermodynamics can be developed.     

Microdynamics and nonlinear stochastic processes of gross variables

Starting from classical Hamiltonian mechanics, we derive for the dynamics of gross variables in nonequilibrium systems exact nonlinear generalized Fokker-Planck and Langevin equations in which the effect of the initial preparation is taken into account explicitly. This latter concept allows for the construction of a uniquely determined projection operator. The memory functions occurring in the Langevin equations are related to the random forces by a fluctuation-dissipation theorem of the second kind. We discuss the connection with the generalized Fokker-Planck equation. The known results for equilibrium fluctuations are recovered as a special case.Supported in part by the National Science Foundation, Grant CHE78-21460.     

Statistical mechanics of nonlinear hydrodynamic fluctuations

The paper studies nonlinear hydrodynamic fluctuations by the methods of nonequilibrium statistical mechanics. The generalized Fokker-Planck equation for the distribution function of coarse-grained densities of conserved quantities is derived from the Liouville equation and then is investigated by using the gradient expansions in the flux correlation matrix. We have obtained the functional-differential Fokker-Planck equation describing the nonlinear hydrodynamic fluctuations in spatially nonuniform systems to second order in gradients of coarse-grained fluctuating fields. An outline of the derivation of Fokker-Planck equations containing the Burnett terms is also given. The explicit coordinate representation for the hydrodynamic Fokker-Planck equation is discussed in the case of one-component simple fluid. The general scheme of a change of coarse-grained functional variables is developed for hydrodynamic Fokker-Planck equations. The corresponding transformation rules are found for “drift” terms, “diffusion coefficients” and thermodynamic forces. The dynamical equations and stationary conditions for averages of functions (functionals) of hydrodynamic fields are discussed by using the Fokker-Planck operators acting on such functions. The explicit form of these operators are found for various sets of fluctuating fields. As an application of the formalism the calculation of the stationary correlation functions is presented for a simple nonequilibrium steady state.     

Geometrical derivation of the intrinsic Fokker-Planck equation and its stationary distribution

Starting from an intrinsic Langevin equation, we give a geometrical derivation of the Fokker-Planck equation. We also present a method for obtaining a stationary distribution and for deriving potential conditions when the diffusion matrix is singular.     

Optical bistability due to a two-photon absorption resonance with fluctuations

Using the intensity-dependent complex dielectric function for a two-photon absorption resonance we derive the Langevin equation for the fluctuating light-field in the non-linear resonator. The corresponding Fokker-Planck equation is solved by expanding the distribution function in terms of products of trigonometric functions and generalized Laguerre polynomials. The expansion coefficients are calculated using the method of matrix continued fractions. Numerical results for the stationary case are given.     

Some properties of Fokker-Planck equations with memory under detailed balance

Some properties of the Fokker-Planck equations with memory under the condition that detailed balance holds are discussed. The appropriate conditions which the drift and diffusion coefficients for a system in detailed balance should satisfy are obtained. The analysis is then restricted to a special class of Fokker-Planck equations namely the one studied previously by Zwanzig. Analog of Onsager's reciprocity relation is obtained and the eigenfunction expansion of the conditional probability is given. Finally the linear response theory of such systems is also briefly discussed.     

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.     

Computing the non-linear anomalous diffusion equation from first principles

We investigate asymptotically the occurrence of anomalous diffusion and its associated family of statistical evolution equations. Starting from a non-Markovian process à la Langevin we show that the mean probability distribution of the displacement of a particle follows a generalized non-linear Fokker-Planck equation. Thus we show that the anomalous behavior can be linked to a fast fluctuation process with memory from a microscopic dynamics level, and slow fluctuations of the dissipative variable. The general results can be applied to a wide range of physical systems that present a departure from the Brownian regime.     

Generalized Kinetic Equation for Far-from-Equilibrium Many-Body Systems

A kinetic equation for the single particle distribution function in an open many-body system, when in far away from equilibrium conditions is derived in the context of a Non-Equilibrium Thermo-Statistics of ample scope. It consists of a generalization of traditional kinetic equations in that no restrictions are imposed on the characteristics of the nonequilibrium thermodynamic state of the system. This kinetic equation do contain some contributions that become relevant in systems with a nonlinear kinetics when driven sufficiently far from equilibrium (certain complex systems). Moreover, the handling of the kinetic equation in a multiple-moment approach provides a generalized nonlinear higher-order thermo-hydrodynamics.     

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.     

No-pumping theorem for non-Arrhenius rates

The no-pumping theorem refers to a Markov system that holds the detailed balance, but is subject to a time-periodic external field. It states that the time-averaged probability currents nullify in the steady periodic (Floquet) state, provided that the Markov system holds the Arrhenius transition rates. This makes an analogy between features of steady periodic and equilibrium states, because in the latter situation all probability currents vanish explicitly. However, the assumption on the Arrhenius rates is fairly specific, and it need not be met in applications. Here a new mechanism is identified for the no-pumping theorem, which holds for symmetric time-periodic external fields and the so called destination rates. These rates are the ones that lead to the locally equilibrium form of the master equation, where dissipative effects are proportional to the difference between the actual probability and the equilibrium (Gibbsian) one. The mechanism also leads to an approximate no-pumping theorem for the Fokker-Planck rates that relate to the discrete-space Fokker-Planck equation.     

非平衡统计场论与临界动力学(Ⅰ)——广义朗之万方程

本文从闭路格林函数顶角方程出发,推导出临界动力学中序参量和守恒量所满足的广义朗之万方程。根据Ward-Takahashi恒等式和线性响应理论,确定守恒量方程应具有的形式,它自动包含了模-模耦合项。考察不同的对称群,得到临界动力学的各种模型。整个理论框架也可用于描述远离平衡的稳态附近的行为。 关键词：