An Expansion Approach for the Stationary Probability Distribution of Systems Driven by Colored Noise

The stationary probability distributiolr of the two-dimensional Fokker-Planck equation of systems driven by colored noise is obtained in terms of an expansion iteration. The solution is compared with that obtained by the one-dimensional effective Fokker-Planck equation approaches. The behavior of several leading terms in the expansion for both small and large correlation times is analyzed. Numerical results support the analytical approach.     

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.     

From the Perron-Frobenius equation to the Fokker-Planck equation

We show that for certain classes of deterministic dynamical systems the Perron-Frobenius equation reduces to the Fokker-Planck equation in an appropriate scaling limit. By perturbative expansion in a small time scale parameter, we also derive the equations that are obeyed by the first- and second-order correction terms to the Fokker-Planck limit case. In general, these equations describe non-Gaussian corrections to a Langevin dynamics due to an underlying deterministic chaotic dynamics. For double-symmetric maps, the first-order correction term turns out to satisfy a kind of inhomogeneous Fokker-Planck equation with a source term. For a special example, we are able solve the first- and second-order equations explicitly.     

Solutions of the Fokker-Planck equation for a double-well potential in terms of matrix continued fractions

Solutions of the Fokker-Planck (Kramers) equation in position-velocity space for the double-well potentiald ₂x²/2+d₄x⁴/4 in terms of matrix continued fractions are derived. It is shown that the method is also applicable to a Boltzmann equation with a BGK collision operator. Results of eigenvalues and of the Fourier transform of correlation functions are presented explicitly. The lowest nonzero eigenvalue is compared with the escape rate in the weak noise limit for various damping constants and the susceptibility is compared with the zero-friction-limit result.     

Dynamics of the Schlögl models on lattices of low spatial dimension

The steady states and dynamics of the two Schlögl models on one- and two-dimensional lattices are studied using master equation techniques in tandem with simulations. It is found that the classic bistable behavior of model II is modified to monostable behavior at low dimension. An explanation of this modification is proposed in terms of the effective potential that appears in the dynamical equations on considering the significant effect of fluctuation correlations. The behavior can be modeled by replacing the transient average fluctuation correlation by its asymptotic value plus Gaussian white noise and analyzing the resulting effective potential obtained from the Fokker-Planck equation with multiplicative noise. For model I the transcritical bifurcation point is shifted to lower values of the forward ratek ₂ of the second step of the reaction scheme and this shift can also be explained via an effective potential as a function of the average asymptotic fluctuation correlation. Further addition of noise to the asymptotic value is irrelevant for this model since the noise term in the corresponding Fokker-Planck equation turns out to be purely additive.     

A new method of analysis of the effect of weak colored noise in nonlinear dynamical systems

A systematic method for obtaining the asymptotic behavior of a dynamical system forced by colored noise in the limit of small intensity is developed. It is based on the search of WKB solutions to the Fokker-Planck equation for the joint probability density of the system and noise, in which the perturbation expansion is continued to the first correction beyond the Hamilton-Jacobi limit. The method can be applied to noise with correlation time of order unity. It is illustrated on the normal form of a pitchfork bifurcation, where it is pointed out that additive noise can induce a shift of the most probable value. This prediction is confirmed by numerical simulation of the stochastic differential equations.     

The study on a stochastic system with non-Gaussian noise and Gaussian colored noise

In this paper, a stochastic system with correlation between non-Gaussian noise and Gaussian colored noise is investigated. We carry out the functional methods to derive the approximate Fokker-Planck equation, and the expressions of stationary probability density function and mean first-passage time are presented. Also we explore the effects of correlation between non-Gaussian and Gaussian noise for the mean first-passage time.     

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.     

Fokker-Planck equation for a multiplicative stochastic process with a stationary gaussian noise

Starting from a Langevin equation with stationary gaussian noise of arbitrary correlation time, a corresponding Fokker-Planck equation is derived under the condition of small noise strength.     

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.     

Correlation function of the amplitude and of the intensity fluctuation for a laser model near threshold

In extension of a preceding paper the correlation function of the amplitude and of the intensity fluctuation are calculated in the threshold region. The laser amplitude is treated as a classical random variable obeying a van der Pol equation with a noise term. In order to get correlation functions, the method of distribution functions is employed. The distribution functions are evaluated by the Fokker-Planck equation. The lowest eigensolutions of the Fokker-Planck equation are obtained approximately by a variational method.     

Correlation functions and correlation times for models with multiplicative white noise

Correlation functions and correlation times for the Stratonovich and Verhulst model are investigated. By transforming the Fourier transform of the corresponding Fokker-Planck equation into a tridiagonal vector recurrence relation, the Fourier transform of the correlation function and the correlation time are expressed in terms of matrix continued fractions or by similar iterations and are thus obtained numerically. By using the inverse Fourier transform, the correlation function itself is calculated. Furthermore an analytic expression in terms of an integral is obtained for the correlation time, which is evaluated exactly in the Verhulst model and asymptotically for large and weak noise strength in the Stratonovich model. A Padé expansion approximating the correlation time for all noise strength is also given.     

Stability of a Robertson-Walker universe against stochastic perturbations

The Einstein-Langevin equations for a Robertson-Walker universe in which a small stochastic perturbation is introduced in the deterministic equations of motion for the radius of the universe are analysed. We solve the associated nonlinear Fokker-Planck equation in the small noise limit using the Ω expansion and find that the cosmological constant plays an essential role in the long time stability of the model.     

Quantum statistical treatment of multimode self-pulsing in optical systems

We elaborate a formalism which is appropriate to describe the effects of quantum noise in multimode optical instabilities. The multimode Fokker-Planck equation is reformulated in terms of suitable “dressed mode” variables, which diagonalize the linearized part of the drift matrix. We work out explicitly the relations of our formalism with the quantum theory of multiwave mixing.     

Renormalized Fokker-Planck equation for the problem of the beam-beam interaction in electron storage rings

It is shown that the beam-beam interaction in electron storage rings is equivalent to an additional source of noise for the particle betatron oscillations. A weak white noise acting upon a nonlinear oscillator causes a fast loss of coherence in its phase. This loss of coherence induces a broadening of the resonances, thus avoiding the problem of the divergent perturbative series which arises in the study of nonintegrable Hamiltonian systems. A “renormalized” Fokker-Planck equation is established which contains new diffusive terms corresponding to the presence of resonances. The solution of this equation is exhibited explicitly in a simplified case. This allows an analytical approach to the problem of the beam-beam instability, which sets an upper limit to the maximum attainable luminosity in storage rings.     

Effect of noise and perturbations on limit cycle systems

This paper demonstrates that the influence of noise and of external perturbations on a nonlinear oscillator can vary strongly along the limit cycle and upon transition from limit cycle to stationary point behaviour. For this purpose we consider the role of noise on the Bonhoeffer-van der Pol model in a range of control parameters where the model exhibits a limit cycle, but the parameters are close to values corresponding to a stable stationary point. Our analysis is based on the van Kampen approximation for solutions of the Fokker-Planck equation in the limit of weak noise. We investigate first separately the effect of noise on motion tangential and normal to the limit cycle. The key result is that noise induces diffusion-like spread along the limit cycle, but quasistationary behaviour normal to the limit cycle. We then describe the coupled motion and show that noise acting in the normal direction can strongly enhance diffusion along the limit cycle. We finally argue that the variability of the system's response to noise can be exploited in populations of nonlinear oscillators in that weak coupling can induce synchronization as long as the single oscillators operate in a regime close to the transition between oscillatory and excitatory modes.     

Master Equation in Phase Space for a Uniaxial Spin System

A master equation, for the time evolution of the quasi-probability density function of spin orientations in the phase space representation of the polar and azimuthal angles is derived for a uniaxial spin system subject to a magnetic field parallel to the axis of symmetry. This equation is obtained from the reduced density matrix evolution equation (assuming that the spin-bath coupling is weak and that the correlation time of the bath is so short that the stochastic process resulting from it is Markovian) by expressing it in terms of the inverse Wigner-Stratonovich transformation and evaluating the various commutators via the properties of polarization operators and spherical harmonics. The properties of this phase space master equation, resembling the Fokker-Planck equation, are investigated, leading to a finite series (in terms of the spherical harmonics) for its stationary solution, which is the equilibrium quasi-probability density function of spin “orientations” corresponding to the canonical density matrix and which may be expressed in closed form for a given spin number. Moreover, in the large spin limit, the master equation transforms to the classical Fokker-Planck equation describing the magnetization dynamics of a uniaxial paramagnet.