一般阻尼随机微分方程的拟局部振荡算法

提出了一种模拟随机微分方程的拟局部振荡算法,即利用算符劈裂方法和势函数的泰勒展开,对噪声作用下耗散粒子的时间演化算符进行分解,得到了对应涨落行为的扩散算符和对应确定轨迹的漂移算符.其中局部简谐势场的涨落过程可获得解析解,而剩余的确定项则利用简单的Euler算法积分.应用到几个算例并与常用的两种算法相比较,结果表明:本算法随时间步长最稳定,可使用较大的时间步长.     

Fresnel Type Path Integral for the Stochastic Schrödinger Equation

A path integral representation is obtained for the stochastic partial differential equation of Schrödinger type arising in the theory of open quantum systems subject to continuous nondemolition measurement and filtering, known as the a posteriori or Belavkin equation. The result is established by means of Fresnel-type integrals over paths in configuration space. This is achieved by modifying the classical action functional in the expression for the amplitude along each path by means of a stochastic Itô integral. This modification can be regarded as an extension of Menski's path integral formula for a quantum system subject to continuous measurement to the case of the stochastic Schrödinger equation.     

Universal Form of Stochastic Evolution for Slow Variables in Equilibrium Systems

Nonlinear, multiplicative Langevin equations for a complete set of slow variables in equilibrium systems are generally derived on the basis of the separation of time scales. The form of the equations is universal and equivalent to that obtained by Green. An equation with a nonlinear friction term for Brownian motion turns out to be an example of the general results. A key method in our derivation is to use different discretization schemes in a path integral formulation and the corresponding Langevin equation, which also leads to a consistent understanding of apparently different expressions for the path integral in previous studies.     

Complex fermionic and spin path integrals: An alternative parametrization

For a previously developed complex Langevin method we propose an alternative parametrization. This results in a simpler structure of the stochastic differential equation and a faster performance of the simulation algorithm. The equivalence of both complex stochastic processes is demonstrated for a simple path integral.     

Stochastic quantization and path integral formulation of Fokker-Planck equation

The operator formalism (Fokker-Planck dynamics) associated to a general n-dimensional, non-linear drift, non-constant diffusion Fokker-Planck equation, is derived by a stochastic quantization from the corresponding path integral formulation in phase space.     

Extended Riccati Equation Rational Expansion Method and Its Application to Nonlinear Stochastic Evolution Equations

In this work, by means of a new more general ansatz and the symbolic computation system Maple, we extend the Riccati equation rational expansion method [Chaos, Solitons & Fractals 25 (2005) 1019] to uniformly construct a series of stochastic nontravelling wave solutions for nonlinear stochastic evolution equation. To illustrate the effectiveness of our method, we take the stochastic mKdV equation as an example, and successfully construct some new and more general solutions including a series of rational formal nontraveling wave and coefficient functions' soliton-like solutions and trigonometric-like function solutions. The method can also be applied to solve other nonlinear stochastic evolution equation or equations.     

Multiple time scales and the empirical models for stochastic volatility

The most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull–White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will try to answer the question which of the stochastic volatility models indicated above is the most realistic. To this end we consider the volatility at both short (a few days) and long (a few months) time scales as a Markovian process and estimate for it the coefficients of the Kramers–Moyal expansion using the data for Dow-Jones Index. It has been found that the empirical data allow to take only the first two coefficients of expansion to be non-zero that define form of the volatility stochastic differential equation of Itô. It proved to be that for the long time scale the empirical data support the ExpOU model. At the short time scale the empirical model coincides with ExpOU model for the small volatility quantities only.     

Numerical methods for stochastic partial differential equations with multiple scales

A new method for solving numerically stochastic partial differential equations (SPDEs) with multiple scales is presented. The method combines a spectral method with the heterogeneous multiscale method (HMM) presented in [W. E, D. Liu, E. Vanden-Eijnden, Analysis of multiscale methods for stochastic differential equations, Commun. Pure Appl. Math., 58(11) (2005) 1544–1585]. The class of problems that we consider are SPDEs with quadratic nonlinearities that were studied in [D. Blömker, M. Hairer, G.A. Pavliotis, Multiscale analysis for stochastic partial differential equations with quadratic nonlinearities, Nonlinearity, 20(7) (2007) 1721–1744]. For such SPDEs an amplitude equation which describes the effective dynamics at long time scales can be rigorously derived for both advective and diffusive time scales. Our method, based on micro and macro solvers, allows to capture numerically the amplitude equation accurately at a cost independent of the small scales in the problem. Numerical experiments illustrate the behavior of the proposed method.     

Probability Evolution and Mean First-Passage Time for Multidimensional Non-Markovian Processes

We investigate a multidimensional system described by a set of stochastic differential equations in which the multiplicative noise is assumed to be an O-U noise. With the help of the projection operator technique, we derive an integrodifferential equation for the probability density and an approximate equation for the mean first-passage time (MFPT).Under some approximation, we obtain an effective Fokker-Planck equation and apply the equation to the single mode laser problem. The concrete calculations of MFPT are made with an important example.     

Exact decoherence dynamics of a single-mode optical field

We apply the influence-functional method of Feynman and Vernon to the study of a single-mode optical field that interacts with an environment at zero temperature. Using the coherent-state formalism of the path integral, we derive a generalized master equation for the single-mode optical field. Our analysis explicitly shows how non-Markovian effects manifest in the exact decoherence dynamics for different environmental correlation time scales. Remarkably, when these are equal to or greater than the time scale for significant change in the system, the interplay between the backaction-induced coherent oscillation and the dissipative effect of the environment causes the non-Markovian effect to have a significant impact not only on the short-time behavior but also on the long-time steady-state behavior of the system.     

Noncommutative cumulants for stochastic differential equations and for generalized Dyson series

For the stochastic equationU=VU, Kubo's ansalze for U in the form of differential and integrodifferential equations is investigated and a newansatz as an integral equation is added. Unique solutions in terms of noncommutative W- and K-cumulants are found by elementary functional differentiation, and expressions of van Kämpen and Terwiel are recovered. For the cumulants we find simple recursion relations and prove the important cluster property. Surprisingly, it is found that the Gaussian approximation in the differential equationansatz leads to positivity problems, while this is not the case with the integral and integrodifferential equation. The cumulant expansion technique is carried over to generalized Dyson series. In a companion paper we apply our results to quantum shot noise.     

Brownian motion calculus via path integrals

A stochastic calculus is derived by a path integral expansion of the conditional probability density about the most probable path for a fluctuation. The new term in the stochastic calculus is related to the dispersion in fluctuations from the most probable path and this can be expressed in terms of the excess entropy.     

Stochastic Dynamics of Reduced Wave Functions and Continuous Measurement in Quantum Optics

The stochastic dynamics of open quantum systems interacting with a zero temperature environment is investigated by employing a formulation of quantum statistical ensembles in terms of probability distributions on projective Hilbert space. It is demonstrated that the open system dynamics can consistently be described by a stochastic process on the reduced state space. The physical meaning of reduced probability distributions on projective Hilbert space is derived from a complete, orthogonal measurement of the environment. The elimination of the variables of the environment is shown to lead to a piecewise deterministic process in Hilbert space defined by a differential Chapman-Kolmogorov equation. A Hilbert space path integral representation of the stochastic process is constructed. The general theory is illustrated by means of three examples from quantum optics. For these examples the microscopic derivation of the stochastic process is given and the general solution of the differential Chapman-Kolmogorov equation is constructed by means of the path integral representation.     

The Gaussian effective potential and stochastic partial differential equations

We investigate arbitrary stochastic partial differential equations subject to translation invariant and temporally white noise correlations from a nonperturbative framework. The method that we expose first casts the stochastic equations into a functional integral form, then it makes use of the Gaussian effective potential approach, which is an useful tool for describing symmetry breaking. We apply this method to the Kardar-Parisi-Zhang equation and find that the system exhibits spontaneous symmetry breaking in and (3+1) Euclidean dimensions, providing insight into the evolution of the system configuration due to the presence of noise correlations. A simple and systematic approach to the renormalization, without explicit regularization, is employed.     

Motion reversal of molecular motor assemblies due to weak noise

Bidirectional motion is an example of collective behavior of molecular motors. It occurs at finite noise level in a nonequilibrium system. We consider this problem as a first exit problem. We identify the noise strength by doing an expansion of a master equation and apply the Wentzell-Freidlin theory to define an effective nonequilibrium potential and provide analytical estimates of the reversal time. Our results match very well with the results of stochastic simulations.     

Time-local gaussian processes,path integrals and nonequilibrium nonlinear diffusion

In this paper we discuss the concept of time-local gaussian processes. These are processes for which the state variable at time t + τ is gaussian distributed around its most probable value at that time, for a specified realization a small time interval τ earlier. On one hand it will be shown that these processes are related to a very simple path sum. On the other hand the associated stochastic differential equation is derived by means of the Kramers-Moyal method, and will be seen to be the most general nonlinear Fokker-Planck equation. The significance of the present formulation for nonequilibrium processes and the comprehension of critical phenomena will be evaluated.     

DISCRETE MULTISCALE ANALYSIS: A BIATOMIC LATTICE SYSTEM

We discuss a discrete approach to the multiscale reductive perturbative method and apply it to a biatomic chain with a nonlinear interaction between the atoms. This system is important to describe the time evolution of localized solitonic excitations.

We require that also the reduced equation be discrete. To do so coherently we need to discretize the time variable to be able to get asymptotic discrete waves and carry out a discrete multiscale expansion around them. Our resulting nonlinear equation will be a kind of discrete Nonlinear Schrödinger equation. If we make its continuum limit, we obtain the standard Nonlinear Schrödinger differential equation.     

The underlying Brownian motion of nonrelativistic quantum mechanics

Nonrelativistic quantum mechanics can be derived from real Markov diffusion processes by extending the concept of probability measure to the complex domain. This appears as the only natural way of introducing formally classical probabilistic concepts into quantum mechanics. To every quantum state there is a corresponding complex Fokker-Planck equation. The particle drift is conditioned by an auxiliary equation which is obtained through stochastic energy conservation; the logarithmic transform of this equation is the Schrödinger equation. To every quantum mechanical operator there is a stochastic process; the replacement of operators by processes leads to all the well-known results of quantum mechanics, using stochastic calculus instead of formal quantum rules. Comparison is made with the classical stochastic approaches and the Feynman path integral formulation.     

Higher-order implicit strong numerical schemes for stochastic differential equations

Higher-order implicit numerical methods which are suitable for stiff stochastic differential equations are proposed. These are based on a stochastic Taylor expansion and converge strongly to the corresponding solution of the stochastic differential equation as the time step size converges to zero. The regions of absolute stability of these implicit and related explicit methods are also examined.