A mini-tutorial on measure-valued Markov processes and nonlinear martingale problems—As a reply to McCauley's comment

One goal of this mini-tutorial is to provide an introduction into the theory of measure-valued Markov processes and nonlinear martingales defined by strongly nonlinear Fokker-Planck equations and to discuss the physical relevance of the associated processes. Another goal is to reply to McCauley's comment on T.D. Frank [Physica A 331, 391 (2004)]. The tutorial addresses in detail two approaches found in physics and mathematics. The first approach exploits a mapping between linear and nonlinear Fokker-Planck equations. The second approach exploits martingale theory. Several examples of Markov processes and martingales in quantum mechanical, nonextensive, and self-organizing systems defined by nonlinear Fokker-Planck equations are discussed.     

A comment on the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T.D. Frank

The purpose of this comment is to correct mistaken assumptions and claims made in the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T. D. Frank [T.D. Frank, Stochastic feedback, non-linear families of Markov processes, and nonlinear Fokker-Planck equations, Physica A 331 (2004) 391]. Our comment centers on the claims of a “non-linear Markov process” and a “non-linear Fokker-Planck equation.” First, memory in transition densities is misidentified as a Markov process. Second, the paper assumes that one can derive a Fokker-Planck equation from a Chapman-Kolmogorov equation, but no proof was offered that a Chapman-Kolmogorov equation exists for the memory-dependent processes considered. A “non-linear Markov process” is claimed on the basis of a non-linear diffusion pde for a 1-point probability density. We show that, regardless of which initial value problem one may solve for the 1-point density, the resulting stochastic process, defined necessarily by the conditional probabilities (the transition probabilities), is either an ordinary linearly generated Markovian one, or else is a linearly generated non-Markovian process with memory. We provide explicit examples of diffusion coefficients that reflect both the Markovian and the memory-dependent cases. So there is neither a “non-linear Markov process”, nor a “non-linear Fokker-Planck equation” for a conditional probability density. The confusion rampant in the literature arises in part from labeling a non-linear diffusion equation for a 1-point probability density as “non-linear Fokker-Planck,” whereas neither a 1-point density nor an equation of motion for a 1-point density can define a stochastic process. In a closely related context, we point out that Borland misidentified a translation invariant 1-point probability density derived from a non-linear diffusion equation as a conditional probability density. Finally, in the Appendix A we present the theory of Fokker-Planck pdes and Chapman-Kolmogorov equations for stochastic processes with finite memory.     

Eigentheory of the inhomogeneous Fokker-Planck equation

Ambiguities that occur in the existing eigentheory of the inhomogeneous Fokker-Planck equation are resolved. The eigenfunction expansion is shown to be identical to the known exact solution, generalizing an earlier result for the space-homogeneous case.Work partially supported by the NSF.     

A discretized spectral approximation in neutron transport theory. Some numerical considerations

The half-range weight function, orthogonality integrals, and completeness theorems in the theory of kinetic equations are often not known, or when they are, are too complicated to be of much practical use. This suggests the use of full-range relations to solve half-range problems, and in this paper we investigate the adaptability of such an approach in the theory of one-speed neutron transport by a discretized spectral approximation formulated recently.     

Microscopic derivation of non-Markovian thermalization of a Brownian particle

In this paper, the first microscopic approach to Brownian motion is developed in the case where the mass density of the suspending bath is of the same order of magnitude as that of the Brownian (B) particle. Starting from an extended Boltzmann equation, which describes correctly the interaction with the fluid, we derive systematically via multiple-time-scale analysis a reduced equation controlling the thermalization of the B particle, i.e., the relaxation toward the Maxwell distribution in velocity space. In contradistinction to the Fokker-Planck equation, the derived new evolution equation is nonlocal both in time and in velocity space, owing to correlated recollision events between the fluid and particle B. In the long-time limit, it describes a non-Markovian generalized Ornstein-Uhlenbeck process. However, in spite of this complex dynamical behavior, the Stokes-Einstein law relating the friction and diffusion coefficients is shown to remain valid. A microscopic expression for the friction coefficient is derived, which acquires the form of the Stokes law in the limit where the meanfree path in the gas is small compared to the radius of particle B.Knowing the interest of Matthieu Ernst in the subtle and fundamental problems of kinetic theory, we have the pleasure to dedicate this study to him.     

Phase transition in annihilation-limited processes

A system of particles is studied in which the stochastic processes are one-particle type-change (or one-particle diffusion) and multi-particle annihilation. It is shown that, if the annihilation rate tends to zero but the initial values of the average number of the particles tend to infinity, so that the annihilation rate times a certain power of the initial values of the average number of the particles remain constant (the double scaling) then if the initial state of the system is a multi-Poisson distribution, the system always remains in a state of multi-Poisson distribution, but with evolving parameters. The large time behavior of the system is also investigated. The system exhibits a dynamical phase transition. It is seen that for a k-particle annihilation, if k is larger than a critical value k_c, which is determined by the type-change rates, then annihilation does not enter the relaxation exponent of the system; while for k < k_c, it is the annihilation (in fact k itself) which determines the relaxation exponent.     

长时相干效应与分形布朗运动

 我们研究了阻尼布朗粒子，在具有幂律长时相干C(t)~t^-β（0<β<1，1<β<2）的无规涨落力作用下的运动情况。我们发现它是作分形布朗运动，而不是作普通的布朗运动，而且，找出了分形布朗运动的有效Fokker-Planck方程，以及相应的精确解。于是第一次把长时相干效应和分形布朗运动建立了定量的联系。     

Solution of the Fokker-Planck equation for the shock wave problem

An eigenexpansion solution of the time-independent Brownian motion Fokker-Planck equation is given for a situation in which the external acceleration is a step function. The solution describes the heavy-species velocity distribution function in a binary mixture undergoing a shock wave, in the limit of high dilution of the heavy species and negligible width of the light-gas internal shock. The diffusion solution is part of the eigenexpansion. The coefficients of the series of eigenfunctions are obtained analytically with transcendentally small errors of order exp(–1/M), whereM 1 is the mass ratio. Comparison is made with results from a hypersonic approximation.     

Projector formalism of generalized Brownian motion theory applied to dissipative and noisy systems

The projector formalism of Zwanzig-Mori type is extended to obtain generalized Fokker-Planck and generalized nonlinear Langevin equations for coarse-grained variables when the underlying microscopic dynamics is dissipative and noisy (stochastic).     

Intermediate processes and critical phenomena: Theory, method and progress of fractional operators and their applications to modern mechanics

From point of view of physics, especially of mechanics, we briefly introduce fractional operators (with emphasis on fractional calculus and fractional differential equations) used for describing intermediate processes and critical phenomena in physics and mechanics, their progress in theory and methods and their applications to modern mechanics. Some authors’ researches in this area in recent years are included. Finally, prospects and evaluation for this subject are made.     

On the derivation of Smoluchowski equations with corrections in the classical theory of Brownian motion

Differential equations governing the time evolution of distribution functions for Brownian motion in the full phase space were first derived independently by Klein and Kramers. From these so-called Fokker-Planck equations one may derive the reduced differential equations in coordinate space known as Smoluchowski equations. Many such derivations have previously been reported, but these either involved unnecessary assumptions or approximations, or were performed incompletely. We employ an iterative reduction scheme, free of assumptions, and calculate formally exact corrections to the Smoluchowski equations for many-particle systems with and without hydrodynamic interaction, and for a single particle in an external field. In the absence of hydrodynamic interaction, the lowest order corrections have been expressed explicitly in terms of the coordinate space distribution function. An additional application of the method is made to the reduction of the stress tensor used in evaluating the intrinsic viscosity of particles in solution. Most of the present work is based on classical Brownian motion theory, but brief consideration is given in an appendix to some recent developments regarding non-Markovian equations for Brownian motion.Supported by the National Science Foundation.     

Effective Potential of a Two-State Model for Molecular Motor

We study force generation and motion of molecular motors using a simple two-state model in the paper. Asymmetric and periodic potential is adopted to describe the interaction between motor proteins and filaments that are periodic and polar. The current and the slope of the effective potential as functions of the temperature and transition rates are calculated in the two-state model. The ratio of the slope of the effective potential to the current is also calculated. It is shown that the directed motion of motor proteins is relevant to the effective potential. The slope of the effective potential corresponds to an average force. The non-vanishing force therefore implies that detailed balance is broken in the process of transition between different states.     

One-dimensional non-relativistic and relativistic Brownian motions: a microscopic collision model

We study a simple microscopic model for the one-dimensional stochastic motion of a (non-)relativistic Brownian particle, embedded into a heat bath consisting of (non-)relativistic particles. The stationary momentum distributions are identified self-consistently (for both Brownian and heat bath particles) by means of two coupled integral criteria. The latter follow directly from the kinematic conservation laws for the microscopic collision processes, provided one additionally assumes probabilistic independence of the initial momenta. It is shown that, in the non-relativistic case, the integral criteria do correctly identify the Maxwellian momentum distributions as stationary (invariant) solutions. Subsequently, we apply the same criteria to the relativistic case. Surprisingly, we find here that the stationary momentum distributions differ slightly from the standard Jüttner distribution by an additional prefactor proportional to the inverse relativistic kinetic energy.     

Fractal dimensionality and microscopic analysis of the dynamics in simple liquids

Summary The idea to evaluate the ?average fractal dimension? of the motion in a condensed phase system, on the basis of the analysis of the fractal properties of the trajectories of its microscopic components has been further developed. The fractal dimension of particle trajectories, evaluated through the correlation density integral, is formally related with the self-part of the dynamic structure factorG _s(r, t) (the self-part of the Van Hove function); so far a bridge between fractal and thermodynamical properties has been built up.

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Riassunto L’idea di stimare la ?dimensione frattale media? del moto in un sistema nella fase condensata è ulteriormente sviluppata mediante l’analisi delle proprietà frattali delle traiettorie delle componenti microscopiche. La dimensione frattale delle traiettorie delle particelle, stimata attraverso le correlazioni di densità, obbedisce ad una relazione formale con la self-part del fattore di struttura dinamicoG _s(r, t); in questo modo si mostra un legame tra le proprietà frattali e quelle termodinamiche.

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Резюме Развивается идея оценить ?среднюю фрактальную размерность? движения в конденсированной фазовой системе на основе анализа фрактальных свойств частицы траекторий для микроскопических компонент. Фрактальная размерность траекторий, определенная через корреляционный интеграл плотности, подчиняется формальному соотношеию с собтвенной частью динамического структурного фактораG _s(r,t) (собственная часть функции Ван Хава). Указывается связь между фрактальнымк и термодинамическими свойствами.

     

Properly quantized history-dependent Parrondo games, Markov processes, and multiplexing circuits

In the context of quantum information theory, “quantization” of various mathematical and computational constructions is said to occur upon the replacement, at various points in the construction, of the classical randomization notion of probability distribution with higher order randomization notions from quantum mechanics such as quantum superposition with measurement. For this to be done “properly”, a faithful copy of the original construction is required to exist within the new quantum one, just as is required when a function is extended to a larger domain. Here procedures for extending history-dependent Parrondo games, Markov processes and multiplexing circuits to their quantum versions are analyzed from a game theoretic viewpoint, and from this viewpoint, proper quantizations developed.