Injected Power Fluctuations in Langevin Equation

In this paper, we consider the Langevin equation from an unusual point of view, that is as an archetype for a dissipative system driven out of equilibrium by an external excitation. Using path integral method, we compute exactly the probability density function of the power (averaged over a time interval of length ) injected (and dissipated) by the random force into a Brownian particle driven by a Langevin equation. The resulting distribution, as well as the associated large deviation function, display strong asymmetry, whose origin is explained. Connections with the so-called Fluctuation Theorem are thereafter discussed. Finally, considering Langevin equations with a pinning potential, we show that the large deviation function associated with the injected power is completely insensitive to the presence of a potential.     

Langevin dynamics of the glass forming polymer melt: Fluctuations around the random phase approximation

In this paper the Martin-Siggia-Rose (MSR) functional integral representation is used for the study of the Langevin dynamics of a polymer melt in terms of collective variables: mass density and response field density. The resulting generating functional (GF) takes into account fluctuations around the random phase approximation (RPA) up to an arbitrary order. The set of equations for the correlation and response functions is derived. It is generally shown that for cases whenever the fluctuation-dissipation theorem (FDT) holds we arrive at equations similar to those derived by Mori-Zwanzig. The case when FDT in the glassy phase is violated is also qualitatively considered and it is shown that this results in a smearing out of the ideal glass transition. The memory kernel is specified for the ideal glass transition as a sum of all “water-melon” diagrams. For the Gaussian chain model the explicit expression for the memory kernel was obtained and discussed in a qualitative link to the mode-coupling equation. Received: 9 January 1998 / Revised: 24 April 1998 / Accepted: 2 July 1998     

An impulse integrator for Langevin dynamics

The best simple method for Newtonian molecular dynamics is indisputably the leapfrog Stormer-Verlet method. The appropriate generalization to simple Langevin dynamics is unclear. An analysis is presented comparing an ‘impulse method’ (kick; fluctuate; kick), the 1982 method of van Gunsteren and Berendsen, and the Brünger-Brooks-Karplus (BBK) method. It is shown how the impulse method and the van Gunsteren-Berendsen methods can be implemented as efficiently as the BBK method. Other considerations suggest that the impulse method is the best basic method for simple Langevin dynamics, with the van Gunsteren-Berendsen method a close contender.     

Langevin equation in field theory

A new approach to quantum field theory is developed based on the Langevin equation (stochastic quantization). Applications to conventional and gauge theories are discussed, as well as various extensions; the Langevin difference equation, the complex Langevin equation in Minkowski space, etc.Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 3, pp. 66–76, March, 1986.     

Langevin dynamics of an interface near a wall

We study dynamical contact angles and precursor films using Langevin dynamics for SOS type models, near a wall which favors spreading. We first solve exactly the Gaussian model and discuss various asymptotic regimes. This is only appropriate to partial wetting. We then consider more general models. Using local equilibrium and scaling arguments, we derive the shape of the dynamical profile and the speed of the precursor film which exists when the spreading coefficient is strictly positive. Long-range potentials lead to a layered structure of the precursor film. We also consider the case of a meniscus in a capillary.     

Langevin dynamics simulations of phase separation in a one-component system

Langevin dynamics computer simulations have been performed for a two-dimensional Lennard-Jones fluid quenched into the coexistence region of its liquid-vapor phase diagram. For late stages of the phase-separation process, the average radius of the liquid clusters is found to grow proportional to (time)^1/4. This growth law is analyzed theoretically and compared to recent molecular dynamics and Monte Carlo results. Details of the different simulation methods are critically discussed.     

Fluctuations in network dynamics

Most complex networks serve as conduits for various dynamical processes, ranging from mass transfer by chemical reactions in the cell to packet transfer on the Internet. We collected data on the time dependent activity of five natural and technological networks, finding that for each the coupling of the flux fluctuations with the total flux on individual nodes obeys a unique scaling law. We show that the observed scaling can explain the competition between the system's internal collective dynamics and changes in the external environment, allowing us to predict the relevant scaling exponents.     

重离子全熔合反应中的Langevin统计涨落

在重离子反应中，尽管统计涨落是很明显的，但是在以前的关于重离子全熔合反应的理论模型中未加考虑．本工作在经典轨道模型框架内，在运动方程中包括了Ｌａｎｇｅｖｉｎ无规力，采用Ｍｏｎｔｅ－Ｃａｒｌｏ轨道抽样方法计算了１００Ｍｏ＋１００Ｍｏ和８６Ｋｒ＋１２３Ｓｂ全熔合反应的几率，并且与实验值进行了比较.It is not considered in the previous theoretical models on the complete fusion reactions, though the statistical fluctuation is very obvious. In the present work in framework of the classical trajetory model the Langevin random force is included in the motion equations. The fusion probabilities for the 100 Mo+ 100 Mo和 86 Kr+ 123 Sb reactions are calculated by Monte Carlo sampling of trajectories. The calculated fusion probabilities are also compared with the...     

Derivation of a Fokker–Planck equation for generalized Langevin dynamics

A Fokker–Planck equation describing the statistical properties of Brownian particles acted upon by long-range stochastic forces with power-law correlations is derived. In contrast with previous approaches (Wang, Phys. Rev. A 45 (1992) 2), it is shown that the distribution of Brownian particles after release from a point source is broader than Gaussian and described by a Fox function. Transport is shown to be ballistic at short times and either sub-diffusive or super-diffusive at large times. The imposition of occasional trapping events onto the Brownian dynamics can result in confined diffusion (d/dtx²→0) at long times when the mean trapping time is divergent. It is suggested that such dynamics describe protein motions in cell membranes.     

Conservative Langevin dynamics of solid-on-solid interfaces

We study the dynamics of an interface between two phases in interaction with a wall in the case when the evolution is dominated by surface diffusion. For this, we use an SOS model governed by a conservative Langevin equation and suitable boundary conditions. In the partial wetting case, we study various scaling regimes and show oscillatory behavior in the relaxation of the interface toward its equilibrium shape. We also consider complete wetting and the structure of the precursor film.     

The Langevin dynamics of vibrated powders

We present a microscopic theory of the relaxational behaviour of a granular pile submitted to vibration, elucidating the different roles of collective and independent-particle relaxation. We write down and solve Langevin equations for these processes, which have an explicit coupling. The analysis of the solution in terms of independent-particle and collective relaxations provides a consistent framework for the interpretation of experimental results.     

An effective force field for molecular dynamics simulations of dimethyl sulfone

A rigid five-site united atom model for dimethyl sulfone (DMSO₂) compatible with the GROMOS force field is parametrized and tested. The parameters were optimized with respect to experimental quantities such as liquid density, heat of vaporization, shear viscosity and excess free energy. Good agreement with pure component properties is achieved except for the static dielectric permittivity which is calculated too low. Together with the SPC model for water the new DMSO₂ model was used to study aqueous mixtures at low concentrations and compared to aqueous mixtures of DMSO. It is concluded that interaction parameters for sulfoxide oxygen are not directly transferable to sulfonyl oxygen.     

Localised distributions and criteria for correctness in complex Langevin dynamics

Complex Langevin dynamics can solve the sign problem appearing in numerical simulations of theories with a complex action. In order to justify the procedure, it is important to understand the properties of the real and positive distribution, which is effectively sampled during the stochastic process. In the context of a simple model, we study this distribution by solving the Fokker–Planck equation as well as by brute force and relate the results to the recently derived criteria for correctness. We demonstrate analytically that it is possible that the distribution has support in a strip in the complexified configuration space only, in which case correct results are expected.     

Fluctuations of acoustic field in a granular medium

Results of an experimental study of sound propagation in a granular medium are presented. It is found that, in the case of excitation of a harmonic signal with a constant amplitude, the acoustic response of a single grain strongly varies in time. The dependence of the harmonic component amplitudes in the response spectrum on the level of signal excitation proves to be nonmonotonic and also strongly varies in time. The most intense fluctuations are observed in the subharmonic component of the propagating signal. The intensity fluctuation spectra of the harmonic components of the response are obtained for the frequency range of 10⁻⁴−10⁻¹ Hz. A possible mechanism that may be responsible for the slow fluctuations of an acoustic field in a granular medium is discussed.

     

Ensemble vs. time averages in financial time series analysis

Empirical analysis of financial time series suggests that the underlying stochastic dynamics are not only non-stationary, but also exhibit non-stationary increments. However, financial time series are commonly analyzed using the sliding interval technique that assumes stationary increments. We propose an alternative approach that is based on an ensemble over trading days. To determine the effects of time averaging techniques on analysis outcomes, we create an intraday activity model that exhibits periodic variable diffusion dynamics and we assess the model data using both ensemble and time averaging techniques. We find that ensemble averaging techniques detect the underlying dynamics correctly, whereas sliding intervals approaches fail. As many traded assets exhibit characteristic intraday volatility patterns, our work implies that ensemble averages approaches will yield new insight into the study of financial markets’ dynamics.     

Real-space renormalization group for Langevin dynamics in absence of translational invariance

A novel exact dynamical real-space renormalization group for a Langevin equation derivable from a Euclidean Gaussian action is presented. It is demonstrated rigorously that an algebraic temporal law holds for the Green function on arbitrary structures of infinite extent. In the case of fractals it is shown on specific examples that two different fixed points are found, at variance with periodic structures. Connection with the growth dynamics of interfaces is also discussed.