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.     

Fractional generalized Langevin equation approach to single-file diffusion

Fractional generalized Langevin equation with external force is used to model single-file diffusion. It is found that for external force that varies with power law the solution for such a fractional Langevin equation gives the correct short and long time behavior for the mean square displacement of single-file diffusion when appropriate choice of parameters associated with fractional generalized Langevin equation are used. By considering some special cases of the fractional generalized Langevin equation, a new class of closed analytic expressions for the mean square displacement of single-file diffusion can be obtained. The effective Fokker-Planck equation associated with single-file diffusion is briefly considered.     

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.     

Superradiance from three-level systems in atomic coherent state representation

A Fokker-Planck equation describing the coherent spontaneous emission from a system of 3-level atoms is derived using the atomic coherent states representation. The variables in this equation correspond directly to the number of atoms in the two excited states. The corresponding Langevin equations are discussed and their solutions for some special cases are presented.     

Fractional Fokker-Planck equations for subdiffusion with space- and time-dependent forces

We derive a fractional Fokker-Planck equation for subdiffusion in a general space- and time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived from a generalized master equation and is shown to be equivalent to a subordinated stochastic Langevin equation.     

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.     

Half-range expansion analysis for Langewin dynamics in the high-friction limit with a singular absorbing boundary condition: Noncharacteristic case

We consider the dynamics of a Brownian particle given by the Langevin equation in a strip, under the effects of a deterministic force. The trajectories of particles originate at a source whose spatial location in the phase space coincides with the location of adsorbing boundaries. This leads to singular behavior of trajectories in the high-friction limit. We use the half-range expansion technique and systematic asymptotics to solve a boundary value problem for the Fokker-Planck operator and to calculate the steady-state transition probability density, the mean time to absorption, and the distribution of exit points. We do not make assumptions about other parameters in the problem except that they areO(1) relative to the friction coefficient. We calculate explicitly the correct location of the Milne-type extrapolation for absorbing boundary conditions for the Smoluchowski approximation to the Langevin equation.     

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.     

Langevin-like equation with colored noise

Consider a stochastic differential equation of the form of a Langevin equation, but in which the noise source is not white. If it is nearly white, i.e., its autocorrelation time is short, a systematic approximation method is known. It leads to a Fokker-Planck equation with successive higher order corrections. To obtain the coefficients more explicitly, a secondary expansion may be employed. The validity of the resulting double series approximation is discussed and confronted with the various results given in the literature. In addition, an alternative approximation method is obtained using the technique for eliminating fast variables. It produces the same terms in a different sequence.     

裂变扩散方程的协变性

研究了描述原子核裂变过程的Langevin方程和Fokker-Planck方程的协变性,给出了动力学参数的坐标交换规律.     

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.     

A systematic derivation of exact generalized Brownian motion theory

We present here a simple unified derivation of the exact Fokker-Planck equation obtained earlier by Zwanzig and the exact Langevin and transport equations derived by Mori. The derivation, based on the use of a Hilbert space formulation of the dynamics, leads to substantial generalizations of these results in a straightforward manner. We obtain nonlinear Langevin equations for classical systems and discuss the extension of the theory to driven transport and to quantum dynamics based either on the use of density matrices or Γ-space densities as suggested by Wigner. Remaining limitations of the theory are pointed out.     

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.     

On the Fokker-Planck description of compressible fluids

It is shown that the dynamics of a compressible, viscous classical fluid can be brought within the scope of the mixed canonical-dissipative formalism proposed previously as a tool of describing randomly driven systems. The Fokker-Planck equation for compressible fluids is derived and the structure of the Langevin force correlation tensor is discussed in view of the so-called potential conditions.     

Fokker-Planck description of multi-degree-of-freedom systems with correlated fluctuations

A Fokker-Planck equation is derived for a many-degree-of-freedom nonlinear Langevin equation driven by parametric gaussian fluctuations with finite correlation times. An oscillator with a fluctuating frequency is presented as an example.     

Eigenvalues and eigenfunctions of the Fokker-Planck equation for the extremely underdamped Brownian motion in a double-well potential

The eigenvalues and eigenfunctions of the Fokker-Planck equation describing the extremely underdamped Brownian motion in a symmetric double-well potential are investigated. By transforming the Fokker-Planck equation to energy and position coordinates and by performing a suitable averaging over the position coordinate, a differential equation depending only on energy is derived. For finite temperatures this equation is solved by numerical integration, whereas in the weak-noise limit an analytic result for the lowest nonzero eigenvalue is obtained. Furthermore, by using a boundary-layer theory near the critical trajectory, the correction term to the zero-friction-limit result is found.     

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.