Langevin description of markovian integro-differential master equations

For a given master equation of a discontinuous irreversible Markov process, we present the derivation of stochastically equivalent Langevin equations in which the noise is either multiplicative white generalized Poisson noise or a spectrum of multiplicative white Poisson noise. In order to achieve this goal, we introduce two new stochastic integrals of the Ito type, which provide the corresponding interpretation of the Langevin equations. The relationship with other definitions for stochastic integrals is discussed. The results are elucidated by two examples of integro-master equations describing nonlinear relaxation.     

Dynamics of nonlinear oscillators with fluctuating parameters

We derive the (integro-differential) master equation of an oscillator in a thermal environment which is driven by a non-linear randomly varying force. The thermal noise is assumed to be δ-correlated gaussian noise and the parameter fluctuations are assumed to be multiplicative white Poisson noise. For the case of a large viscosity we derive a generalized Smoluchowski equation and sketch the modification of Kramers' reaction rate. The rate is shown to contain a temperature-independent “tunneling” contribution.     

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.     

Non-Markovian stochastic processes: colored noise

We survey classical non-Markovian processes driven by thermal equilibrium or nonequilibrium (nonthermal) colored noise. Examples of colored noise are presented. For processes driven by thermal equilibrium noise, the fluctuation-dissipation relation holds. In consequence, the system has to be described by a generalized (integro-differential) Langevin equation with a restriction on the damping integral kernel: Its form depends on the correlation function of noise. For processes driven by nonequilibrium noise, there is no such a restriction: They are considered to be described by stochastic differential (Ito- or Langevin-type) equations with an independent noise term. For the latter, we review methods of analysis of one-dimensional systems driven by Ornstein-Uhlenbeck noise.     

Stochastic calculus in physics

The relationship of the Ito-Stratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective Fokker-Planck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich version of the Ito-Stratonovich calculus for white noise. It also provides an approach to steady state behavior for strongly colored noise. Numerical simulation algorithms are explored, and a novel suggestion is made for efficient and accurate simulation of white noise equations.     

Finite size effects in stochastically driven systems use of the Poisson representation

A method is presented to take into account finite size effects in a system under the influence of external noise. Inclusion of external noise in a master equation results in an effective master equation in which new transitions among states are possible. The steady state properties of a chemical systems are calculated using the Poisson representation of the master equation.     

Analytical results for a non-Markovian process of gene expression with positive and negative feedbacks

Gene expression is a very complex process and involves many small biochemical reaction steps, resulting in a non-Markovian discrete stochastic process due to molecular memory between individual reactions. At present, this process is successfully investigated by generalized chemical master equation models. However, these models do not consider the role of feedback networks in gene expression. How the interaction between feedbacks and molecular memory affects gene expression still remains not well understood. Here, we establish generalized chemical master equation models of gene expression with positive and negative feedbacks. Assuming that the process of producing proteins follows an Erlang probability distribution, we obtain the analytical expression for this model in a steady state, as well as the measure of the noise of protein numbers. We further find that molecular memory competes with the positive feedback in suppressing the noise of the protein number. For our model with a negative feedback, molecular memory can strengthen the intensity of suppressing this noise. These interesting results imply that molecular memory are as important as the feedbacks to affect gene expression.     

Systems Driven by Colored Poisson Noise: Unified Colored Noise Approximation

In this paper, unified colored noise approximation is extended to treat the systems driven by Poisson colored noise χ = ν(χ) + gε_cp(t). We arrive the evolution equation of the probability distribution pi(x, r) and the stationary probability distribution pt (χ, Υ). These equations are valid only if γ(χ,Υ) ≡ γ^-1/2[1 - ΥG(χ)/g(χ)] (G(χ) ≡ v'(χ)g(χ) - v(g)g'(χ)) is large enough (positive) and t >> Υ/γ(χ, Υ), but Υ is not restricted. As an application, we derive the nonlinear relaxation time (NLRT) for the processes driven by Poisson colored noise and evduate the NLRT for the approximative Ginzburg-Landon model under small Υ.     

加性和乘性泊松白噪声联合激励下光滑非连续振子的随机响应

利用广义胞映射方法,研究了加性和乘性泊松白噪声联合作用下SD振子(smooth and discontinuous oscillator)的随机响应问题.基于图分析算法,获得确定SD振子的吸引子、吸引域、域边界、鞍和不变流形等全局特性.基于矩阵分析算法,计算了SD振子在泊松白噪声激励下的瞬态和稳态响应.结果表明:随机响应的概率密度函数演化方向和确定情况下的不稳定流形形状之间存在密切联系.蒙特卡罗模拟结果表明,所使用的方法是有效且准确的.     

Global Analysis of Response in the Piezomagnetoelastic Energy Harvester System under Harmonic and Poisson White Noise Excitations

The piezomagnetoelastic energy harvester system subjected to harmonic and Poisson white noise excitations is studied by using the generalized cell mapping method. The transient and stationary probability density functions (PDFs) of response based on the global viewpoint are obtained by the matrix analysis method. Monte Carlo simulation results verify the accuracy of this method. It can be observed that evolutionary direction of transient and stationary PDFs is in accordance with the unstable manifold for this system, and a stochastic P-bifurcation occurs as the intensity of Poisson white noise increases. This study presents an efficient numerical tool to solve the stochastic response of a three-dimensional dynamical system and provides a new idea to analyze the energy harvester system.     

Stationary response of multi-degree-of-freedom vibro-impact systems to Poisson white noises

The stationary response of multi-degree-of-freedom (MDOF) vibro-impact (VI) systems to random pulse trains is studied. The system is formulated as a stochastically excited and dissipated Hamiltonian system. The constraints are modeled as non-linear springs according to the Hertz contact law. The random pulse trains are modeled as Poisson white noises. The approximate stationary probability density function (PDF) for the response of MDOF dissipated Hamiltonian systems to Poisson white noises is obtained by solving the fourth-order generalized Fokker-Planck-Kolmogorov (FPK) equation using perturbation approach. As examples, two-degree-of-freedom (2DOF) VI systems under external and parametric Poisson white noise excitations, respectively, are investigated. The validity of the proposed approach is confirmed by using the results obtained from Monte Carlo simulation. It is shown that the non-Gaussian behaviour depends on the product of the mean arrival rate of the impulses and the relaxation time of the oscillator.     

Global Analysis of Response in the Piezomagnetoelastic Energy Harvester System under Harmonic and Poisson White Noise Excitations

The piezomagnetoelastic energy harvester system subjected to harmonic and Poisson white noise excitations is studied by using the generalized cell mapping method. The transient and stationary probability density functions(PDFs) of response based on the global viewpoint are obtained by the matrix analysis method. Monte Carlo simulation results verify the accuracy of this method. It can be observed that evolutionary direction of transient and stationary PDFs is in accordance with the unstable manifold for this system, and a stochastic P-bifurcation occurs as the intensity of Poisson white noise increases. This study presents an efficient numerical tool to solve the stochastic response of a three-dimensional dynamical system and provides a new idea to analyze the energy harvester system.     

色噪声对光学双稳态的影响

采用统一色噪声近似构建了由乘法色噪声驱动的纯吸收型光学双稳态状态方程,并分析了色噪声对光学双稳态的影响,将结果与白噪声驱动的光学双稳态进行比较.结果表明:当乘法噪声与加法噪声处在正关联时,增加乘法色噪声的自关联时间r,光学双稳性的区域显著变宽,即磁滞回线面积变大;当乘法噪声与加法噪声处在负关联时,只有乘法噪声较小时,改变乘法色噪声的自关联时间r,光学双稳态才发生改变;当乘法噪声的自相关时间等于零时,本文模型退化为乘法白噪声驱动的光学双稳性状态方程.     

Effect of Asymmetric Potential and Gaussian Colored Noise on Stochastic Resonance

The phenomenon of stochastic resonance （SR） in a bistable nonlinear system is studied when the system is driven by the asymmetric potential and additive Gaussian colored noise. Using the unified colored noise approximation method, the additive Gaussian colored noise can be simplified to additive Gaussian white noise. The signal-to-noise ratio （SNR） is calculated according to the generalized two-state theory （shown in [H.S. Wio and S. Bouzat, Brazilian J.Phys. 29 （1999） 136]）. We find that the SNR increases with the proximity of a to zero. In addition, the correlation time T between the additive Gaussian colored noise is also an ingredient to improve SR. The shorter the correlation time T between the Gaussian additive colored noise is, the higher of the peak value of SNR.     

Quantum State Preparation and Protection by Measurement-Based Feedback Control Against Decoherence

We consider an open quantum system subjected to a noise channel under measurement-based feedback control and two prototypical classes of decoherence channels are considered: phase damping and generalized amplitude damping. Based on quantum trajectory theory, we obtain an extended master equation for the dynamics of the reduced system in the presence of feedback control. For a qubit system we analytically solve this master equation and obtain the solution of the state vector dynamics. Then we propose an effective feedback control scheme for preparing an arbitrary quantum pure state. We also study how to protect two nonorthogonal states effectively, and find that projective measurement with unbiased basis is not optimal for this task, while weak measurement with biased basis could realize the best protection of two nonorthogonal states. Furthermore, the inefficiencies in the feedback process are also discussed.     

染料激光色立方模型定态性质的描述

应用一般形式的统一色噪声近似得到了洒料激光色立方模型光强分布的福克－普朗克方程。导出了光强分布函数，描述了光强涨落的实验和数值模拟结果以及色噪声对光强涨落的影响。     

Dynamical Properties of Systems Driven by Colored Poisson Noise

We derive equations for the single and joint probability distribution of systems driven by colored Poisson noise using the ordered cumulant technique. We also derive the equation for the correlation function. We discuss an example for which the correlation function and the associated relaxation time are calculated.