Matrix continued fraction solutions of the Kramers equation and their inverse friction expansions

The distribution function in position and velocity space for the Brownian motion of particles in an external field is determined by the Kramers equation, i.e., by a two variable Fokker-Planck equation. By expanding the distribution function in Hermite functions (velocity part) and in another complete set satisfying boundary conditions (position part) the Laplace transform of the initial value problem is obtained in terms of matrix continued fractions. An inverse friction expansion of the matrix continued fractions is used to show that the first Hermite expansion coefficient may be determined by a generalized Smoluchowski equation. The first terms of the inverse friction expansion of this generalized Smoluchowski operator and of the memory kernel are given explicitly. The inverse friction expansion of the equation determining the eigenvalues and eigenfunctions is also given and the connection with the result of Titulaer is discussed.     

Solutions of the Fokker-Planck equation describing the thermalization of neutrons in a heavy gas moderator

The thermalization of neutrons is described by a transport equation with a second order differential operator with respect to the energy. First this equation is transformed to an one-variable Fokker-Planck equation. Next an eigenfunction expansion and a polynomial expansion are used to solve the time-dependent Fokker-Planck equation. The eigenvalues are obtained either by solving a Schrödinger equation or by calculating 2×2 matrix continued fractions. Explicit results for the approach to equilibrium of a pulse of neutrons as well as the stationary distribution for 1/v absorption are presented. It is shown that the theory of the photoelectromotive force in semiconductors also leads to the same problem.     

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.     

The approach to hard-sphere brownian motion: Variational eigenfunctions and evaluation of the Rayleigh-Fokker-Planck equation

We present detailed tabulations of the first few eigenfunctions of the hard-sphere energy scattering kernel for a test-particle in a background heat-bath. Calculations, for a range of heat bath/test particle mass-ratios between $\text{1}\text{8}$ and $\text{1}\text{1024}$, were carried out by a Rayleigh-Ritz method using the exact solutions of the hard-sphere Fokker-Planck equation as a basis set and supplement our previously-published results for the eigenvalues alone. The results, given as expansion coefficients in this representation thus also serve to verify the accuracy of the Fokker-Planck equation itself, the departure from this equation being reflected in the off-diagonal contributions in the Rayleigh-Ritz expansion eigenvectors.As expected, the tendency towards brownian motion behaviour with decrease in the mass-ratio parameter shows itself in a progressive convergence of a larger and larger subset of the true eigenfunctions to the corresponding Fokker-Planck set, beginning with the eigenvalue of lowest index. The class of probability distributions whose evolution is satisfactory predicted by the Fokker-Planck equation is then precisely the class that can be adequately expanded in terms of this incomplete subset. In keeping with the approximations introduced in the derivation of the Fokker-Planck equation and the qualitative nature of the hard-sphere eigenvalue spectrum, the results confirm quantitatively the considerable restrictions which the former imposes upon acceptable solution functions, excluding in particular both short-time behaviour and solutions of insufficient smoothness. A mean-square criterion for accuracy of the Fokker-Planck solutions is suggested and examined in the light of our numerical results.     

Variational perturbation theory for Fokker-Planck equation with nonlinear drift

We develop a recursive method for perturbative solutions of the Fokker-Planck equation with nonlinear drift. The series expansion of the time-dependent probability density in terms of powers of the coupling constant is obtained by solving a set of first-order linear ordinary differential equations. Resumming the series in the spirit of variational perturbation theory we are able to determine the probability density for all values of the coupling constant. Comparison with numerical results shows exponential convergence with increasing order.     

Statistical mechanics of nonlinear hydrodynamic fluctuations

The paper studies nonlinear hydrodynamic fluctuations by the methods of nonequilibrium statistical mechanics. The generalized Fokker-Planck equation for the distribution function of coarse-grained densities of conserved quantities is derived from the Liouville equation and then is investigated by using the gradient expansions in the flux correlation matrix. We have obtained the functional-differential Fokker-Planck equation describing the nonlinear hydrodynamic fluctuations in spatially nonuniform systems to second order in gradients of coarse-grained fluctuating fields. An outline of the derivation of Fokker-Planck equations containing the Burnett terms is also given. The explicit coordinate representation for the hydrodynamic Fokker-Planck equation is discussed in the case of one-component simple fluid. The general scheme of a change of coarse-grained functional variables is developed for hydrodynamic Fokker-Planck equations. The corresponding transformation rules are found for “drift” terms, “diffusion coefficients” and thermodynamic forces. The dynamical equations and stationary conditions for averages of functions (functionals) of hydrodynamic fields are discussed by using the Fokker-Planck operators acting on such functions. The explicit form of these operators are found for various sets of fluctuating fields. As an application of the formalism the calculation of the stationary correlation functions is presented for a simple nonequilibrium steady state.     

Optical bistability due to a two-photon absorption resonance with fluctuations

Using the intensity-dependent complex dielectric function for a two-photon absorption resonance we derive the Langevin equation for the fluctuating light-field in the non-linear resonator. The corresponding Fokker-Planck equation is solved by expanding the distribution function in terms of products of trigonometric functions and generalized Laguerre polynomials. The expansion coefficients are calculated using the method of matrix continued fractions. Numerical results for the stationary case are given.     

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.     

Correlation functions and correlation times for models with multiplicative white noise

Correlation functions and correlation times for the Stratonovich and Verhulst model are investigated. By transforming the Fourier transform of the corresponding Fokker-Planck equation into a tridiagonal vector recurrence relation, the Fourier transform of the correlation function and the correlation time are expressed in terms of matrix continued fractions or by similar iterations and are thus obtained numerically. By using the inverse Fourier transform, the correlation function itself is calculated. Furthermore an analytic expression in terms of an integral is obtained for the correlation time, which is evaluated exactly in the Verhulst model and asymptotically for large and weak noise strength in the Stratonovich model. A Padé expansion approximating the correlation time for all noise strength is also given.     

Comments on the Grad procedure for the Fokker-Planck equation

If the kinetic equation of a macroscopic system is expanded with respect to the velocity in terms of orthogonal functions, e.g., in terms of Hermite functions, one obtains an infinite hierarchy of equations for the expansion coefficients. Grad's method consists in truncating this hierarchy and investigating the remaining finite system. In this paper we set up conditions under which this procedure is rigorously justified in case of the Fokker-Planck equation.     

Electron velocity distribution in a fully ionized plasma under the action of crossed electric and magnetic fields

A fully ionized spatially homogeneous plasma is subjected to weak constant crossed electric and magnetic fields, and the velocity distribution function for the electrons is studied. The Fokker-Planck type expression for the Lorentz gas is employed for the collision term in the Boltzmann equation. This equation is solved by direct expansion and some conditions of convergence of this expansion are obtained.The author wishes to express his thanks to Prof. J. Kracík, DrSc., for valuable advice and suggestions.     

The Fokker-Planck equation for arbitrary nonlinear noise

We present the Fokker-Planck equation for arbitrary nonlinear noise terms. The white noise limit is taken as the zero correlation time limit of the Ornstein-Uhlenbeck process. The drift and diffusion coefficients of the Fokker-Planck equation are given by triple integrals of the fluctuations. We apply the Fokker-Planck equation to the active rotator model with a fluctuating potential barrier which depends nonlinearly on an additive noise. We show that the nonlinearity may be transformed into the correlation of linear noise terms.     

Quantummechanical solutions of the laser masterequation. II

A Fokker-Planck equation for a distribution function over the macroscopic observables of the laser essentially equivalent to that recently obtained byRisken,Schmid andWeidlich is derived from the fundamental quantummechanical laser masterequation. The general method used is the expansion of the statistical operator in a complete set of projection operators of the atoms and the lightfield. The assumptions leading from the microscopic equation of motion to the macroscopic semiclassical Fokker-Planck equation are explicitly introduced and discussed.     

Diffusion in a bistable potential: A comparative study of different methods of solution

The problem of diffusion in a bistable potential is studied by considering the associated nonlinear Langevin equation and its equivalent Fokker-Planck equation. Two numerically exact methods of solution, namely, the Monte Carlo solution of the nonlinear Langevin equation and the solution of the Fokker-Planck equation via the finite difference technique, are considered. The latter method has the advantage that it directly gives the evolution of the probability distribution function. Approximate analyses of the fluctuations using the system size expansion, the Gaussian decoupling procedure, and the scaling approach are also carried out. These investigations are performed on a representative problem for two specific cases: (1) evolution from intrinsically unstable states and (2) evolution from extensive regime. The fluctuations obtained using these approximate methods are compared with those obtained via the numerically exact methods. The study brings out the advantages and limitations of each of the methods considered.     

Solutions of the Fokker-Planck equation in detailed balance

The solutions of the Fokker-Planck equation in detailed balance are investigated. Firstly the necessary and sufficient conditions obtained by Graham and Haken are derived by an alternative method. An equivalent form of these conditions in terms of an operator equation for the Fokker-Planck Liouville operator is given. Next, the transition probability is expanded in terms of an biorthogonal set of eigenfunctions of a certain operatorL. The necessary and sufficient conditions for detailed balance leads to a simple operator equation forL. This operator equation guarantees that on!y half of the biorthogonal set needs to be calculated. Finally the dependence of the eigenvalues on the reversible and irreversible drift coefficient is discussed.     

Steady-State Analysis of Two Single-Mode Dye Laser Models with Multiplicative Colored Model

In this paper, a unified expansion theory that can be simultaneously applied to both large and small correlation times developed by Gang HU is established and applied to the systems driven by multiplicative colored noise. The stationary intensity probabilities are calculated for colored gain-noise and colored-loss-noise models. Comparing with the predictions of the best Fokker-Planck equation and the unified colored-noise approximation for the stationary intensity probability of the two models, it is found that the results of the unified expansion theory are in better agreement with simulations and experimental results than those of the best Fokker-Planck equation approximation and the unified colored-noise approximation.     

Stochastic equations of the Langevin type under a weakly dependent perturbation

Asymptotic expansions for the probability density of the solution of a stochastic differential equation under a weakly dependent perturbation are proposed. In particular, linear partial differential equations for the first two terms of the correlation time expansion are derived. It is shown that in these expansions the boundary layer part appears and non-Gaussianity of the perturbation is important for the Fokker-Planck approximation correction.     

Solution of the Fokker-Planck equation with spatial coordinate-dependent moments

The solution of the Fokker-Planck equation with spatial coordinate-dependent moments is given in the form of the path integral, involving the conditional probability expressed in terms of the moments at the “postpoint”. It is easily seen that it satisfies the Fokker-Planck equation.