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.     

Fokker-Planck equation approach to fluctuations about nonequilibrium steady states

We examine the properties of steady states in systems which interact at the boundary with a nonequilibrium environment. The examination is based on a nonlinear Fokker-Planck equation, the structure of which is determined by the fact that it also governs the time evolution of the equilibrium fluctuations of the system. The nonlinearities in the Fokker-Planck equation may have two origins: thermodynamic nonlinearities which arise if the thermodynamic potential is not a bilinear function of the state variables, and nonlinear mode coupling which arises if the transport coefficients depend on the state. While these nonlinearities have only a small effect on the equilibrium fluctuations of a system away from critical points, they are shown to be important for the determination of fluctuations about nonequilibrium steady states. In particular the state dependence of the transport coefficients may lead to deviations from local equilibrium and to a breakdown of detail balance. An explicit formula for the time correlations of fluctuations about the nonequilibrium steady state is obtained. The formula leads to long-range correlations in fluids in the presence of a temperature gradient. The result is compared with earlier approaches to the same problem. Finally, we study the linear response to external forces and obtain a generalization of the fluctuation-dissipation formula relating the response functions with the nonequilibrium correlation functions.     

Some properties of Fokker-Planck equations with memory under detailed balance

Some properties of the Fokker-Planck equations with memory under the condition that detailed balance holds are discussed. The appropriate conditions which the drift and diffusion coefficients for a system in detailed balance should satisfy are obtained. The analysis is then restricted to a special class of Fokker-Planck equations namely the one studied previously by Zwanzig. Analog of Onsager's reciprocity relation is obtained and the eigenfunction expansion of the conditional probability is given. Finally the linear response theory of such systems is also briefly discussed.     

Some New Features of Linear Theory for Describing Non-linear Diffusion

The non-linear flux equation, the non-linear Fokker-Planck equation (or Smoluchowski equation), and the non-linear Langiven equation are the basicequations for describing particle diffusion in non-ideal system subjected totime-dependent external fields. Nevertheless, the exact solution of thoseequations is still a challenge because of their inherent complexity of thenon-linear mathematics. Li et al. found that, based on the defined apparentvariables, the non-linear Fokker-Planck equation and the non-linear flux equation could be transformed to linear forms under the condition of strong friction limit or local equilibrium assumption. In this paper, some new features of the theory were found: (i) The linear flux equation for describing non-linear diffusion can be obtained from the irreversible thermodynamic theory; (ii) The linear non-steady state diffusion equation for describing non-linear diffusion of the non-steady state, which was described by the non-linear Fokker-Planck equation, can be derived more consistently from the microscopic molecular statistical theory; (iii) In the theory, thenon-linear Langiven equation also bears a linear form; (iv) For some special cases, e.g. diffusion in a periodic total potential system, the local equilibrium assumption or the strong friction limit is not required in establishing the linear theory for describing non-linear diffusion, so the linear theory may be important in the study of Brown motor.     

Reformulation of density functional theory for N-representable densities and the resolution of the v-representability problem

Density functional theory for the case of general, N-representable densities is reformulated in terms of density functional derivatives of expectation values of operators evaluated with wave functions leading to a density, making no reference to the concept of potential. The developments provide proof of existence of a mathematical procedure that determines whether a density is v-representable and in the case of an affirmative answer determines the potential (within an additive constant) as a derivative with respect to the density of a constrained search functional. It also establishes the existence of an energy functional of the density that, for v-representable densities, assumes its minimum value at the density describing the ground state of an interacting many-particle system. The theorems of Hohenberg and Kohn emerge as special cases of the formalism. Numerical results for one-dimensional non-interacting systems illustrate the formalism. Some direct formal and practical implications of the present reformulation of DFT are also discussed.     

The poisson representation. II Two-time correlation functions

Basic formulas for the two-time correlation functions are derived using the Poisson representation method. The formulas for the chemical system in thermodynamic equilibrium are shown to relate directly to the fluctuationdissipation theorems, which may be derived from equilibrium statistical mechanical considerations. For nonequilibrium systems, the formulas are shown to be generalizations of these fluctuation-dissipation theorems, but containing an extra term which arises entirely from the nonequilibrium nature of the system. These formulas are applied to two representative examples of equilibrium reactions (without spatial diffusion) and to a nonequilibrium chemical reaction model (including the process of spatial diffusion) for which the first two terms in a systematic expansion for the two-time correlation functions are calculated. The relation between the Poisson representation method and Glauber-SudarshanP-representation used in quantum optics is discussed.     

Transition state theory: A generalization to nonequilibrium systems with power-law distributions

Transition state theory (TST) is generalized to nonequilibrium systems with power-law distributions. The stochastic dynamics that gives rise to the power-law distributions for the reaction coordinate and momentum is modeled by Langevin equations and corresponding Fokker-Planck equations. It is considered that a system far away from equilibrium does not have to relax to a thermal equilibrium state with Boltzmann-Gibbs distribution, but asymptotically approaches a nonequilibrium stationary state with a power-law distribution. Thus, we obtain a possible generalization of TST rates to nonequilibrium systems with power-law distributions. Furthermore, we derive the generalized TST rate constants for one-dimensional and n-dimensional Hamiltonian systems away from equilibrium, and obtain a generalized Arrhenius rate for systems with power-law distributions.     

Fluctuation-Dissipation Rellations for Equilibrium and Non-Equilibrium States. Kinetic Equations for Many-Particle Distribution Functions

A kinetic formulation of fluctuation-dissipation theorems (FDT) has been given. The transition to the thermodynamic version of the FDT has been discussed. Among the examples, a non-equilibrium FDT, a FDT for chemically reacting systems and the interrelation to known kinetic equations has been discussed.     

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.     

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.     

Analytic theory of extrema,II: Application to non-linear oscillators

A simple method is applied that yields analytic results for the mean first passage time and the mean extreme value of Fokker-Planck processes in the asymptotic regime. The extremal properties of lightly damped linear and non-linear oscillators excited by white noise are studied. The agreement of the results of this theory with previous calculations is excellent.     

Hamiltonian and Brownian systems with long-range interactions: IV. General kinetic equations from the quasilinear theory

We develop the kinetic theory of Hamiltonian systems with weak long-range interactions. Starting from the Klimontovich equation and using a quasilinear theory, we obtain a general kinetic equation that can be applied to spatially inhomogeneous systems and that takes into account memory effects. This equation is valid at order 1/N in a proper thermodynamic limit and it coincides with the kinetic equation obtained from the BBGKY hierarchy. For N→+∞, it reduces to the Vlasov equation governing collisionless systems. We describe the process of phase mixing and violent relaxation leading to the formation of a quasistationary state (QSS) on the coarse-grained scale. We interpret the physical nature of the QSS in relation to Lynden-Bell’s statistical theory and discuss the problem of incomplete relaxation. In the second part of the paper, we consider the relaxation of a test particle in a thermal bath. We derive a Fokker-Planck equation by directly calculating the diffusion tensor and the friction force from the Klimontovich equation. We give general expressions of these quantities that are valid for possibly spatially inhomogeneous systems with long correlation time. We show that the diffusion and friction terms have a very similar structure given by a sort of generalized Kubo formula. We also obtain non-Markovian kinetic equations that can be relevant when the auto-correlation function of the force decreases slowly with time. An interesting factor in our approach is the development of a formalism that remains in physical space (instead of Fourier space) and that can deal with spatially inhomogeneous systems.     

Evidence of Dispersion Relations for the Nonlinear Response of the Lorenz 63 System

Along the lines of the nonlinear response theory developed by Ruelle, in a previous paper we have proved under rather general conditions that Kramers-Kronig dispersion relations and sum rules apply for a class of susceptibilities describing at any order of perturbation the response of Axiom A non equilibrium steady state systems to weak monochromatic forcings. We present here the first evidence of the validity of these integral relations for the linear and the second harmonic response for the perturbed Lorenz 63 system, by showing that numerical simulations agree up to high degree of accuracy with the theoretical predictions. Some new theoretical results, showing how to derive asymptotic behaviors and how to obtain recursively harmonic generation susceptibilities for general observables, are also presented. Our findings confirm the conceptual validity of the nonlinear response theory, suggest that the theory can be extended for more general non equilibrium steady state systems, and shed new light on the applicability of very general tools, based only upon the principle of causality, for diagnosing the behavior of perturbed chaotic systems and reconstructing their output signals, in situations where the fluctuation-dissipation relation is not of great help.     

Irreversibility and randomness in linear response theory

Recall that the fluctuation-dissipation theorem connects the response function of a passive linear system and the spectral density of the stationary stochastic process which describes the thermal fluctuations in the system. It is shown that the classical limit (=0) of the fluctuation-dissipation theorem implies a correspondence between systems which are reversible in the sense that the energy used to drive them away from equilibrium is completely recoverable as work and processes which are deterministic in the sense of Wiener's prediction theory, while irreversible systems correspond to nondeterministic processes. This correspondence is expressed by a simple transformation between the operator kernel which determines the optimal choice of the time-dependent force and the linear predictor for the stochastic process. For quantum systems this correspondence does not hold; the fluctuations are always of the deterministic type for any finite temperature, but the system is not necessarily reversible. For irreversible systems a formula is derived for the instantaneous entropy production which is a generalization of the standard one for Markovian dynamics.     

Selfconsistent approximations in Mori's theory

The constitutive quantities in Mori's theory, the residual forces, are expanded in terms of time-dependent correlation functions and products of operators at t = 0, where it is assumed that the time derivatives of the observables are given by products of them. As a first consequence the Heisenberg dynamics of the observables are obtained as an expansion of the same type. The dynamic equations for correlation functions result to be selfconsistent nonlinear equations of the type known from mode-mode coupling approximations. The approach yields a necessary condition for the validity of the presented equations. As a third consequence the static correlations can be calculated from fluctuation-dissipation theorems, if the observables obey a Lie algebra. For a simple spin model the convergence of the expansion is studied. As a further test, dynamic and static correlations are calculated for a Heisenberg ferromagnet at low temperatures, where the results are compared to those of a Holstein-Primakoff treatment.     

A general framework for non-equilibrium phenomena: the master equation and its formal consequences

We consider non-equilibrium systems defined by a state space, and by a stochastic dynamics and its stationary state. The dynamics need not satisfy detailed balance. In this abstract framework we do the following: (1) define and analyze “relative entropy”, (2) study dissipation in the relaxation to the stationary state, as well as the extra dissipation to maintain the system in its stationary state against some detailed balance dynamics, (3) extend the fluctuation-dissipation theorem and the Onsager relations, and (4) give a formula for the stationary state in terms of a summation over trees.     

Vector coherence initiation of multi-level superfluorescence

An SU(n) coherent state representation is developed for the theory of multi-level cooperative spontaneous emission. A general Fokker-Planck equation is derived, whose characteristics are equivalent to the semiclassical equations for large numbers of atoms. The characteristics equations have non-classical initial values described by a vector coherence probability distribution. The theory can be used for the multilevel case with coherent pumping, to calculate the effects of pump interactions.     

Quasi-exactly solvable Fokker-Planck equations

We consider exact and quasi-exact solvability of the one-dimensional Fokker-Planck equation based on the connection between the Fokker-Planck equation and the Schrödinger equation. A unified consideration of these two types of solvability is given from the viewpoint of prepotential together with Bethe ansatz equations. Quasi-exactly solvable Fokker-Planck equations related to the sl(2)-based systems in Turbiner’s classification are listed. We also present one sl(2)-based example which is not listed in Turbiner’s scheme.     

On the theory of Brownian motion with the Alder-Wainwright effect

The Stokes-Boussinesq-Langevin equation, which describes the time evolution of Brownian motion with the Alder-Wainwright effect, can be treated in the framework of the theory of KMO-Langevin equations which describe the time evolution of a real, stationary Gaussian process withT-positivity (reflection positivity) originating in axiomatic quantum field theory. After proving the fluctuation-dissipation theorems for KMO-Langevin equations, we obtain an explicit formula for the deviation from the classical Einstein relation that occurs in the Stokes-Boussinesq-Langevin equation with a white noise as its random force. We are interested in whether or not it can be measured experimentally.     

Nonlinear fluctuation-dissipation relations and stochastic models in nonequilibrium thermodynamics: I. Generalized fluctuation-dissipation theorem

The paper is devoted to the theory of thermal fluctuations in nonlinear macroscopic systems and to the derivation of variational principles of nonlinear nonequilibrium thermodynamics. In the first part of the paper rigorous universal fluctuation-dissipation relations for nonlinear classical and quantum systems, subjected to dynamic as well as thermodynamic perturbations, are derived and analyzed. General expressions for dissipative fluxes and nonlinear transfer coefficients with the help of fluctuation cumulants are found. The canonical structure of nonlinear evolution equations of macrovariables is derived and the rule of introducing langevinian random forces into these equations, in accordance with fluctuation-dissipation relations. A Markovian theory of fluctuations in a stationary nonequilibrium state is constructed.