Linear relaxation processes governed by fractional symmetric kinetic equations

The fractional symmetric Fokker-Planck and Einstein-Smoluchowski kinetic equations that describe the evolution of systems influenced by stochastic forces distributed with stable probability laws are derived. These equations generalize the known kinetic equations of the Brownian motion theory and involve symmetric fractional derivatives with respect to velocity and space variables. With the help of these equations, the linear relaxation processes in the force-free case and for the linear oscillator is analytically studied. For a weakly damped oscillator, a kinetic equation for the distribution in slow variables is obtained. Linear relaxation processes are also studied numerically by solving the corresponding Langevin equations with the source given by a discrete-time approximation to white Levy noise. Numerical and analytical results agree quantitatively.     

Canonically invariant formulation of Langevin and Fokker-Planck equations

We present a canonically invariant form for the generalized Langevin and Fokker-Planck equations. We discuss the role of constants of motion and the construction of conservative stochastic processes. Received : 24 July 1997 / Revised : 30 October 1997 / Accepted : 26 January 1998     

Nonlinear mean field Fokker-Planck equations. Application to the chemotaxis of biological populations

We study a general class of nonlinear mean field Fokker-Planck equations in relation with an effective generalized thermodynamical (E.G.T.) formalism. We show that these equations describe several physical systems such as: chemotaxis of bacterial populations, Bose-Einstein condensation in the canonical ensemble, porous media, generalized Cahn-Hilliard equations, Kuramoto model, BMF model, Burgers equation, Smoluchowski-Poisson system for self-gravitating Brownian particles, Debye-Hückel theory of electrolytes, two-dimensional turbulence... In particular, we show that nonlinear mean field Fokker-Planck equations can provide generalized Keller-Segel models for the chemotaxis of biological populations. As an example, we introduce a new model of chemotaxis incorporating both effects of anomalous diffusion and exclusion principle (volume filling). Therefore, the notion of generalized thermodynamics can have applications for concrete physical systems. We also consider nonlinear mean field Fokker-Planck equations in phase space and show the passage from the generalized Kramers equation to the generalized Smoluchowski equation in a strong friction limit. Our formalism is simple and illustrated by several explicit examples corresponding to Boltzmann, Tsallis, Fermi-Dirac and Bose-Einstein entropies among others.     

Nonlinear Langevin equations and the time dependent density functional method

To study the time dependent density functional method (TDDFM), two streaming velocity (reversible) terms are reformulated in the nonlinear Langevin equation. Mori's [Prog. Theor. Phys. 33, 423 (1965)] projection operator method shows a variety of nonlinear Langevin equations. This is because the equations depend on the choice of phase space functions employed in the projection. If phase space functions include particular functions, however, the streaming velocity term has an invariable form. The form is independent of the choice of other phase space functions. Since the invariable streaming velocity term does not introduce the TDDFM, the second viewpoint is presented. In this, the linearization of the streaming velocity term agrees with the frequency term in the linear Langevin equation. Since only the second streaming velocity term introduces the TDDFM, one needs to be cautious in the derivation of the TDDFM.     

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.     

Fokker-Planck approximation for N-dimensional nonmarkovian langevin equations

The Fokker-Planck approximation for n-dimensional nonmarkovian Langevin equations is discussed through an expansion in powers of the correlation time of the noise. Exact cases are considered and an application to brownian motion is presented.     

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.     

Photon statistics of the optical parametric oscillator including the threshold region

Starting from an effective Hamiltonian the derivation of a set of classical Langevin equations for the amplitudes of signal, idler, and pump is briefly reconsidered. From these equations all variables except those describing the signal mode are eliminated with the help of an adiabatic approximation and certain others, which are valid in the threshold region and somewhat above (i.e. photonumbers ? 10¹⁴). The signal mode amplitude then satisfies a van der Pol equation in the rotating wave approximation and is driven by a fluctuating force. With the exception of a slight difference due to the undamped phase diffusion of the pumping laser, the same Langevin equation has been derived earlier for the amplitude of a laser mode near threshold. We present the stochastically equivalent Fokker-Planck equation, whose solution is reduced to the known solution of the laser Fokker-Planck equation. Thus the complete photon statistics of the signal mode is revealed at once. In particular we obtain the stationary distribution and the amplitude and intensity correlation functions as well as the transient solution.     

Fokker-Planck equation for interacting waves: Dispersion law renormalization and wave turbulence

The multiple timescale method for removing secularities is used to generate the Fokker-Planck (“FP”) equation for a system of interacting waves. This FP equation describes diffusion in the phase space of the angle, as well as the action, variables of all underlying modes. The first moment of the FP equation gives a kinetic (or Boltzmann-type) equation governing the averaged actions, and describing the diffusion of action in time. Angle diffusion leads to a renormalization of the dispersion law. Stationary solutions for the average action (or so-called spectral intensity) are derived for equilibrium and for the driven off-equilibrium state corresponding to a cascade of wave energy from low to high frequencies (wave turbulence). The reduced distribution function for these states is derived.The derivation of the FP equation from the Liouville equation, as well as the derivation of the kinetic equation from the FP equation, requires that the distribution of modes be sufficiently dense. In this limit, cumulants that are initially zero increase at a rate that is thermodynamically sm all. A Langevin equation, governing the evolution of a distinguished oscillator, that is applicable even in off-equilibrium conditions, is derived. The concept of winding numbers is extended to the general phase space motion of action-angle variables through the introduction of a multiple-valued probability density.     

Kinetic and hydrodynamic models of chemotactic aggregation

We derive general kinetic and hydrodynamic models of chemotactic aggregation that describe certain features of the morphogenesis of biological colonies (like bacteria, amoebae, endothelial cells or social insects). Starting from a stochastic model defined in terms of N coupled Langevin equations, we derive a nonlinear mean-field Fokker-Planck equation governing the evolution of the distribution function of the system in phase space. By taking the successive moments of this kinetic equation and using a local thermodynamic equilibrium condition, we derive a set of hydrodynamic equations involving a damping term. In the limit of small frictions, we obtain a hyperbolic model describing the formation of network patterns (filaments) and in the limit of strong frictions we obtain a parabolic model which is a generalization of the standard Keller-Segel model describing the formation of clusters (clumps). Our approach connects and generalizes several models introduced in the chemotactic literature. We discuss the analogy between bacterial colonies and self-gravitating systems and between the chemotactic collapse and the gravitational collapse (Jeans instability). We also show that the basic equations of chemotaxis are similar to nonlinear mean-field Fokker-Planck equations so that a notion of effective generalized thermodynamics can be developed.     

The nonlinear Fokker-Planck equation with state-dependent diffusion - a nonextensive maximum entropy approach

Nonlinear Fokker-Planck equations (e.g., the diffusion equation for porous medium) are important candidates for describing anomalous diffusion in a variety of systems. In this paper we introduce such nonlinear Fokker-Planck equations with general state-dependent diffusion, thus significantly generalizing the case of constant diffusion which has been discussed previously. An approximate maximum entropy (MaxEnt) approach based on the Tsallis nonextensive entropy is developed for the study of these equations. The MaxEnt solutions are shown to preserve the functional relation between the time derivative of the entropy and the time dependent solution. In some particular important cases of diffusion with power-law multiplicative noise, our MaxEnt scheme provides exact time dependent solutions. We also prove that the stationary solutions of the nonlinear Fokker-Planck equation with diffusion of the (generalized) Stratonovich type exhibit the Tsallis MaxEnt form. Received 26 February 1999     

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.     

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.     

Langevin equations and stochastic integrals

The ambiguity of stochastic integrals involved in Langevin equations is removed by the postulate of invariance with respect to nonlinear transformations of the coordinates. The Stratonovich sense of the integrals, which is imposed thereby, is also strongly suggested by stability considerations requiring small changes of the solutions whenever the perturbations are changed by a small amount. The associated Fokker-Planck equation must include the spurious drift which arises from the transition from the Stratonovich to the Itô sense of the Langevin equations and describes one aspect of the systematic motion due to nonconstant fluctuations.     

Finite temperature dynamics of vortices in the two dimensional anisotropic Heisenberg model

We study the effects of finite temperature on the dynamics of non-planar vortices in the classical, two-dimensional anisotropic Heisenberg model with XY- or easy-plane symmetry. To this end, we analyze a generalized Landau-Lifshitz equation including additive white noise and Gilbert damping. Using a collective variable theory with no adjustable parameters we derive an equation of motion for the vortices with stochastic forces which are shown to represent white noise with an effective diffusion constant linearly dependent on temperature. We solve these stochastic equations of motion by means of a Green's function formalism and obtain the mean vortex trajectory and its variance. We find a non-standard time dependence for the variance of the components perpendicular to the driving force. We compare the analytical results with Langevin dynamics simulations and find a good agreement up to temperatures of the order of 25% of the Kosterlitz-Thouless transition temperature. Finally, we discuss the reasons why our approach is not appropriate for higher temperatures as well as the discreteness effects observed in the numerical simulations. Received: 27 April 1998 / Revised: 2 September 1998 / Accepted: 10 September 1998