Systems under the influence of white and colored poisson noise

We deal in this paper with systems driven by white or colored Poisson noise. For a free Brownian particle under the influence of white Poisson noise an exact generalized master equation in position space is obtained. In the Gaussian and Smoluchowski limits, known results are recovered. For a general process defined by a stochastic differential equation, with colored Poisson noise, we find an approximate generalized master equation, including first order terms in the correlation time and the first correction to the gaussianity. Under a more restrictive approximation, the stationary distribution function is given. This is used to study the phase transition in the steady state for a Verhulst model. Corrections to the gaussianity are discussed in this case.     

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.     

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.     

Effective long-time phase dynamics of limit-cycle oscillators driven by weak colored noise

An effective white-noise Langevin equation is derived that describes long-time phase dynamics of a limit-cycle oscillator driven by weak stationary colored noise. Effective drift and diffusion coefficients are given in terms of the phase sensitivity of the oscillator and the correlation function of the noise, and are explicitly calculated for oscillators with sinusoidal phase sensitivity functions driven by two typical colored Gaussian processes. The results are verified by numerical simulations using several types of stochastic or chaotic noise. The drift and diffusion coefficients of oscillators driven by chaotic noise exhibit anomalous dependence on the oscillator frequency, reflecting the peculiar power spectrum of the chaotic noise.     

两相湍流色噪声扩维法PDF模型及数值模拟

由颗粒运动的朗之万方程出发,对流体脉动速度采用扩维方法,得到两个不同层次的PDF输运方程.通过对颗粒运动方程求解和高斯分布假设,解决PDF方程的封闭问题,获得颗粒二阶矩模型,然后将颗粒应力方程简化成代数方程,建立代数应力模型.将对流扩散方程的有限分析法运用到求解两相流模型中,对壁面两相射流进行数值模拟,对比分析数值结果与实验结果.     

蛋白质构型变化的二维广义郎之万方程描述

采用二维广义郎之万方程描述蛋白质构型的随机变化,并与电子输运过程的原子密度填充模型相协调. 假设通过键和通过空间的两类电子输运路径分别受到高斯分数噪声和高斯白噪声的影响. 推导了电子转移给体-受体距离涨落和荧光寿命涨落自相关函数的一般表达式. 采用数值拉普拉斯反变换计算了蛋白质构型涨落动力学,并详尽讨论了长时间和短时间行为的渐近解析. 最后,明确了基于二维广义郎之万方程的蛋白质构型描述与一维描述之间的关系.     

Stochastic Resonance in a Linear Fractional Langevin Equation

The fractional Langevin equation is derived from the generalized Langevin equation driven by the additive fractional Gaussian noise. We investigate the stochastic resonance (SR) phenomenon in the underdamped linear fractional Langevin equation under the external periodic force and multiplicative symmetric dichotomous noise. Applying the Shapiro-Loginov formula and the Laplace transform technique, we obtain the exact expressions of the amplitude and signal-to-noise ratio (SNR) of the system. By studying the impacts of the driving frequency and the noise parameters, we find the non-monotonic behaviors of the output amplitude and SNR. The results indicate that the bona fide SR, conventional SR and the wide sense of SR phenomena occur in the proposed linear fractional system.     

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.     

轨道抽样法研究非马尔科夫热激活过程

本文基于四维相空间拓展,提出了求解简谐有色噪声驱动下含记忆阻尼的非马尔科夫Langevin方程的轨道抽样——蒙特卡罗方法。计算了晶体缺陷翻越势垒的热激活过程的逃逸速率。为得到平稳的无规力关联函数,导出了以往忽视的有色噪声的初始分布。数值模拟结果较好地显示出理论所预期的随机共振现象。     

Low-Resistant Band-Passing Noise and Its Dynamical Effects

We propose an n-order noise, which is realized by driving an n-order linear differential equation with a Gaussian white noise. The time-derivative noise is a low-resistant band-passing noise. If the derivative noise is regarded as a thermal one, the system has a vanishing effective friction and it should induce ballistic diffusion of a free particle at long times. The simulation method for the generalized Langevin equation driven by the n-order noise is discussed systematically. The features of three-order derivative noises are presented when they are applied to a ratchet system.     

Low-Resistant Band-Passing Noise and Its Dynamical Effects

We propose an n-order noise, which is realized by driving an n-order linear differential equation with a Gaussian white noise. The time-derivative noise is a low-resistant band-passing noise. If the derivative noise is regarded as a thermal one, the system has a vanishing effective friction and it should induce ballistic diffusion of a free particle at long times. The simulation method for the generalized Langevin equation driven by the n-order noise is discussed systematically. The features of three-order derivative noises are presented when they are applied to a ratchet system.     

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.     

具有固有频率涨落的记忆阻尼线性系统的随机共振

研究了在内噪声、外噪声(固有频率涨落噪声)及周期激励信号共同作用下具有指数型记忆阻尼的广义Langevin方程的共振行为.首先将其转化为等价的三维马尔可夫线性系统,再利用Shapiro-Loginov公式和Laplace变换导出系统响应一阶矩和稳态响应振幅的解析表达式.研究发现,当系统参数满足Routh-Hurwitz稳定条件时,稳态响应振幅随周期激励信号频率、记忆阻尼及外噪声参数的变化存在"真正"随机共振、传统随机共振和广义随机共振,且随机共振随着系统记忆时间的增加而减弱.数值模拟计算结果表明系统响应功率谱与理论结果相符.     

Impact of non-Markovian effects on the fission rate and time

The impact of non-Markovian effects on the fission rate and time is studied on the basis of a generalized one-dimensional Langevin equation. Relevant calculations were performed under the assumption of an exponentially correlated random force appearing in Langevin equations and a constant correlation time. An increase in the fission rate and a decrease in the mean fission time with increasing random-force correlation time were revealed.     

Linear relaxation times of stochastic processes driven by non-Gaussian noises

The linear relaxation time (LRT) associated with steady-state correlation functions is studied for Langevin equations with non-Gaussian noises: dichotomous Markov noise and Poissonian white shot noise. Exact results for arbitrary models are obtained and compared with results for Gaussian noises. Some general features of LRTs are discussed. The concept of dynamic effective diffusion is introduced and the existence of an optimal effective Fokker-Planck approximation is discussed. Explicit examples for prototype models are presented and briefly compared with the analogs for Gaussian noises.