First passage times for correlated random walks and some generalizations

It is generally difficult to solve Fokker-Planck equations in the presence of absorbing boundaries when both spatial and momentum coordinates appear in the boundary conditions. In this note we analyze a simple, exactly solvable model of the correlated random walk and its continuum analogue. It is shown that one can solve for the moments recursively in one dimension in exact analogy with first passage problems for the Fokker-Planck equation, although the boundary conditions are somewhat more complicated. Further generalizations are suggested to multistate random walks.     

Mean first passage time for a class of non-Markovian processes

We determine the probability distribution of the first passage time for a class of non-Markovian processes. This class contains, amongst others, the well-known continuous time random walk (CTRW), which is able to account for many properties of anomalous diffusion processes. In particular, we obtain the mean first passage time for CTRW processes with truncated power-law transition time distribution. Our treatment is based on the fact that the solutions of the non-Markovian master equation can be obtained via an integral transform from a Markovian Langevin process.     

On Distributions of Functionals of Anomalous Diffusion Paths

Functionals of Brownian motion have diverse applications in physics, mathematics, and other fields. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, which is a Schrödinger equation in imaginary time. In recent years there is a growing interest in particular functionals of non-Brownian motion, or anomalous diffusion, but no equation existed for their PDF. Here, we derive a fractional generalization of the Feynman-Kac equation for functionals of anomalous paths based on sub-diffusive continuous-time random walk. We also derive a backward equation and a generalization to Lévy flights. Solutions are presented for a wide number of applications including the occupation time in half space and in an interval, the first passage time, the maximal displacement, and the hitting probability. We briefly discuss other fractional Schrödinger equations that recently appeared in the literature.     

Exact evaluation of the kernel of the generalized master equation for the coupled coherent and incoherent exciton motion

The kernel of the Nakajima-Zwanzig generalized master equation is calculated exactly for the coupled coherent and incoherent exciton motion according to the Haken-Strobl model. As a simple application the resulting master equation is used for the determination of the mean square displacement of exciton transport.     

Moments for Tempered Fractional Advection-Diffusion Equations

This paper develops moment formulas for exponentially tempered, fractional advection-diffusion equations (TFADEs) that transition from anomalous to asymptotic diffusion limits over time. Exact analytical expressions or series representations for spatial moments up to the fourth order are derived by integral transform or asymptotic expansion approach. A fully Lagrangian solver, cross verified by an implicit Eulerian approach, is also developed to calculate numerically the complete evolution of moments for the TFADEs with complex initial and boundary conditions. Moment analysis identifies the diffusion equation that attracts the tempered anomalous diffusion in the long time limit. Fitting of moments measured at two end members of alluvial systems checks the applicability of moment analysis in understanding real diffusion.     

Evolution equations of the expected phase space ion densities and correlation functions in a D+T plasma

Summary In this paper we formualte a master equation approach describing a D+T thermonuclear plasma in a lumped phase space. From the first moments of this master equation and performing the pass to the continuous limit the evolution equations for the expected phase space ion densities emerge. Also we have obtained the evolution equations of the equal time correlation and covariance functions. Finally we have deduced the hydrodynamic equations that arise from a master equation approach.     

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional nonlinear diffusion equation with diffusion coefficient separable in time and space, D(t,x)=D(t)|x|^−θ, subject to absorbing boundary condition and the conventional initial condition p(x,0)=δ(x−x₀). We obtain explicit analytical expressions for the probability distribution, the first passage time distribution, the mean first passage time and the mean squared displacement, and discuss their behavior corresponding to different time dependent diffusion coefficients.     

On the diffusion operator of the multivariate master equation

The eigenfunctions of the diffusion operator of the multivariate master equation, describing reaction diffusion systems, are calculated for various boundary conditions. This serves as a starting point for a systematic study of the general solution of the master equation. As a first application a perturbation expansion in the inverse of the diffusion constant is carried out.     

Mass conservative finite volume discretization of the continuity equations in multi-component mixtures

The Stefan–Maxwell equations for multi-component diffusion result in a system of coupled continuity equations for all species in the mixture. We use a generalization of the exponential scheme to discretize this system of continuity equations with the finite volume method. The system of continuity equations in this work is obtained from a non-singular formulation of the Stefan–Maxwell equations, where the mass constraint is not applied explicitly. Instead, all mass fractions are treated as independent unknowns and the constraint is a result of the continuity equations, the boundary conditions, the diffusion algorithm and the discretization scheme. We prove that with the generalized exponential scheme, the mass constraint can be satisfied exactly, although it is not explicitly applied. A test model from the literature is used to verify the correct behavior of the scheme.     

First passage time distribution in an oscillating field

Siegert's integral equation approach to calculate the first passage time distribution is generalized to the case of a one-dimensional diffusion process in an oscillating drift field. A simple algorithm to solve the integral equations is developed and numerical results are presented.     

Master equation with two times: Diffusion in external field

The master equation for diffusion involving two times applies to the problem of diffusion in a time-dependent (in general inhomogeneous) external field. We consider the case of the quasi Fokker-Planck approximation, when the probability transition function for diffusion (PTD-function) does not possess a long tail in coordinate space and can be expanded as the function of instantaneous displacements. For relatively weak external field the linear expansion of the PTD function leads to a simple generalization of diffusion equation, containing the retardation factors.     

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.     

Non-Local Scattering Kernel and the Hydrodynamic Limit

In this paper we study the interaction of a fluid with a wall in the framework of the kinetic theory. We consider the possibility that the fluid molecules can penetrate the wall to be reflected by the inner layers of the wall. This results in a scattering kernel which is a non-local generalization of the classical Maxwell scattering kernel. The proposed scattering kernel satisfies a global mass conservation law and a generalized reciprocity relation. We study the hydrodynamic limit performing a Knudsen layer analysis, and derive a new class of (weakly) nonlocal boundary conditions to be imposed to the Navier–Stokes equations.     

Path integral solution of linear second order partial differential equations I: the general construction

A path integral is presented that solves a general class of linear second order partial differential equations with Dirichlet/Neumann boundary conditions. Elementary kernels are constructed for both Dirichlet and Neumann boundary conditions. The general solution can be specialized to solve elliptic, parabolic, and hyperbolic partial differential equations with boundary conditions. This extends the well-known path integral solution of the Schrödinger/diffusion equation in unbounded space. The construction is based on a framework for functional integration introduced by Cartier/DeWitt-Morette.     

The renewal equation for persistent diffusion

Persistent diffusion in one dimension, in which the velocity of the diffusing particle is a dichotomic Markov process, is considered. The flow is non-Markovian, but the position and the velocity together constitute a Markovian diffusion process. We solve the coupled forward Kolmogorov equations and the coupled backward Kolmogorov equations with appropriate initial conditions, to establish a generalized (matrix) form of the renewal equation connecting the probability densities and first passage time distributions for persistent diffusion.     

Discrete dynamics and metastability: Mean first passage times and escape rates

The problem of escape from a domain of attraction is applied to the case of discrete dynamical systems possessing stable and unstable fixed points. In the presence of noise, the otherwise stable fixed point of a nonlinear map becomes metastable, due to noise-induced hopping events, which eventually pass the unstable fixed point. Exact integral equations for the moments of the first passage time variable are derived, as well as an upper bound for the first moment. In the limit of weak noise, the integral equation for the first moment, i.e., the mean first passage time (MFPT), is treated, both numerically and analytically. The exponential leading part of the MFPT is given by the ratio of the noise-induced invariant probability at the stable fixed point and unstable fixed point, respectively. The evaluation of the prefactor is more subtle: It is characterized by a jump at the exit boundaries, which is the result of a discontinuous boundary layer function obeying an inhomogeneous integral equation. The jump at the boundary is shown to be always less than one-half of the maximum value of the MFPT. On the basis of a clear-cut separation of time scales, the MFPT is related to the escape rate to leave the domain of attraction and other transport coefficients, such as the diffusion coefficient. Alternatively, the rate can also be obtained if one evaluates the current-carrying flux that results if particles are continuously injected into the domain of attraction and captured beyond the exit boundaries. The two methods are shown to yield identical results for the escape rate of the weak noise result for the MFPT, respectively. As a byproduct of this study, we obtain general analytic expressions for the invariant probability of noisy maps with a small amount of nonlinearity.     

First passage time and extremum properties of Markov and independent processes

It was shown by Newell in 1962 that the extreme value and first passage time distributions of various types of common Markov processes asymptotically approach those for independent random variables. In view of the great simplification this occasions in the calculation of a number of important properties of Markov processes, it is clearly of interest to determine in some detail the conditions on both the time and space variables under which this equivalence holds. In this paper we investigate and establish these conditions for Markov processes described by the Fokker-Planck equation and express them in simple analytic forms which are directly related to the coefficients of the Fokker-Planck equation. To demonstrate the usefulness of these conditions, we apply them to two representative examples of Fokker-Planck equations, the Ornstein-Uhlenbeck process and the Montroll-Shuler model for harmonic oscillator dissociation. It is shown very clearly in these examples that the extreme value and first passage time