A comparison of master equation and Fokker-Planck equation in the thermodynamic limit

The master equation and the Fokker-Planck equation are compared thoroughly in both of the stationary and the time-dependent cases for a one-dimensional system. The comparison includes the master equation without detailed balance.     

Generalized Fokker-Planck equation in superradiance theory

An alternative projector technique approach to the Bonifacio-Schwendimann-Haake model of superradiance is presented. A bilinear master equation for the probability distributions of photon number and atomic excitation is derived. In the case of very large numbers of atoms we end up with a generalized Fokker-Planck equation for atoms.     

Quantum fluctuations,master equation and Fokker-Planck equation

In order to describe quantum fluctuations a general method is developed, which also may be applied to nonstationary systems as well as to states far from thermodynamic equilibrium. After a concise derivation of the master equation quantum mechanically determined dissipation and fluctuation coefficients are introduced, for which several theorems and relations are given. By using these coefficients there is set up a general Fokker-Planck equation for the diffusion of the statistical operator due to quantum fluctuations.     

On the path integral solutions of the master equation

The lagrangian in the path integral solution of the master equation of a stationary Markov process is derived by application of the Ehrenfest-type theorem of quantum mechanics and the Cauchy method of finding inverse functions. Applied to the non-linear Fokker-Planck equation we reproduce the result obtained by integrating over Fourier series coefficients and by other methods.     

Remarks concerning the derivation and the expansion of the master equation

The present work consist of two parts: In the first part we apply the method of quasilinearization to the differential equation describing the time development of the quantum-mechanical probability density. In this way we derive the master equation without resorting to perturbation theory. In the second part of the paper, for a general form of the master equation which is an integro-differential equation, we test the accuracy of the Fokker-Planck approximation with the help of a solvable model. Then we study an alternative way of reducing the integro-differential equation to a partial differential equation. By expanding the transition probability W(q, q′), and the distribution function in terms of a complete set of functions, we show that for certain forms of W(q, q′), the master equation can be transformed exactly to partial differential equations of finite order.     

Master equation approach to propagation of radiation through random media

Master and Fokker-Planck equations are obtained for radiation propagating through a random medium using the q-c-number correspondence of the coherent state technique. The corresponding equation for the antinormal characteristic function is solved by means of the method of characteristics. The master equation method and the recently developed method based on the Heisenberg equations and quantum characteristic function are shown to be equivalent. Some existence problems for the Glauber-Sudarshan weighting function are discussed. New light is thrown on approximations in the photocounting statistics used earlier.     

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.     

Solution of Fokker-Planck equation using Trotter's formula

Solution of Fokker-Planck equation using Trotter's formula is discussed. The method is illustrated on the linear Fokker-Planck equation and the Ornstein-Uhlenbeck solution is obtained. For the case of a general nonlinear Fokker-Planck equation the method yields an integral representation amenable to approximations. In the lowest order approximation Suzuki's scaling result emerges. Physical interpretation and limitations of the approximations are also discussed.     

Stationary momentum space solution of the Fokker-Planck equation for a simple model of a laser oscillator exhibiting spatial dispersion

Starting from a multimode hamiltonian for a system of radiating oscillators coupled with atomic reservoirs, the secular master equation for the radiation-density operator is calculated in the interaction picture after elimination of the atomic variables. Using the differential operator representation for coherent states this equation is transcribed into a multimode Fokker-Planck equation. The stationary solution in momentum space is given for the threshold region. Fourier transformation to configuration space results in a quasi-free energy formula for a laser oscillator exhibiting spatial dispersion.     

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 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.     

A general nonlinear Fokker-Planck equation and its associated entropy

A recently introduced nonlinear Fokker-Planck equation, derived directly from a master equation, comes out as a very general tool to describe phenomenologically systems presenting complex behavior, like anomalous diffusion, in the presence of external forces. Such an equation is characterized by a nonlinear diffusion term that may present, in general, two distinct powers of the probability distribution. Herein, we calculate the stationary-state distributions of this equation in some special cases, and introduce associated classes of generalized entropies in order to satisfy the H-theorem. Within this approach, the parameters associated with the transition rates of the original master-equation are related to such generalized entropies, and are shown to obey some restrictions. Some particular cases are discussed.     

Fractional Fokker-Planck equation for fractal media

We consider the fractional generalizations of equation that defines the medium mass. We prove that the fractional integrals can be used to describe the media with noninteger mass dimensions. Using fractional integrals, we derive the fractional generalization of the Chapman-Kolmogorov equation (Smolukhovski equation). In this paper fractional Fokker-Planck equation for fractal media is derived from the fractional Chapman-Kolmogorov equation. Using the Fourier transform, we get the Fokker-Planck-Zaslavsky equations that have fractional coordinate derivatives. The Fokker-Planck equation for the fractal media is an equation with fractional derivatives in the dual space.     

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.     

Some properties of stochastic equations for coupled chemical reactions far from equilibrium

Solutions of master equations for coupled chemical reactions far from equilibrium with one varying molecule species are studied and used for getting information about nonlinear Fokker-Planck equations and slow time-dependent processes such as extinction to an absorbing state and transition between several steady states. The Fokker-Planck equation solution is compared to that of the master equation in a relative sense and it is shown that they agree quite well in some important situations but that in general the cases can deviate considerably, when, e.g., accounting for the mutual importance of two probability maxima.     

Entropy Production Rate of Non-equilibrium Systems from the Fokker-Planck Equation

The entropy production rate of non-equilibrium systems is studied via the Fokker-Planck equation. This approach, based on the entropy production rate equation given by Schnakenberg from a master equation, requires information on the transition rate of the system under study. We obtain the transition rate from the conditional probability extracted from the Fokker-Planck equation and then derive a new and more operable expression for the entropy production rate. A few examples are presented as applications of our approach.     

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.     

Quantum Statistics of Multimode Optical Bistability with Trilinear interaction

An externally driven light mode in a ring cavity may show multistable behaviour if linear losses and dispersive nonlinear coupling compete with each other. The paper considers the trilinear (sum frequency) system with two externally driven modes which shows bistability simultaneously in these two modes. It is described in a fully quantum manner. The master equation and the Fokker-Planck equation for the Glanmber-Sudarshan quasi-probalbility are deduced with appropriate consideration of fluctuations. A closed steady solution of the Fokker-Planck equation is given for one mode only under strong restrictive assumptions.