Generalized Fokker–Planck equations derived from generalized linear nonequilibrium thermodynamics

Recently, Compte and Jou derived nonlinear diffusion equations by applying the principles of linear nonequilibrium thermodynamics to the generalized nonextensive entropy proposed by Tsallis. In line with this study, stochastic processes in isolated and closed systems characterized by arbitrary generalized entropies are considered and evolution equations for the process probability densities are derived. It is shown that linear nonequilibrium thermodynamics based on generalized entropies naturally leads to generalized Fokker–Planck equations.     

Numerical algorithm for the time fractional Fokker–Planck equation

Anomalous diffusion is one of the most ubiquitous phenomena in nature, and it is present in a wide variety of physical situations, for instance, transport of fluid in porous media, diffusion of plasma, diffusion at liquid surfaces, etc. The fractional approach proved to be highly effective in a rich variety of scenarios such as continuous time random walk models, generalized Langevin equations, or the generalized master equation. To investigate the subdiffusion of anomalous diffusion, it would be useful to study a time fractional Fokker–Planck equation. In this paper, firstly the time fractional, the sense of Riemann–Liouville derivative, Fokker–Planck equation is transformed into a time fractional ordinary differential equation (FODE) in the sense of Caputo derivative by discretizing the spatial derivatives and using the properties of Riemann–Liouville derivative and Caputo derivative. Then combining the predictor–corrector approach with the method of lines, the algorithm is designed for numerically solving FODE with the numerical error O(k^min{1+2α,2})+O(h²), and the corresponding stability condition is got. The effectiveness of this numerical algorithm is evaluated by comparing its numerical results for α=1.0 with the ones of directly discretizing classical Fokker–Planck equation, some numerical results for time fractional Fokker–Planck equation with several different fractional orders are demonstrated and compared with each other, moreover for α=0.8 the convergent order in space is confirmed and the numerical results with different time step sizes are shown.     

Multiscaling for classical nanosystems: Derivation of Smoluchowski & Fokker–Planck equations

Using multiscale analysis and methods of statistical physics, we show that a solution to the N-atom Liouville equation can be decomposed via an expansion in terms of a smallness parameter , wherein the long scale time behavior depends upon a reduced probability density that is a function of slow-evolving order parameters. This reduced probability density is shown to satisfy the Smoluchowski equation up to O(²) for a given range of initial conditions. Furthermore, under the additional assumption that the nanoparticle momentum evolves on a slow time scale, we show that this reduced probability density satisfies a Fokker–Planck equation up to O(²). This approach has applications to a broad range of problems in the nanosciences.     

Fractional generalized Langevin equation approach to single-file diffusion

Fractional generalized Langevin equation with external force is used to model single-file diffusion. It is found that for external force that varies with power law the solution for such a fractional Langevin equation gives the correct short and long time behavior for the mean square displacement of single-file diffusion when appropriate choice of parameters associated with fractional generalized Langevin equation are used. By considering some special cases of the fractional generalized Langevin equation, a new class of closed analytic expressions for the mean square displacement of single-file diffusion can be obtained. The effective Fokker-Planck equation associated with single-file diffusion is briefly considered.     

Random integral equation formulation of a generalized Langevin equation

In this paper, the generalized Langevin equation introduced by Kubo and Mori is formulated as a random integral equation. We consider (1) the existence and uniqueness of the solution, (2) moments of the solution process, (3) a comparison theorem for solution processes, and (4) the Cauchy polygonal approximation to the solution.     

Liouville and Fokker–Planck dynamics for classical plasmas and radiation

We consider a nonequilibrium statistical system formed by many classical non‐relativistic particles of opposite electric charges (plasma) and by the classical dynamical electromagnetic (EM) field. The charges interact with one another directly through instantaneous Coulomb potentials and with the dynamical degrees of freedom of the transverse EM field. The system may also be subject to external influences of: i) either static, but spatially inhomogeneous, electric and magnetic fields (case 1)), or ii) weak distributions of electric charges and currents (case 2)). The particles and the dynamical EM field are described, for any time t > 0, by the classical phase‐space probability distribution functional (CPSPDF) f and, at the initial time (t = 0), by the initial CPSPDF f_in. The CPSPDF f and f_in, multiplied by suitable Hermite polynomials (for particles and field) and integrated over all canonical momenta, yield new moments. The Liouville equation and f_in imply a new nonequilibrium linear infinite hierarchy for the moments. In case 1), f_in describes local equilibrium but global nonequilibrium, and we propose a long‐time approximation in the hierarchy, which introduces irreversibility and relaxation towards global thermal equilibrium. In case 2), the statistical system, having been at global thermal equilibrium, without external influences, for t ≤ 0, is subject to weak external charge‐current distributions: then, new hierarchies for moments and their long‐time behaviours are discussed in outline. As examples, approximate mean‐field (Vlasov) approximations are treated for both cases 1) and 2).     

Direct quadrature method of moments solution of the Fokker–Planck equation

The direct quadrature method of moments is presented as an efficient and accurate means of numerically computing solutions of the Fokker–Planck equation corresponding to stochastic nonlinear dynamical systems. The theoretical details of the solution procedure are first presented. The method is then used to solve Fokker–Planck equations for both 1D and 2D (noisy van der Pol oscillator) processes which possess nonlinear stochastic differential equations. Higher-order moments of the stationary solutions are computed and prove to be very accurate when compared to analytic (1D process) and Monte Carlo (2D process) solutions.     

On the derivation of the generalized Langevin equation for interacting Brownian particles

The main result of this paper is a derivation of a generalized nonlinear Langevin equation (GLE) forn interacting particles in a bath. A consequence of the derivation is that the exact form of the (generalized) fluctuation-dissipation theorem is obtained. We discuss also the relation between the memory kernel of the GLE and some corresponding correlation functions which can be easily obtained in a molecular dynamics computer experiment. In the same spirit it is shown that the approach applies to a Brownian particle subjected to a stationary external field. The technique presented in a previous paper to simulate generalized Brownian dynamics can be easily extended to the present case. Our derivation intends to clarify the uses and (possibly) abuses of the Langevin equation in Brownian dynamics studies.     

Quasi-equilibrium closure hierarchies for the Boltzmann equation

In this paper, explicit method of constructing approximations (the triangle entropy method) is developed for nonequilibrium problems. This method enables one to treat any complicated nonlinear functionals that fit best the physics of a problem (such as, for example, rates of processes) as new independent variables.

The work of the method is demonstrated on the Boltzmann's-type kinetics. New macroscopic variables are introduced (moments of the Boltzmann collision integral, or scattering rates). They are treated as independent variables rather than as infinite moment series. This approach gives the complete account of rates of scattering processes. Transport equations for scattering rates are obtained (the second hydrodynamic chain), similar to the usual moment chain (the first hydrodynamic chain). Various examples of the closure of the first, of the second, and of the mixed hydrodynamic chains are considered for the hard sphere model. It is shown, in particular, that the complete account of scattering processes leads to a renormalization of transport coefficients.

The method gives the explicit solution for the closure problem, provides thermodynamic properties of reduced models, and can be applied to any kinetic equation with a thermodynamic Lyapunov function.     

Methodology for the solutions of some reduced Fokker‐Planck equations in high dimensions

In this paper, a new methodology is formulated for solving the reduced Fokker‐Planck (FP) equations in high dimensions based on the idea that the state space of large‐scale nonlinear stochastic dynamic system is split into two subspaces. The FP equation relevant to the nonlinear stochastic dynamic system is then integrated over one of the subspaces. The FP equation for the joint probability density function of the state variables in another subspace is formulated with some techniques. Therefore, the FP equation in high‐dimensional state space is reduced to some FP equations in low‐dimensional state spaces, which are solvable with exponential polynomial closure method. Numerical results are presented and compared with the results from Monte Carlo simulation and those from equivalent linearization to show the effectiveness of the presented solution procedure. It attempts to provide an analytical tool for the probabilistic solutions of the nonlinear stochastic dynamics systems arising from statistical mechanics and other areas of science and engineering.     

A generalized Langevin equation for dealing with nonadditive fluctuations

A suitable extension of the Mori memory-function formalism to the non-Hermitian case allows a multiplicative process to be described by a Langevin equation of non-Markoffian nature. This generalized Langevin equation is then shown to provide for the variable of interest the same autocorrelation function as the well-known theoretical approach developed by Kubo, the stochastic Liouville equation (SLE) theory. It is shown, furthermore, that the present approach does not disregard the influence of the variable of interest on the time evolution of its thermal bath. The stochastic process under study can also be described by a Fokker-Planck-like equation, which results in a Gaussian equilibrium distribution for the variable of interest. The main flaw of the SLE theory, that resulting in an uncorrect equilibrium distribution, is therefore completely eliminated.     

Langevin equation for self-organized morphologies of thin heteroepitaxial films

The self-organization of nanostructures on strained epitaxial films is expressed as a Langevin equation obtained from an atomistic model of the growth kinetics. The transition rules are based on the incorporation of strain effects into environment-dependent detachment barriers. Comparisons are made with a previous approach based on continuum elasticity to provide an atomistic interpretation of the governing equation for the morphological evolution of strained films.     

Dynamical correlations for circular ensembles of random matrices

Circular Brownian motion models of random matrices were introduced by Dyson and describe the parametric eigenparameter correlations of unitary random matrices. For symmetric unitary, self-dual quaternion unitary and an analogue of antisymmetric Hermitian matrix initial conditions, Brownian dynamics toward the unitary symmetry is analyzed. The dynamical correlation functions of arbitrary number of Brownian particles at arbitrary number of times are shown to be written in the forms of quaternion determinants, similarly as in the case of Hermitian random matrix models.     

Langevin dynamics of an interface near a wall

We study dynamical contact angles and precursor films using Langevin dynamics for SOS type models, near a wall which favors spreading. We first solve exactly the Gaussian model and discuss various asymptotic regimes. This is only appropriate to partial wetting. We then consider more general models. Using local equilibrium and scaling arguments, we derive the shape of the dynamical profile and the speed of the precursor film which exists when the spreading coefficient is strictly positive. Long-range potentials lead to a layered structure of the precursor film. We also consider the case of a meniscus in a capillary.     

New hierarchy for the Liouville equation,irreversibility and Fokker‐Planck‐like structures

The issue of irreversibility is revisited for a closed system formed by N classical non‐relativistic particles inside a volume Ω, interacting through two‐body potentials, for large N and Ω. The classical phase‐space distribution function f, multiplied by suitable Hermite polynomials and integrated over all momenta, yields new moments. The Liouville equation and the initial distribution f_in imply a new non‐equilibrium linear infinite hierarchy for the moments. That hierarchy differs from the BBGKY one for distribution functions and displays some suggestive Fokker‐Planck‐like structures. A physically motivated ansatz for f_in (which introduces statistical assumptions), used by previous authors, is chosen. All moments of order n ≥ n₀ are expressed in terms of those of order n₀ — 1 and of f_in. The properties of the Fokker‐Planck‐like structures (hermiticity, non‐negative eigenvalues) allow for implementing a natural long‐time approximation in the hierarchy, so as to introduce relaxation to equilibrium and irreversibility, consistently with the hydrodynamical balance equations. Further (more restrictive) assumptions and approximations lead to new irreversible models, generalizing non‐trivially the Fokker‐Planck equation. They are described through a truncated hierarchy of linear equations for moments of order n ≤ n₀ — 1 (n₀ being finite). The connections with Brownian particle dynamics and Fluid Dynamics are analyzed, for consistency.     

H-theorem for a mean field model describing coupled oscillator systems under external forces

This article studies the asymptotic behavior of solutions of Fokker–Planck equations describing mean field approximations of weakly coupled oscillator systems subjected to external forces. Using an H-theorem we show that transient probability densities converge to stationary ones. Furthermore, stability criteria are derived for the stationary solutions of these Fokker–Planck equations. The obtained results are applied to a model that combines the Haken–Kelso–Bunz model and the models of weakly coupled oscillators proposed by Winfree and Kuramoto. The stability criteria based on the H-theorem agree with those derived in our earlier analyses.     

Langevin dynamics simulations of phase separation in a one-component system

Langevin dynamics computer simulations have been performed for a two-dimensional Lennard-Jones fluid quenched into the coexistence region of its liquid-vapor phase diagram. For late stages of the phase-separation process, the average radius of the liquid clusters is found to grow proportional to (time)^1/4. This growth law is analyzed theoretically and compared to recent molecular dynamics and Monte Carlo results. Details of the different simulation methods are critically discussed.     

Langevin equation for a free particle driven by power law type of noises

We study a generalized Langevin equation for a free particle driven by N internal noises. The mean square displacement and velocity autocorrelation function are derived in case of a mixture of Dirac delta, power law and Mittag-Leffler noises. Additionally, a frictional memory kernel of distributed order is considered. The long time limit and short time limit are analyzed, and the dominant contributions of noises on particle dynamics is discussed. Various different diffusive behaviors (subdiffusion, superdiffusion, normal diffusion, ultraslow diffusion) are obtained. The considered problem may be used in the theory of anomalous diffusion in complex environment.