Limit cycles and detailed balance in Fokker-Planck equations

A class of non-linear Fokker Planck equations with exactly known steady state solution is investigated and its relation with the models considered earlier in the literature is discussed. A characterisation of the absence of detailed balance and possible existence of limit cycles is given. The implications of detailed balance on the existence and the character of limit cycle behaviour are studied. It is shown that detailed balance does not determine the existence or non-existence of limit cycles but rather their character.     

Limit cycles and detailed balance in Fokker-Planck equations

A class of non-linear Fokker Planck equations with exactly known steady state solution is investigated and its relation with the models considered earlier in the literature is discussed. A characterisation of the absence of detailed balance and possible existence of limit cycles is given. The implications of detailed balance on the existence and the character of limit cycle behaviour are studied. It is shown that detailed balance does not determine the existence or non-existence of limit cycles but rather their character.     

Solutions of the Fokker-Planck equation in detailed balance

The solutions of the Fokker-Planck equation in detailed balance are investigated. Firstly the necessary and sufficient conditions obtained by Graham and Haken are derived by an alternative method. An equivalent form of these conditions in terms of an operator equation for the Fokker-Planck Liouville operator is given. Next, the transition probability is expanded in terms of an biorthogonal set of eigenfunctions of a certain operatorL. The necessary and sufficient conditions for detailed balance leads to a simple operator equation forL. This operator equation guarantees that on!y half of the biorthogonal set needs to be calculated. Finally the dependence of the eigenvalues on the reversible and irreversible drift coefficient is discussed.     

Stochastic quantization and detailed balance in Fokker-Planck dynamics

The path integral and operator formulations of the Fokker-Planck equation are considered as stochastic quantizations of underlying Euler-Lagrange equations. The operator formalism is derived from the path integral formalism. It is proved that the Euler-Lagrange equations are invariant under time reversal if detailed balance holds and it is shown that the irreversible behavior is introduced through the stochastic quantization. To obtain these results for the nonconstant diffusion Fokker-Planck equation, a transformation is introduced to reduce it to a constant diffusion Fokker-Planck equation. Critical comments are made on the stochastic formulation of quantum mechanics.     

Solution of Fokker Planck equations with and without manifest detailed balance

Previous work on Fokker Planck equations with manifest detailed balance is generalized to include also the case without manifest detailed balance. The two cases are unified by exhibiting a general time reversal transformation with respect to which any Fokker Planck equation satisfies detailed balance, provided its steady state distribution exists. We also introduce a new method for solving some Fokker Planck equations with nonvanishing steady state drift by analytic continuation of the solution of a hermitian eigenvalue problem.     

Solution of Fokker Planck equations with and without manifest detailed balance

Previous work on Fokker Planck equations with manifest detailed balance is generalized to include also the case without manifest detailed balance. The two cases are unified by exhibiting a general time reversal transformation with respect to which any Fokker Planck equation satisfies detailed balance, provided its steady state distribution exists. We also introduce a new method for solving some Fokker Planck equations with nonvanishing steady state drift by analytic continuation of the solution of a hermitian eigenvalue problem.     

Steady state solutions of master equations without detailed balance

Steady state solutions of master equations with one variable are constructed. The method of solution is based on a transformation of the original equation for the probability into one for a slowly varying function. The method is of general applicability and is particularly useful in obtaining solutions in the case where detailed balance does not hold. Examples of such systems in chemical reaction models and the two photon laser are discussed.On leave from the University of Waikato, Hamilton, New Zealand     

Continued fraction solutions of discrete master equations not obeying detailed balance II

In this paper we continue to extend our previous investigation of continued fraction (CF) solutions for the stationary probability of discrete one-variable master equations which generally do not satisfy detailed balance. We derive explicit expressions, directly in terms of the elementary transition rates, for the continued fraction recursion coefficients. Further, we derive several approximate CF-solutions, i.e., we deduce non-systematic and systematic truncation error estimates. The method is applied to two master equations with two-particle jumps for which we derive the exact probability solution and make a comparison with approximate solutions. The investigation is also extended to the case of master equations with multiple birth and death transitions of maximal orderR.Supported in part by Deutsche Forschungsgemeinschaft and by National Science Foundation Grant CHE78-21460     

Parton energy loss with detailed balance

Stimulated gluon emission and thermal absorption, in addition to induced radiation, are considered for an energetic parton propagating inside a quark-gluon plasma. In the presence of thermal gluons, stimulated emission reduces, while absorption increases, the parton's energy. The net effect is a reduction of the parton energy loss. Though decreasing asymptotically as T/E with the parton energy, the relative reduction is found to be important for intermediate energies. The modified energy dependence of the energy loss will affect the shape of suppression of moderately high p(T) hadrons due to jet quenching in high-energy heavy-ion collisions.     

Exactly soluble multidimensional Fokker-Planck equations with nonlinear drift

The time-dependent analytic solutions of three classes of multidimensional Fokker-Planck equations with nonlinear drift are presented together with eigenvalues which are complex and depend essentially on the correlation functions of the fluctuations.     

Autocorrelation functions of nonlinear Fokker-Planck equations

We compute autocorrelation functions from nonlinear Fokker-Planck equations that describe nonlinear families of Markov diffusion processes and illustrate this approach for the Plastino-Plastino Fokker-Planck equation related to the Tsallis entropy.Received: 30 October 2003, Published online: 15 March 2004PACS: 05.20.-y Classical statistical mechanics - 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion     

Exact solutions of the Fokker-Planck equations with moving boundaries

By means of time-dependent similarity transformations, we derive exact solutions of the Fokker-Planck equations with moving boundaries in the presence of: (1) a time-dependent linear force and (2) a time-dependent nonlinear force. The method of similarity transformation is simple and can be easily applied to more general Fokker-Planck equations. Furthermore, the knowledge of the exact solutions in closed form can be useful as a benchmark to test approximate numerical or analytical procedures.     

Autocorrelation functions of nonlinear Fokker-Planck equations

The European Physical Journal B - We compute autocorrelation functions from nonlinear Fokker-Planck equations that describe nonlinear families of Markov diffusion processes and illustrate this...     

Metastability for Markov processes with detailed balance

We present a definition for metastable states applicable to arbitrary finite state Markov processes satisfying detailed balance. In particular, we identify a crucial condition that distinguishes metastable states from other slow decaying modes and which allows us to show that our definition has several desirable properties similar to those postulated in the restricted ensemble approach. The intuitive physical meaning of this condition is simply that the total equilibrium probability of finding the system in the metastable state is negligible.     

Some properties of Einstein's equations

For the matrix Q of the characteristic determinant of the field equations, left null vectors of general form are found. Some special solutions are constructed and some of their properties investigated.Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 10, pp. 7–9, October, 1980.I am grateful to V. L. Bonch-Bruevich, N. S. Kardashov, and I. D. Novikov for assistance.     

On the hidden supersymmetry of Fokker-Planck equations with potential forces

It is shown that the Martin-Siggie-Rose generating functional dissipative dynamics in the field of potential forces can be rewritten in the form of a functional integral for an euclidean supersymmetric field theory. The existence of a non-equilibrium steady state is equivalent to spontaneous supersymmetry breaking. A supersymmetric diagram technique, which is a convenient covariant form of the conventional dynamic diagram technique is derived.     

Fractional Fokker-Planck equations for subdiffusion with space- and time-dependent forces

We derive a fractional Fokker-Planck equation for subdiffusion in a general space- and time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived from a generalized master equation and is shown to be equivalent to a subordinated stochastic Langevin equation.     

Some properties of mode coupling equations

In this paper it is proven that some classes of mode coupling equations for correlation functions have a unique solution which exhibits all the standard properties like causality and stability. This is done by demonstrating the uniform convergence of an iteration procedure, which was previously used for a numerical solution of these equations.     

On the application of truncated generalized Fokker-Planck equations

The Pawula theorem states that the generalized Fokker-Planck equation with finite derivatives greater than two leads to a contradiction to the positivity of the distribution function. Though negative values are inconsistent from a logical point of view, we show that such distribution functions with negative values can be very useful from a practical point of view. For a Poisson-process, where the exact solution is known, we compare the solution of the second order Fokker-Planck equation to the solutions of Fokker-Planck equations of finite order. It turns out that for certain parameters the approximations of the distribution function and the moments are much better for some higher order and that the magnitude of negative values may be very small in the relevant region of variables.