Dynamics of normal and anomalous diffusion in nonlinear Fokker-Planck equations

Consequences of the connection between nonlinear Fokker-Planck equations and entropic forms are investigated. A particular emphasis is given to the feature that different nonlinear Fokker-Planck equations can be arranged into classes associated with the same entropic form and its corresponding stationary state. Through numerical integration, the time evolution of the solution of nonlinear Fokker-Planck equations related to the Boltzmann-Gibbs and Tsallis entropies are analyzed. The time behavior in both stages, in a time much smaller than the one required for reaching the stationary state, as well as towards the relaxation to the stationary state, are of particular interest. In the former case, by using the concept of classes of nonlinear Fokker-Planck equations, a rich variety of physical behavior may be found, with some curious situations, like an anomalous diffusion within the class related to the Boltzmann-Gibbs entropy, as well as a normal diffusion within the class of equations related to Tsallis’ entropy. In addition to that, the relaxation towards the stationary state may present a behavior different from most of the systems studied in the literature.     

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...     

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     

Nonlinear diffusion under a time dependent external force: q-maximum entropy solutions

Nonlinear diffusion equations provide useful models for a number of interesting phenomena, such as diffusion processes in porous media. We study here a family of nonlinear Fokker-Planck equations endowed both with a power-law nonlinear diffusion term and a drift term with a time dependent force linear in the spatial variable. We show that these partial differential equations exhibit exact time dependent particular solutions of the Tsallis maximum entropy (q-MaxEnt) form. These results constitute generalizations of previous ones recently discussed in the literature [C. Tsallis, D.J. Bukman, Phys. Rev. E 54, R2197 (1996)], concerning q-MaxEnt solutions to nonlinear Fokker-Planck equations with linear, time independent drift forces. We also show that the present formalism can be used to generate approximate q-MaxEnt solutions for nonlinear Fokker-Planck equations with time independent drift forces characterized by a general spatial dependence. Received 25 April 2001 and Received in final form 6 June 2001     

A comment on the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T.D. Frank

The purpose of this comment is to correct mistaken assumptions and claims made in the paper “Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations” by T. D. Frank [T.D. Frank, Stochastic feedback, non-linear families of Markov processes, and nonlinear Fokker-Planck equations, Physica A 331 (2004) 391]. Our comment centers on the claims of a “non-linear Markov process” and a “non-linear Fokker-Planck equation.” First, memory in transition densities is misidentified as a Markov process. Second, the paper assumes that one can derive a Fokker-Planck equation from a Chapman-Kolmogorov equation, but no proof was offered that a Chapman-Kolmogorov equation exists for the memory-dependent processes considered. A “non-linear Markov process” is claimed on the basis of a non-linear diffusion pde for a 1-point probability density. We show that, regardless of which initial value problem one may solve for the 1-point density, the resulting stochastic process, defined necessarily by the conditional probabilities (the transition probabilities), is either an ordinary linearly generated Markovian one, or else is a linearly generated non-Markovian process with memory. We provide explicit examples of diffusion coefficients that reflect both the Markovian and the memory-dependent cases. So there is neither a “non-linear Markov process”, nor a “non-linear Fokker-Planck equation” for a conditional probability density. The confusion rampant in the literature arises in part from labeling a non-linear diffusion equation for a 1-point probability density as “non-linear Fokker-Planck,” whereas neither a 1-point density nor an equation of motion for a 1-point density can define a stochastic process. In a closely related context, we point out that Borland misidentified a translation invariant 1-point probability density derived from a non-linear diffusion equation as a conditional probability density. Finally, in the Appendix A we present the theory of Fokker-Planck pdes and Chapman-Kolmogorov equations for stochastic processes with finite memory.     

The nonlinear Fokker-Planck equation with state-dependent diffusion - a nonextensive maximum entropy approach

Nonlinear Fokker-Planck equations (e.g., the diffusion equation for porous medium) are important candidates for describing anomalous diffusion in a variety of systems. In this paper we introduce such nonlinear Fokker-Planck equations with general state-dependent diffusion, thus significantly generalizing the case of constant diffusion which has been discussed previously. An approximate maximum entropy (MaxEnt) approach based on the Tsallis nonextensive entropy is developed for the study of these equations. The MaxEnt solutions are shown to preserve the functional relation between the time derivative of the entropy and the time dependent solution. In some particular important cases of diffusion with power-law multiplicative noise, our MaxEnt scheme provides exact time dependent solutions. We also prove that the stationary solutions of the nonlinear Fokker-Planck equation with diffusion of the (generalized) Stratonovich type exhibit the Tsallis MaxEnt form. Received 26 February 1999     

Exact solutions for nonlinear fractional anomalous diffusion equations

This work is devoted to investigating exact solutions of generalized nonlinear fractional diffusion equations with external force and absorption. We first investigate the nonlinear anomalous diffusion equations with one-fractional derivative and then multi-fractional ones. In both situations, we obtain the corresponding exact solution, its diffusive behavior, and the sufficient and necessary conditions for solutions satisfying the boundary condition W(±∞,t)=0 and the sharp initial condition W(x,0)=δ(x).     

Hurst exponents for interacting random walkers obeying nonlinear Fokker-Planck equations

Anomalous diffusion of random walks has been extensively studied for the case of non-interacting particles. Here we study the evolution of nonlinear partial differential equations by interpreting them as Fokker-Planck equations arising from interactions among random walkers. We extend the formalism of generalized Hurst exponents to the study of nonlinear evolution equations and apply it to several illustrative examples. They include an analytically solvable case of a nonlinear diffusion constant and three nonlinear equations which are not analytically solvable: the usual Fisher equation which contains a quadratic nonlinearity, a generalization of the Fisher equation with density-dependent diffusion constant, and the Nagumo equation which incorporates a cubic rather than a quadratic nonlinearity. We estimate the generalized Hurst exponents.     

Statistical mechanics of nonlinear hydrodynamic fluctuations

The paper studies nonlinear hydrodynamic fluctuations by the methods of nonequilibrium statistical mechanics. The generalized Fokker-Planck equation for the distribution function of coarse-grained densities of conserved quantities is derived from the Liouville equation and then is investigated by using the gradient expansions in the flux correlation matrix. We have obtained the functional-differential Fokker-Planck equation describing the nonlinear hydrodynamic fluctuations in spatially nonuniform systems to second order in gradients of coarse-grained fluctuating fields. An outline of the derivation of Fokker-Planck equations containing the Burnett terms is also given. The explicit coordinate representation for the hydrodynamic Fokker-Planck equation is discussed in the case of one-component simple fluid. The general scheme of a change of coarse-grained functional variables is developed for hydrodynamic Fokker-Planck equations. The corresponding transformation rules are found for “drift” terms, “diffusion coefficients” and thermodynamic forces. The dynamical equations and stationary conditions for averages of functions (functionals) of hydrodynamic fields are discussed by using the Fokker-Planck operators acting on such functions. The explicit form of these operators are found for various sets of fluctuating fields. As an application of the formalism the calculation of the stationary correlation functions is presented for a simple nonequilibrium steady state.     

Comment on ‘An optimal algorithm for counting networks motifs’ [Physica A 381 (2007) 482-490]

Network motifs in a given network are small connected subnetworks that occur at significantly higher frequencies than would be expected for a random network. In their 2007 article “An optimal algorithm for counting network motifs”, Itzhack, Mogilevski, and Louzoun present an algorithm for detecting network motifs. Based on an experimental comparison with a motif detection software called FANMOD, they claim that their algorithm is “more than a thousand times faster” than any previous motif detection algorithm. We show that this claim is not correct and based on a significant flaw in the experimental setup. Once the experimental data of Itzhack et al. is corrected for this flaw, the implementation of their algorithm actually turns out to be a little slower than FANMOD for random Erd?s-Rényi graphs. For random scale-free networks, the implementation of Itzhack et al. is faster only by a factor of ∼1.5, not the orders of magnitude claimed by Itzhack et al.     

Anomalous diffusion with absorption: exact time-dependent solutions

Recently, analytical solutions of a nonlinear Fokker-Planck equation describing anomalous diffusion with an external linear force were found using a nonextensive thermostatistical Ansatz. We have extended these solutions to the case when an homogeneous absorption process is also present. Some peculiar aspects of the interrelation between the deterministic force, the nonlinear diffusion, and the absorption process are discussed.     

Non-Markov stochastic processes satisfying equations usually associated with a Markov process

There are non-Markov Ito processes that satisfy the Fokker-Planck, backward time Kolmogorov, and Chapman-Kolmogorov equations. These processes are non-Markov in that they may remember an initial condition formed at the start of the ensemble. Some may even admit 1-point densities that satisfy a nonlinear 1-point diffusion equation. However, these processes are linear, the Fokker-Planck equation for the conditional density (the 2-point density) is linear. The memory may be in the drift coefficient (representing a flow), in the diffusion coefficient, or in both. We illustrate the phenomena via exactly solvable examples. In the last section we show how such memory may appear in cooperative phenomena.     

A nonextensive maximum entropy approach to a family of nonlinear reaction–diffusion equations

We consider a monoparametric family of reaction–diffusion equations endowed with both a nonlinear diffusion term and a nonlinear reaction one that possess exact time-dependent particular solutions of the Tsallis’ maximum entropy (MaxEnt) form. The evolution of these solutions is governed by a system of three coupled nonlinear ordinary differential equations that are integrated numerically. A simple population dynamics interpretation provides a qualitative understanding of the behaviour of the q-MaxEnt solutions. When the reaction term vanishes the time-dependent distributions studied here reduce to the previously known Tsallis’ MaxEnt solutions for the nonlinear diffusion equation.     

Parametric solution method for self-consistency equations and order parameter equations derived from nonlinear Fokker-Planck equations

We propose a parametric approach to solve self-consistency equations that naturally arise in many-body systems described by nonlinear Fokker-Planck equations in general and nonlinear Vlasov-Fokker-Planck equations of Haissinski type in particular. We demonstrate for the Hess-Doi-Edwards model and the McMillan model of nematic and smectic liquid crystals that the parametric approach can be used to compute bifurcation diagrams and critical order parameters for systems exhibiting one or more than one order parameters. In addition, we show that in the context of the parametric approach solutions of the Haissinski model can be studied from the perspective of a pseudo order parameter.     

Generalized Ginzburg-Landau equations for phase transition-like phenomena in lasers,nonlinear optics,hydrodynamics and chemical reactions

The recently found close analogies between the continuous mode laser, the Bénard instability, and chemical instabilities with respect to their phase transition-like behaviour are shown to have a common root. We start from equations of motion containing fluctuations. We first assume external parameters permitting only stable solutions and linearize the equations, which define a set of modes. When the external parameters are changed the modes getting unstable are taken as order parameters. Since their relaxation time tends to infinity the damped modes can be eliminated adiabatically leaving us with a set of nonlinear coupled order parameter equations resembling the time dependent Ginzburg-Landau equations with fluctuating forces. In two and three dimensions additional terms occur which allow for e.g. hexagonal spatial structures. We also treat the hard mode instability and obtain the stationary distribution function as solution of the Fokker-Planck equation. Our procedure has immediate applications to the Taylor instability, to various chemical reaction models, to the parametric oscillator in nonlinear optics and to some biological models. Furthermore, it allows us to treat analytically the onset of laser pulses, higher instabilities in the Bénard and Taylor problems and chemical oscillations including fluctuations.     

Continuous symmetries of three-dimensional diffusion equations

Lie transformation groups are given which leave the three-dimensional linear diffusion equation invariant, with and without chemical reactions. We show how similarity solutions and conserved currents can be obtained with the help of these groups. We apply these methods to nonlinear three-dimensional diffusion equations which can be exactly linearized by nonlinear transformations.     

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.     

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 nonlinear theory of turbulent diffusion

It is shown that the well-known conservation laws for magnetic helicity and passive-scalar fluctuation intensity in the case of negligible molecular diffusion require that the hierarchy of nonlinear equations for the averaged Green function and the hierarchy of Bethe-Salpeter-type equations for fluctuation intensity be treated in a mutually consistent manner. These hierarchies are obtained to the sixth order in turbulent velocity correlators. Asymptotic formulas describing the evolution of scalar fluctuations and magnetic field are presented. A number of new effects are revealed that strongly affect diffusion, but are beyond the scope of the frequently used model of a delta-correlated turbulent field.     

Conditional Lie-Bäcklund symmetries and solutions of inhomogeneous nonlinear diffusion equations

The second-order conditional Lie-Bäcklund symmetries of nonlinear diffusion equations with variable coefficients are studied. A number of examples are considered and some exact solutions are constructed via the compatibility of conditional Lie-Bäcklund symmetries and the governing equations. These solutions possess the extended forms of the separation of variables, including the extensions of the instantaneous source solutions of the porous medium equations.