Influence of coloured noise on the diffusion of a quantum particle. Part I: General results

A general stochastic model for the diffusion of a quantum particle on a fluctuating lattice is considered and several exact results useful in the calculation of transport properties are given. First, we derive a new type of integral equation for the density operator using a time-dependent projection operator and disentangling the stochastic, not the deterministic part of the motion in contrast to previous treatments. The mean square displacement is then expressed by the kernel of this equation in the case of diagonal fluctuations. We obtain an equation of motion for this kernel similar in structure to equations known from Green's function theory and containing a self-energy like quantity. Finally, two general statements concerning the exact solution of correlated models are given.     

Influence of coloured noise on the diffusion of a quantum particle. Part II: Diffusion constant for dichotomic markovian fluctuations

In part I of this paper a new formalism for the calculation of stochastic moments in quantum mechanical particle motion has been developed. Now we use this formalism to obtain expressions for the mean square displacement within a model containing dichotomic Markovian fluctuations. A self-energy like quantity in the equation of motion for a contracted kernel or propagator determining the mean square displacement is replaced by its second order approximation in powers of the deterministic part of the Hamiltonian. This is the only approximation throughout the paper. In the one-dimensional case the contracted propagator itself is calculated. Instead, in the general case the mean square displacement is given in terms of a continued fraction. We compare our result to several previous ones and especially discuss the question of Anderson, localization in the static limit.     

Theory of Stochastic Schrödinger Equation in Complex Vector Space

A generalized Schrödinger equation containing correction terms to classical kinetic energy, has been derived in the complex vector space by considering an extended particle structure in stochastic electrodynamics with spin. The correction terms are obtained by considering the internal complex structure of the particle which is a consequence of stochastic average of particle oscillations in the zeropoint field. Hence, the generalised Schrödinger equation may be called stochastic Schrödinger equation. It is found that the second order correction terms are similar to corresponding relativistic corrections. When higher order correction terms are neglected, the stochastic Schrödinger equation reduces to normal Schrödinger equation. It is found that the Schrödinger equation contains an internal structure in disguise and that can be revealed in the form of internal kinetic energy. The internal kinetic energy is found to be equal to the quantum potential obtained in the Madelung fluid theory or Bohm statistical theory. In the rest frame of the particle, the stochastic Schrödinger equation reduces to a Dirac type equation and its Lorentz boost gives the Dirac equation. Finally, the relativistic Klein–Gordon equation is derived by squaring the stochastic Schrödinger equation. The theory elucidates a logical understanding of classical approach to quantum mechanical foundations.     

QUALITATIVE AND QUANTITATIVE ANALYSIS OF STOCHASTIC PROCESSES BASED ON MEASURED DATA, I: THEORY AND APPLICATIONS TO SYNTHETIC DATA

Analysis of stochastic processes governed by the Langevin equation is discussed. The analysis is based on a general method for non-parametric estimation of deterministic and random terms of the Langevin equation directly from given data. Separate estimation of the terms corresponds to decomposition of process dynamics into deterministic and random components. Such decomposition provides a basis for qualitative and quantitative analysis of process dynamics. In Part I, the following analysis possibilities are described and illustrated using various synthetic datasets: (1) qualitative inspection of the estimated terms presented as fields, (2) reconstruction of the deterministic and stochastic evolution of the process and (3) approximation of the deterministic term by an analytical function and quantitative treatment of the equations obtained. In Part II, these analysis possibilities are applied to experimental datasets from metal cutting and laser-beam welding.     

Energy oscillations in a one-dimensional harmonic crystal on an elastic substrate

A one-dimensional harmonic crystal on an elastic substrate is considered as a stochastic system into which randomness is introduced through initial conditions. The use of the particle velocity and displacement covariances reduces the stochastic problem to a closed deterministic problem for statistical characteristics of particle pairs. An equation of rapid motion that describes oscillations of potential and kinetic energy components of the system has been derived and solved. The obtained solutions are used to determine the character and to estimate the time of decay of the transient process that brings the system to thermodynamic equilibrium.     

A self-consistent approach to quantum field theory for extended particles

A notion of quantum space-time is introduced, physically defined as the totality of all flows of quantum test particles in free fall. In quantum space-time the classical notion of deterministic inertial frames is replaced by that of stochastic frames marked by extended particles. The same particles are used both as markers of quantum space-time points as well as natural clocks, each species of quantum test particle thus providing a standard for space-time measurements. In the considered flat-space case, the fluctuations in coordinate values with respect to stochastic frames are described by coordinate probability amplitudes related to irreducible stochastic phase space representations of the Poincaré group. Lagrangian field theory on quantum space-time is formulated. The ensuing equations of motion for interacting fields contain no singularities in their nonlinear terms, and therefore can be handled by methods borrowed from classical nonlinear analysis.Supported in part by an NSERC grant.     

Small Mass Asymptotics for a Charged Particle in a Magnetic Field and Long-Time Influence of Small Perturbations

We consider small mass asymptotics of the motion of a charged particle in a potential combined with a magnetic field. After an appropriate regularization, a Smoluchowski-Kramers type approximation is established. This approximation allows to study long-time influence on the motion of various perturbations, deterministic and stochastic. In particular, even in the case of pure deterministic perturbations, the long-time evolution of the perturbed system can be stochastic.     

QUALITATIVE AND QUANTITATIVE ANALYSIS OF STOCHASTIC PROCESSES BASED ON MEASURED DATA, II: APPLICATIONS TO EXPERIMENTAL DATA

Analysis of stochastic processes governed by the Langevin equation is discussed. The analysis is based on a general method for non-parametric estimation of deterministic and random terms of the Langevin equation directly from given data. Separate estimation of the terms corresponds to the decomposition of process dynamics into deterministic and random components. Part I of the paper presented several possibilities for qualitative and quantitative analysis of process dynamics based on such decomposition. In Part II, some of these analysis possibilities are applied to experimental datasets from metal cutting and laser-beam welding.     

Leading Order Response of Statistical Averages of a Dynamical System to Small Stochastic Perturbations

The classical fluctuation-dissipation theorem predicts the average response of a dynamical system to an external deterministic perturbation via time-lagged statistical correlation functions of the corresponding unperturbed system. In this work we develop a fluctuation-response theory and test a computational framework for the leading order response of statistical averages of a deterministic or stochastic dynamical system to an external stochastic perturbation. In the case of a stochastic unperturbed dynamical system, we compute the leading order fluctuation-response formulas for two different cases: when the existing stochastic term is perturbed, and when a new, statistically independent, stochastic perturbation is introduced. We numerically investigate the effectiveness of the new response formulas for an appropriately rescaled Lorenz 96 system, in both the deterministic and stochastic unperturbed dynamical regimes.     

Long-memory volatility in derivative hedging

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381–392] where they incorporate long-memory stochastic volatility in option pricing and derive pricing bands for option values. The starting point is the stochastic Black–Scholes hedging strategy which involves volatility with a long-range dependence. The stochastic hedging strategy is the sum of its deterministic term that is classical Black–Scholes hedging strategy with a constant volatility and a random deviation term which describes the risk arising from the random volatility. Using the fact that stock price and volatility fluctuate on different time scales, we derive an asymptotic equation for this deviation in terms of the Green's function and the fractional Brownian motion. The solution to this equation allows us to find hedging confidence intervals.     

On Perturbations of Generalized Landau-Lifshitz Dynamics

We consider deterministic and stochastic perturbations of dynamical systems with conservation laws in ℝ³. The Landau-Lifshitz equation for the magnetization dynamics in ferromagnetics is a special case of our system. The averaging principle is a natural tool in such problems. But bifurcations in the set of invariant measures lead to essential modification in classical averaging. The limiting slow motion in this case, in general, is a stochastic process even if pure deterministic perturbations of a deterministic system are considered. The stochasticity is a result of instabilities in the non-perturbed system as well as of existence of ergodic sets of a positive measure. We effectively describe the limiting slow motion.     

The impact approximation in the theory of bimolecular quasi-resonant processes

The kinetic equation for a density matrix, which describes the relaxation of the internal states of encountering particles dissolved in an inert medium, has been derived under the following assumptions: a) the random motion of reacting particles in a liquid is considered to be a classical Markoffian process; b) the concentration of reacting particles is small enough. The equation obtained is shown to be the generalization of that of the familiar impact theory of pressure broadening for the case of any type of encountering particle motion. Our general formulae are concretized in accordance with the physical situations of rectilinear, diffusion, and stochastic jump motion of the encountering particles.     

The quasiclassical Langevin equation and its application to the decay of a metastable state and to quantum fluctuations

We report on investigations on the consequences of the quasiclassical Langevin equation. This Langevin equation is an equation of motion of the classical type where, however, the stochastic Langevin force is correlated according to the quantum form of the dissipation-fluctuation theorem such that ultimately its power spectrum increases linearly with frequency. Most extensively, we have studied the decay of a metastable state driven by a stochastic force. For a particular type of potential well (piecewise parabolic), we have derived explicit expressions for the decay rate for an arbitrary power spectrum of the stochastic force. We have found that the quasiclassical Langevin equation leads to decay rates which are physically meaningful only within a very restricted range. We have also studied the influence of quantum fluctuations on a predominantly deterministic motion and we have found that there the predictions of the quasiclassical Langevin equations are correct.     

Molecular rototranslation in condensed phases : Single particle theory

A multidimensional expansion of the Mori equation in terms of a chain of Markov equations is used to develop a theory of molecular rototranslation in condensed phases. The stochastic equations of motion are solved for transient and equilibrium averages of the relevant dynamical variables. The single particle rototranslational Langevin equations correspond to the first equation of the Markov chain and (with a rotational constraint) are solved using Wiener matrix algebra for a possible sixteen autocorrelation functions. The Einstein result for the mean-square velocity and angular velocity is generalized. The third dimension of the Markov chain corresponds mechanically to the (constrained) rototranslation of a molecule bound to a cage of nearest neighbours by a dissipative matrix γ. The cage is itself undergoing a rototranslational Brownian motion. The problem of evaluating the formal theory with experimental measurements is discussed in terms of the number of parameters associated with each approximant (or dimensionality of the Markov chain). It is possible to avoid using a least-mean-squares fitting procedure by using a broad enough range of data and simulator results.     

Classical field theory with fermions

Classical field theory simulations have been essential for our understanding of non-equilibrium phenomena in particle physics. In this talk we discuss the possible extension of the bosonic classical field theory simulations to include fermions. In principle we use the inhomogeneous mean field approximation as introduced by Aarts and Smit. But in practice we turn from their deterministic technique to a stochastic approach. We represent the fermion field as an ensemble of pairs of spinor fields, dubbed male and female. These c-number fields solve the classical Dirac equation. Our improved algorithm enables the extension of the originally 1+1 dimensional analyses and is suitable for large-scale inhomogeneous settings, like defect networks.     

Random dynamics of the Morris-Lecar neural model

Determining the response characteristics of neurons to fluctuating noise-like inputs similar to realistic stimuli is essential for understanding neuronal coding. This study addresses this issue by providing a random dynamical system analysis of the Morris-Lecar neural model driven by a white Gaussian noise current. Depending on parameter selections, the deterministic Morris-Lecar model can be considered as a canonical prototype for widely encountered classes of neuronal membranes, referred to as class I and class II membranes. In both the transitions from excitable to oscillating regimes are associated with different bifurcation scenarios. This work examines how random perturbations affect these two bifurcation scenarios. It is first numerically shown that the Morris-Lecar model driven by white Gaussian noise current tends to have a unique stationary distribution in the phase space. Numerical evaluations also reveal quantitative and qualitative changes in this distribution in the vicinity of the bifurcations of the deterministic system. However, these changes notwithstanding, our numerical simulations show that the Lyapunov exponents of the system remain negative in these parameter regions, indicating that no dynamical stochastic bifurcations take place. Moreover, our numerical simulations confirm that, regardless of the asymptotic dynamics of the deterministic system, the random Morris-Lecar model stabilizes at a unique stationary stochastic process. In terms of random dynamical system theory, our analysis shows that additive noise destroys the above-mentioned bifurcation sequences that characterize class I and class II regimes in the Morris-Lecar model. The interpretation of this result in terms of neuronal coding is that, despite the differences in the deterministic dynamics of class I and class II membranes, their responses to noise-like stimuli present a reliable feature.     

High-temperature brownian motors: Deterministic and stochastic fluctuations of a periodic potential

The high-temperature unidirectional motion of a Brownian particle with time-dependent potential energy described by a spatially asymmetric periodic function is considered. A general formula derived for the mean velocity ν of such a motion is specified for dichotomic deterministic and Markovian stochastic processes. In both cases, ν increases linearly for low-frequencies γ of potential-energy fluctuations and reaches maxima for γ about the inverse time of diffusion by the spatial period of the potential. The behaviors of ν for large γ values are different in these cases: ν ∝ γ^?2 and ν ts γ^?1 for the deterministic and stochastic processes, respectively. It is shown that the direction of the motor motion depends on the relative lifetimes of each of the dichotomic-process states if the amplitude of the potential-energy fluctuations is fairly large in comparison with the mean value.     

Thermal mechanics: A quantum mechanical analogue of nonequilibrium statistical thermodynamics

A formal but not conventional equivalence between stochastic processes in nonequilibrium statistical thermodynamics and Schrödinger dynamics in quantum mechanics is shown. It is found, for each stochastic process described by a stochastic differential equation of Itô type, there exists a Schrödinger-like dynamics in which the absolute square of a wavefunction gives us the same probability distribution as the original stochastic process. In utilizing this equivalence between them, that is, rewriting the stochastic differential equation by an equivalent Schrödinger equation, it is possible to obtain the notion of deterministic limit of the stochastic process as a semi-classical limit of the “Schrödinger” equation. The deterministic limit thus obtained improves the conventional deterministic approximation in the sense of Onsager-Machlup. The present approach is valid for a general class of stochastic equations where local drifts and diffusion coefficients depend on the position. Two concrete examples are given. It should be noticed that the approach in the present form has nothing to do with the conventional one where only a formal similarity between the Fokker-Planck equation and the Schrödinger equation is considered.