Synchronization of a large number of continuous one-dimensional stochastic elements with time-delayed mean-field coupling

We study synchronization as a means of control of collective behavior of an ensemble of coupled stochastic units in which oscillations are induced merely by external noise. For a large number of one-dimensional continuous stochastic elements coupled non-homogeneously through the mean field with delay we developed an approach to find a boundary of synchronization domain and the frequency of the mean-field oscillations on it. Namely, the exact location of the synchronization threshold is shown to be a solution of the boundary value problem (BVP) which was derived from the linearized Fokker-Planck equation. Here the synchronization threshold is found by solving this BVP numerically. Approximate analytics is obtained by expanding the solution of the linearized Fokker-Planck equation into a series of eigenfunctions of the stationary Fokker-Planck operator. Bistable systems with a polynomial and piece-wise linear potential are considered as examples. Multistability and hysteresis in the mean-field behavior are observed in the stochastic network at finite noise intensities. In the limit of small noise intensities the critical coupling strength is shown to remain finite, provided that the delay in the coupling function is not infinitely small. Delay in the coupling term can be used as a control parameter that manipulates the location of the synchronization threshold.     

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.     

Master Equation in Phase Space for a Uniaxial Spin System

A master equation, for the time evolution of the quasi-probability density function of spin orientations in the phase space representation of the polar and azimuthal angles is derived for a uniaxial spin system subject to a magnetic field parallel to the axis of symmetry. This equation is obtained from the reduced density matrix evolution equation (assuming that the spin-bath coupling is weak and that the correlation time of the bath is so short that the stochastic process resulting from it is Markovian) by expressing it in terms of the inverse Wigner-Stratonovich transformation and evaluating the various commutators via the properties of polarization operators and spherical harmonics. The properties of this phase space master equation, resembling the Fokker-Planck equation, are investigated, leading to a finite series (in terms of the spherical harmonics) for its stationary solution, which is the equilibrium quasi-probability density function of spin “orientations” corresponding to the canonical density matrix and which may be expressed in closed form for a given spin number. Moreover, in the large spin limit, the master equation transforms to the classical Fokker-Planck equation describing the magnetization dynamics of a uniaxial paramagnet.     

Master Equation for Quantum Brownian Motion Derived by Stochastic Methods

The master equation for a linear open quantum system in a general environment is derived using a stochastic approach. This is an alternative derivation to that of Hu, Paz, and Zhang, which was based on the direct computation of path integrals, or to that of Halliwell and Yu, based on the evolution of the Wigner function for a linear closed quantum system. We first show by using the influence functional formalism that the reduced Wigner function for the open system coincides with a distribution function resulting from averaging both over the initial conditions and the stochastic source of a formal Langevin equation. The master equation for the reduced Wigner function can then be deduced as a Fokker-Planck equation obtained from the formal Langevin equation.     

Emergence of bimodality in noisy systems with single-well potential

We study the stationary probability density of a Brownian particle in a potential with a single-well subject to the purely additive thermal and dichotomous noise sources. We find situations where bimodality of stationary densities emerges due to presence of dichotomous noise. The solutions are constructed using stochastic dynamics (Langevin equation) or by discretization of the corresponding Fokker-Planck equations. We find that in models with both noises being additive the potential has to grow faster than |x| in order to obtain bimodality. For potentials ∝|x| stationary solutions are always of the double exponential form.     

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.     

Non-homogeneous random walks, generalised master equations, fractional Fokker-Planck equations, and the generalised Kramers-Moyal expansion

A generalised random walk scheme for random walks in an arbitrary external potential field is investigated. From this concept which accounts for the symmetry breaking of homogeneity through the external field, a generalised master equation is constructed. For long-tailed transfer distance or waiting time distributions we show that this generalised master equation is the genesis of apparently different fractional Fokker-Planck equations discussed in literature. On this basis, we introduce a generalisation of the Kramers-Moyal expansion for broad jump length distributions that combines multiples of both ordinary and fractional spatial derivatives. However, it is shown that the nature of the drift term is not changed through the existence of anomalous transport statistics, and thus to first order, an external potential Φ(x) feeds back on the probability density function W through the classical term ∝/ x (x)W(x, t), i.e., even for Lévy flights, there exists a linear infinitesimal generator that accounts for the response to an external field. Received 30 June 2000 and Received in final form 12 November 2000     

Deterministic and stochastic behavior in ferroelectric particles

The response of a ferroelectric particle to an applied harmonic field is studied using the Fokker-Planck equation approach. The size effect in dielectric susceptibility is interpreted as the complementarity between stochastic resonance and response anomaly of the second-order phase transition. The borderline between stochastic and deterministic behavior is established. Two universal volume-independent ratios of the damping rates are predicted and may be verified in the relaxation experiments. The approach can be generalized also to other finite condensed systems.     

An extended master-equation approach applied to aggregation in freeway traffic

We restudy the master-equation approach applied to aggregation in a one-dimensional freeway, where the decay transition probabilities for the jump processes are reconstructed based on a car-following model. According to the reconstructed transition probabilities, the clustering behaviours and the stochastic properties of the master equation in a one-lane freeway traffic model are investigated in detail The numerical results show that the size of the clusters initially below the critical size of the unstable cluster and initially above that of the unstable cluster all enter the same stable state, which also accords with the nucleation theory and is known from the result in earlier work. Moreover, we have obtained more reasonable parameters of the master equation based on some results of cellular automata models.     

Classical probability waves

Probability waves in the configuration space are associated with coherent solutions of the classical Liouville or Fokker-Planck equations. Distributions localized in the momentum space provide action waves, described by the probability density and the generating function of the Hamilton-Jacobi theory. It is shown that by introducing a minimum distance in the coordinate space, the action distributions aquire the phase-space dispersion specific to the quantum objects. At finite temperature, probability density waves propagating with the sound velocity can arise as nonstationary solutions of the classical Fokker-Planck equation. The results suggest that in a system of quantum Brownian particles, a transition from complex to real probability waves could be observed.     

Dynamics of spinor condensates and stochastic approach

The dynamics of the collective spin for Bose-Einstein condensates with nonlinear interactions, is studied within the framework of the two-component spinor. We discuss the spin resonance when the system is submitted to a periodically-modulated magnetic field at the zero temperature. In this case, the nonlinearity parameter controls the critical change between a localized and a homogeneous spin state. When the temperature is finite – or a random magnetic field is considered – the movement of the collective spin is governed by the Landau-Lifshitz-Gilbert equation, from which the complete Fokker-Planck equation is derived. This equation is the essential tool to describe the time-evolution of the probability distribution function for the collective spin. The functional integral approach is used to solve analytically examples of BEC spin behavior in a static magnetic field at finite temperature. We show how such a method can lead effectively to the complete solution of the Fokker-Planck equation for this kind of problems.     

Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force

We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ?a(t)x ² + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems. Received 23 October 2001 and Received in final form 24 December 2001     

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.     

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.     

Green functions in stochastic field theory

Functional representations are reviewed for the generating function of Green functions of stochastic problems stated either with the use of the Fokker-Planck equation or the master equation. Both cases are treated in a unified manner based on the operator approach similar to quantum mechanics. Solution of a second-order stochastic differential equation in the framework of stochastic field theory is constructed. Ambiguities in the mathematical formulation of stochastic field theory are discussed. The Schwinger-Keldysh representation is constructed for the Green functions of the stochastic field theory which yields a functional-integral representation with local action but without the explicit functional Jacobi determinant or ghost fields.     

Non-equilibrium agglomeration of helium-vacancy clusters in irradiated materials

Abstract

Time evolution of non-equilibrium systems, where the probability density is described by a continuum Fokker-Planck (F-P) equation, is a central area of interest in stochastic processes. In this paper, a numerical solution of a two-dimensional (2-D) F-P equation describing the growth of helium-vacancy clusters (HeVCs) in metals under irradiation is given. First, nucleation rates and regions of stability of HeVCs in the appropriate phase space for fission and fusion devices are established. This is accomplished by solving a detailed set of cluster kinetic rate equations. A nodal line analysis is used to map spontaneous and stochastic nucleation regimes in the helium-vacancy (h-v) phase space. Growth trajectories of HeVCs are then used to evaluate the average HeVC size and helium content during the growth phase of HeVCs in typical growth instability regions.

The growth phase of HeVCs is modeled by a continuum 2-D, time-dependent F-P equation. Growth trajectories are used to define a finite solution space in the h-v phase space. A highly efficient dynamic remeshing scheme is developed to solve the F-P equation. As a demonstration, typical HFIR irradiation conditions are chosen. Good agreement between the computed size distributions and those measured experimentally are obtained.