We develop a theory of fluctuations for Brownian systems with weak long-range interactions. For these systems, there exists a critical point separating a homogeneous phase from an inhomogeneous phase. Starting from the stochastic Smoluchowski equation governing the evolution of the fluctuating density field, we determine the expression of the correlation function of the density fluctuations around a spatially homogeneous equilibrium distribution. In the stable regime, we find that the temporal correlation function of the Fourier components of the density fluctuations decays exponentially rapidly with the same rate as the one characterizing the damping of a perturbation governed by the mean field Smoluchowski equation (without noise). On the other hand, the amplitude of the spatial correlation function in Fourier space diverges at the critical point $T=T_{c}$ (or at the instability threshold $k=k_{m}$) implying that the mean field approximation breaks down close to the critical point and that the phase transition from the homogeneous phase to the inhomogeneous phase occurs sooner. By contrast, the correlations of the velocity fluctuations remain finite at the critical point (or at the instability threshold). We give explicit examples for the Brownian Mean Field (BMF) model and for Brownian particles interacting via the gravitational potential and via the attractive Yukawa potential. We also introduce a stochastic model of chemotaxis for bacterial populations generalizing the mean field Keller-Segel model by taking into account fluctuations.
It is known that a full description of Brownian motion in the entire course of time should incorporate both kinetic and hydrodynamic effects, but a formula accounts for both effects has been established only in three dimension and only for the limiting case when Brownian particles are much bigger and heavier than fluid particles. Nevertheless, for applications, it is important to consider small Brownian particles (sometimes even smaller than fluid particles). In these cases, unfortunately, only formulae in the short (long) time limit considering exclusively kinetic (hydrodynamic) effect are av…
A covariant Fokker-Planck type equation for a simple gas and an equation for the Brownian motion are derived from a relativistic kinetic theory based on the Boltzmann equation. For the simple gas the dynamic friction four-vector and the diffusion tensor are identified and written in terms of integrals which take into account the collision processes. In the case of Brownian motion, the Brownian particles are considered as non-relativistic whereas the background gas behaves as a relativistic gas. A general expression for the semi-relativistic viscous friction coefficient is obtained and the part…
We investigate the effect of inertia on barrierless electronic reactions in solution by suggesting and examining different probability distribution functions (PDF) of relevant Brownian functionals associated with the lifetime and reactivity of the process. Activationless electronic reaction in solution can be modeled as a free Brownian motion with inertial term in the underdamped regime. In this context we suggest several important distribution functions that can characterize the reaction kinetics. Most of the studies on Brownian functional which has vast potential application in diverse field…
We derive an exact Markovian kinetic equation for an oscillator linearly coupled to a heat bath, describing quantum Brownian motion. Our work is based on the subdynamics formulation developed by Prigogine and collaborators. The space of distribution functions is decomposed into independent subspaces that remain invariant under Liouville dynamics. For integrable systems in Poincaré's sense the invariant subspaces follow the dynamics of uncoupled, renormalized particles. In contrast for non-integrable systems, the invariant subspaces follow a dynamics with broken-time symmetry, involving general…
We study a model of interacting random walkers that proposes a simple mechanism for the emergence of cooperation in group of individuals. Each individual, represented by a Brownian particle, experiences an interaction produced by the local unbalance in the spatial distribution of the other individuals. This interaction results in a nonlinear velocity driving the particle trajectories in the direction of the nearest more crowded regions; the competition among different aggregating centers generates nontrivial dynamical regimes. Our simulations show that for sufficiently low randomness, the syst…
We develop a microscopic approach to the kinetic theory of many-particle systems with dissipative and potential interactions in presence of active fluctuations. The approach is based on a generalization of Bogolyubov--Peletminsky reduced description method applied to the systems of many active particles. It is shown that the microscopic approach developed allows to construct the kinetic theory of two- and three-dimensional systems of active particles in presence of non-linear friction (dissipative interaction) and an external random field with active fluctuations. The kinetic equations for the…
We consider the translationally invariant but parity (left-right symmetry) breaking Ising chain Hamiltonian \begin{equation} {\cal H} = -U_2\sum_{k} s_{k}s_{k+1} - U_3\sum_{k} s_{k}s_{k+1}s_{k+3} \nonumber \end{equation} and let this system evolve by Kawasaki spin exchange dynamics. Monte Carlo simulations show that perturbations forcing this system off equilibrium make it act as a Brownian molecular motor which, in the lattice gas interpretation, transports particles along the chain. We determine the particle current under various different circumstances, in particular as a function of the ra…
Brownian motion of particle interacting with atoms of ideal gas is discussed as a key problem of kinetics lying at the border between ``dead'' systems like the Lorentz gas or formal constructs of conceptual Boltzmannian kinetics and actual ``alive'' systems like mere gas possessing scaleless (1/f) fluctuations in their kinetic characteristics (e.g. in diffusuvity and mobility of the ``Brownian particle'').
A system reservoir model, where the associated reservoir is modulated by an external colored random force, is proposed to study the transport of an overdamped Brownian particle in a periodic potential. We then derive the analytical expression for the average velocity, mobility, and diffusion rate. The bistable kinetics and escape rate from a metastable state in the overdamped region are studied consequently. By numerical simulation we then demonstrate that our analytical escape rate is in good agreement with that of numerical result.
Suspensions of purely repulsive but self-propelled Brownian particles might undergo phase separation, a phenomenon that strongly resembles the phase separation of passive particles with attractions. Here we employ computer simulations to study the nucleation kinetics and the microscopic pathway active Brownian disks take in two dimensions when quenched from the homogeneous suspension to propulsion speeds beyond the binodal. We find the same qualitative behavior for the nucleation rate as a function of density as for a passive suspension undergoing liquid-vapor separation, suggesting that the s…
Einstein's theory of Brownian motion is revisited in order to formulate generalized kinetic theory of anomalous diffusion. It is shown that if the assumptions of analyticity and the existence of the second moment of the displacement distribution are relaxed, the fractional derivative naturally appears in the diffusion equation. This is the first demonstration of the physical origin of the fractional derivative, in marked contrast to the usual phenomenological introduction of it. Furthermore, Einstein's approach is generalized to nonlinear kinetic theory to derive the porous-medium-type equatio…
We study extreme-value statistics of Brownian trajectories in one dimension. We define the maximum as the largest position to date and compare maxima of two particles undergoing independent Brownian motion. We focus on the probability P(t) that the two maxima remain ordered up to time t, and find the algebraic decay P ~ t^(-beta) with exponent beta=1/4. When the two particles have diffusion constants D1 and D2, the exponent depends on the mobilities, beta=(1/pi)arctan[sqrt(D2/D1)]. We also use numerical simulations to investigate maxima of multiple particles in one dimension and the largest ex…
The kinetics of the transformation from the hexagonal packed cylinder (HEX) phase to the face-centered-cubic (FCC) phase was simulated using Brownian Dynamics for an ABA triblock copolymer in a selective solvent for the A block. The kinetics was obtained by instantaneously changing either the temperature of the system or the well-depth of the Lennard-Jones potential. Detailed analysis showed that the transformation occurred via a rippling mechanism. The simulation results indicated that the order-order transformation (OOT) was a nucleation and growth process when the temperature of the system …
Brownian motion has served as a pilot of studies in diffusion and other transport phenomena for over a century. The foundation of Brownian motion, laid by Einstein, has generally been accepted to be far from being complete since the late 1960s, because it fails to take important hydrodynamic effects into account. The hydrodynamic effects yield a time dependence of the diffusion coefficient, and this extends the ordinary hydrodynamics. However, the time profile of the diffusion coefficient across the kinetic and hydrodynamic regions is still absent, which prohibits a complete description of Bro…
Recent technological development has enabled researchers to study social phenomena scientifically in detail and financial markets has particularly attracted physicists since the Brownian motion has played the key role as in physics. In our previous report (arXiv:1703.06739; to appear in Phys. Rev. Lett.), we have presented a microscopic model of trend-following high-frequency traders (HFTs) and its theoretical relation to the dynamics of financial Brownian motion, directly supported by a data analysis of tracking trajectories of individual HFTs in a financial market. Here we show the mathemati…
We develop the kinetic theory of Hamiltonian systems with weak long-range interactions. Starting from the Klimontovich equation and using a quasilinear theory, we obtain a general kinetic equation that can be applied to spatially inhomogeneous systems and that takes into account memory effects. This equation is valid at order 1/N in a proper thermodynamic limit and it coincides with the kinetic equation obtained from the BBGKY hierarchy. For N tending to infinity, it reduces to the Vlasov equation describing collisionless systems. We describe the process of phase mixing and violent relaxation …
Active Brownian particles (ABPs), when subject to purely repulsive interactions, are known to undergo activity-induced phase separation broadly resembling an equilibrium (attraction-induced) gas-liquid coexistence. Here we present an accurate continuum theory for the dynamics of phase-separating ABPs, derived by direct coarse-graining, capturing leading-order density gradient terms alongside an effective bulk free energy. Such gradient terms do not obey detailed balance; yet we find coarsening dynamics closely resembling that of equilibrium phase separation. Our continuum theory is numerically…
We study a minimal non-Markovian model of superdiffusion which originates from long-range velocity correlations within the generalized Langevin equation (GLE) approach. The model allows for a three-dimensional Markovian embedding. The emergence of a transient hyperdiffusion, $< Δx^2(t)> \propto t^{2+λ}$, with $λ\sim 1-3$ is detected in tilted washboard potentials before it ends up in a ballistic asymptotic regime. We relate this phenomenon to a transient heating of particles $T_{\rm kin}(t)\propto t^λ$ from the thermal bath temperature $T$ to some maximal kinetic temperature $T_{\rm max}$. Thi…
The kinetics of two (2D) and three (3D) dimensional diffusion-assisted escaping of Brownian particles from a potential well in the presence of an external force is analyzed in detail. The kinetics is studied within the two-state model (TSM) proposed for processes in the absence of external force. The generalized variant of this model, taking into account the force effect, is proposed which is shown to be quite accurate for some shapes of the well both for 2D and 3D processes. Within the generalized TSM simple expressions for the well depopulation kinetics and, in particular, for the escape rat…
We consider a charged Brownian gas under the influence of external and non uniform electric, magnetic and mechanical fields, immersed in a non uniform bath temperature. With the collision time as an expansion parameter, we study the solution to the associated Kramers equation, including a linear reactive term. To first order we obtain the asymptotic (overdamped) regime, governed by transport equations, namely: for the particle's density, a Smoluchowski-reactive like equation; for the particle's momentum density, a generalized Ohm's like equation; and for the particle's energy density, a Maxwel…
We discuss the dynamics and thermodynamics of systems with long-range interactions. We contrast the microcanonical description of an isolated Hamiltonian system to the canonical description of a stochastically forced Brownian system. We show that the mean-field approximation is exact in a proper thermodynamic limit. The equilibrium distribution function is solution of an integrodifferential equation obtained from a static BBGKY-like hierarchy. It also optimizes a thermodynamical potential (entropy or free energy) under appropriate constraints. We discuss the kinetic theory of these systems. In…
In this paper we have studied a model for self-induced aggregation in Brownian particle incorporating the non-Markovian and non-Gaussian character of the associated random noise process. In this model the time evolution of each individual is guided by an over-damped Langevin equation of motion with a non-local drift resulting from the local unbalance distributions of the other individuals. Our simulation result shows that colored nose can induce the cluster formation even at large noise strength. Another observation is that critical noise strength grows very rapidly with increase of noise corr…
We develop the kinetic theory of the flux-carrying Brownian motion recently introduced in the context of open quantum systems. This model constitutes an effective description of two-dimensional dissipative particles violating both time-reversal and parity that is consistent with standard thermodynamics. By making use of an appropriate Breit-Wigner approximation, we derive the general form of its quantum kinetic equation for weak system-environment coupling. This encompasses the well-known Kramers equation of conventional Brownian motion as a particular instance. The influence of the underlying…
We develop a kinetic theory of Brownian particles with long and short range interactions. We consider both overdamped and inertial models. In the overdamped limit, the evolution of the spatial density is governed by the generalized mean field Smoluchowski equation including a mean field potential due to long-range interactions and a generically nonlinear barotropic pressure due to short-range interactions. This equation describes various physical systems such as self-gravitating Brownian particles (Smoluchowski-Poisson system), bacterial populations experiencing chemotaxis (Keller-Segel model)…
We propose a discrete lattice version of the Fokker-Planck kinetic equation along lines similar to the Lattice-Boltzmann scheme. Our work extends an earlier one-dimensional formulation to arbitrary spatial dimension $D$. A generalized Hermite-Gauss procedure is used to construct a discretized kinetic equation and a Chapman-Enskog expansion is applied to adapt the scheme so as to correctly reproduce the macroscopic continuum equations. The stability of the algorithm with respect to the finite time-step $Δt$ is characterized by the eigenvalues of the collision matrix. A heuristic second-order al…
We study the growth of correlations in systems with weak long-range interactions. Starting from the BBGKY hierarchy, we determine the evolution of the two-body correlation function by using an expansion of the solutions of the hierarchy in powers of 1/N in a proper thermodynamic limit $N\to +\infty$. These correlations are responsible for the ``collisional'' evolution of the system beyond the Vlasov regime due to finite $N$ effects. We obtain a general kinetic equation that can be applied to spatially inhomogeneous systems and that takes into account memory effects. These peculiarities are spe…
Recent result of the numerical simulation of stochastic motion of conservative mechanical or weakly damped Brownian motion subject to conservative forces reveals that, in the case of Gaussian random forces, the path probability depends exponentially on Lagrangian action. This distribution implies a fundamental principle generalizing the least action principle of the Hamiltonian/Lagrangian mechanics and yields an extended formalism of mechanics for random dynamics. Within this theory, Liouville theorem of conservation of phase distribution breaks down. This opens a way to the Boltzmann H theore…
We discuss the dynamics and thermodynamics of the Brownian Mean Field (BMF) model which is a system of N Brownian particles moving on a circle and interacting via a cosine potential. It can be viewed as the canonical version of the Hamiltonian Mean Field (HMF) model. We first complete the description of this system in the mean field approximation. Then, we take fluctuations into account and study the stochastic evolution of the magnetization both in the homogeneous phase and in the inhomogeneous phase. We discuss its behavior close to the critical point.
This work is a numerical experiment of stochastic motion of conservative Hamiltonian system or weakly damped Brownian particles. The objective is to prove the existence of path probability and to compute its values. By observing a large number of particles moving from one point to another under Gaussian noise and conservative forces, it is determined that the path probability decreases exponentially with action along the paths.
We introduce a stochastic model of two-dimensional Brownian vortices associated with the canonical ensemble. The point vortices evolve through their usual mutual advection but they experience in addition a random velocity and a systematic drift generated by the system as a whole. The statistical equilibrium state of this stochastic model is the Gibbs canonical distribution. We consider a single species system and a system made of two types of vortices with positive and negative circulations. At positive temperatures, like-sign vortices repel each other (plasma case) and at negative temperature…
Classically the kinetic theory for a perfect gas has zero spatial number density correlation between separate points because the particles are independent. But the joint spatial and temporal correlation is non-zero (and easily calculable) because each individual particle moves in a straight line. The same holds for particle flux density correlation. The equivalent 'quantum kinetic theory' correlations are evaluated here via Feynman paths with their direct access to geometry and topology. The calculation is exact, yielding known special functions, but it is quite primitive physically. No heat b…
The 1/f-noise is considered which has no relation to long-lasting processes but originates from the same dynamical mechanisms as what are responsible for the loss of memory, fast relaxation and usual shot noise. The universal long-range statistics of memoryless random flows of events and of related Brownian motion is analysed whose peculiarity is close connection between spectral properties and non-Gaussian probabilistic properties both determined by only short-range characteristic time scales. The exact relations between equilibrium and non-equilibrium 1/f-noise in thermodynamical systems are…
We calculate the mean joint residence time of two Brownian particles in a sphere, for very general initial conditions. In particular, we focus on the dependence of this residence time as a function of the diffusion coefficients of the two particles. Our results can be useful for describing kinetics of bimolecular diffusion controlled reactions activated by catalytic sites.
We study the kinetics of assembly of two plates of varying hydrophobicity, including cases where drying occurs and water strongly solvates the plate surfaces. The potential of mean force and molecular-scale hydrodynamics are computed from molecular dynamics simulations in explicit solvent as a function of particle separation. In agreement with our recent work on nanospheres [J. Phys. Chem. B 116, 378 (2012)] regions of high friction are found to be engendered by large and slow solvent fluctuations. These slow fluctuations can be due to either drying or confinement. The mean first passage times…
We study the quantum counterpart of the theorem on energy equipartition for classical systems. We consider a free quantum Brownian particle modelled in terms of the Caldeira-Leggett framework: a system plus thermostat consisting of an infinite number of harmonic oscillators. By virtue of the theorem on the averaged kinetic energy $E_k$ of the quantum particle, it is expressed as $E_k = \langle \mathcal E_k \rangle$, where $\mathcal E_k$ is thermal kinetic energy of the thermostat per one degree of freedom and $\langle ...\rangle$ denotes averaging over frequencies $ω$ of thermostat oscillators…
We study the dynamics of the N-particle system evolving in the XY hamiltonian mean field (HMF) model for a repulsive potential, when no phase transition occurs. Starting from a homogeneous distribution, particles evolve in a mean field created by the interaction with all others. This interaction does not change the homogeneous state of the system, and particle motion is approximately ballistic with small corrections. For initial particle data approaching a waterbag, it is explicitly proved that corrections to the ballistic velocities are in the form of independent brownian noises over a time s…
We get fractional symmetric Fokker - Planck and Einstein - Smoluchowski kinetic equations, which describe evolution of the systems influenced by stochastic forces distributed with stable probability laws. These equations generalize known kinetic equations of the Brownian motion theory and contain symmetric fractional derivatives over velocity and space, respectively. With the help of these equations we study analytically the processes of linear relaxation in a force - free case and for linear oscillator. For a weakly damped oscillator we also get kinetic equation for the distribution in slow v…
A formally exact relation is derived which connects thermodynamically non-equilibrium evolution of gas density distribution after its arbitrary strong spatially non-uniform perturbation and evolution of many-particle correlations between path of some marked particle and its surroundings in equilibrium gas. This relation directly confirms significance of the many-particle correlations even under the Boltzmann-Grad limit and thus validates the earlier suggested revision of kinetics.
Using the scheme of mesoscopic nonequilibrium thermodynamics, we construct the one- and two- particle Fokker-Planck equations for a system of interacting Brownian particles. By means of these equations we derive the corresponding balance equations. We obtain expressions for the heat flux and the pressure tensor which enable one to describe the kinetic and potential energy interchange of the particles with the heat bath. Through the momentum balance we analyze in particular the diffusion regime to obtain the collective diffusion coefficient in terms of the hydrodynamic and the effective forces …
A Wigner-Klein-Kramers equation is proposed, which merges relativistic, quantum and thermo dynamics. The relativistic effect on quantum Brownian motion is studied via the Breit-Fermi Hamiltonian applied into a dissipative Madelung hydrodynamics. A new thermo-quantum Smoluchowski equation is derived, which accounts for the relativistic correction of the Bohm quantum potential.
A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic theory is developed for the systematic description of the financial market from microscopic dynamics of HFTs. We report first on a microscopic empirical law of traders' trend-following behavior by tracking the trajectories of all individuals, which quantifies the collective motion of HFTs but has not been captured in conventional order-book models. We next in…
Dynamical random walk of classical particle in thermodynamically equilibrium fluctuating medium, - Gaussian random potential field, - is considered in the framework of explicit stochastic representation of deterministic interactions. We discuss corresponding formally exact Langevin equations for the particle's trajectory and show that Marcovian kinetic equation approximation to them is inadequate, - even (and especially) in case of spatially-temporally short-correlated field, - since ignores such actual effects of exponential instability of the trajectory (in respect to small perturbations) as…
We introduce a quantum generalization of classical kinetic Ising models, described by a certain class of quantum many body master equations. Similarly to kinetic Ising models with detailed balance that are equivalent to certain Hamiltonian systems, our models reduce to a set of Hamiltonian systems determining the dynamics of the elements of the many body density matrix. The ground states of these Hamiltonians are well described by matrix product, or pair entangled projected states. We discuss critical properties of such Hamiltonians, as well as entanglement properties of their low energy state…
Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term memory. The coarse-grained behavior of such processes is described by the diffusion equation. However, many natural processes do not possess the Markovian property and exhibit to anomalous diffusion. We consider here the case of subdiffusive processes, which are semi-Markovian and correspond to continuous-time random walks in which the waiting time for a step…
The effect of an external force on the kinetics of diffusion-assisted escaping of Brownian particles from a potential well is analyzed in detail. The analysis is made within the two-state model of the process which is known to be valid in the deep well limit in the absence of external force. The generalized variant of this model, taking into account the effect of the force, is shown to be quite accurate as well for some shapes of the well. Within the generalized two-state model simple expressions for the well depopulation kinetics and, in particular, the for the escape rate are obtained. These…
We investigate various possible definitions of an effective temperature for a particularly simple nonequilibrium stationary system, namely a heated Brownian particle suspended in a fluid. The effective temperature based on the fluctuation dissipation ratio depends on the time scale under consideration, so that a simple Langevin description of the heated particle is impossible. The short and long time limits of this effective temperature are shown to be consistent with the temperatures estimated from the kinetic energy and Einstein relation, respectively. The fluctuation theorem provides still …
The kinetic separation of repulsive active Brownian particles into a dense and a dilute phase is analyzed using a systematic coarse-graining strategy. We derive an effective Cahn-Hilliard equation on large length and time scales, which implies that the separation process can be mapped onto that of passive particles. A lower density threshold for clustering is found, and using our approach we demonstrate that clustering first proceeds via a hysteretic nucleation scenario and above a higher threshold changes into a spinodal-like instability. Our results are in agreement with particle-resolved co…
A molecular motor is made of either a single macromolecule or a macromolecular complex. Just like their macroscopic counterparts, molecular motors "transduce" input energy into mechanical work. All the nano-motors considered here operate under isothermal conditions far from equilibrium. Moreover, one of the possible mechanisms of energy transduction, called Brownian ratchet, does not even have any macroscopic counterpart. But, molecular motor is not synonymous with Brownian ratchet; a large number of molecular motors execute a noisy power stroke, rather than operating as Brownian ratchet. We r…
Kinetic description of one-dimensional stochastic dynamics with small inertia
Institute of Continuous Media Mechanics, Ural Branch of RAS（俄罗斯科学院乌拉尔分院连续介质力学研究所）；Perm State University（彼尔姆国立大学）；Lobachevsky State University of Nizhny Novgorod（下诺夫哥罗德罗巴切夫斯基国立大学）；Gaponov-Grekhov Institute of Applied Physics of the Russian Academy of Sciences（俄罗斯科学院加波诺夫-格雷霍夫应用物理研究所）
The paper contains a simple semi-quantitative analysis of a structure of solution to the exact Bogolyubov functional equation for a particle interacting with ideal gas and driven by an external force, in comparison with solutions to model kinetic equations for the same system. It is shown that the exact equation inevitably predicts existence of significant 1/f-type fluctuations in mobility of the particle, and this result directly extends to particles in arbitrary fluid.
An equation for the reduced density matrix which describes a free particle, that is interacting with a linearly dissipative medium, is derived using the total Hamiltonian, and without resorting to any artificial model. A Master equation is also obtained for the dissipative medium. The theory erases the notion of the reservoir. It is shown that the dynamical interaction with the medium is not completely determined by the friction constant (or the corresponding fluctuation-dissipation relation). Unexpectedly, through the density-density correlation, the longitudinal dielectric function is shown …
