The reliability and precision of numerically solving stochastic non-Markovian equations by standard numerical codes, more specifically, with the fourth-order Runge-Kutta routine for solving differential equations, is gauged by comparing the results obtained from analytical solutions for the equations. The results for different prescriptions for transforming the non-Markovian equations in a system of Markovian ones are compared so to check the reliability of the numerical method.
Non-Markovian stochastic Langevin-like equations of motion are compared to their corresponding Markovian (local) approximations. The validity of the local approximation for these equations, when contrasted with the fully nonlocal ones, is analyzed in details. The conditions for when the equation in a local form can be considered a good approximation are then explicitly specified. We study both the cases of additive and multiplicative noises, including system dependent dissipation terms, according to the Fluctuation-Dissipation theorem.
We prove the Jarzynski relation for general stochastic processes including non-Markovian systems with memory. The only requirement for our proof is the existence of a stationary state, therefore excluding non-ergodic systems. We then show how the concepts of stochastic thermodynamics can be used to prove further exact non-equilibrium relations like the Crooks relation and the fluctuation theorem on entropy production for non-Markovian dynamics.
We study a non Markovian three state model, subjected to an external periodic signal. This model is intended to describe an excitable systems with periodical driving. In the limit of a small amplitude of the external signal we derive expressions for the spectral power amplification and the signal to noise ratio as well as for the inter-spike interval distribution.
A hot Markovian system can cool down faster than a colder one: this is known as the Mpemba effect. Here, we show that a non-equilibrium driving via stochastic reset can induce this phenomenon, when absent. Moreover, we derive an optimal driving protocol simultaneously optimizing the appearance time of the Mpemba effect, and the total energy dissipation into the environment, revealing the existence of a Pareto front. Building upon previous experimental results, our findings open up the avenue of possible experimental realizations of optimal cooling protocols in Markovian systems.
The phenomenological linear response theory of non-Markovian Stochastic Resonance (SR) is put forward for stationary two-state renewal processes. In terms of a derivation of a non-Markov regression theorem we evaluate the characteristic SR-quantifiers; i.e. the spectral power amplification (SPA) and the signal-to-noise ratio (SNR), respectively. In clear contrast to Markovian SR, a characteristic benchmark of genuine non-Markovian SR is its distinctive dependence of the SPA and SNR on small (adiabatic) driving frequencies; particularly, the adiabatic SNR becomes strongly suppressed over its Ma…
Non-Markovian effects upon the Brownian movement of a free particle in the presence as well as in the absence of inertial force are investigated within the framework of Fokker-Planck equations (Rayleigh and Smoluchowski equations). More specifically, it is predicted that non-Markovian features can enhance the values of the mean square displacement and momentum, thereby assuring the mathematical property of differentiability of the these physically observable quantities.
We report in this paper a thorough study on the the dynamical mechanics of the fractional Brownian motion systems. Where several non-trivial properties are revealed such as the abundant non-Markovian effects resulted from the fractional characters of the system. In general, the dynamics of the fBm system is found to be of a purely Newton's type, despite of the anomalous fractional properties of the system.
The developing field of stochastic thermodynamics extends concepts of macroscopic thermodynamics such as entropy production and work to the microscopic level of individual trajectories taken by a system through phase space. The scheme involves coupling the system to an environment - typically a source of Markovian noise that affects the dynamics of the system. Here we extend this framework to consider a non-Markovian environment, one whose dynamics have memory and which create additional correlations with the system variables, and illustrate this with a selection of simple examples. Such an en…
The diffusion equation for non-Markovian Gaussian stochastic processes
CNR–Consiglio Nazionale delle Ricerche（意大利国家研究委员会）；BCAM–Basque Center for Applied Mathematics & Ikerbasque–Basque Foundation of Science（巴斯克应用数学中心与伊克尔巴斯基巴斯克科学基金会）；Akhiezer Institute for Theoretical Physics, NSC KIPT（阿基埃泽尔理论物理研究所，NSC KIPT）
The exact stochastic decomposition of non-Markovian dissipative quantum dynamics is combined with the time-dependent semiclassical initial value formalism. It is shown that even in the challenging regime of moderate friction and low temperatures, where non-Markovian effects are substantial, this approach allows for the accurate description of dissipative dynamics in anharmonic potentials over many oscillation periods until thermalization is reached. The problem of convergence of the stochastic average at long times, which plagues full quantum mechanical implementations, is avoided through a jo…
Condensation transition in a non-Markovian zero-range process is studied in one and higher dimensions. In the mean-field approximation, corresponding to infinite range hopping, the model exhibits condensation with a stationary condensate, as in the Markovian case, but with a modified phase diagram. In the case of nearest-neighbor hopping, the condensate is found to drift by a "slinky" motion from one site to the next. The mechanism of the drift is explored numerically in detail. A modified model with nearest-neighbor hopping which allows exact calculation of the steady state is introduced. The…
We investigate the stochastic behavior of a two-temperature Langevin system with non-Markovian thermal reservoirs. The model describes an overdamped Brownian particle in a quadratic potential and coupled to heat baths at different temperatures. The reservoirs are characterized by Gaussian white and colored noises and a dissipation memory kernel. The stationary states present non-trivial average rotational motion influenced by stochastic torques due to harmonic, friction and fluctuating thermal forces. However, the Markovian limit leads to a vanishing average torque produced by fluctuating ther…
Quantum Brownian motion plays a fundamental role in many areas of modern physics. In the path-integral formulation, the environmental quantum fluctuations driving the system dynamics can be characterized by auxiliary stochastic fields. For fermion bath environment the stochastic fields are Grassmann-valued, and cannot be represented by conventional classical numbers. In this Letter, we propose a strategy to map the nonclassical Grassmann fields onto Gaussian white noises along with a set of quantized pseudo-states. This results in a numerically feasible stochastic equation of motion (SEOM) met…
Some specific features and extensions of the continuous time random walk (CTRW) approach are analyzed in detail within the Markovian representation (MR) and CTRW-based non-Markovian stochastic Liouville equation (SLE). In the MR CTRW processes are represented by multidimensional Markovian ones. In this representation the probability distribution function (PDF) W(t) of fluctuation renewals is associated with that of reoccurrences in a certain jump state of some Markovian controlling process. Within the MR the non-Markovian SLE, which describes the effect of CTRW-like noise on relaxation of dyna…
The exact dynamics of a system coupled to an environment can be described by an integro-differential stochastic equation of its reduced density. The influence of the environment is incorporated through a mean-field which is both stochastic and non-local in time and where the standard two-times correlation functions of the environment appear naturally. Since no approximation is made, the presented theory incorporates exactly dissipative and non-Markovian effects. Applications to the spin-boson model coupled to a heat-bath with various coupling regimes and temperature show that the presented sto…
The system of nonlinear Langevin equations was obtained by using Hamiltonian's operator of two coupling quantum oscillators which are interacting with heat bath. By using the analytical solution of these equations, the analytical expressions for transport coefficients was found. Generalized Langevin equations and fluctuation-dissipation relations are derived for the case of a nonlinear non-Markovian noise. The explicit expressions for the time-dependent friction and diffusion coefficients are presented for the case of linear couplings in the coordinate between the collective two coupled harmon…
A stochastic approach to the quantum dynamics randomly modulated in time by a discrete state non-Markovian noise, which possesses an arbitrary non-exponential distribution of the residence times, is developed. The formally exact expression for the Laplace-transformed quantum propagator averaged over the stationary realizations of such N-state non-Markovian noise is obtained. The theory possesses a wide range of applications. It includes some previous Markovian and non-Markovian theories as particular cases. In the context of stochastic theory of spectral line shape and relaxation, the develope…
We derive a general expression for the cumulant generating function (CGF) of non-Markovian quantum stochastic transport processes. The long-time limit of the CGF is determined by a single dominating pole of the resolvent of the memory kernel from which we extract the zero-frequency cumulants of the current using a recursive scheme. The finite-frequency noise is expressed not only in terms of the resolvent, but also initial system-environment correlations. As an illustrative example we consider electron transport through a dissipative double quantum dot for which we study the effects of dissipa…
Logistic growth models are recurrent in biology, epidemiology, market models, and neural and social networks. They find important applications in many other fields including laser modelling. In numerous realistic cases the growth rate undergoes stochastic fluctuations and we consider a growth model with a stochastic growth rate modelled via an asymmetric Markovian dichotomic noise. We find an exact analytical solution for the probability distribution providing a powerful tool with applications ranging from biology to astrophysics and laser physics.
The kinetics of phase and population relaxation in quantum systems induced by noise with anomalously slowly decaying correlation function P (t) ~ (wt)^{- alpha}, where 0 < alpha < 1 is analyzed within continuous time random walk approach. The relaxation kinetics is shown to be anomalously slow. Moreover for alpha < 1 in the limit of short characteristic time of fluctuations w^{-1} the kinetics is independent of w. As alpha \to 1 the relaxation regime changes from the static limit to fluctuation narrowing. Simple analytical expressions are obtained describing the specific features of the kineti…
We report the first observation of non-Markovian stochastic resonance, i.e., noise-assisted amplification of a periodic signal in a system with memory. Our system is an oil-filled optical microcavity which, driven by a continuous wave laser, has memory in its nonlinear optical response. By modulating the cavity length while adding noise to the driving laser, we observe a peak in the transmitted signal-to-noise ratio as a function of the noise variance. Our experimental observations are reproduced by numerical simulations, which further reveal that the stochastic resonance bandwidth is enlarged…
We study quantum non-Markovian dynamics of the Caldeira-Leggett model, a prototypical model for quantum Brownian motion describing a harmonic oscillator linearly coupled to a reservoir of harmonic oscillators. Employing the exact analytical solution of this model one can determine the size of memory effects for arbitrary couplings, temperatures and frequency cutoffs. Here, quantum non-Markovianity is defined in terms of the flow of information between the open system and its environment, which is quantified through the Bures metric as distance measure for quantum states. This approach allows u…
In this paper we present an exact Grassmann stochastic Schrödinger equation for the dynamics of an open fermionic quantum system coupled to a reservoir consisting of a finite or infinite number of fermions. We use this stochastic approach to derive the exact master equation for a fermionic system strongly coupled to electronic reservoirs. The generality and applicability of this Grassmann stochastic approach is justified and exemplified by several quantum open system problems concerning quantum decoherence and quantum transport for both vacuum and finite-temperature fermionic reservoirs. We sh…
We consider the linear stochastic recursion $x_{i+1} = a_{i}x_{i}+b_{i}$ where the multipliers $a_i$ are random and have Markovian dependence given by the exponential of a standard Brownian motion and $b_{i}$ are i.i.d. positive random noise independent of $a_{i}$. Using large deviations theory we study the growth rates (Lyapunov exponents) of the positive integer moments $λ_q = \lim_{n\to \infty} \frac{1}{n} \log\mathbb{E}[(x_n)^q]$ with $q\in \mathbb{Z}_+$. We show that the Lyapunov exponents $λ_q$ exist, under appropriate scaling of the model parameters, and have non-analytic behavior manif…
The kinetics of relaxation in quantum systems induced by anomalous fluctuating noise is studied in detail. In this study two processes are considered, as examples: (1) relaxation in two-level system caused by external noise with slowly decaying correlation function P (t) ~ (wt)^{-alpha}, where 0 < alpha < 1, and (2) anomalous-diffusion controlled radical pair recombination in which relaxation results from the reaction with slowly fluctuating reaction rate whose fluctuations are governed by subdiffusive relative motion of radicals in a potential well. Analysis of these two processes is made wit…
We study, using exact numerical simulations, the statistics of the longest excursion l_{\max}(t) up to time t for the fractional Brownian motion with Hurst exponent 0<H<1. We show that in the large t limit, < l_{\max}(t) > \propto Q_\infty t where Q_\infty \equiv Q_\infty(H) depends continuously on H, and in a non trivial way. These results are compared with exact analytical results obtained recently for a renewal process with an associated persistence exponent θ= 1-H. This comparison shows that Q_\infty(H) carries the clear signature of non-Markovian effects for H\neq 1/2. The pre-asymptotic …
