We consider a Langevin equation with variable drift and diffusion coefficients separable in time and space and its corresponding Fokker-Planck equation in the Stratonovich approach. From this Fokker-Planck equation we obtain a class of exact solutions with the same spatial drift and diffusion coefficients. Furthermore, we analyze some details of this system by using the spatial diffusion coefficient $D(x)=\sqrt{D}|x| ^{-% \fracθ{2}}$.
A general type of nonlinear Fokker-Planck equation is derived directly from a master equation, by introducing generalized transition rates. The H-theorem is demonstrated for systems that follow those classes of nonlinear Fokker-Planck equations, in the presence of an external potential. For that, a relation involving terms of Fokker-Planck equations and general entropic forms is proposed. It is shown that, at equilibrium, this relation is equivalent to the maximum-entropy principle. Families of Fokker-Planck equations may be related to a single type of entropy, and so, the correspondence betwe…
Equation of long-range particle drift and diffusion on three-dimensional physical lattice is suggested. This equation can be considered as a lattice analogof space-fractional Fokker-Planck equation for continuum. The lattice approach gives a possible microstructural basis for anomalous diffusion in media that are characterized by the non-locality of power-law type. In continuum limit the suggested three-dimensional lattice Fokker-Planck equations give fractional Fokker-Planck equations for continuous media with power-law non-locality that is described by derivatives of non-integer orders. The …
We extend a recently introduced free-energy formalism for homogeneous Fokker-Planck equations to a wide, and physically appealing, class of inhomogeneous nonlinear Fokker-Planck equations. In our approach, the free-energy functional is expressed in terms of an entropic functional and an auxiliary potential, both derived from the coefficients of the equation. With reference to the introduced entropic functional, we discuss the entropy production in a relaxation process towards equilibrium. The properties of the stationary solutions of the considered Fokker-Planck equations are also discussed.
We obtain exact results for fractional equations of Fokker-Planck type using evolution operator method. We employ exact forms of one-sided Levy stable distributions to generate a set of self-reproducing solutions. Explicit cases are reported and studied for various fractional order of derivatives, different initial conditions, and for different versions of Fokker-Planck operators.
We discuss the approach to equilibrium of systems governed by the Fokker-Planck equation. In particular, we focus on problems involving barrier penetration and the associated Kramers' time. We also describe the connection between stochastic processes and quantum mechanics.
The most general local Markovian stochastic model is investigated, for which it is known that the evolution equation is the Fokker-Planck equation. Special cases are investigated where uncorrelated initial states remain uncorrelated. Finally, stochastic one-dimensional fields with local interactions are studied that have kink-solutions.
Recently, several authors have tried to extend the usual concepts of thermodynamics and kinetic theory in order to deal with distributions that can be non-Boltzmannian. For dissipative systems described by the canonical ensemble, this leads to the notion of nonlinear Fokker-Planck equation (T.D. Frank, Non Linear Fokker-Planck Equations, Springer, Berlin, 2005). In this paper, we review general properties of nonlinear mean field Fokker-Planck equations, consider the passage from the generalized Kramers to the generalized Smoluchowski equation in the strong friction limit, and provide explicit …
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 …
The relaxation to equilibrium in many systems which show strange kinetics is described by fractional Fokker-Planck equations (FFPEs). These can be considered as phenomenological equations of linear nonequilibrium theory. We show that the FFPEs describe the system whose noise in equilibrium funfills the Nyquist theorem. Moreover, we show that for subdiffusive dynamics the solutions of the corresponding FFPEs are probability densities for all cases where the solutions of normal Fokker-Planck equation (with the same Fokker-Planck operator and with the same initial and boundary conditions) exist. …
We consider the Fokker-Planck equation on metric graphs. Vertex boundary conditions are imposed in the form of weight continuity and the probability current conservation. Exact solution of the is obtained for star, tree and loop graphs. Applications of the model to Brownian motion in networks and other problems are briefly discussed.
The entropy production rate of nonequilibrium systems is studied via the Fokker-Planck equation. This approach, based on the entropy production rate equation given by Schnakenberg from a master equation, requires information of the transition rate of the system under study. We obtain the transition rate from the conditional probability extracted from the Fokker-Planck equation and then derive a new and more operable expression for the entropy production rate. Examples are presented as applications of our approach.
We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the noise generating process. Explicit expressions for these parameters are derived both for finite and infinite variance of the rescaled transition probability density.
In this paper, an approximate solution to a specific class of the Fokker-Planck equation is proposed. The solution is based on the relationship between the Schrödinger type equation with a partially confining and symmetrical potential. To estimate the accuracy of the solution, a function error obtained from the original Fokker-Planck equation is suggested. Two examples, a truncated harmonic potential and non-harmonic polynomial, are analyzed using the proposed method. For the truncated harmonic potential, the system behavior as a function of temperature is also discussed.
We have derived 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.
We show that a formal solution of a rather general non-Markovian Fokker-Planck equation can be represented in a form of an integral decomposition and thus can be expressed through the solution of the Markovian equation with the same Fokker-Planck operator. This allows us to classify memory kernels into safe ones, for which the solution is always a probability density, and dangerous ones, when this is not guaranteed. The first situation describes random processes subordinated to a Wiener process, while the second one typically corresponds to random processes showing a strong ballistic component…
We present analytical results for the lowest cumulants of a stochastic process described by a Fokker-Planck equation with nonlinear drift. We show that, in the limit of small fluctuations, the mean, the variance and the covariance of the process can be expressed in compact form with the help of the Lambert W function. As an application, we discuss the interplay of noise and nonlinearity far from equilibrium.
We consider the linear response of systems modelled by continuous-time random walks (CTRW) and by fractional Fokker-Planck equations under the influence of time-dependent external fields. We calculate the corresponding response functions explicitely. The CTRW curve exhibits aging, i.e. it is not translationally invariant in the time-domain. This is different from what happens under fractional Fokker-Planck conditions.
Relaxation according to Fokker-Planck equations is a standard scenario in classical statistical mechanics. It is however not obvious how such an equilibration may emerge within a closed, finite quantum system. We present an analytical and numerical analysis of a system comprising sixteen spins in which spatial inhomogeneities of the magnetization relax approximately in accord with a standard Fokker-Planck equation for a Brownian particle in a parabolic potential.
A lattice version of the Fokker-Planck equation (FPE), accounting for dissipative interactions, not resolved on the molecular scale, is introduced. The lattice FPE is applied to the study of electrorheological transport of a one-dimensional charged fluid, and found to yield quantitative agreement with a recent analytical solution. Future extensions, including inelastic ion-ion collisions, are also outlined.
In this work, we study the formal connections between the non-linear Fokker-Planck Equation associated with the non-additive entropy and the Boltzmann Equation with the non-additive correlation functional. The collisional term following the $q$-algebra is adopted. In the derivation of the non-additive Fokker-Planck Equation, two constraints are imposed on the final result: i) that the entropic index $q$ is a characteristic parameter of the non-additive systems with a value that does not change with time, and ii) that for $q \rightarrow 1$ a smooth transition for the standard Fokker-Planck Equa…
We study Brownian motion driven with both conservative and nonconservative external forces. By using the thermodynamic approach of the theory of Brownian motion we obtain the Fokker-Planck equation and derive expressions for the Fluctuation Theorem in local equilibrium and in quasi-equilibrium. In local equilibrium the expressions we obtain coincide with previous results.
I report a study of the nonstationary one-dimensional Fokker-Planck solutions by means of the strictly isospectral method of supesymmetric quantum mechanics. The main conclusion is that this technique can lead to a space-dependent (modulational) damping of the spatial part of the nonstationary Fokker-Planck solutions, which I call strictly isospectral damping. At the same time, using an additive decomposition of the nonstationary solutions suggested by the strictly isospectral procedure and by an argument of Englefield [J. Stat. Phys. 52, 369 (1988)], they can be normalized and thus turned int…
We present a canonically invariant form for the generalized Langevin and Fokker-Planck equations. We discuss the role of constants of motion, and the construction of conservative stochastic processes.
We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents can have debts, we allow the wealth variable to be negative. It is shown that, even starting with debts, if the initial mean wealth is assumed positive, the solution of the Fokker--Planck equation is such that debts are absorbed in time, and a unique equilibrium density located in the positive part of the real axis will be reached.
We consider the linear response of a system modelled by continuous-time random walks (CTRW) to an external field pulse of rectangular shape. We calculate the corresponding response function explicitely and show that it exhibits aging, i.e. that it is not translationally invariant in the time-domain. This result differs from that of systems which behave according to fractional Fokker-Planck equations.
Motivated by the study of a Mean Field Game toy model called the "seminar problem", we consider the Fokker-Planck equation in the small noise regime for a specific drift field. This gives us the opportunity to discuss the application to diffusion problem of the WKB approach "a la Maslov", making it possible to solve directly the time dependant problem in an especially transparent way.
By collecting from literature data the experimental evidences of anomalous diffusion of passive tracers inside cytoplasm, and in particular of subdiffusion of mRNA molecules inside live E. coli cells, we get the probability density function of molecules' displacement and we derive the corresponding Fokker-Planck equation. Molecules' distribution emerges to be related to the Krätzel function and its Fokker-Planck equation be a fractional diffusion equation in the Erdélyi-Kober sense. The irreducibility of the derived Fokker-Planck equation to those of other literature models is also discussed.
In a previous work, a perturbative approach to a class of Fokker-Planck equations, which have constant diffusion coefficients and small time-dependent drift coefficients, was developed by exploiting the close connection between the Fokker-Planck equations and the Schrodinger equations. In this work, we further explore the possibility of similarity solutions of such a class of Fokker-Planck equations. These solutions possess definite scaling behaviors, and are obtained by means of the so-called similarity method.
Starting from microscopic interaction rules we derive kinetic models of Fokker--Planck type for vehicular traffic flow. The derivation is based on taking a suitable asymptotic limit of the corresponding Boltzmann model. As particular cases, the derived models comprise existing models. New Fokker--Planck models are also given and their differences to existing models are highlighted. Finally, we report on numerical experiments.
In this work we present new exact similarity solutions with moving boundaries of the Fokker-Planck equation having both time-dependent drift and diffusion coefficients.
In this work, we consider the solvability of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients by means of the similarity method. By the introduction of the similarity variable, the Fokker-Planck equation is reduced to an ordinary differential equation. Adopting the natural requirement that the probability current density vanishes at the boundary, the resulted ordinary differential equation turns out to be integrable, and the probability density function can be given in closed form. New examples of exactly solvable Fokker-Planck equations are presented, and t…
In this paper, we formulate the relativistic heat equation and the relativistic kinetic Fokker-Planck equations into the GENERIC (General Equation for Non-Equilibrium Reversible-Irreversible Coupling) framework. We also show that the relativistic Maxwellian distribution is the stationary solution of the latter. The GENERIC formulation provides an alternative justification that the two equations are meaningful relativistic generalizations of their nonrelativistic counterparts.
The statistics of rare events, the so-called black-swan events, is governed by non-Gaussian distributions with heavy power-like tails. We calculate the Green functions of the associated Fokker-Planck equations and solve the related stochastic differential equations. We also discuss the subject in the framework of path integration.
We study the low-energy behavior of the Green function for one-dimensional Fokker-Planck and Schrödinger equations with periodic potentials. We derive a formula for the power series expansion of reflection coefficients in terms of the wave number, and apply it to the low-energy expansion of the Green function.
We consider exact and quasi-exact solvability of the one-dimensional Fokker-Planck equation based on the connection between the Fokker-Planck equation and the Schrödinger equation. A unified consideration of these two types of solvability is given from the viewpoint of prepotential together with Bethe ansatz equations. Quasi-exactly solvable Fokker-Planck equations related to the $sl(2)$-based systems in Turbiner's classification are listed. We also present one $sl(2)$-based example which is not listed in Turbiner's scheme.
It is pointed out that, for the fractional Fokker-Planck equation for subdiffusion proposed by Metzler, Barkai, and Klafter [Phys. Rev. Lett. 82 (1999) 3563], there are four types of infinitely many exact solutions associated with the newly discovered exceptional orthogonal polynomials. They represent fractionally deformed versions of the Rayleigh process and the Jacobi process.
Based on the well-known relation between Fokker-Planck equations and Schroedinger equations of quantum mechanics (QM), we propose new deformed Fokker-Planck (FP) equations associated with the Schroedinger equations of "discrete" QM. The latter is a natural discretization of QM and its Schroedinger equations are difference instead of differential equations. Exactly solvable FP equations are obtained corresponding to exactly solvable "discrete" QM, whose eigenfunctions include various deformations of the classical orthogonal polynomials.
