Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be derived in the limit of large time; it falls exponentially. Covariance in the stable case, studied for the Cauchy distribution, exhibits a weakly stretched exponential shape and can be approximated by the simple exponential. The dependence of that function on system parameters is determined. Then we consider a dynamics which involves the above process and obey the generalised Langevin equation, the same as for Gaussian case. The resulting distributions possess power-law tails - that fall similarly to those for the driving noise - whereas central parts can assume the Gaussian shape. Moreover, a process with the covariance 1/t at large time is constructed and the corresponding dynamical equation solved. Diffusion properties of systems for both covariances are discussed.
Generalized Langevin equations (GLE) with multiplicative white Poisson noise pose the usual prescription dilemma leading to different evolution equations (master equations) for the probability distribution. Contrary to the case of multiplicative gaussian white noise, the Stratonovich prescription does not correspond to the well known mid-point (or any other intermediate) prescription. By introducing an inertial term in the GLE we show that the Ito and Stratonovich prescriptions naturally arise depending on two time scales, the one induced by the inertial term and the other determined by the ju…
A random multiplicative process with additive noise is described by a Langevin equation. We show that the fluctuation-dissipation relation is satisfied in the Langevin model, if the noise strength is not so strong.
The famous Itô-Stratonovich dilemma arises when one examines a dynamical system with a multiplicative white noise. In physics literature, this dilemma is often resolved in favour of the Stratonovich prescription because of its two characteristic properties valid for systems driven by Brownian motion: (i) it allows physicists to treat stochastic integrals in the same way as conventional integrals, and (ii) it appears naturally as a result of a small correlation time limit procedure. On the other hand, the Marcus prescription [IEEE Trans. Inform. Theory 24, 164 (1978); Stochastics 4, 223 (1981)]…
Negative differential mobility is the phenomenon in which the velocity of a particle decreases when the force driving it increases. We study this phenomenon in Markov jump models where a particle moves in the presence of walls that act as traps. We consider transition rates that obey local detailed balance but differ in normalisation, the inclusion of a rate to cross a wall and a load factor. We illustrate the full counting statistics for different choices of the jumping rates. We also show examples of thermodynamic uncertainty relations. The variety of behaviours we encounter highlights that …
We study the fluctuations of systems modeled by Markov jump processes with periodic generators. We focus on observables defined through time-periodic functions of the system's states or transitions. Using large deviation theory, canonical biasing and generalized Doob transform, we characterize the asymptotic fluctuations of such observables after a large number of periods by obtaining the Markov process that produces them. We show that this process, called driven process, is the minimum under constraint of the large deviation function for occupation and jumps.
Complex physical dynamics can often be modeled as a Markov jump process between mesoscopic configurations. When jumps between mesoscopic states are mediated by thermodynamic reservoirs, the time-irreversibility of the jump process is a measure of the physical dissipation. We rederive a recently introduced inequality relating the dissipation rate to current fluctuations in jump processes. We then adapt these results to diffusion processes via a limiting procedure, reaffirming that diffusions saturate the inequality. Finally, we study the impact of spatial coarse-graining in a two-dimensional mo…
The generalised Langevin equation with a retarded friction and a double-well potential is solved. The random force is modelled by a multiplicative noise with long jumps. Probability density distributions converge with time to a distribution similar to a Gaussian but tails have a power-law form. Dependence of the mean first passage time on model parameters is discussed. Properties of the stochastic resonance, emerging as a peak in the plot of the spectral amplification against the temperature, are discussed for various sets of the model parameters. The amplification rises with the memory and is…
We consider the application of fluctuation relations to the dynamics of coarse-grained systems, as might arise in a hypothetical experiment in which a system is monitored with a low-resolution measuring apparatus. We analyze a stochastic, Markovian jump process with a specific structure that lends itself naturally to coarse-graining. A perturbative analysis yields a reduced stochastic jump process that approximates the coarse-grained dynamics of the original system. This leads to a non-trivial fluctuation relation that is approximately satisfied by the coarse-grained dynamics. We illustrate ou…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the interaction between traders and hierarchical cascade models to unravel the possible correlation accross time scales, including the log-periodic signatures associated to financial crashes. The main empirical knowledge is summarized and some key empirical tests are presented.
In this letter, we develop a mode-coupling theory for a class of nonlinear Langevin equations with multiplicative noise using a field theoretic formalism. These equations are simplified models of realistic colloidal suspensions. We prove that the derived equations are consistent with the fluctuation-dissipation theorem. We also discuss the generalization of the result given here to real fluids, and the possible description of supercooled fluids in the aging regime. We demonstrate that the standard idealized mode-coupling theory is not consistent with the FDT in a strict field theoretic sense.
How is it that entropy derivatives almost in their own are characterizing the state of a system close to equilibrium, and what happens further away from it? We explain within the framework of Markov jump processes why fluctuation theory can be based on considerations involving entropy production alone when perturbing around the detailed balance condition. Variational principles such as that of minimum entropy production are understood in that way. Yet, further away from equilibrium, dynamical fluctuations reveal a structure where the time-symmetric sector crucially enters. The fluctuations of …
In a growing number of strongly disordered and dense systems, the dynamics of a particle pulled by an external force field exhibits super-diffusion. In the context of glass forming systems, super cooled glasses and contamination spreading in porous medium it was suggested to model this behavior with a biased continuous time random walk. Here we analyze the plume of particles far lagging behind the mean, with the single big jump principle. Revealing the mechanism of the anomaly, we show how a single trapping time, the largest one, is responsible for the rare fluctuations in the system. These no…
Using the Feynman-Kac and Cameron-Martin-Girsanov formulas, we obtain a generalized integral fluctuation theorem (GIFT) for discrete jump processes by constructing a time-invariable inner product. The existing discrete IFTs can be derived as its specific cases. A connection between our approach and the conventional time-reversal method is also established. Different from the latter approach that was extensively employed in existing literature, our approach can naturally bring out the definition of a time-reversal of a Markovian stochastic system. Additionally, we find the robust GIFT usually d…
The presence of multiplicative noise can alter measurements of forces acting on nanoscopic objects. Taking into account of multiplicative noise, we derive a series of non-equilibrium thermodynamical equalities as generalization of the Jarzynski equality, the detailed fluctuation theorem and the Hatano-Sasa's relation. Our result demonstrates that the Jarzynski equality and the detailed fluctuation theorem remains valid only for systems with the Boltzmann-Gibbs distribution at the equilibrium state, but the Hatano-Sasa's relation is robust with respect to the ambiguity on multiplicative noise.
Recent studies have shown that in the presence of noise both fronts propagating into a metastable state and so-called pushed fronts propagating into an unstable state, exhibit diffusive wandering about the average position. In this paper we derive an expression for the effective diffusion coefficient of such fronts, which was motivated before on the basis of a multiple scale ansatz. Our systematic derivation is based on the decomposition of the fluctuating front into a suitably positioned average profile plus fluctuating eigenmodes of the stability operator. While the fluctuations of the front…
Beyond the Big Jump: A Perturbative Approach to Stretched-Exponential Processes
Università degli Studi di Parma（帕尔马大学）；INFN, Gruppo Collegato di Parma, Università degli Studi di Parma（意大利国家核物理研究所帕尔马联合小组，帕尔马大学）；Bar-Ilan University（巴伊兰大学）
We address the calculation of transition probabilities in multiplicative noise stochastic differential equations using a path integral approach. We show the equivalence between the conditional probability and the propagator of a quantum particle with variable mass. Introducing a {\em time reparametrization}, we are able to transform the problem of multiplicative noise fluctuations into an equivalent additive one. We illustrate the method by showing the explicit analytic computation of the conditional probability of a harmonic oscillator in a nonlinear multiplicative environment.
We present a supersymmetric formulation of Markov processes, represented by a family of Langevin equations with multiplicative white-noise. The hidden symmetry encodes equilibrium properties such as fluctuation-dissipation relations. The formulation does not depend on the particular prescription to define the Wiener integral. In this way, different equilibrium distributions, reached at long times for each prescription, can be formally treated on the same footing.
We present a comprehensive study of the symmetries of the generating functionals of generic Langevin processes with multiplicative colored noise. We treat both Martin-Siggia-Rose-Janssen-deDominicis and supersymmetric formalisms. We summarize the relations between observables that they imply including fluctuation relations, fluctuation-dissipation theorems, and Schwinger-Dyson equations. Newtonian dynamics and their invariances follow in the vanishing friction limit.
We demonstrate that the conventional path integral formulations generate inconsistent results exemplified by the geometric Brownian motion under the general stochastic interpretation. We thus develop a novel path integral formulation for the overdamped Langevin equation with the multiplicative noise. The present path integral leads to the corresponding Fokker-Planck equation, and naturally gives a normalized transition probability consistently in examples for general stochastic interpretations. Our result can be applied to study the fluctuation theorems and numerical calculations based on the …
The random walk process in a nonhomogeneous medium, characterised by a Lévy stable distribution of jump length, is discussed. The width depends on a position: either before the jump or after that. In the latter case, the density slope is affected by the variable width and the variance may be finite; then all kinds of the anomalous diffusion are predicted. In the former case, only the time characteristics are sensitive to the variable width. %while the former case resolves itself to a problem with a variable jumping rate, The corresponding Langevin equation with different interpretations of the…
We analyse various properties of stochastic Markov processes with multiplicative white noise. We take a single-variable problem as a simple example, and we later extend the analysis to the Landau-Lifshitz-Gilbert equation for the stochastic dynamics of a magnetic moment. In particular, we focus on the non-equilibrium transfer of angular momentum to the magnetization from a spin-polarised current of electrons, a technique which is widely used in the context of spintronics to manipulate magnetic moments. We unveil two hidden dynamical symmetries of the generating functionals of these Markovian m…
A detailed study of the mean-field solution of Langevin equations with multiplicative noise is presented. Three different regimes depending on noise-intensity (weak, intermediate, and strong-noise) are identified by performing a self-consistent calculation on a fully connected lattice. The most interesting, strong-noise, regime is shown to be intrinsically unstable with respect to the inclusion of fluctuations, as a Ginzburg criterion shows. On the other hand, the self-consistent approach is shown to be valid only in the thermodynamic limit, while for finite systems the critical behavior is fo…
We study nano-pattern formation in a stochastic model for adsorption-desorption processes with interacting adsorbate and hyperbolic transport caused by memory effects. It is shown that at early stages the system manifests pattern selection processes. Stationary stable patterns of nano-size are analyzed. It was found that multiplicative noise satisfying fluctuation-dissipation relation can induce re-entrant pattern formation related to non-equilibrium transitions. According to obtained Fokker-Planck equation kinetics of island sizes in a quasi-stationary limit is discussed. Analytical results a…
A universal large $\mathcal{N}$ theory of nonequilibrium fluctuations emerges in the limit of fast jump rates and large occupancies. We use this theory to derive a set of coarse grained thermodynamic uncertainty relations (TUR) -- one of them being an activity bound. Importantly, the activity serves as a tighter bound for the entropy production in 1D systems. These results are particularly useful in the many-body regime, where typically a coarse grained approach is required to handle the large microscopic state space.
We obtain the dynamic correlation function of two-dimensional lattice gas with nearest-neighbor repulsion in ordered c(2$\times$2) phase (antiferromagnetic ordering) under the condition of low concentration of structural defects. It is shown that displacements of defects of the ordered state are responsible for the particle number fluctuations in the probe area. The corresponding set of kinetic equations is derived and solved in linear approximation on the defect concentration. Three types of strongly correlated complex jumps are considered and their contribution to fluctuations is analysed. T…
We apply the quantum jump approach to address the statistics of work in a driven two-level system coupled to a heat bath. We demonstrate how this question can be analyzed by counting photons absorbed and emitted by the environment in repeated experiments. We find that the common non-equilibrium fluctuation relations are satisfied identically. The usual fluctuation-dissipation theorem for linear response applies for weak dissipation and/or weak drive. We point out qualitative differences between the classical and quantum regimes.
We study a binary Lennard-Jones system below the glass transition with molecular dynamics simulations. To investigate the dynamics we focus on events ("jumps") where a particle escapes the cage formed by its neighbors. Using single particle trajectories we define a jump by comparing for each particle its fluctuations with its changes in average position. We find two kinds of jumps: "reversible jumps," where a particle jumps back and forth between two or more average positions, and "irreversible jumps," where a particle does not return to any of its former average positions. For all investigate…
We have studied dynamical responses and the Jarzynski equality (JE) of classical open systems described by the generalized Caldeira-Leggett model with the nonlocal system-bath coupling. In the derived non-Markovian Langevin equation, the nonlinear nonlocal dissipative term and state-dependent diffusion term yielding multiplicative colored noise satisfy the fluctuation-dissipation relation. Simulation results for harmonic oscillator systems have shown the following: (a) averaged responses of the system $< x >$ to applied sinusoidal and step forces significantly depend on model parameters of mag…
We study an underdamped oscillator with shot-noise frequency fluctuations. The oscillator spectrum is determined by the interference of the susceptibilities for different eigenfrequencies. Depending on the parameters, it has a fine structure or displays a single asymmetric peak. For nano-mechanical resonators with a fluctuating number of attached molecules, the spectrum is found in a simple analytical form. The results bear on various types of systems where the reciprocal correlation time of frequency fluctuations can be comparable to the typical frequency jumps.
The two-variable Langevin equations, modeling the Brownian motion of a particle moving in a potential and leading to the Maxwell-Boltzmann distribution of the corresponding Fokker-Planck equation, are shown to give rise to types of stationary power-law distributions through the multiplicative noise. The power-law distributions induced by this inhomogeneous noise are proved to be a result of that the relation of diffusion to friction depends on the energy. We understand the conditions under which the power-law distributions are produced and how they are produced in systems away from equilibrium…
The synchrony and variability have been discussed of the coupled Langevin model subjected to spatially correlated additive and multiplicative noise. We have employed numerical simulations and the analytical augmented-moment method which is the second-order moment method for local and global variables [H. Hasegawa, Phys. Rev. E {\bf 67}, 041903 (2003)]. It has been shown that the synchrony of an ensemble is increased (decreased) by a positive (negative) spatial correlation in both additive and multiplicative noise. Although the variability for local fluctuations is almost insensitive to spatial…
Measuring the thermodynamic properties of open quantum systems poses a major challenge. A calorimetric detection has been proposed as a feasible experimental scheme to measure work and fluctuation relations in open quantum systems. However, the detection requires a finite size for the environment, which influences the system dynamics. This process cannot be modeled with the standard stochastic approaches. We develop a quantum jump model suitable for systems coupled to a finite-size environment. With the method we study the common fluctuation relations and prove that they are satisfied.
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Levy-like distribution, and the cross-correlation between relative updated wealths is the origin of the nontrivial properties of returns, including the power law distribution with exponent outside the stable Levy regime and the long-range persistence of volatility correlations.
We study the symmetry of large deviation functions associated with time-integrated currents in Markov pure jump processes. One current known to have this symmetry is the fluctuating entropy production and this is the content of the fluctuation theorem. Here we obtain a necessary condition in order to have a current different from entropy with a symmetric large deviation function. This condition is related to degeneracies in the set of increments associated with fundamental cycles from Schnakenberg network theory. Moreover we consider 4-states systems where we explicitly show that non-entropic …
We study the order statistics of a random walk (RW) of $n$ steps whose jumps are distributed according to symmetric Erlang densities $f_p(η)\sim |η|^p \,e^{-|η|}$, parametrized by a non-negative integer $p$. Our main focus is on the statistics of the gaps $d_{k,n}$ between two successive maxima $d_{k,n}=M_{k,n}-M_{k+1,n}$ where $M_{k,n}$ is the $k$-th maximum of the RW between step 1 and step $n$. In the limit of large $n$, we show that the probability density function of the gaps $P_{k,n}(Δ) = \Pr(d_{k,n} = Δ)$ reaches a stationary density $P_{k,n}(Δ) \to p_k(Δ)$. For large $k$, we demonstrat…
The problem of velocity selection for reaction fronts has been intensively investigated, leading to the successful marginal stability approach for propagation into an unstable state. Because the front velocity is controlled by the leading edge which perforce has low density, it is interesting to study the role that finite particle number fluctuations have on this picture. Here, we use the well-known mapping of discrete Markov processes to stochastic differential equations and focus on the front velocity in the simple $A+A \stackrel{\leftarrow}{\to} A$ system. Our results are consistent with a …
We have studied the dynamical properties of finite $N$-unit FitzHugh-Nagumo (FN) ensembles subjected to additive and/or multiplicative noises, reformulating the augmented moment method (AMM) with the Fokker-Planck equation (FPE) method [H. Hasegawa, J. Phys. Soc. Jpn. {\bf 75}, 033001 (2006)]. In the AMM, original $2N$-dimensional stochastic equations are transformed to eight-dimensional deterministic ones, and the dynamics is described in terms of averages and fluctuations of local and global variables. The stochastic bifurcation is discussed by a linear stability analysis of the {\it determi…
We have studied the finite $N$-unit Langevin model subjected to multiplicative noises, by using the augmented moment method (AMM), as a continuation of our previous paper [H. Hasegawa, J. Phys. Soc. Jpn. {\bf 75} (2006) 033001]. Effects of couplings on stationary and dynamical properties of the model have been investigated. The difference and similarity between the results of diffusive and sigmoid couplings are studied in details. Time dependences of average and fluctuations in local and global variables calculated by the AMM are in good agreement with those of direct simulations (DSs). We als…
We extend the quantum jump method to nearly adiabatically driven open quantum systems in a way that allows for an accurate account of the external driving in the system-environment interaction. Using this framework, we construct the corresponding trajectory-dependent work performed on the system and derive the integral fluctuation theorem and the Jarzynski equality for nearly adiabatic driving. We show that such identities hold as long as the stochastic dynamics and work variable are consistently defined. We numerically study the emerging work statistics for a two-level quantum system and find…
Stable cooperation emerges in stochastic multiplicative growth
International School for Advanced Studies (SISSA)（国际高等研究院）；Max Planck Institute for Mathematics in the Sciences（马克斯·普朗克科学促进研究所数学系）；The Abdus Salam International Centre for Theoretical Physics (ICTP)（阿卜杜斯·萨拉姆国际理论物理中心）
Measurement-Induced Crossover of Quantum Jump Statistics in Postselection-Free Many-Body Dynamics
Research Institute for Innovation and Co-Creation, Osaka Metropolitan University（大阪公立大学创新与共创研究院）；Department of Physics, Osaka Metropolitan University（大阪公立大学物理系）；Nambu Yoichiro Institute of Theoretical and Experimental Physics (NITEP), Osaka Metropolitan University（大阪公立大学南部阳一郎理论与实验物理研究所）；Department of Physics, Institute of Science Tokyo（东京科学大学物理系）；Nonequilibrium Quantum Statistical Mechanics RIKEN Hakubi Research Team, RIKEN Pioneering Research Institute (PRI), RIKEN iTHEMS（理化学研究所先导研究机构（PRI）RIKEN iTHEMS非平衡量子统计力学RIKEN Hakubi研究团队）；Nonequilibrium Quantum Statistical Mechanics RIKEN Hakubi Research Team, RIKEN Cluster for Pioneering Research (CPR), RIKEN iTHEMS（理化学研究所先导研究集群（CPR）RIKEN iTHEMS非平衡量子统计力学RIKEN Hakubi研究团队）
