We discuss two independent methods of solution of a master equation whose biased jump transition rates account for long jumps of Lévy-stable type and nonetheless admit a Boltzmannian (thermal) equilibrium to arise in the large time asymptotics of a probability density function $ρ(x,t)$. Our main goal is to demonstrate a compatibility of a {\it direct} solution method (an explicit, albeit numerically assisted, integration of the master equation) with an {\it indirect} path-wise procedure, recently proposed in [Physica {\bf A 392}, 3485, (2013)] as a valid tool for a dynamical analysis of non-Langevin jump-type processes. The path-wise method heavily relies on an accumulation of large sample path data, that are generated by means of a properly tailored Gillespie's algorithm. Their statistical analysis in turn allows to infer the dynamics of $ρ(x,t)$. However, no consistency check has been completed so far to demonstrate that both methods are fully compatible and indeed provide a solution of the same dynamical problem. Presently we remove this gap, with a focus on potential deficiencies (various cutoffs, including those upon the jump size) of approximations involved in solution protocols.
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…
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…
We investigate the non-Langevin relative of the Lévy-driven Langevin random system, under an assumption that both systems share a common (asymptotic, stationary, steady-state) target pdf. The relaxation to equilibrium in the fractional Langevin-Fokker-Planck scenario results from an impact of confining conservative force fields on the random motion. A non-Langevin alternative has a built-in direct response of jump intensities to energy (potential) landscapes in which the process takes place. We revisit the problem of Lévy flights in superharmonic potential wells, with a focus on the extremally…
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…
Given nonstationary data from molecular dynamics simulations, a Markovian Langevin model is constructed that aims to reproduce the time evolution of the underlying process. While at equilibrium the free energy landscape is sampled, nonequilibrium processes can be associated with a biased energy landscape, which accounts for finite sampling effects and external driving. Extending the data-driven Langevin equation (dLE) approach [Phys.\ Rev.\ Lett.\ {\bf 115}, 050602 (2015)] to the modeling of nonequilibrium processes, an efficient way to calculate multidimensional Langevin fields is outlined. T…
We analyze confining mechanisms for Lévy flights evolving under an influence of external potentials. Given a stationary probability density function (pdf), we address the reverse engineering problem: design a jump-type stochastic process whose target pdf (eventually asymptotic) equals the preselected one. To this end, dynamically distinct jump-type processes can be employed. We demonstrate that one "targeted stochasticity" scenario involves Langevin systems with a symmetric stable noise. Another derives from the Lévy-Schrödinger semigroup dynamics (closely linked with topologically induced sup…
We investigate the dynamics of a particle executing a general Continuous Time Random Walk (CTRW) in three dimensions under the influence of arbitrary time-varying external fields. Contrary to the general approach in recent works, our method invokes neither the Fractional Fokker-Planck equation (FFPE) nor the Stochastic Langevin Equation (SLE). Rather, we use rigorous probability arguments to derive the general expression for moments of all orders of the position probability density of the random walker for arbitrary waiting time density and jump probability density. Closed form expression for …
We analyze a specific class of random systems that are driven by a symmetric Lévy stable noise, where Langevin representation is absent. In view of the Lévy noise sensitivity to environmental inhomogeneities, the pertinent random motion asymptotically sets down at the Boltzmann-type equilibrium, represented by a probability density function (pdf) $ρ_*(x) \sim \exp [-Φ(x)]$. Here, we infer pdf $ρ(x,t)$ based on numerical path-wise simulation of the underlying jump-type process. A priori given data are jump transition rates entering the master equation for $ρ(x,t)$ and its target pdf $ρ_*(x)$. T…
We derive the equations governing the protocols minimizing the heat released by a continuous-time Markov jump process on a one-dimensional countable state space during a transition between assigned initial and final probability distributions in a finite time horizon. In particular, we identify the hypotheses on the transition rates under which the optimal control strategy and the probability distribution of the Markov jump problem obey a system of differential equations of Hamilton-Bellman-Jacobi-type. As the state-space mesh tends to zero, these equations converge to those satisfied by the di…
We analyze two different confining mechanisms for Lévy flights in the presence of external potentials. One of them is due to a conservative force in the corresponding Langevin equation. Another is implemented by Levy-Schroedinger semigroups which induce so-called topological Levy processes (Levy flights with locally modified jump rates in the master equation). Given a stationary probability function (pdf) associated with the Langevin-based fractional Fokker-Planck equation, we demonstrate that generically there exists a topological Lévy process with the very same invariant pdf and in the rever…
Stochastic Calculus for Pathwise Observables of Markov-Jump Processes: Unification of Diffusion and Jump Dynamics
Max Planck Institute for Multidisciplinary Sciences（马克斯·普朗克多学科科学研究所）；Max Planck Institute for Dynamics and Self-organization（马克斯·普朗克动力学与自组织研究所）；University of Freiburg（弗赖堡大学）
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion described by subordinated Langevin equation with white Gaussian noise, or equivalently, by the single Langevin equation with compound noise. If the force acts on the subordinated process, it keeps working all the time; otherwise, the force just exerts an influence on the system at the moments of jump. Some common statistical quantities, such as, the ensemble and tim…
Mean first passage times of higher-dimensional velocity jump processes
California State University at Northridge（北岭加州州立大学）；University of California at Los Angeles（加利福尼亚大学洛杉矶分校）；University of Notre Dame（圣母大学）；University of Alberta（阿尔伯塔大学）
We analyze a specific class of random systems that are driven by a symmetric Lévy stable noise. In view of the Lévy noise sensitivity to the confining "potential landscape" where jumps take place (in other words, to environmental inhomogeneities), the pertinent random motion asymptotically sets down at the Boltzmann-type equilibrium, represented by a probability density function (pdf) $ρ_*(x) \sim \exp [-Φ(x)]$. Since there is no Langevin representation of the dynamics in question, our main goal here is to establish the appropriate path-wise description of the underlying jump-type process and …
Lévy Flights are paradigmatic generalised random walk processes, in which the independent stationary increments---the "jump lengths"---are drawn from an $α$-stable jump length distribution with long-tailed, power-law asymptote. As a result, the variance of Lévy Flights diverges and the trajectory is characterised by occasional extremely long jumps. Such long jumps significantly decrease the probability to revisit previous points of visitation, rendering Lévy Flights efficient search processes in one and two dimensions. To further quantify their precise property as random search strategies we h…
We propose a method to exactly generate Brownian paths $x_c(t)$ that are constrained to return to the origin at some future time $t_f$, with a given fixed area $A_f = \int_0^{t_f}dt\, x_c(t)$ under their trajectory. We derive an exact effective Langevin equation with an effective force that accounts for the constraint. In addition, we develop the corresponding approach for discrete-time random walks, with arbitrary jump distributions including Lévy flights, for which we obtain an effective jump distribution that encodes the constraint. Finally, we generalise our method to other types of dynami…
We analyze confining mechanisms for Lévy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are considered: those driven by Langevin equation with Lévy noise and those, named by us topological Lévy processes (occurring in systems with topological complexity like folded polymers or complex networks and generically in inhomogeneous media), whose Langevin representation is unknown and possibly nonexistent. Our major finding is that both above classes of processes stay…
