Using a shortcut way we have derived the Fokker-Planck equation for the Langevin dynamics with a generalized frictional memory kernel and time-dependent force field. Then we have shown that this method is applicable for the non-Markovian dynamics with additional force from harmonic potential or magnetic field or both of them. The simplicity of the method in these complex cases is highly noticeable and it is applicable to derive the Fokker-Planck equation for any kind of linear Langevin equation of motion which describes additive colored noise driven non Markovian dynamics with or without frictional memory kernel. For example, one may apply the method even for the linear system with an additional colored Gaussian noise which is not related to the damping strength. With these the present study may get strong attention in the field of stochastic thermodynamics which is now at early stage to consider the non-Markovian dynamics.
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…
In this paper we suggest a consistent approach to derivation of generalized Fokker-Planck equation (GFPE) for Gaussian non-Markovian processes with stationary increments. This approach allows us to construct the probability density function (PDF) without a need to solve the GFPE. We employ our method to obtain the GFPE and PDFs for free generalized Brownian motion and the one in harmonic potential for the case of power-law correlation function of the noise. We prove the fact that the considered systems may be described with Einstein-Smoluchowski equation at high viscosity levels and long times…
A universal scheme is introduced to speed up the dynamics of a driven open quantum system along a prescribed trajectory of interest. This framework generalizes counterdiabatic driving to open quantum processes. Shortcuts to adiabaticity designed in this fashion can be implemented in two alternative physical scenarios: one characterized by the presence of balanced gain and loss, the other involves non-Markovian dynamics with time-dependent Lindblad operators. As an illustration, we engineer superadiabatic cooling, heating, and isothermal strokes for a two-level system, and provide a protocol fo…
For stochastic systems with discrete time delay, the Fokker-Planck equation (FPE) of the one-time probability density function (PDF) does not provide a complete, self-contained probabilistic description. It explicitly involves the two-time PDF, and represents, in fact, only the first member of an infinite hierarchy. We here introduce a new approach to obtain a Fokker-Planck description by using a Markovian embedding technique and a subsequent limiting procedure. On this way, we find a closed, complete FPE in an infinite-dimensional space, from which one can derive a hierarchy of FPEs. While th…
We demonstrate the equivalence of a Non--Markovian evolution equation with a linear memory--coupling and a Fokker--Planck equation (FPE). In case the feedback term offers a direct and permanent coupling of the current probability density to an initial distribution, the corresponding FPE offers a non-trivial drift term depending itself on the diffusion parameter. As the consequence the deterministic part of the underlying Langevin equation is likewise determined by the noise strength of the stochastic part. This memory induced stochastic behavior is discussed for different initial distributions…
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.
In a recent paper Das {\it et al.} [J. Chem. Phys. {\bf 147}, 164102 (2017)] proposed the Fokker-Planck equation (FPE) for the Brownian harmonic oscillator in the presence of magnetic field and the non-Markovian thermal bath, respectively. This system has been studied very recently by J. C. Hidalgo-Gonzalez and J. I. Jiménez-Aquino [Phys. Rev. E {\bf{100}}, 062102 (2019)] and the Fokker-Planck equation was derived using the characteristic function. It includes a few extra terms in the FPE and the authors conclude that their method is accurate compared to the calculation by Das {\it et al.}. Th…
The unified description of diffusion processes that cross over from a ballistic behavior at short times to normal or anomalous diffusion (sub- or superdiffusion) at longer times is constructed on the basis of a non-Markovian generalization of the Fokker-Planck equation. The necessary non-Markovian kinetic coefficients are determined by the observable quantities (mean- and mean square displacements). Solutions of the non-Markovian equation describing diffusive processes in the physical space are obtained. For long times, these solutions agree with the predictions of the continuous random walk t…
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 present in this paper a rigorous method to derive the nonlinear Fokker-Planck (FP) equation of anomalous diffusion directly from a generalization of the principle of least action of Maupertuis proposed by Wang for smooth or quasi-smooth irregular dynamics evolving in Markovian process. The FP equation obtained may take two different but equivalent forms. It was also found that the diffusion constant may depend on both q (the index of Tsallis entropy) and the time t.
We propose a systematic method to derive the asymptotic behaviour of the persistence distribution, for a large class of stochastic processes described by a general Fokker-Planck equation in one dimension. Theoretical predictions are compared to simple solvable systems and to numerical calculations. The very good agreement attests the validity of this approach.
Most theories of homogeneous nucleation are based on a Fokker-Planck-like description of the behavior of the mass of clusters. Here we will show that these approaches are incomplete for a large class of nucleating systems, as they assume the effective dynamics of the clusters to be Markovian, i.e., memoryless. We characterize these non-Markovian dynamics and show how this influences the dynamics of clusters during nucleation. Our results are validated by simulations of a three-dimensional Ising model with locally conserved magnetization.
The purpose of this comment is to correct mistaken assumptions and claims made in the paper Stochastic feedback, nonlinear families of Markov processes, and nonlinear Fokker-Planck equations by T. D. Frank. Our comment centers on the claims of a nonlinear Markov process and a nonlinear Fokker-Planck equation. First, memory in transition densities is misidentified as a Markov process. Second, Frank assumes that one can derive a Fokker-Planck equation from a Chapman-Kolmogorov equation, but no proof was given that a Chapman-Kolmogorov equation exists for memory-dependent processes. A nonlinear M…
We consider a quantum mechanical system represented in phase space (referred to hereafter as "Wigner space"), coupled to a harmonic oscillator bath. We derive quantum hierarchal Fokker-Planck (QHFP) equations not only in real time, but also in imaginary time, which represents an inverse temperature. This is an extension of a previous work, in which we studied a spin-boson system, to a Brownian system. It is shown that the QHFP in real time obtained from a correlated thermal equilibrium state of the total system possess the same form as those obtained from a factorized initial state. A modified…
We introduce a new class of stochastic processes which are stationary, Markovian and characterized by an infinite range of time-scales. By transforming the Fokker-Planck equation of the process into a Schrodinger equation with an appropriate quantum potential we determine the asymptotic behavior of the autocorrelation function of the process in an analytical way. We find the conditions needed to observe a stationary long-range correlated Markovian process. In the presence of long-range correlation, for selected values of the control parameters, the process has a 1/f-like spectral density for l…
We obtain a non-Markovian quantum master equation directly from the quantization of a non-Markovian Fokker-Planck equation describing the Brownian motion of a particle immersed in a generic environment (e.g. a non-thermal fluid). As far as the especial case of a heat bath comprising of quantum harmonic oscillators is concerned, we derive a non-Markovian Caldeira-Leggett master equation on the basis of which we work out the concept of non-equilibrium quantum thermal force exerted by the harmonic heat bath upon the Brownian motion of free particle. The classical limit (or dequantization process)…
A Langevin equation with state-dependent random force is considered. When the Helmholtz free energy is a nonincreasing function of time (the H-theorem), a generalized Einstein relation is obtained. A stochastic process of the Nosé--Hoover method is discussed on the basis of the Markovian approximation. It is found that the generalized Einstein relation holds for the Fokker--Planck equation associated with the stochastic Nosé--Hoover equation. The present result indicates that the Nosé--Hoover dynamics coarse-grained with time satisfies the H-theorem and therefore works as a heat bath.
We consider a Markovian jumping process with two absorbing barriers, for which the waiting-time distribution involves a position-dependent coefficient. We solve the Fokker-Planck equation with boundary conditions and calculate the mean first passage time (MFPT) which appears always finite, also for the subdiffusive case. Then, for the case of the jumping-size distribution in form of the Lévy distribution, we determine the probability density distributions and MFPT by means of numerical simulations. Dependence of the results on process parameters, as well as on the Lévy distribution width, is d…
The computation of the probability of the first-passage time through a given threshold of a stochastic process is a classic problem that appears in many branches of physics. When the stochastic dynamics is markovian, the probability admits elegant analytic solutions derived from the Fokker-Planck equation with an absorbing boundary condition while, when the underlying dynamics is non-markovian, the equation for the probability becomes non-local due to the appearance of memory terms, and the problem becomes much harder to solve. We show that the computation of the probability distribution and o…
The dynamical property of the Tsallis distribution is studied from a Fokker-Planck equation. For the Langevin dynamical system with an arbitrary potential function, Markovian friction and Gaussian white noise, we show that no possible nonequilibrium dynamics can use the Tsallis distribution for the statistical description. The current form of the Tsallis distribution stands for a simple isothermal situation with no friction and no noise.
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 large time dynamics of a periodically driven Fokker-Planck process possessing several metastable states is investigated. At weak noise transitions between the metastable states are rare. Their dynamics then represent a discrete Markovian process characterized by time dependent rates. Apart from the occupation probabilities, so-called specific probability densities and localizing functions can be associated to each metastable state. Together, these three sets of functions uniquely characterize the large time dynamics of the conditional probability density of the original process. Exact equa…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency. For small steps, we derive the Fokker-Planck equation and show the presence of the normal diffusion, subdiffusion and superdiffusion. For the Lévy distribution of the step-size, we construct a fractional equation, which possesses a variable coefficient, and solve it in the diffusion limit. Then we calculate fractional moments and define fractional diffusion c…
We study the perturbative response of a complex quantum system on time changes of an external parameter $X$. The driven dynamics is treated in adiabatic basis of the system's Hamiltonian $\hat{H}[X]$. Within a random matrix approach we obtained non--Markovian Fokker--Planck equation for the occupancy of given adiabatic state. We observed normal diffusion regime of the driven quantum dynamics at quite small values of the memory time defined by the time scales of the $X$--correlations and energy--distribution of the coupling matrix elements $(\partial \hat{H}/\partial X)_{nm}$. Here the normal e…
A Fokker-Planck equation approach for the treatment of non-Markovian stochastic processes is proposed. The approach is based on the introduction of fictitious trajectories sharing with the real ones their local structure and initial conditions. Different statistical quantities are generated by different construction rules for the trajectories, which coincide only in the Markovian case. The merits and limitations of the approach are discussed and applications to transport in ratchets and to anomalous diffusion are illustated.
Traditionally, the quantum Brownian motion is described by Fokker-Planck or diffusion equations in terms of quasi-probability distribution functions, e.g., Wigner functions. These often become singular or negative in the full quantum regime. In this paper a simple approach to non-Markovian theory of quantum Brownian motion using {\it true probability distribution functions} is presented. Based on an initial coherent state representation of the bath oscillators and an equilibrium canonical distribution of the quantum mechanical mean values of their co-ordinates and momenta we derive a generaliz…
We explore the diffusion process in the non-Markovian spatio-temporal noise.%the escape rate problem in the non-Markovian spatio-temporal random noise. There is a non-trivial short memory regime, i.e., the Markovian limit characterized by a scaling relation between the spatial and temporal correlation lengths. In this regime, a Fokker-Planck equation is derived by expanding the trajectory around the systematic motion and the non-Markovian nature amounts to the systematic reduction of the potential. For a system with the potential barrier, this fact leads to the renormalization of both the barr…
We show that the increments of generalized Wiener process, useful to describe non-Gaussian white noise sources, have the properties of infinitely divisible random processes. Using functional approach and the new correlation formula for non-Gaussian white noise we derive directly from Langevin equation, with such a random source, the Kolmogorov's equation for Markovian non-Gaussian process. From this equation we obtain the Fokker-Planck equation for nonlinear system driven by white Gaussian noise, the Kolmogorov-Feller equation for discontinuous Markovian processes, and the fractional Fokker-Pl…
We consider a discrete-time random walk where the random increment at time step $t$ depends on the full history of the process. We calculate exactly the mean and variance of the position and discuss its dependence on the initial condition and on the memory parameter $p$. At a critical value $p_c^{(1)}=1/2$ where memory effects vanish there is a transition from a weakly localized regime (where the walker returns to its starting point) to an escape regime. Inside the escape regime there is a second critical value where the random walk becomes superdiffusive. The probability distribution is shown…
The paper presents a multidimensional model for nonlinear Markovian random walks that generalizes one we developed previously (Phys. Rev. E v.79, 011110, 2009) in order to describe the Levy type stochastic processes in terms of continuous trajectories of walker motion. This approach may open a way to treat Levy flights or Levy random walks in inhomogeneous media or systems with boundaries in the future. The proposed model assumes the velocity of a wandering particle to be affected by a linear friction and a nonlinear Langevin force whose intensity is proportional to the magnitude of the veloci…
We present a Master Equation formulation based on a Markovian random walk model that exhibits sub-diffusion, classical diffusion and super-diffusion as a function of a single parameter. The non-classical diffusive behavior is generated by allowing for interactions between a population of walkers. At the macroscopic level, this gives rise to a nonlinear Fokker-Planck equation. The diffusive behavior is reflected not only in the mean-squared displacement ($<r^2(t)>\sim t^γ$ with $0 <γ\leq 1.5$) but also in the existence of self-similar scaling solutions of the Fokker-Planck equation. We give a p…
The problem of description of the evolution of the microscopic phase density and its generalizations is discussed. With this purpose, the sequence of marginal microscopic phase densities is introduced, and the appropriate BBGKY hierarchy for these microscopic distributions and their average values is formulated. The microscopic derivation of the generalized evolution equation for average value of the microscopic phase density is given and the non-Markovian generalization of the Fokker-Planck collision integral is deduced.
This paper is concerned with the Fokker-Planck (FP) description of classical stochastic systems with discrete time delay. The non-Markovian character of the corresponding Langevin dynamics naturally leads to a coupled infinite hierarchy of FP equations for the various $n$-time joint distribution functions. Here we present a novel approach to close the hierarchy at the one-time level based on a linearization of the deterministic forces in all members of the hierarchy starting from the second one. This leads to a closed equation for the one-time probability density in the steady state. Consideri…
In this paper we introduce and analyze a class of diffusion type equations related to certain non-Markovian stochastic processes. We start from the forward drift equation which is made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation can be interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time evolution of the marginal density function of Y(t) is gove…
The non--static generalized Langevin equation and its corresponding Fokker--Planck equation for the position of a viscous fluid particle were solved in closed form for a time dependent external force. Its solution for a constant external force was obtained analytically. The non--Markovian stochastic differential equation, associated to the dynamics of the position under a colored noise, was then applied to the description of the dynamics and persistence time of particles constrained within absorbing barriers. Comparisons with molecular dynamics were very satisfactory.
We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing. The probability to find the resulting process at the real time is defined by the integral relationship between the probability densities of the parent and directing processes. The corresponding master equation becomes the fractional Fokker-Planck equation. We show that the resulting process has non-Markovian properties, all its moments are finite, the fluctua…
We consider a simple model of a classical harmonic oscillator coupled to a field. In standard approaches Langevin-type equations for {\it bare} particles are derived from Hamiltonian dynamics. These equations contain memory terms and are time-reversal invariant. In contrast the phenomenological Langevin equations have no memory terms (they are Markovian equations) and give a time evolution split in two branches (semigroups), each of which breaks time symmetry. A standard approach to bridge dynamics with phenomenology is to consider the Markovian approximation of the former. In this paper we pr…
A recently proposed master equation in the Lindblad form is studied with respect to covariance properties and existence of a stationary solution. The master equation describes the interaction of a test particle with a quantum fluid, the so-called Rayleigh gas, and is characterized by the appearance of a two-point correlation function known as dynamic structure factor, which reflects symmetry and statistical mechanics properties of the fluid. In the case of a free gas all relevant physical parameters, such as fugacity, ratio between the masses, momentum transfer and energy transfer are put into…
The Dicke model famously exhibits a phase transition to a superradiant phase with a macroscopic population of photons and is realized in multiple settings in open quantum systems. In this work, we study a variant of the Dicke model where the cavity mode is lossy due to the coupling to a Markovian environment while the atomic mode is coupled to a colored bath. We analytically investigate this model by inspecting its low-frequency behavior via the Schwinger-Keldysh field theory and carefully examine the nature of the corresponding superradiant phase transition. Integrating out the fast modes, we…
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…
Path-Integral Formulation of Bosonic Markovian Open Quantum Dynamics with Monte Carlo stochastic trajectories using the Glauber-Sudarshan P, Wigner, and Husimi Q Functions and Hybrids
We present a new method to derive kinetic equations for systems undergoing non-linear transport in the presence of memory effects. In the framework of mesoscopic nonequilibrium thermodynamics, we derive a generalized Fokker-Planck equation incorporating memory effects through time-dependent coefficients. As applications, we first discuss the non-Markovian dynamics of anomalous diffusion in a potential, analyzing the validity of the fluctuation-dissipation theorem. In a second application, we propose a new ratchet mechanism in which the periodic driving acting on the particle is induced by the …
We have explored a simple microscopic model to simulate a thermally activated rate process where the associated bath which comprises a set of relaxing modes is not in an equilibrium state. The model captures some of the essential features of non-Markovian Langevin dynamics with a fluctuating barrier. Making use of the Fokker-Planck description we calculate the barrier dynamics in the steady state and non-stationary regimes. The Kramers-Grote-Hynes reactive frequency has been computed in closed form in the steady state to illustrate the strong dependence of the dynamic coupling of the system wi…
Many complex phenomena occurring in physics,chemistry, biology, finance, etc. can be reduced, by some projection process, to a 1-d stochastic Differential Equation (SDE) for the variable of interest. Typically, this SDE is both non-linear and non-markovian, so a Fokker Planck equation (FPE), for the probability density function (PDF), is generally not obtainable. However, a FPE is desirable because it is the main tool to obtain relevant analytical statistical information such as stationary PDF and First Passage Time. This problem has been addressed by many authors in the past, but due to an in…
In analogy to Brownian computers we explicitly show how to construct stochastic models, which mimic the behaviour of a general purpose computer (a Turing machine). Our models are discrete state systems obeying a Markovian master equation, which are logically reversible and have a well-defined and consistent thermodynamic interpretation. The resulting master equation, which describes a simple one-step process on an enormously large state space, allows us to thoroughly investigate the thermodynamics of computation for this situation. Especially, in the stationary regime we can well approximate t…
Based on a microscopic system reservoir model,where the associated bath is not in thermal equilibrium, we simulate the nonstationary Langevin dynamics and obtained the generalized nonstationary fluctuation dissipation relation (FDR) which asymptotically reduces to the traditional form. Our Langevin dynamics incorporates non-Markovian process also, the origin of which lies on the decaying term of the nonstationary FDR. We then follow the stochastic dynamics of the Langevin particle based on the Fokker-Planck-Smoluchowski description, in ratchet potential to obtain the steady and time dependent …
Response lags are generic to almost any physical system and often play a crucial role in the feedback loops present in artificial nanodevices and biological molecular machines. In this paper, we perform a comprehensive study of small stochastic systems governed by an underdamped Langevin equation and driven out of equilibrium by a time-delayed continuous feedback control. In their normal operating regime, these systems settle in a nonequilibrium steady state in which work is permanently extracted from the surrounding heat bath. By using the Fokker-Planck representation of the dynamics, we deri…
We study the non-equilibrium properties of non interacting active Ornstein-Uhlenbeck particles (AOUP) subject to an external nonuniform field using a Fokker-Planck approach with a focus on the linear response and time-correlation functions. In particular, we compare different methods to compute these functions including the unified colored noise approximation (UCNA). The AOUP model, described by the position of the particle and the active force acting on it, is usually mapped into a Markovian process, describing the motion of a fictitious passive particle in terms of its position and velocity,…
Aiming to establish a rigorous link between macroscopic random motion (described e.g. by Langevin-type theories) and microscopic dynamics, we have undertaken a kinetic-theoretical study of the dynamics of a classical test-particle weakly coupled to a large heat-bath in thermal equilibrium. Both subsystems are subject to an external force field. From the (time-non-local) generalized master equation a Fokker-Planck-type equation follows as a "quasi-Markovian" approximation. The kinetic operator thus defined is shown to be ill-defined; in specific, it does not preserve the positivity of the test-…
Stochastic Counterdiabatic Driving via Biorthogonal Liouvillian Eigenmodes
Institute for Machine Learning (Ellis Unit), Johannes Kepler University（约翰开普勒大学（埃利斯单元）机器学习研究所）；Mistral AI；AMLab, Informatics Institute, University of Amsterdam（阿姆斯特丹大学信息学研究所AMLab）；CuspAI
The dynamics and the steady states of a point-like tracer particle immersed in a confined critical fluid are studied. The fluid is modeled field-theoretically in terms of an order parameter (concentration or density field) obeying dissipative or conservative equilibrium dynamics and (non-)symmetry-breaking boundary conditions. The tracer, which represents, e.g., a colloidal particle, interacts with the fluid by locally modifying its chemical potential or its correlations. The coupling between tracer and fluid gives rise to a nonlinear and non-Markovian tracer dynamics, which is investigated he…
Many physical systems characterized by nonlinear multiscale interactions can be effectively modeled by treating unresolved degrees of freedom as random fluctuations. However, even when the microscopic governing equations and qualitative macroscopic behavior are known, it is often difficult to derive a stochastic model that is consistent with observations. This is especially true for systems such as turbulence where the perturbations do not behave like Gaussian white noise, introducing non-Markovian behavior to the dynamics. We address these challenges with a framework for identifying interpret…
