The translational motion of anisotropic or self-propelled colloidal particles is closely linked with the particle's orientation and its rotational Brownian motion. In the overdamped limit, the stochastic evolution of the orientation vector follows a diffusion process on the unit sphere and is characterized by an orientation-dependent (``multiplicative'') noise. As a consequence, the corresponding Langevin equation attains different forms depending on whether Itō's or Stratonovich's stochastic calculus is used. We clarify that both forms are equivalent and derive them in a top-down appraoch from a geometric construction of Brownian motion on the unit sphere, based on infinitesimal random rotations. Our approach suggests further a geometric integration scheme for rotational Brownian motion, which preserves the normalization constraint of the orientation vector exactly. We show that a simple implementation of the scheme, based on Gaussian random rotations, converges weakly at order 1 of the integration time step, and we outline an advanced variant of the scheme that is weakly exact for an arbitrarily large time step. Due to a favorable prefactor of the discretization error, already the Gaussian scheme allows for integration time steps that are one order of magnitude larger compared to a commonly used algorithm for rotational Brownian dynamics simulations based on projection on the constraining manifold. For torques originating from constant external fields, we prove by virtue of the Fokker-Planck equation that the constructed diffusion process satisfies detailed balance and converges to the correct equilibrium distribution. The analysis is restricted to time-homogeneous rotational Brownian motion (i.e., a single rotational diffusion constant), which is relevant for axisymmetric particles and also chemically anisotropic spheres, such as self-propelled Janus particles.
Transition of a system between two states is an important but difficult problem in natural science. In this article we study the transition problem in the framework of transition path ensemble. Using the overdamped Langevin method, we introduce the path integral formulation of the transition probability and obtain the equation for the minimum action path in the transition path space. For the effective sampling in the transition path ensemble, we derive a conditional overdamped Langevin equation. In two exactly solvable models, the free particle system and the harmonic system, we present the ex…
We discuss how the first order Langevin equation for the overdamped dynamics of an interacting system has a natural time reversal of simple but surprising form, with consequences for correlation functions. This leads to the correlation of interactions as a strictly restraining term in the time-dependent diffusion tensor of the system, deriving the relation first suggested by Fixman. Applying this to the time-dependent diffusion of dilute polymer coils leads to the quantitative calibration of Kirkwood's approximation for their hydrodynamic radius. We find the generalized ``Fixman Law" for dissi…
Stochastic thermodynamics provides an important framework to explore small physical systems where thermal fluctuations are inevitable. In the studies of stochastic thermodynamics, some thermodynamic quantities, such as the trajectory work, associated with the complete Langevin equation (the Kramers equation) are often assumed to converge to those associated with the overdamped Langevin equation (the Smoluchowski equation) in the overdamped limit under the overdamped approximation. Nevertheless, a rigorous mathematical proof of the convergence of the work distributions to our knowledge has not …
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when considering the diffusion of ions in molecular channels, between the different concentrations at both sides of the cellular membrane. For this application the overdamped limit of Brownian motion (leading to a first order Langevin equation) is most convenient, but in previous works some difficulties associated with this limit were found for the implementation of the bo…
After establishing stochastic thermodynamics for underdamped Langevin systems in contact with multiple reservoirs, we derive its overdamped limit using timescale separation techniques. The overdamped theory is different from the naive theory that one obtains when starting from overdamped Langevin or Fokker-Planck dynamics and only coincide with it in presence of a single reservoir. The reason is that the coarse-grained fast momenta dynamics reaches a nonequilibrium state which conducts heat in presence of multiple reservoirs. The underdamped and overdamped theory are both shown to satisfy fund…
The thermodynamic uncertainty relation (TUR) quantifies a relationship between current fluctuations and dissipation in out-of-equilibrium overdamped Langevin dynamics, making it a natural counterpart of the fluctuation-dissipation theorem in equilibrium statistical mechanics. For underdamped Langevin dynamics, the situation is known to be more complicated, with dynamical activity also playing a role in limiting the magnitude of current fluctuations. Progress on those underdamped TUR-like bounds has largely come from applications of the information-theoretic Cramér-Rao inequality. Here, we pres…
In this paper, we study the diffusive limit of solutions to the generalized Langevin equation (GLE) in a periodic potential. Under the assumption of quasi-Markovianity, we obtain sharp longtime equilibration estimates for the GLE using techniques from the theory of hypocoercivity. We then prove asymptotic results for the effective diffusion coefficient in three limiting regimes: the short memory, the overdamped and the underdamped limits. Finally, we employ a recently developed spectral numerical method in order to calculate the effective diffusion coefficient for a wide range of (effective) f…
It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain rang…
We study the statistical properties of overdamped particles driven by two cross-correlated multiplicative Gaussian white noises in a time-dependent environment. Using the Langevin and Fokker-Planck approaches, we derive the exact probability distribution function for the particle positions, calculate its moments and find their corresponding long-time, asymptotic behaviors. The generally anomalous diffusive regimes of the particles are classified, and their dependence on the friction coefficient and the characteristics of the noises is analyzed in detail. The asymptotic predictions are confirme…
We derive bounds on the precision of fluctuating currents, which are valid for the steady state of underdamped Langevin dynamics. These bounds provide a generalization of the overdamped thermodynamic uncertainty relation to the finite-mass regime. In the overdamped case, the precision of a current is bounded by the entropy production. By contrast, the underdamped bound acquires two additional positive terms, which characterize the local mean acceleration and the fluctuations of the velocity. We generalize the bound to the cases of a magnetic field and anisotropic temperature, and derive a join…
Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical simulations of the same system are well described using the conventional Stratonovich interpretation. Here we address this dichotomy from a more generic starting point: the underdamped Langevin equation and its corresponding Fokker--Planck equation.
The individual motion of a colloidal particle is described by an overdamped Langevin equation. When rotational degrees of freedom are relevant, these are described by a corresponding Langevin process. Our purpose is to show that the microscopic local density of colloids, in terms of a space and rotation state, also evolves according to a Langevin equation. The latter can then be used as the starting point of a variety of approaches, ranging from dynamical density functional theory to mode-coupling approximations.
In Stochastic Thermodynamics, heat is a random variable with a probability distribution associated. Studies of the distribution of heat are mostly in the overdamped regime and in one dimension. Here we solve the heat distribution in the underdamped regime for three different cases: the free particle, the linear potential, and the harmonic potential. All of them in arbitrary dimensions. The results are exact and generalize known results in the literature.
We present recent results on coarse-graining techniques for thermodynamic quantities (canonical averages) and dynamical quantities (averages of path functionals over solutions of overdamped Langevin equations). The question is how to obtain reduced models to compute such quantities, in the specific case when the functional to be averaged only depends on a few degrees of freedom. We mainly review, numerically illustrate and extend results from [3,18], concerning the computation of the stress-strain relation for one-dimensional chains of atoms, and the construction of an effective dynamics for a…
We investigate the energetics of a Brownian motor driven by position dependent temperature, commonly known as the B{ü}ttiker-Landauer motor. Overdamped models (M=0) predict that the motor can attain Carnot efficiency. However, the overdamped limit ($M\to 0$), contradicts the previous prediction due to the kinetic energy contribution to the heat transfer. Using molecular dynamics simulation and numerical solution of the inertial Langevin equation, we confirm that the motor can never achieve Carnot efficiency and verify that the heat flow via kinetic energy diverges as $M^{-1/2}$ in the overdamp…
We investigate the stochastic motion of a Brownian particle in the harmonic potential with a time-dependent force constant. It may describe the motion of a colloidal particle in an optical trap where the potential well is formed by a time-dependent field. We use the path integral formalism to solve the Langevin equation and the associated Fokker-Planck (Kramers) equation. Rigorous relations are derived to generate the probability density function for the time-dependent nonequilibrium work production beyond the overdamped limit. We find that the work distribution exhibits an exponential tail wi…
We consider the thermal relaxation of a particle in a piecewise-constant potential landscape subject to thermal fluctuations in the overdamped limit. We study the connection between the occurrence of the Mpemba effect, the presence of metastable states, and phase transitions as a function of the potential. We find that the Mpemba effect exists even in cases without metastable states. In the considered physical system, the borders of the areas where the effect happens correspond to either eigenvector changes of direction or to phase transitions. Finally, we discuss the topological aspects of th…
In nonequilibrium systems, the relative fluctuation of a current has a universal trade-off relation with the entropy production, called the thermodynamic uncertainty relation (TUR). For systems with broken time reversal symmetry, its violation has been reported in specific models or in the linear response regime. Here, we derive a modified version of the TUR analytically in the overdamped limit for general Langevin dynamics with a magnetic Lorentz force causing time reversal broken. Remarkably, this modified version is simply given by the conventional TUR scaled by the ratio of the reduced eff…
We consider the effects of memory on the stationary behavior of a two-dimensional Langevin dynamics in a confining potential. The system is treated in an overdamped approximation and the degrees of freedom are under the influence of distinct kinds of stochastic forces, described by Gaussian white and colored noises, as well as different effective temperatures. The joint distribution function is calculated by time-averaging approaches, and the long-term behavior is analyzed. We determine the influence of noise temporal correlations on the steady-state behavior of heat flux and entropy productio…
We investigate the statistical properties of fluctuations in active systems that are governed by non-symmetric responses. Both an underdamped Langevin system with an odd resistance tensor and an overdamped Langevin system with an odd elastic tensor are studied. For a system in thermal equilibrium, the time-correlation functions should satisfy time-reversal symmetry and the anti-symmetric parts of the correlation functions should vanish. For the odd Langevin systems, however, we find that the anti-symmetric parts of the time-correlation functions can exist and that they are proportional to eith…
We derive a simple formula for the fluctuations of the time average around the thermal mean for overdamped Brownian motion in a binding potential U(x). Using a backward Fokker-Planck equation, introduced by Szabo, et al. in the context of reaction kinetics, we show that for ergodic processes these finite measurement time fluctuations are determined by the Boltzmann measure. For the widely applicable logarithmic potential, ergodicity is broken. We quantify the large non-ergodic fluctuations and show how they are related to a super-aging correlation function.
The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the mathematical relationship between the different rules and how to translate from one rule to another are well-established, it still remains controversial what is a more {\it physically} natural rule. In this communication, we derive the overdamped Langevin equation with multiplicative noise for Brownian particles, by systematically eliminating the fast degrees of freedo…
Stochastic phenomena are often described by Langevin equations, which serve as a mesoscopic model for microscopic dynamics. It is known since the work of Parisi and Sourlas that reversible (or equilibrium) dynamics present supersymmetries (SUSYs). These are revealed when the path-integral action is written as a function not only of the physical fields, but also of Grassmann fields representing a Jacobian arising from the noise distribution. SUSYs leave the action invariant upon a transformation of the fields that mixes the physical and the Grassmann ones. We show that, contrarily to the common…
We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin dynamics. We show how these paths can be exactly generated by a local stochastic differential equation. The method is illustrated on the generation of Brownian bridges, Brownian meanders, Brownian excursions and constrained Ornstein-Uehlenbeck processes. In addition, we show how to solve this equation in the case of a general force acting on the pa…
Active Brownian motion commonly assumes spherical overdamped particles. However, self-propelled particles are often neither symmetric nor overdamped yet underlie random fluctuations from their surroundings. Active Brownian motion has already been generalized to include asymmetric particles. Separately, recent findings have shown the importance of inertial effects for particles of macroscopic size or in low-friction environments. We aim to consolidate the previous findings into the general description of a self-propelled asymmetric particle with inertia. We derive the Langevin equation of such …
We derive general expressions for the free energy, entropy production and entropy extraction rates for a Brownian particle that walks in a viscous medium where the dynamics of its motion is governed by the Langevin equation. It is shown that when the system is out of equilibrium, it constantly produces entropy and at the same time extracts entropy out of the system. Its entropy production and extraction rates decrease in time and saturate to a constant value. In long time limit, the rate of entropy production balances the rate of entropy extraction and at equilibrium both entropy production an…
We propose a novel stochastic method to generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$ under a given potential $U(x)$. These paths are sampled with a probability given by the overdamped Langevin dynamics. We show that these paths can be exactly generated by a local Stochastic Partial Differential Equation (SPDE). This equation cannot be solved in general. We present several approximations that are valid either in the low temperature regime or in the presence of barrier crossing. We show that this method warrants the g…
We consider the problem of an overdamped Brownian particle moving in multiscale potential with N + 1 characteristic length scales: the macroscale and N separated microscales. We show that the coarse-grained dynamics is given by an overdamped Langevin equation with respect to the free energy and with a space dependent diffusion tensor, the calculation of which requires the solution of N fully coupled Poisson equations. We study in detail the structure of the bifurcation diagram for one-dimensional problems and we show that the multiscale structure in the potential leads to hysteresis effects an…
A family of collective variables is proposed to perform exact dynamical coarse-graining even in systems without time scale separation. More precisely, it is shown that these variables are not slow in general but they satisfy an overdamped Langevin equation that statistically preserves the sequence in which any regions in collective variable space are visited and permits to calculate exactly the mean first passage times from any such region to another. The role of the free energy and diffusion coefficient in this overdamped Langevin equation is discussed, along with the way they transform under…
This paper further discusses the tempered fractional Brownian motion, its ergodicity, and the derivation of the corresponding Fokker-Planck equation. Then we introduce the generalized Langevin equation with the tempered fractional Gaussian noise for a free particle, called tempered fractional Langevin equation (tfLe). While the tempered fractional Brownian motion displays localization diffusion for the long time limit and for the short time its mean squared displacement has the asymptotic form $t^{2H}$, we show that the asymptotic form of the mean squared displacement of the tfLe transits from…
Stochastic Thermodynamics on Time-Evolving Curved Spaces
The University of Tokyo（东京大学）；RIKEN Center for Advanced Intelligence Project (AIP)（理化学研究所先进智能项目中心）；Inamori Research Institute for Science (InaRIS)（稻盛科学技术研究所）
Thermodynamic uncertainty relation (TUR) provides a stricter bound for entropy production (EP) than that of the thermodynamic second law. This stricter bound can be utilized to infer the EP and derive other trade-off relations. Though the validity of the TUR has been verified in various stochastic systems, its application to general Langevin dynamics has not been successful in a unified way, especially for underdamped Langevin dynamics, where odd parity variables in time-reversal operation such as velocity get involved. Previous TURs for underdamped Langevin dynamics is neither experimentally …
We propose a novel stochastic method to generate paths conditioned to start in an initial state and end in a given final state during a certain time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin dynamics. We show that these paths can be exactly generated by a non-local stochastic differential equation. In the limit of short times, we show that this complicated non-solvable equation can be simplified into an approximate stochastic differential equation. For longer times, the paths generated by this approximate equation can be reweighted to generate the co…
Based on the system heat bath approach where the bath is nonlinearly modulated by an external Gaussian random force, we propose a new microscopic model to study directed motion in the overdamped limit for a nonequilibrium open system. Making use of the coupling between the heat bath and the external modulation as a small perturbation we construct a Langevin equation with multiplicative noise and space dependent dissipation and the corresponding Fokker-Planck-Smoluchowski equation in the overdamped limit. We examine the thermodynamic consistency condition and explore the possibility of observin…
Motivated to understand the asymptotic behavior of periodically driven thermodynamic systems, we study the prototypical example of Brownian particle, overdamped and underdamped, in harmonic potentials subjected to periodic driving. The harmonic strength and the coefficients of drift and diffusion are all taken to be $T$-periodic. We obtain the asymptotic distributions almost exactly treating driving nonperturbatively. In the underdamped case, we exploit the underlying $SL_2$ symmetry to obtain the asymptotic state, and study the dynamics and fluctuations of energies and entropy. We further obt…
We study subdiffusive overdamped Brownian ratchets periodically rocked by an external zero-mean force in viscoelastic media within the framework of non-Markovian Generalized Langevin equation (GLE) approach and associated multi-dimensional Markovian embedding dynamics. Viscoelastic deformations of the medium caused by the transport particle are modeled by a set of auxiliary Brownian quasi-particles elastically coupled to the transport particle and characterized by a hierarchy of relaxation times which obey a fractal scaling. The most slowly relaxing deformations which cannot immediately follow…
The retainability of canonical distributions for a Brownian particle controlled by a time-dependent harmonic potential is investigated in the overdamped and underdamped situations, respectively. Because of different time scales, the overdamped and underdamped Langevin equations (as well as the corresponding Fokker-Planck equations) lead to distinctive restrictions on protocols maintaining canonical distributions. Two special cases are analyzed in details: First, a Brownian particle is controlled by a time-dependent harmonic potential and embedded in medium with constant temperature; Second, a …
The diffusive dynamics of a particle in a medium with space-dependent friction coefficient is studied within the framework of the inertial Langevin equation. In this description, the ambiguous interpretation of the stochastic integral, known as the Itô-Stratonovich dilemma, is avoided since all interpretations converge to the same solution in the limit of small time steps. We use a newly developed method for Langevin simulations to measure the probability distribution of a particle diffusing in a flat potential. Our results reveal that both the Itô and Stratonovich interpretations converge ver…
Langevin equations for the self-thermophoretic dynamics of Janus motors partially coated with an absorbing layer that is heated by a radiation field are presented. The derivation of these equations is based on fluctuating hydrodynamics and radiative heat transfer theory involving stochastic equations for bulk phases and surface processes that are consistent with microscopic reversibility. Expressions for the self-thermophoretic force and torque for arbitrary slip boundary conditions are obtained. The overdamped Langevin equations for the colloid displacement and radiative heat transfer provide…
We determine the rate of escape from a potential well, and the diffusion coefficient in a periodic potential, of a random walker that moves under the influence of the potential in between successive collisions with the heat bath. In the overdamped limit, both the escape rate and the diffusion coefficient coincide with those of a Langevin particle. Conversely, in the underdamped limit the two dynamics have a different temperature dependence. In particular, at low temperature the random walk has a smaller escape rate, but a larger diffusion coefficient.
Inspired by problems in biochemical kinetics, we study statistical properties of an overdamped Langevin process whose friction coefficient depends on the state of a similar, unobserved process. Integrating out the latter, we derive the long time behaviour of the mean square displacement. Anomalous diffusion is found. Since the diffusion exponent can not be predicted using a simple scaling argument, anomalous scaling appears as well. We also find that the coupling can lead to ergodic or non-ergodic behaviour of the studied process. We compare our theoretical predictions with numerical simulatio…
The Smoluchowsky equation for a system of interacting Brownian particles in a temperature gradient is derived from the Kramers equation by means of a multiple time-scale method. The interparticle interactions are assumed to be represented by a mean-field description. We present numerical results that compare well with the theoretical prediction together with an extensive discussion on the prescription of the Langevin equation in overdamped systems.
In the simplest model of single-file diffusion, $N$ point particles wander on a segment of the $x$ axis of length $L$, with hard core interactions, which prevent passing, and with overdamped Brownian dynamics, $λ\dot{x}=η(t)$, where $η(t)$ has the form of Gaussian white noise with zero mean. In 1965 Harris showed that in the limit $N\to\infty$, $L\to\infty$ with constant $ρ=N/L$, the mean square displacement of a tagged particle grows subdiffusively, as $t^{1/2}$, for long times. Recently, it has been shown that the proportionality constants of the $t^{1/2}$ law for randomly-distributed initia…
We investigate the motion of a colloidal particle driven out of equilibrium by an external torque. We use the molecular dynamics simulation that is alternative to the numerical integration approach based on the Langevin equation and is expected to mimic an experiment more realistically. We choose a heat bath composed of thousands of particles interacting to each other through the Lennard-Jones potential and impose the Langevin thermostat to maintain it in equilibrium. We prepare a single colloidal particle to interact with the particles of the heat bath also by the Lennard-Jones potential whil…
