A decomposition of irreversible diffusion processes without detailed balance

DOI10.1063/1.4803847MaRDI QIDQ5402248zbMATH OpenOpenAlexFDO

Authors Hong Qian

Publication date 6 March 2014

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.6496

zbMATH Keywords

Ornstein-Uhlenbeck processFokker-Planck equationdifferential operator decompositionirreversible diffusion processes

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Fokker-Planck equations (35Q84) Statistical thermodynamics (82B30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

Abstract: As a generalization of deterministic, nonlinear conservative dynamical systems, a notion of {em canonical conservative dynamics} with respect to a positive, differentiable stationary density $ho(x)$ is introduced: $dotx=j(x)$ in which $$. Such systems have a conserved "generalized free energy function" $F[u]$ $=$ $$ in phase space with a density flow $u(x,t)$ satisfying $partial{u}_t=-ablacdot(ju)$. Any general stochastic diffusion process without detailed balance, in terms of its Fokker-Planck equation, can be decomposed into a reversible diffusion process with detailed balance and a canonical conservative dynamics. This decomposition can be rigorously established in a function space with inner product defined as $langlephi,psiangle=inth{o}^{-1}(x)phi(x)psi(x)dx$. Furthermore, a law for balancing $F[u]$ can be obtained: The non-positive $dF[u(x,t)]/dt$ $=$ $E_{in}(t)-e_p(t)$ where the "source" $E_{in}(t)ge0$ and the "sink" $e_p(t)ge0$ are known as house-keeping heat and entropy production, respectively. A reversible diffusion has $E_{in}(t)=0$. For a linear (Ornstein-Uhlenbeck) diffusion process, our decomposition is equivalent to the previous approaches developed by R. Graham and P. Ao, as well as the theory of large deviations. In terms of two different formulations of time reversal for a same stochastic process, the meanings of {em dissipative} and {em conservative} stationary dynamics are discussed.

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Cited in

(15)

• Characterising the nonequilibrium stationary states of Ornstein-Uhlenbeck processes
• The zeroth law of thermodynamics and volume-preserving conservative system in equilibrium with stochastic damping
• Stochastic entropy production in diffusive systems
• Canonical structure and orthogonality of forces and currents in irreversible Markov chains
• Irreversible reactions and diffusive escape: stationary properties
• Housekeeping entropy in continuous stochastic dynamics with odd-parity variables
• Potentials of continuous Markov processes and random perturbations
• Potential function in a continuous dissipative chaotic system: decomposition scheme and role of strange attractor
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• Irreversible samplers from jump and continuous Markov processes
• Quantifying the potential and flux landscapes of multi-locus evolution
• Some new results on relative entropy production, time reversal, and optimal control of time-inhomogeneous diffusion processes
• Mathematical representation of Clausius' and Kelvin's statements of the second law and irreversibility
• Diffusion processes in nonequilibrium thermodynamics
• The entropy production of stationary diffusions

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