Phase space reduction of the one-dimensional Fokker-Planck (Kramers) equation

DOI10.1007/S10955-012-0570-2MaRDI QIDQ690724zbMATH OpenOpenAlexFDO

Authors Pavol Kalinay, Jerome K. Percus

Publication date 29 November 2012

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

Full work available at URL https://arxiv.org/abs/1204.1145

zbMATH Keywords

confined diffusioninertial effectsmappingSmoluchowski equation

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: A pointlike particle of finite mass m, moving in a one-dimensional viscous environment and biased by a spatially dependent force, is considered. We present a rigorous mapping of the Fokker-Planck equation, which determines evolution of the particle density in phase space, onto the spatial coordinate x. The result is the Smoluchowski equation, valid in the overdamped limit, m->0, with a series of corrections expanded in powers of m. They are determined unambiguously within the recurrence mapping procedure. The method and the results are interpreted on the simplest model with no field and on the damped harmonic oscillator.

Review text

This article studies the dynamics of a point particle that obeys second Newton's law in a one dimensional potential. Additionally, it undergoes linear damping as response to friction and it is also subject to a heat bath that gives rise to a stochastic forcing term in the equation of motion. Consequently, this equation is a second order stochastic differential equation. As such, it can be mapped onto a Fokker-Planck description for the probability density. The resulting Fokker-Planck equation is a partial differential equation in three variables: time, space and velocity. The article discusses a dimensional reduction of the associated stochastic problem, so that the corresponding Fokker-Planck description simplifies to a partial differential equation in just two variables: space and time. This simplification corresponds to the limit in which the inertial term, proportional to the particle mass, is negligible compared to the damping, proportional to the friction coefficient. If one formally neglects the inertial term in the stochastic differential equation then the desired reduction is achieved. This work systematically studies this simplification and calculates the error terms. The result is illustrated in two particular cases: the flat and the quadratic potentials, corresponding to the free particle and the harmonic oscillator respectively.

Recommendations

• Singular Perturbation Analysis of the Fokker–Planck Equation: Kramers’ Underdamped Problem
• Symmetry properties of one- and two-dimensional Fokker-Planck equations
• A remark on the Kramers problem
• On the Kramers-Fokker-Planck equation with decreasing potentials in dimension one
• Time-dependent solution of multidimensional Fokker-Planck equations in the weak noise limit

Cites work

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Cited in

(4)

• Hydrodynamic equations from Fokker-Planck equations -- multiple time scale method
• Singular Perturbation Analysis of the Fokker–Planck Equation: Kramers’ Underdamped Problem
• Regularity of the spatially homogenous fractional Kramers-Fokker-Planck equation
• Exact dimensional reduction of linear dynamics: application to confined diffusion

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