Smoluchowski-Kramers approximation in the case of variable friction

We consider the small mass asymptotics (Smoluchowski-Kramers approximation) for the Langevin equation with a variable friction coefficient. The limit of the solution in the classical sense does not exist in this case. We study a modification of the Smoluchowski-Kramers approximation. Some applications of the Smoluchowski-Kramers approximation to problems with fast oscillating or discontinuous coefficients are considered.Comment: already publishe

Poisson-noise induced escape from a metastable state

We provide a complete solution of the problems of the probability distribution and the escape rate in Poisson-noise driven systems. It includes both the exponents and the prefactors. The analysis refers to an overdamped particle in a potential well. The results apply for an arbitrary average rate of noise pulses, from slow pulse rates, where the noise acts on the system as strongly non-Gaussian, to high pulse rates, where the noise acts as effectively Gaussian

Statistical mechanics of spatial evolutionary games

We discuss the long-run behavior of stochastic dynamics of many interacting players in spatial evolutionary games. In particular, we investigate the effect of the number of players and the noise level on the stochastic stability of Nash equilibria. We discuss similarities and differences between systems of interacting players maximizing their individual payoffs and particles minimizing their interaction energy. We use concepts and techniques of statistical mechanics to study game-theoretic models. In order to obtain results in the case of the so-called potential games, we analyze the thermodynamic limit of the appropriate models of interacting particles.Comment: 19 pages, to appear in J. Phys.

On population extinction risk in the aftermath of a catastrophic event

We investigate how a catastrophic event (modeled as a temporary fall of the reproduction rate) increases the extinction probability of an isolated self-regulated stochastic population. Using a variant of the Verhulst logistic model as an example, we combine the probability generating function technique with an eikonal approximation to evaluate the exponentially large increase in the extinction probability caused by the catastrophe. This quantity is given by the eikonal action computed over "the optimal path" (instanton) of an effective classical Hamiltonian system with a time-dependent Hamiltonian. For a general catastrophe the eikonal equations can be solved numerically. For simple models of catastrophic events analytic solutions can be obtained. One such solution becomes quite simple close to the bifurcation point of the Verhulst model. The eikonal results for the increase in the extinction probability caused by a catastrophe agree well with numerical solutions of the master equation.Comment: 11 pages, 11 figure

Path integral approach to random motion with nonlinear friction

Using a path integral approach, we derive an analytical solution of a nonlinear and singular Langevin equation, which has been introduced previously by P.-G. de Gennes as a simple phenomenological model for the stick-slip motion of a solid object on a vibrating horizontal surface. We show that the optimal (or most probable) paths of this model can be divided into two classes of paths, which correspond physically to a sliding or slip motion, where the object moves with a non-zero velocity over the underlying surface, and a stick-slip motion, where the object is stuck to the surface for a finite time. These two kinds of basic motions underlie the behavior of many more complicated systems with solid/solid friction and appear naturally in de Gennes' model in the path integral framework.Comment: 18 pages, 3 figure

Time-averaged MSD of Brownian motion

We study the statistical properties of the time-averaged mean-square displacements (TAMSD). This is a standard non-local quadratic functional for inferring the diffusion coefficient from an individual random trajectory of a diffusing tracer in single-particle tracking experiments. For Brownian motion, we derive an exact formula for the Laplace transform of the probability density of the TAMSD by mapping the original problem onto chains of coupled harmonic oscillators. From this formula, we deduce the first four cumulant moments of the TAMSD, the asymptotic behavior of the probability density and its accurate approximation by a generalized Gamma distribution

Metastability in Interacting Nonlinear Stochastic Differential Equations II: Large-N Behaviour

We consider the dynamics of a periodic chain of N coupled overdamped particles under the influence of noise, in the limit of large N. Each particle is subjected to a bistable local potential, to a linear coupling with its nearest neighbours, and to an independent source of white noise. For strong coupling (of the order N^2), the system synchronises, in the sense that all oscillators assume almost the same position in their respective local potential most of the time. In a previous paper, we showed that the transition from strong to weak coupling involves a sequence of symmetry-breaking bifurcations of the system's stationary configurations, and analysed in particular the behaviour for coupling intensities slightly below the synchronisation threshold, for arbitrary N. Here we describe the behaviour for any positive coupling intensity \gamma of order N^2, provided the particle number N is sufficiently large (as a function of \gamma/N^2). In particular, we determine the transition time between synchronised states, as well as the shape of the "critical droplet", to leading order in 1/N. Our techniques involve the control of the exact number of periodic orbits of a near-integrable twist map, allowing us to give a detailed description of the system's potential landscape, in which the metastable behaviour is encoded

Dispersion and reaction in random flows: Single realization vs ensemble average

We examine the dispersion of a passive scalar released in an incompressible fluid flow in an unbounded domain. The flow is assumed to be spatially periodic, with zero spatial average, and random in time, in the manner of the random-phase alternating sine flow which we use as an exemplar. In the long-time limit, the scalar concentration takes the same, predictable form for almost all realisations of the flow, with a Gaussian core characterised by an effective diffusivity, and large-deviation tails characterised by a rate function (which can be evaluated by computing the largest Lyapunov exponent of a family of random-in-time partial differential equations). We contrast this single-realisation description with that which applies to the average of the concentration over an ensemble of flow realisations. We show that the single-realisation and ensemble-average effective diffusivities are identical but that the corresponding rate functions are not, and that the ensemble-averaged description overestimates the concentration in the tails compared with that obtained for single-flow realisations. This difference has a marked impact for scalars reacting according to the Fisher--Kolmogorov--Petrovskii--Piskunov (FKPP) model. Such scalars form an expanding front whose shape is approximately independent of the flow realisation and can be deduced from the single-realisation large-deviation rate function. We test our predictions against numerical simulations of the alternating sine flow

Numerical simulations versus theoretical predictions for a non-Gaussian noise induced escape problem in application to full counting statistics

A theoretical approach for characterizing the influence of asymmetry of noise distribution on the escape rate of a multistable system is presented. This was carried out via the estimation of an action, which is defined as an exponential factor in the escape rate, and discussed in the context of full counting statistics paradigm. The approach takes into account all cumulants of the noise distribution and demonstrates an excellent agreement with the results of numerical simulations. An approximation of the third-order cumulant was shown to have limitations on the range of dynamic stochastic system parameters. The applicability of the theoretical approaches developed so far is discussed for an adequate characterization of the escape rate measured in experiments

Stick-slip motion of solids with dry friction subject to random vibrations and an external field

We investigate a model for the dynamics of a solid object, which moves over a randomly vibrating solid surface and is subject to a constant external force. The dry friction between the two solids is modeled phenomenologically as being proportional to the sign of the object's velocity relative to the surface, and therefore shows a discontinuity at zero velocity. Using a path integral approach, we derive analytical expressions for the transition probability of the object's velocity and the stationary distribution of the work done on the object due to the external force. From the latter distribution, we also derive a fluctuation relation for the mechanical work fluctuations, which incorporates the effect of the dry friction.Comment: v1: 23 pages, 9 figures; v2: Reference list corrected; v3: Published version, typos corrected, references adde