On the nonequilibrium entropy of large and small systems

Thermodynamics makes definite predictions about the thermal behavior of macroscopic systems in and out of equilibrium. Statistical mechanics aims to derive this behavior from the dynamics and statistics of the atoms and molecules making up these systems. A key element in this derivation is the large number of microscopic degrees of freedom of macroscopic systems. Therefore, the extension of thermodynamic concepts, such as entropy, to small (nano) systems raises many questions. Here we shall reexamine various definitions of entropy for nonequilibrium systems, large and small. These include thermodynamic (hydrodynamic), Boltzmann, and Gibbs-Shannon entropies. We shall argue that, despite its common use, the last is not an appropriate physical entropy for such systems, either isolated or in contact with thermal reservoirs: physical entropies should depend on the microstate of the system, not on a subjective probability distribution. To square this point of view with experimental results of Bechhoefer we shall argue that the Gibbs-Shannon entropy of a nano particle in a thermal fluid should be interpreted as the Boltzmann entropy of a dilute gas of Brownian particles in the fluid

A Fresh Look at Entropy and the Second Law of Thermodynamics

This paper is a non-technical, informal presentation of our theory of the second law of thermodynamics as a law that is independent of statistical mechanics and that is derivable solely from certain simple assumptions about adiabatic processes for macroscopic systems. It is not necessary to assume a-priori concepts such as "heat", "hot and cold", "temperature". These are derivable from entropy, whose existence we derive from the basic assumptions. See cond-mat/9708200 and math-ph/9805005.Comment: LaTex file. To appear in the April 2000 issue of PHYSICS TODA

Sum of exit times in series of metastable states in probabilistic cellular automata

Reversible Probabilistic Cellular Automata are a special class of automata whose stationary behavior is described by Gibbs--like measures. For those models the dynamics can be trapped for a very long time in states which are very different from the ones typical of stationarity. This phenomenon can be recasted in the framework of metastability theory which is typical of Statistical Mechanics. In this paper we consider a model presenting two not degenerate in energy metastable states which form a series, in the sense that, when the dynamics is started at one of them, before reaching stationarity, the system must necessarily visit the second one. We discuss a rule for combining the exit times from each of the metastable states

The phonon theory of liquid thermodynamics

Heat capacity of matter is considered to be its most important property because it holds information about system's degrees of freedom as well as the regime in which the system operates, classical or quantum. Heat capacity is well understood in gases and solids but not in the third state of matter, liquids, and is not discussed in physics textbooks as a result. The perceived difficulty is that interactions in a liquid are both strong and system-specific, implying that the energy strongly depends on the liquid type and that, therefore, liquid energy can not be calculated in general form. Here, we develop a phonon theory of liquids where this problem is avoided. The theory covers both classical and quantum regimes. We demonstrate good agreement of calculated and experimental heat capacity of 21 liquids, including noble, metallic, molecular and hydrogen-bonded network liquids in a wide range of temperature and pressure.Comment: 7 pages, 4 figure

Optimal leverage from non-ergodicity

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loosely or too tightly constraining investors' risk preferences, from their respective perspectives. The conflict can be understood on the basis that the multiplicative models used in both approaches are non-ergodic which leads to ensemble-average returns differing from time-average returns in single realizations. The classic treatments, from the very beginning of probability theory, use ensemble-averages, whereas the Kelly-result is obtained by considering time-averages. Maximizing the time-average growth rates for an investment defines an optimal leverage, whereas growth rates derived from ensemble-average returns depend linearly on leverage. The latter measure can thus incentivize investors to maximize leverage, which is detrimental to time-average growth and overall market stability. The Sharpe ratio is insensitive to leverage. Its relation to optimal leverage is discussed. A better understanding of the significance of time-irreversibility and non-ergodicity and the resulting bounds on leverage may help policy makers in reshaping financial risk controls.Comment: 17 pages, 3 figures. Updated figures and extended discussion of ergodicit

Conditioned stochastic particle systems and integrable quantum spin systems

We consider from a microscopic perspective large deviation properties of several stochastic interacting particle systems, using their mapping to integrable quantum spin systems. A brief review of recent work is given and several new results are presented: (i) For the general disordered symmectric exclusion process (SEP) on some finite lattice conditioned on no jumps into some absorbing sublattice and with initial Bernoulli product measure with density $\rho$ we prove that the probability $S_\rho(t)$ of no absorption event up to microscopic time $t$ can be expressed in terms of the generating function for the particle number of a SEP with particle injection and empty initial lattice. Specifically, for the symmetric simple exclusion process on $\mathbb Z$ conditioned on no jumps into the origin we obtain the explicit first and second order expansion in $\rho$ of $S_\rho(t)$ and also to first order in $\rho$ the optimal microscopic density profile under this conditioning. For the disordered ASEP on the finite torus conditioned on a very large current we show that the effective dynamics that optimally realizes this rare event does not depend on the disorder, except for the time scale. For annihilating and coalescing random walkers we obtain the generating function of the number of annihilated particles up to time $t$, which turns out to exhibit some universal features.Comment: 25 page

Dynamics and transport near quantum-critical points

The physics of non-zero temperature dynamics and transport near quantum-critical points is discussed by a detailed study of the O(N)-symmetric, relativistic, quantum field theory of a N-component scalar field in $d$ spatial dimensions. A great deal of insight is gained from a simple, exact solution of the long-time dynamics for the N=1 d=1 case: this model describes the critical point of the Ising chain in a transverse field, and the dynamics in all the distinct, limiting, physical regions of its finite temperature phase diagram is obtained. The N=3, d=1 model describes insulating, gapped, spin chain compounds: the exact, low temperature value of the spin diffusivity is computed, and compared with NMR experiments. The N=3, d=2,3 models describe Heisenberg antiferromagnets with collinear N\'{e}el correlations, and experimental realizations of quantum-critical behavior in these systems are discussed. Finally, the N=2, d=2 model describes the superfluid-insulator transition in lattice boson systems: the frequency and temperature dependence of the the conductivity at the quantum-critical coupling is described and implications for experiments in two-dimensional thin films and inversion layers are noted.Comment: Lectures presented at the NATO Advanced Study Institute on "Dynamical properties of unconventional magnetic systems", Geilo, Norway, April 2-12, 1997, edited by A. Skjeltorp and D. Sherrington, Kluwer Academic, to be published. 46 page

Fluctuations in granular gases

A driven granular material, e.g. a vibrated box full of sand, is a stationary system which may be very far from equilibrium. The standard equilibrium statistical mechanics is therefore inadequate to describe fluctuations in such a system. Here we present numerical and analytical results concerning energy and injected power fluctuations. In the first part we explain how the study of the probability density function (pdf) of the fluctuations of total energy is related to the characterization of velocity correlations. Two different regimes are addressed: the gas driven at the boundaries and the homogeneously driven gas. In a granular gas, due to non-Gaussianity of the velocity pdf or lack of homogeneity in hydrodynamics profiles, even in the absence of velocity correlations, the fluctuations of total energy are non-trivial and may lead to erroneous conclusions about the role of correlations. In the second part of the chapter we take into consideration the fluctuations of injected power in driven granular gas models. Recently, real and numerical experiments have been interpreted as evidence that the fluctuations of power injection seem to satisfy the Gallavotti-Cohen Fluctuation Relation. We will discuss an alternative interpretation of such results which invalidates the Gallavotti-Cohen symmetry. Moreover, starting from the Liouville equation and using techniques from large deviation theory, the general validity of a Fluctuation Relation for power injection in driven granular gases is questioned. Finally a functional is defined using the Lebowitz-Spohn approach for Markov processes applied to the linear inelastic Boltzmann equation relevant to describe the motion of a tracer particle. Such a functional results to be different from injected power and to satisfy a Fluctuation Relation.Comment: 40 pages, 18 figure

Cluster and virial expansions for the multi-species tonks gas

We consider a mixture of non-overlapping rods of different lengths ℓk moving in R or Z. Our main result are necessary and sufficient convergence criteria for the expansion of the pressure in terms of the activities zk and the densities ρk. This provides an explicit example against which to test known cluster expansion criteria, and illustrates that for non-negative interactions, the virial expansion can converge in a domain much larger than the activity expansion. In addition, we give explicit formulas that generalize the well-known relation between non-overlapping rods and labelled rooted trees. We also prove that for certain choices of the activities, the system can undergo a condensation transition akin to that of the zero-range process. The key tool is a fixed point equation for the pressure

Convergence of density expansions of correlation functions and the Ornstein-Zernike equation

We prove absolute convergence of the multi-body correlation functions as a power series in the density uniformly in their arguments. This is done by working in the context of the cluster expansion in the canonical ensemble and by expressing the correlation functions as the derivative of the logarithm of an appropriately extended partition function. In the thermodynamic limit, due to combinatorial cancellations, we show that the coeffi- cients of the above series are expressed by sums over some class of two-connected graphs. Furthermore, we prove the convergence of the density expansion of the “direct correlation function” which is based on a completely different approach and it is valid only for some inte- gral norm. Precisely, this integral norm is suitable to derive the Ornstein-Zernike equation. As a further outcome, we obtain a rigorous quantification of the error in the Percus-Yevick approximation