The Use of Hamiltonian Mechanics in Systems Driven by Colored Noise

The evaluation of the path-integral representation for stochastic processes in the weak-noise limit shows that these systems are governed by a set of equations which are those of a classical dynamics. We show that, even when the noise is colored, these may be put into a Hamiltonian form which leads to better insights and improved numerical treatments. We concentrate on solving Hamilton's equations over an infinite time interval, in order to determine the leading order contribution to the mean escape time for a bistable potential. The paths may be oscillatory and inherently unstable, in which case one must use a multiple shooting numerical technique over a truncated time period in order to calculate the infinite time optimal paths to a given accuracy. We look at two systems in some detail: the underdamped Langevin equation driven by external exponentially correlated noise and the overdamped Langevin equation driven by external quasi-monochromatic noise. We deduce that caustics, focusing and bifurcation of the optimal path are general features of all but the simplest stochastic processes.Comment: 25 pages with 5 encapsulted postscript figures appended (need epsf

Surmounting Oscillating Barriers

Thermally activated escape over a potential barrier in the presence of periodic driving is considered. By means of novel time-dependent path-integral methods we derive asymptotically exact weak-noise expressions for both the instantaneous and the time-averaged escape rate. The agreement with accurate numerical results is excellent over a wide range of driving strengths and driving frequencies.Comment: 4 pages, 4 figure

Ratchet driven by quasimonochromatic noise.

The currents generated by noise-induced activation processes in a periodic potential are investigated analytically, by digital simulation and by performing analog experiments. The noise is taken to be quasimonochromatic and the potential to be a smoothed sawtooth. Two analytic approaches are studied. The first involves a perturbative expansion in inverse powers of the frequency characterizing quasimonochromatic noise and the second is a direct numerical integration of the deterministic differential equations obtained in the limit of weak noise. These results, together with the digital and analog experiments, show that the system does indeed give rise, in general, to a net transport of particles. All techniques also show that a current reversal exists for a particular value of the noise parameters

Experiments on critical phenomena in a noisy exit problem.

We consider a noise-driven exit from a domain of attraction in a two-dimensional bistable system lacking detailed balance. Through analog and digital stochastic simulations, we find a theoretically predicted bifurcation of the most probable exit path as the parameters of the system are changed, and a corresponding nonanalyticity of the generalized activation energy. We also investigate the extent to which the bifurcation is related to the local breaking of time-reversal invariance

Escape Rates in Bistable Systems Induced by Quasi-Monochromatic Noise

Path integral techniques are used to understand the behaviour of a particle moving in a bistable potential well and acted upon by quasi-monochromatic external noise. In the limit of small diffusion coefficient, a steepest descent evaluation of the path integral enables mean first passage times and the transition times from one well to the other to be computed. The results and general approach are compared with computer simulations of the process. It is found that the bandwidth parameter, $\Gamma$, has a critical value above which particle escape is by white-noise-like outbursts, but below which escape is by oscillatory type behaviour.Comment: 20 pages (LaTex) + 4 figures (encapsulted postscript) upon reques