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

Analytical and numerical investigation of escape rate for a noise driven bath

We consider a system-reservoir model where the reservoir is modulated by an external noise. Both the internal noise of the reservoir and the external noise are stationary, Gaussian and are characterized by arbitrary decaying correlation functions. Based on a relation between the dissipation of the system and the response function of the reservoir driven by external noise we numerically examine the model using a full bistable potential to show that one can recover the turn-over features of the usual Kramers' dynamics when the external noise modulates the reservoir rather than the system directly. We derive the generalized Kramers' rate for this nonequilibrium open system. The theoretical results are verified by numerical simulation.Comment: Revtex, 25 pages, 5 figures. To appear in Phys. Rev.

The large deviation approach to statistical mechanics

The theory of large deviations is concerned with the exponential decay of probabilities of large fluctuations in random systems. These probabilities are important in many fields of study, including statistics, finance, and engineering, as they often yield valuable information about the large fluctuations of a random system around its most probable state or trajectory. In the context of equilibrium statistical mechanics, the theory of large deviations provides exponential-order estimates of probabilities that refine and generalize Einstein's theory of fluctuations. This review explores this and other connections between large deviation theory and statistical mechanics, in an effort to show that the mathematical language of statistical mechanics is the language of large deviation theory. The first part of the review presents the basics of large deviation theory, and works out many of its classical applications related to sums of random variables and Markov processes. The second part goes through many problems and results of statistical mechanics, and shows how these can be formulated and derived within the context of large deviation theory. The problems and results treated cover a wide range of physical systems, including equilibrium many-particle systems, noise-perturbed dynamics, nonequilibrium systems, as well as multifractals, disordered systems, and chaotic systems. This review also covers many fundamental aspects of statistical mechanics, such as the derivation of variational principles characterizing equilibrium and nonequilibrium states, the breaking of the Legendre transform for nonconcave entropies, and the characterization of nonequilibrium fluctuations through fluctuation relations.Comment: v1: 89 pages, 18 figures, pdflatex. v2: 95 pages, 20 figures, text, figures and appendices added, many references cut, close to published versio

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

Optimum Paths for Systems Subject to Internal Noise

We formulate the stochastic dynamics of a particle subject to internal non-white (coloured) noise in terms of path-integrals. In the simplest case, where the noise is exponentially correlated, the weak-noise limit is characterised by optimum paths which are given by third order differential equations. In contrast to systems subject to white noise or external coloured noise, the overdamped limit for these systems is singular. We analyse the origin of this behaviour. The whole formalism is generalised to more general noise processes and the essential features are shown to be similar to the exponentially correlated case.Comment: 25 pages with 2 encapsulated postscript figures appended (need epsf