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  • Langevin Equation

    Enviado por

    Joaquin Casanova
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    The Langevin equation for Random Walks.

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    The Langevin equation for Random Walks.

    Direitos autorais:

    © All Rights Reserved
    Baixe no formato PDF ou leia online no Scribd
    Sinalizar o conteúdo como inadequado
    20 visualizações12 páginas

    Langevin Equation

    Enviado por

    Joaquin Casanova
    The Langevin equation for Random Walks.

    Direitos autorais:

    © All Rights Reserved
    Baixe no formato PDF ou leia online no Scribd
    Sinalizar o conteúdo como inadequado
    de 12
    THE LANGEVIN EQUATION FOR RW The Langevin equation is a stochastic equa- tion of motion. In the present context we shall use it as an equation of motion for ran- dom walk. Let us start with Newton's equation dx a ae Here m is the mass of the particle and F the total force acting on the particle The force F consists of three parts: 1) an external of drift force Faq, 2) a friction force F;, and 3) a molecular force Fim. F=FgtFe+Fm The drift force Fy is due to external force fields Gravitation Fy =-mg , 9 = gravitation constant Charged particle, Lorentz force Fg =e(E+v xB), v velocity , e charge The friction force Fr is due to interaction with the medium. For small velocities the force is given by Stokes law and is linear in the velocity Fe=—av Here a is the friction coefficient The molecular force Fm characterizes the molecular bombardment of the particle. The force is random and corresponds to noise. The molecular force produces random walk. Fim = n(t) We thus obtain the equation of motion ar dx —~+4q—=F t mas tag = Fa tn) Overdamped case - no drift force In the overdamped case the damping term adz/dt dominates the dynamics and is much larger that the inertial term md?a/dt?, ae > oe dt dt? Setting Fy = 0 we obtain the equation of motion dx ~=nlt og = 18) and absorbing a@ by a scaling of t, t/a +t dx —=n(t Eo) This is the simplest form of a Langevin equa- tion. It is first order in time and thus de- scribes an irreversible process. The equation is driven by the random force n(t) which fluc- tuates in time. Below we sketch a time series for (t) Wey a AIIARAR DR NAM ah AMMA In discrete time we have a(t + At) = x(t) + n@) AC) and we note that the random force 'kicks’ the particle at time t. In order to produce ordinary random walk we assume that the distribution for n(t) is the same as the distri- bution P(§) for the step in random walk Plo We over, Kt) Noise correlation function In order to invoke the fundamental time scale separation which is the foundation for ran- dom walk, i.e., the fact that the time scale of the molecular collisions happen on a much faster time scale than the random walk itself, we assume that 7*(t) is correlated according to (nn) = 5 = (nn?) We have here reinstated the index a for the cartesian component. The noise is uncorre- lated at different times. Assuming statistical independence we moreover obtain a8 (nn?) = 8°?) = (9?) and 608 (n° (t)n*(t)) = SP et t+) We also assume that the noise fluctuates about zero, i.e., (n®(t)) = 0 Time average - ensemble average We usually assume ergodicity and thus the equivalence of a time average and an ensem- ble average. The time average is defined as 1 _fL/2 y= in [a In the time average we simply average over the time evolution of A(t) for a very long time. The ensemble average can be performed in the case we know the ensemble and is defined as (A(t) = 0 ALPi(t) l Here P,(t) is the probability of the configura- tion 1. In thermodynamic equilibrium life is simple, we know the ensemble: P, = exp(—Ej/kT)/ S~ exp(—E,/kT) i In general for nonequilibrium situation we do not know the ensemble at the outset. White Noise - Power Spectrum In the present case we have assumed that the noise is delta function correlated in time. This is called ‘white noise’ because the power spectrum is flat. The power spectrum of the noise is defined according to P,(w) = / dte™* (n™(t)n(0)) = const. ‘The power spectrum is just the Fourier trans- form and yields the harmonic content at a Particular frequency. In the present case all harmonics enter with the same weight - there- fore white noise. Uncorrelated noise events yields a flat power spectrum. Gaussian white noise So far we have only assumed that the noise is white, i.e., correlated at short times, yielding a flat power spectrum. We shall now fur- thermore assume that the distribution of the noise at a given time instant is Gaussian. P(n?) x en PIA with a line width of order VA The probability distribution for the white Gaus- sian noise signal over a period T is thus T P(n®(t),0

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