Dynamics of Stochastic Systems (eBook)

Valery I. Klyatskin (Autor)

eBook Download: EPUB

2005 | 1. Auflage
212 Seiten
Elsevier Science (Verlag)
978-0-08-050485-8 (ISBN)

Infos

"Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''oil slicks''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.

Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.

The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data.

This raises a host of challenging mathematical issues. One could rarely solve such systems exactly (or approximately) in a closed analytic form, and their solutions depend in a complicated implicit manner on the initial-boundary data, forcing and system's (media) parameters . In mathematical terms such solution becomes a complicated nonlinear functional of random fields and processes.

Part I gives mathematical formulation for the basic physical models of transport, diffusion, propagation and develops some analytic tools.

Part II sets up and applies the techniques of variational calculus and stochastic analysis, like Fokker-Plank equation to those models, to produce exact or approximate solutions, or in worst case numeric procedures. The exposition is motivated and demonstrated with numerous examples.

Part III takes up issues for the coherent phenomena in stochastic dynamical systems, described by ordinary and partial differential equations, like wave propagation in randomly layered media (localization), turbulent advection of passive tracers (clustering).

Each chapter is appended with problems the reader to solve by himself (herself), which will be a good training for independent investigations.

?This book is translation from Russian and is completed with new principal results of recent research.
?The book develops mathematical tools of stochastic analysis, and applies them to a wide range of physical models of particles, fluids, and waves.
?Accessible to a broad audience with general background in mathematical physics, but no special expertise in stochastic analysis, wave propagation or turbulence"

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Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''oil slicks''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data.This raises a host of challenging mathematical issues. One could rarely solve such systems exactly (or approximately) in a closed analytic form, and their solutions depend in a complicated implicit manner on the initial-boundary data, forcing and system's (media) parameters . In mathematical terms such solution becomes a complicated "e;nonlinear functional"e; of random fields and processes.Part I gives mathematical formulation for the basic physical models of transport, diffusion, propagation and develops some analytic tools.Part II sets up and applies the techniques of variational calculus and stochastic analysis, like Fokker-Plank equation to those models, to produce exact or approximate solutions, or in worst case numeric procedures. The exposition is motivated and demonstrated with numerous examples.Part III takes up issues for the coherent phenomena in stochastic dynamical systems, described by ordinary and partial differential equations, like wave propagation in randomly layered media (localization), turbulent advection of passive tracers (clustering).Each chapter is appended with problems the reader to solve by himself (herself), which will be a good training for independent investigations.*This book is translation from Russian and is completed with new principal results of recent research.*The book develops mathematical tools of stochastic analysis, and applies them to a wide range of physical models of particles, fluids, and waves.*Accessible to a broad audience with general background in mathematical physics, but no special expertise in stochastic analysis, wave propagation or turbulence

Inhalt

Cover 1
DYNAMICS OF STOCHASTIC SYSTEMS 4
Copyright Page 5
Contents 8
Preface 6
Introduction 11
Part I: Dynamical description of stochastic systems 14
Chapter 1. Examples, basic problems, peculiar features of solutions 15
1.1 Ordinary differential equations: initial value problems 15
1.2 Boundary-value problems for linear ordinary differential equations (plane waves in layered media) 22
1.3 Partial differential equations 25
Chapter 2. Solution dependence on problem type, medium parameters, and initial data 35
2.1 Functional representation of problem solution 35
2.2 Solution dependence on problem's parameters 40
Problems 44
Chapter 3. Indicator function and Liouville equation 47
3.1 Ordinary differential equations 47
3.2 First-order partial differential equations 48
3.3 Higher-order partial differential equations 51
Problems 53
Part II: Statistical description of stochastic systems 54
Chapter 4. Random quantities, processes and fields 55
4.1 Random quantities and their characteristics 55
4.2 Random processes, fields, and their characteristics 59
4.3 Markovian processes 71
Problems 73
Chapter 5. Correlation splitting 75
5.1 General remarks 75
5.2 Gaussian process 77
5.3 Poisson process 78
5.4 Telegrapher's random process 79
5.5 Delta-correlated random processes 81
Problems 85
Chapter 6. General approaches to analyzing stochastic dynamic systems 89
6.1 Ordinary differential equations 89
6.2 Completely solvable stochastic dynamic systems 92
6.3 Delta-correlated fields and processes 103
Problems 108
Chapter 7. Stochastic equations with the Markovian fluctuations of parameters 116
7.1 Telegrapher's processes 117
7.2 Gaussian Markovian processes 119
Problems 120
Chapter 8. Gaussian delta-correlated random field (ordinary differential equations) 123
8.1 The Fokker-Planck equation 123
8.2 Transition probability distributions 125
8.3 Applicability range of the Fokker-Planck equation 127
Problems 132
Chapter 9. Methods for solving and analyzing the Fokker-Planck equation 139
9.1 Wiener random process 139
9.2 Logarithmic-normal random process 142
9.3 Integral transformations 145
9.4 Steady-state solutions of the Fokker-Planck equation 146
9.5 Boundary-value problems for the Fokker-Planck equation (transfer phenomena) 149
9.6 Method of fast oscillation averaging 152
Problems 153
Chapter 10. Gaussian delta-correlated random field (causal integral equations) 158
Problems 160
Part III: Examples of coherent phenomena in stochastic dynamic systems 161
Chapter 11. Passive tracer clustering and diffusion in random hydrodynamic flows 162
11.1 Lagrangian description (particle diffusion) 165
11.2 Diffusion of passive tracer concentration in random velocity field 169
11.3 Effect of molecular diffusion 176
Problems 178
Chapter 12. Wave localization in randomly layered media 181
12.1 Statistics of scattered field at layer boundaries 185
12.2 Statistical theory of radiative transfer 192
12.3 Numerical simulation 200
Problems 202
Bibliography 205
Index 209

Textauszug

Introduction

Different areas of physics pose statistical problems in ever-greater numbers. Apart from issues traditionally obtained in statistical physics, many applications call for including fluctuation effects into consideration. While fluctuations may stem from different sources (such as thermal noise, instability, and turbulence), methods used to treat them are very similar. In many cases, the statistical nature of fluctuations may be deemed known (either from physical considerations or from problem formulation) and the physical processes may be modeled by differential, integro-differential or integral equations.

We will consider a statistical theory of dynamic and wave systems with fluctuating parameters. These systems can be described by ordinary differential equations, partial differential equations, integro-differential equations and integral equations. A popular way to solve such systems is by obtaining a closed system of equations for statistical characteristics of such systems to study their solutions as comprehensively as possible.

We note that often wave problems are boundary-value problems. When this is the case, one may resort to the imbedding method to reformulate the equations at hand to initial value problems, thus considerably simplifying the statistical analysis [1], [2].

The purpose of this book is to demonstrate how different physical problems described by stochastic equations may be solved on the base of a general approach.

In stochastic problems with fluctuating parameters, the variables are functions. It would be natural therefore to resort to functional methods for their analysis. We will use a functional method devised by Novikov [3] for Gaussian fluctuations of parameters in a turbulence theory and developed by the author of this book [1], [4]–[6] for the general case of dynamic systems and fluctuating parameters of arbitrary nature.

However, only a few dynamic systems lend themselves to analysis yielding solutions in a general form. It proved to be more efficient to use an asymptotic method where the statistical characteristics of dynamic problem solutions are expanded in powers of a small parameter which is essentially a ratio of the random impact’s correlation time to the time of observation or to other characteristic time scale of the problem (in some cases, these may be spatial rather than temporal scales). This method is essentially a generalization of the theory of Brownian motion. It is termed the delta-correlated random process (field) approximation.

For dynamic systems described by ordinary differential stochastic equations with Gaussian fluctuations of parameters, this method leads to a Markovian problem solving model, and the respective equation for transition probability density has the form of the Fokker–Planck equation. In this book, we will consider in depth the methods of analysis available for this equation and its boundary conditions. We will analyze solutions and validity conditions by way of integral transformations. In more complicated problems described by partial differential equations, this method leads to a generalized equation of Fokker–Planck type in which variables are the derivatives of the solution’s characteristic functional. For dynamic problems with non-Gaussian fluctuations of parameters, this method also yields Markovian type solutions. Under the circumstances, the probability density of respective dynamic stochastic equations satisfies a closed operator equation.

In physical investigations, Fokker–Planck and similar equations are usually set up from rule of thumb considerations, and dynamic equations are invoked only to calculate the coefficients of these equations. This approach is inconsistent, generally speaking. Indeed, the statistical problem is completely defined by dynamic equations and assumptions on the statistics of random impacts. For example, the Fokker–Planck equation must be a logical sequence of the dynamic equations and some assumptions on the character of random impacts. It is clear that not all problems lend themselves for reducing to a Fokker–Planck equation. The functional approach allows one to derive a Fokker Planck equation from the problem’s dynamic equation along with its applicability conditions.

For a certain class of random processes (Markovian telegrapher’s processes, Gaussian Markovian process and the like), the developed functional approach also yields closed equations for the solution probability density with allowance for a finite correlation time of random interactions.

For processes with Gaussian fluctuations of parameters, one may construct a better physical approximation than the delta-correlated random process (field) approximation, — the diffusion approximation that allows for finiteness of correlation time radius. In this approximation, the solution is Markovian and its applicability condition has transparent physical meaning, namely, the statistical effects should be small within the correlation time of fluctuating parameters. This book treats these issues in depth from a general standpoint and for some specific physical applications.

In recent time, the interest of both theoreticians and experimenters has been attracted to relation of the behavior of average statistical characteristics of a problem solution with the behavior of the solution in certain happenings (realizations). This is especially important for geophysical problems related to the atmosphere and ocean where, generally speaking, a respective averaging ensemble is absent and experimenters, as a rule, have to do with individual observations.

Seeking solutions to dynamic problems for these specific realizations of medium parameters is almost hopeless due to extreme mathematical complexity of these problems. At the same time, researchers are interested in main characteristics of these phenomena without much need to know specific details. Therefore, the idea to use a well developed approach to random processes and fields based on ensemble averages rather than separate observations proved to be very fruitful. By way of example, almost all physical problems of atmosphere and ocean to some extent are treated by statistical analysis.

Randomness in medium parameters gives rise to a stochastic behavior of physical fields. Individual samples of scalar two-dimensional fields ρ(R, t), R = (x,y), say, recall a rough mountainous terrain with randomly scattered peaks, troughs, ridges and saddles. Common methods of statistical averaging (computing mean-type averages — 〈ρ(R, t)〉, space-time correlation function — 〈ρ(R, t) ρ(R’, t’)〉 etc., where 〈…〉 implies averaging over an ensemble of random parameter samples) smooth the qualitative features of specific samples. Frequently, these statistical characteristics have nothing in common with the behavior of specific samples, and at first glance may even seem to be at variance with them. For example, the statistical averaging over all observations makes the field of average concentration of a passive tracer in a random velocity field ever more smooth, whereas each its realization sample tends to be more irregular in space due to mixture of areas with substantially different concentrations.

Thus, these types of statistical average usually characterize ‘global’ space-time dimensions of the area with stochastic processes but tell no details about the process behavior inside the area. For this case, details heavily depend on the velocity field pattern, specifically, on whether it is divergent or solenoidal. Thus, the first case will show with the total probability that clusters will be formed, i.e. compact areas of enhanced concentration of tracer surrounded by vast areas of low-concentration tracer. In the circumstances, all statistical moments of the distance between the particles will grow with time exponentially; that is, on average, a statistical recession of particles will take place [7].

In a similar way, in case of waves propagating in random media, an exponential spread of the rays will take place on average; but simultaneously, with the total probability, caustics will form at finite distances. One more example to illustrate this point is the dynamic localization of plane waves in layered randomly inhomogeneous media. In this phenomenon, the wave field intensity exponentially decays inward the medium with the probability equal to unity when the wave is incident on the half-space of such a medium, while all statistical moments increase exponentially with distance from the boundary of the medium [1, 8].

These physical processes and phenomena occurring with the probability equal to unity will be referred to as coherent processes and phenomena [9]. This type of statistical coherence may be viewed as some organization of the complex dynamic system, and retrieval of its statistically stable characteristics is similar to the concept of coherence as self-organization of multicomponent systems that evolve from the random interactions of their elements [10]. In the general case, it is rather difficult to say whether or not the phenomenon occurs with the probability equal to unity. However, for a number of applications amenable to treatment...

Produkt-Details

• Erscheint lt. Verlag: 17.3.2005
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Naturwissenschaften ► Physik / Astronomie ► Thermodynamik
• Themenwelt: Technik
• ISBN-10: 0-08-050485-X / 008050485X
• ISBN-13: 978-0-08-050485-8 / 9780080504858