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Lectures on Dynamics of Stochastic Systems
Lectures on Dynamics of Stochastic Systems
Lectures on Dynamics of Stochastic Systems
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Lectures on Dynamics of Stochastic Systems

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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. Models naturally render to statistical description, where random processes and fields express the input parameters and solutions. The fundamental problem of stochastic dynamics is to identify the essential characteristics of the system (its state and evolution), and relate those to the input parameters of the system and initial data.

This book is a revised and more comprehensive version of Dynamics of Stochastic Systems. Part I provides an introduction to the topic. Part II is devoted to the general theory of statistical analysis of dynamic systems with fluctuating parameters described by differential and integral equations. Part III deals with the analysis of specific physical problems associated with coherent phenomena.

  • A comprehensive update of Dynamics of Stochastic Systems
  • Develops mathematical tools of stochastic analysis and applies them to a wide range of physical models of particles, fluids and waves
  • Includes problems for the reader to solve
LanguageEnglish
Release dateSep 9, 2010
ISBN9780123849670
Lectures on Dynamics of Stochastic Systems
Author

Valery I. Klyatskin

Born in 1940 in Moscow, USSR, Valery I. Klyatskin received his secondary education at school in Tbilisi, Georgia, finishing in 1957. Seven years later he graduated from Moscow Institute of Physics and Technology (FIZTEX), whereupon he took up postgraduate studies at the Institute of Atmospheric Physics USSR Academy of Sciences, Moscow gaining the degree of Candidate of Physical and Mathematical Sciences (Ph.D) in 1968. He then continued at the Institute as a researcher, until 1978, when he was appointed as Head of the Wave Process Department at the Pacific Oceanological Institute of the USSR Academy of Sciences, based in Vladivostok. In 1992 Valery I. Klyatskin returned to Institute of Atmospheric Physics Russian Academy of Sciences, Moscow when he was appointed to his present position as Chief Scientist. At the same time he is Chief Scientific Consultant of Pacific Oceanological Institute Russian Academy of Sciences, Vladivostok. In 1977 he obtained a doctorate in Physical and Mathematical Sciences and in 1988 became Research Professor of Theoretical and Mathematical Physics, Russian Academy of Science.

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    Lectures on Dynamics of Stochastic Systems - Valery I. Klyatskin

    Lectures on Dynamics of Stochastic Systems

    First edition

    Valery I. Klyatskin

    Translated from Russian by

    A. Vinogradov

    ELSEVIER

    AMSTERDAM  •  BOSTON  •  HEIDELBERG  •  LONDON  •  NEW YORK OXFORD  •  PARIS

    SAN DIEGO  •  SAN FRANCISCO  •  SINGAPORE  •  SYDNEY  •  TOKYO

    Table of Contents

    Cover image

    Title page

    Copyright page

    Preface

    Introduction

    Part I: Dynamical Description of Stochastic Systems

    Lecture 1: Examples, Basic Problems, Peculiar Features of Solutions

    1.1 Ordinary Differential Equations: Initial-Value Problems

    1.2 Boundary-Value Problems for Linear Ordinary Differential Equations (Plane Waves in Layered Media)

    1.3 Partial Differential Equations

    Lecture 2: Solution Dependence on Problem Type, Medium Parameters, and Initial Data

    2.1 Functional Representation of Problem Solution

    2.1 Solution Dependence on Problem's Parameters

    Lecture 3: Indicator Function and Liouville Equation

    3.1 Ordinary Differential Equations

    3.2 First-Order Partial Differential Equations

    3.3 Higher-Order Partial Differential Equations

    Part II: Statistical Description of Stochastic Systems

    Lecture 4: Random Quantities, Processes, and Fields

    4.1 Random Quantities and their Characteristics

    4.2 Random Processes, Fields, and their Characteristics

    4.3 Markovian Processes

    Lecture 5: Correlation Splitting

    5.1 General Remarks

    5.2 Gaussian Process

    5.3 Poisson’s Process

    5.4 Telegrapher’s Random Process

    5.5 Delta-Correlated Random Processes

    Lecture 6: General Approaches to Analyzing Stochastic Systems

    6.1 Ordinary Differential Equations

    6.2 Completely Solvable Stochastic Dynamic Systems

    6.3 Delta-Correlated Fields and Processes

    Lecture 7: Stochastic Equations with the Markovian Fluctuations of Parameters

    7.1 Telegrapher’s Processes

    7.2 Gaussian Markovian Processes

    Lecture 8: Approximations of Gaussian Random Field Delta-Correlated in Time

    8.1 The Fokker–Planck Equation

    8.2 Transition Probability Distributions

    8.3 The Simplest Markovian Random Processes

    Lecture 9: Methods for Solving and Analyzing the Fokker–Planck Equation

    9.1 Integral Transformations

    9.2 Steady-State Solutions of the Fokker–Planck Equation

    9.3 Boundary-Value Problems for the Fokker–Planck Equation (Hopping Phenomenon)

    9.4 Method of Fast Oscillation Averaging

    Lecture 10: Some Other Approximate Approaches to the Problems of Statistical Hydrodynamics

    10.1 Quasi-Elastic Properties of Isotropic and Stationary Noncompressible Turbulent Media

    10.2 Sound Radiation by Vortex Motions

    Part III: Examples of Coherent Phenomena in Stochastic Dynamic Systems

    Lecture 11: Passive Tracer Clustering and Diffusion in Random Hydrodynamic and Magnetohydrodynamic Flows

    11.1 General Remarks

    11.2 Particle Diffusion in Random Velocity Field

    11.3 Probabilistic Description of Density Field in Random Velocity Field

    11.4 Probabilistic Description of Magnetic Field and Magnetic Energy in Random Velocity Field

    11.5 Integral One-Point Statistical Characteristics of Passive Vector Fields

    Lecture 12: Wave Localization in Randomly Layered Media

    12.1 General Remarks

    12.2 Statistics of Scattered Field at Layer Boundaries

    12.3 Statistical Theory of Radiative Transfer

    12.4 Numerical Simulation

    Lecture 13: Caustic Structure of Wavefield in Random Media

    13.1 Input Stochastic Equations and Their Implications

    13.2 Wavefield Amplitude–Phase Fluctuations. Rytov’s Smooth Perturbation Method

    13.3 Method of Path Integral

    13.4 Elements of Statistical Topography of Random Intensity Field

    References

    Copyright

    Elsevier

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    30 Corporate Drive, Suite 400, Burlington, MA 01803, USA

    First edition 2011

    Copyright © 2011 Elsevier Inc. All rights reserved

    No part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopying, recording, or any information storage and retrieval system, without permission in writing from the publisher. Details on how to seek permission, further information about the Publisher's permissions policies and our arrangement with organizations such as the Copyright Clearance Center and the Copyright Licensing Agency, can be found at our website: www.elsevier.com/permissions.

    This book and the individual contributions contained in it are protected under copyright by the Publisher (other than as may be noted herein).

    Notices

    Knowledge and best practice in this field are constantly changing. As new research and experience broaden our understanding, changes in research methods, professional practices, or medical treatment may become necessary.

    Practitioners and researchers must always rely on their own experience and knowledge in evaluating and using any information, methods, compounds, or experiments described herein. In using such information or methods they should be mindful of their own safety and the safety of others, including parties for whom they have a professional responsibility.

    To the fullest extent of the law, neither the Publisher nor the authors, contributors, or editors, assume any liability for any injury and/or damage to persons or property as a matter of products liability, negligence or otherwise, or from any use or operation of any methods, products, instructions, or ideas contained in the material herein.

    British Library Cataloguing in Publication Data

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    Library of Congress Cataloging-in-Publication Data

    A catalog record for this book is available from the Library of Congress

    ISBN: 978-0-12-384966-3

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    Preface

    V.I. Klyatskin Moscow, Russia

    I keep six honest serving-men (They taught me all I knew);

    Their names are What and Why and When And How and Where and Who.

    R. Kipling

    This book is a revised and more comprehensive re-edition of my book Dynamics of Stochastic Systems, Elsevier, Amsterdam, 2005.

    Writing this book, I sourced from the series of lectures that I gave to scientific associates at the Institute of Calculus Mathematics, Russian Academy of Sciences. In the book, I use the functional approach to uniformly formulate general methods of statistical description and analysis of dynamic systems. These are described in terms of different types of equations with fluctuating parameters, such as ordinary differential equations, partial differential equations, boundary-value problems, and integral equations. Asymptotic methods of analyzing stochastic dynamic systems – the delta-correlated random process (field) approximation and the diffusion approximation – are also considered. General ideas are illustrated using examples of coherent phenomena in stochastic dynamic systems, such as clustering of particles and passive tracer in random velocity field, dynamic localization of plane waves in randomly layered media and caustic structure of wavefield in random media.

    Working at this edition, I tried to take into account opinions and wishes of readers about both the style of the text and the choice of specific problems. Various mistakes and misprints have been corrected.

    The book is aimed at scientists dealing with stochastic dynamic systems in different areas, such as acoustics, hydrodynamics, magnetohydrodynamics, radiophysics, theoretical and mathematical physics, and applied mathematics; it may also be useful for senior and postgraduate students.

    The book consists of three parts.

    The first part is, in essence, an introductory text. It raises a few typical physical problems to discuss their solutions obtained under random perturbations of parameters affecting system behavior. More detailed formulations of these problems and relevant statistical analysis can be found in other parts of the book.

    The second part is devoted to the general theory of statistical analysis of dynamic systems with fluctuating parameters described by differential and integral equations. This theory is illustrated by analyzing specific dynamic systems. In addition, this part considers asymptotic methods of dynamic system statistical analysis, such as the delta-correlated random process (field) approximation and diffusion approximation.

    The third part deals with the analysis of specific physical problems associated with coherent phenomena. These are clustering and diffusion of particles and passive tracer (density and magnetic fields) in a random velocity field, dynamic localization of plane waves propagating in layered random media and caustic structure of wavefield in random multidimensional media. These phenomena are described by ordinary differential equations and partial differential equations.

    The material is supplemented with sections concerning dynamical and statistical descriptions of simplest hydrodynamic-type systems, the relationship between conventional methods (based on the Lyapunov stability analysis of stochastic dynamic systems), methods of statistical topography and statistical description of magnetic field generation in the random velocity field (stochastic [turbulent] dynamo).

    Each lecture is appended with problems for the reader to solve on his or her own, which will be a good training for independent investigations.

    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. 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, to study their solutions as comprehensively as possible.

    We note that wave problems are often 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.

    The purpose of this book is to demonstrate how different physical problems described by stochastic equations can be solved on the basis 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 [1] for Gaussian fluctuations of parameters in a turbulence theory and developed by the author of this book [2] for the general case of dynamic systems and fluctuating parameters of an 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. This is essentially a ratio of the random impact’s correlation time to the time of observation or to another 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 the 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 reduction 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. In terms of formal mathematics, our approach corresponds to that of R.L. Stratonovich (see, e.g., [3]).

    For a certain class of Markovian random process (telegrapher’s processes, Gaussian 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.

    Recently, the interest of both theoreticians and experimenters has been attracted to the 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, deal with individual observations.

    Seeking solutions to dynamic problems for these specific realizations of medium parameters is almost hopeless due to the extreme mathematical complexity of these problems. At the same time, researchers are interested in the main characteristics of these phenomena without much need to know specific details. Therefore, the idea of using 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 the 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. Figure 0.1 shows examples of realizations of two random fields characterized by different statistical structures.

    Figure. 0.1 Realizations of the fields governed by (a) Gaussian and (b) lognormal distribution and the corresponding topographic level lines. The bold curves in the bottom patterns show level lines corresponding to levels 0 (a) and 1 (b).

    ρ (R, timplies 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 realization sample tends to be more irregular in space due to the 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 give 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 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 [4].

    In a similar way, in the case of waves propagating in random media, an exponential spread of the rays will take place on average; but simultaneously, with 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 to 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 [5].

    These physical processes and phenomena occurring with the probability equal to unity will be referred to as coherent processes and phenomena [6]. 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 [7]. 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 with the simple models of fluctuating parameters, this may be handled by analytical means. In other cases, one may verify this by performing numerical modeling experiments or analyzing experimental findings.

    The complete statistic (say, the whole body of all n-point space-time moment functions), would undoubtedly contain all the information about the investigated dynamic system. In practice, however, one may succeed only in studying the simplest statistical characteristics associated mainly with simultaneous and one-point probability distributions. It would be reasonable to ask how with these statistics on hand one would look into the quantitative and qualitative behavior of some system happenings?

    This question is answered by methods of statistical topography [8]. These methods were highlighted by Ziman [9], who seems to have coined this term. Statistical topography yields a different philosophy of statistical analysis of dynamic stochastic systems, which may prove useful for experimenters planning a statistical processing of experimental data. These issues are treated in depth in this book.

    More details about the material of this book and more exhaustive references can be found in the textbook quoted in reference [2] and recent reviews [6, 10–16].

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