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PhYSICS REPORTS (Section C of Physics Letters) 24. No. 3 (1976) 171 --228.

NORTLI-IIOLLANI) PUBLIShING COMPANY

STOCHASTIC DIFFERENTIAL EQUATIONS


N.G. VAN KAMPEN
Institute for Theoretical Ihcsics of the Univcrsitv at Utrecht ,Vetherlands*
Received October 1975

A bstract;
In chapter 1 stochastic differential equations are defined and classified, and their occurrence in physics is reviewed, in chapter II it is shown for linear equations how a differential equation for the averaged solution is obtained by expanding in ore, where o measures the size of the fluctuations and s-~their autocorrelation time. This result is the underlying reason for the existence of renormalired transport coefficients. In chapter III the same treatment is adapted to nonlinear equations. In chapter IV an alternative treatment is described, applicable only in a special case, but not confined to small ore. The emphasis is on physical usefulness rather than mathematical rigor. Throughout the text applications arc given at the points where they appeared to serve best as illustrations of the method. The list of references is not complete, but hopefully representative of the literature.

Contents: I. General considerations


2. 3. 4. Introduction Occurrence of stochastic differential equations The connection with statistical mechanics Formulation of the problem 173 173 175 177 179 181

14. The random harmonic oscillator


15. Diffusion in a turbulent fluid 16. higher moments 17. Randomly located scatterers

Calculations

200 202 203 205

5. First example: An assembly of dipoles 6. Second example: A dipole in a fluctuating field

III. Nonlinear equations


18. 19. 20. 21 Nonlinear equations reduced to the linear case Nonlinear equations with rapid fluctuations iwo applications Use of the interaction representation 208 210 212 215

Ii Linear equations with short correlation time


7. Preliminaries about linear equations 8. 9. 10. Ii. 12. Bourrets integral equation Wave propagation with random refractive index lIme differential equation for the average Kellers expansion method The cumulant expansion
-

183 185 187 190 192 194 198

IV. A method for arbitrary correlation times


22. Markov processes 23. A method for arbitrary correlation times 24. Line broadening References 218 221 222 225

13. The random harmonic oscillator

General remark

Single orders for this issue PHYSICS REPORTS (Section C of PHYSICS LETTERS) 24, No. 3(1976) 171228.
Copies of this issue mtsay be obtained at the price given below. All orders should be sent directly to the Publisher. Orders must he accompanied by check. Single issue price Dfl. 20., postage included.

~M~st of this work was done during a temporary stay at the University of Texas at Austin, Texas.

STOCHASTIC DIFFERENTIAL EQUATIONS

N.G. VAN KAMPEN


Institute for Theoretical Physics of the University at Utrecht, Netherlands

(~

NORTH-HOLLAND PUBLISHING COMPANY

AMSTERDAM

N.G. Van Kampen, Stochastic differential equations

173

I. GENERAL CONSIDERATIONS 1. Introduction


A stochastic differential equation is a differential equation whose coefficients are random.* They may be random constants or random functions, but their statistical properties are supposed to be given, just as in normal equations the coefficients are given. Accordingly the solution of the equation will be a random function, and the problem consists in finding its statistical properties. The importance of stochastic differential equations for many problems in physics, chemistry, and engineering has become clear in the last decade or so, and they also find ample use in other fields like biology, economics and medicine. The literature is large and disparate. and inevitably the mathematicians also got into the game. We cannot hope to do full justice to the many and varied facets of the subject. Rather we shall try to disentangle some general and useful principles and illustrate them on simple examples. We shall mainly be concerned with ordinary differential equations with prescribed initial conditions. Stochastic eigenvalue problems (Boyce, 1 968; Porter, 1965; Elliott et al., 1974) are not treated, nor stochastic integral equations (Bharucha-Rcid, 1972; Tsokos and Padgett, 1974), let alone more recondite topics like equations involving a retarded time argument (Elsgolts and Norkin, 1973). The purpose of this review is threefold. (i) To expound and define the problem and its relevance for physics and related fields. (ii) To critically review various approaches and to show that a useful expansion exists for the case of rapid fluctuations. (iii) To enable the reader to utilize the results and to make him aware of certain pitfalls. No previous knowledge of the subject is required, nor of abstract mathematics, but merely a certain familiarity with the methods of mathematical physics.

2. Occurrence of stochastic differential equations


In principle every differential equation that purports to describe a physical system should be replaced with a stochastic one, in order to take into account the inevitable perturbations due to interactions with the surroundings. In practice, of course, this is only done when the effect of these perturbations is actually of interest. We list a number of representative applications in order of increasing sophistication.

(i) The Langevin equation for the velocity of a Brownian particle m~---,3v+E(t),
(2.1)

where the Langevin force ~(t) is a random function of time, whose stochastic properties are supposed to be known. This equation has been the subject of extensive studies and we shall not deal with it here (Uhlenbeck and Ornstein, 1930; Chandrasekhar, 1943; Wang and Uhlenbeck, 1945). Note, however, that the classical treatment is based on the assumption that ~(t) is rapidly fluctuating, which will also be the leading idea of our later developments.
*We do not make the somewhat subtle distinction of Soong (1973) between stochastic and random equations, but use both terms interchangeably.

174

N. G. Van Kampen, Stochastic differential equations

The problem of random currents in an electrical network with noise sources is of the same type, but often involves several coupled differential equations with several unknowns (Middleton, 1960; Stratonovich, 1963. 1967; VaIl der Ziel, 1970; Van Vliet. 1971). However, as long as the equations are linear and merely tile driving force is random, the problem is of a simple type. It can be solved easily owing to the fact that one can decompose the noise in small parts (e.g. pulses, or Fourier componeilts), and add tile effects of these separate parts. This is no longer true when the parameters of the circuit. i.e., the coefficients in the equation, are fluctuating, nor if the equations themselves are nonlinear. This is tile type of problem that we shall be concerned with. Mechanical systems and electromechanical control systems are often of this type (Wonham. 1970; Srinivasan and Vasudevan, 1971; Soong, 1973), and so are the following examples. (ii) Propagation of radio waves through an atmosphere with snlall density fluctuations has been extensively studied*. In the simplest case of plane waves they are described by tile equation d2~. dx w2 c (2.2)

where the refractive index n(x) has an average value n 0 plus a small term n1(x), which is a random function of x. A more general treatment, however, starts from the three-dimensional wave equation, see Sec. 9. Light waves in the atmosphere are affected by the fluctuations mamly in that their paths are bent, as is demonstrated by the twinkling of stars. In principle this is covered by the three-dimensional wave equation, but in practice the geometrical optics approximation is used, which leads to stochastic nonlinear equations for the paths of the light rays (Chernov. 1 96 1; Keller. 1962). (iii) Sound propagation in tile atmosphere or in the ocean (Cllernov, 1961; Horton, 1969) is also of practical interest. Sonar, however, because of its short wave length, is less affected by density fluctuations than by scattering on randomly located objects, like fish. One is interested in the resulting reverberation (back scattering into the receiver) and the attenuation of the signal (Sec. 17). Reflection by the bottom and by the waves on the surface gives rise to stochastic boundary conditions and is outside the scope of this review (Kohler, 1975; Kravtsov et al., 1975). Similar problems occur in the study of thermoelastic waves (Chow, 1 973) and gravity waves (Lange, 1973), and the propagation of sonic boons (Pierce and Maglieri, 1972; Wenzel, 1975). (iv) Diffusion in a moving fluid** is described by 2n--V(nu). D~7 where n(r, t) is the density of the test particles ando(r, t) the velocity of the fluid. If the fluid is turbulent, u is only known as a stochastic function of r and t. The problem is then to find the average (n(r, t)) for given initial n(r, 0) = ~(r), see Sec. 15.
*Lighthill (1953); Tatarski (1961, 1969); Bourret (1962a, I 962b); Keller (1964); Karal and Keller (1964); Iloffmann (1964); Frisch (1968); Barabanenkov et al. (1971); Howe (1971); Chow (1972, 1973); Dence and Spence (1973); Lax (1973); Lee (1974); Klyatskin and Tatarskii (1974); Kohler and Papanicolaou (1974); Prokhorov et al. (1974). **Flemshman (1956); Bourret (I 962a, I 962b); Lo Dato (1973); Chow (1974); Bedeaux and Mazur (1974); Mazur and Bedeaux (1974, 1975); Klyatskin and Tatarskii (1974).

(2.3)

N. G. Van Kampen, Stochastic differential equations

175

(v) The number of charge carriers in the conduction band of a photoconductor is determined by the incident beam of photons. If the arrival times of the photons are uncorrelated (shot noise) the probability distribution of that number obeys a linear equation (ChapmanKolmogorov or master equation, see Sec. 22). If, however, the arrival times are correlated the coefficients in that linear equation have to be treated as stochastic functions of time (Ubbink, 1971). (vi) Broadening of the spectral lines emitted and absorbed by an atom in an ionized gas requires the study of the Schrodinger equation of the atom
(2.4)

Here P is the operator of the electric dipole of the atom and E is the electric field due to the charged particles. Thus E(t) is a stochastic function of time whose properties are supposed to be known from kinetic theory. The difficulty here is thatE(t) involves both fast and slowly moving components (Sec. 24). (vii) In magnetic resonance theory one studies the motion of a spin in a solid, governed by the

linear equation of motion (Bloch, 1 946) S=gBXS. (2.5)

The magnetic field B consists of an externally imposed part (not necessarily constant in time), a

fixed part due to the lattice, and a fluctuating part caused by the lattice vibrations (Wangsness
and Bloch, 1953; Redfield, 1965; Slichter, 1963). In analogy with the Brownian motion the stochastic properties of these fluctuations are obtained from a reasonable conjecture. Rather than a single spin also more general quantummechanical systems in interaction with a heat bath of lattice vibrations have been studied (Redfield, 1957, 1965).

(viii) Analogous methods are used in the theory of the laser*. In order to describe the energy loss of an electromagnetic mode one introduces a coupling with a somewhat abstract heat bath. The equation for the density matrix of the combined system is reduced to an equation for the density matrix of the electromagnetic mode alone by taking the trace in the Hilbert space of the bath. This can only be done at the expense of certain assumptions concerning the properties of the bath, which are of the same nature as Langevins assumptions. The result is a Langevin equation (or the equivalent FokkerPlanck equation) for the density matrix of that mode. In the same way the atoms are coupled to fictitious heat baths to describe damping effects (other than through their coupling with the laser modes), the effect of pumping, and the concomitant fluctuations. Similar ideas have been applied to Josephson junctions in interaction with the radiation field (Lee and Scully, 1971). 3. The connection with statistical mechanics It appears from these examples that stochastic differential equations occur when the total physical world, or at least a large system, is subdivided in a subsystem and its environment. The influence of the environment on the subsystem is treated in a way similar to that of a heat bath,
*Wilhjs (1966); Haken and Weidlich (1969); Haken (i970); Haake (1973); Louisell (1973); Agarwal (1973).

1 76

N. G. Van Kampen, Stochastic differential

equations

viz., as a random force whose stochastic properties are supposed given. In this way the equatIons of motion for the total system are reduced to equations of motion for the subsystem alone, at the expense of introducing random coefficients. More serious, however, is that the actual stocilastic properties of these coefficients can strictly speaking be found Dilly by solving tile microscopic equations of nlotloll of tile total system. hut
this cannot be done exce~itfor some simple niodels.~ Instead one conjectures these properties ott

the basis of physical intuition, as was first done with great success in Langevins treatment of Brownian motion. Yet when dealing with lcss sitllple and coticrete equations, physical intuition is less reliable and often borders 011 wishful thlitlking. Itt partIcular for SOlllC notihnear equations this metilod can be Silo\Vll to lead to wronv results (Vati Kampeit. I 965). Yet in some cases it is clear tilat tile stochastic propertIes ale determined by the environnlent alone, i.e., the reaction of tile subsystem on them may salelv he neglected. For example. tile density fluctuations ill tile atnlospllere affect tile propagation of electromagnetic waves. but are not influenced by them. In other cases. the reaction catlnOt be igllored. but Some sinlpie fornl is assumed for it. For example. in the Langevin equation (2. II tile whole rigilt-hand Illeniber is tile force exerted by the environment on tile Brownlan particle: this force will not be itldependent of tile velocity of tile particle, but one conjectures lirst that its aVerage IS --~V. and tllen that after subtracting this tile rernainillg force is itldepetldent of v. and has tile lamihar properties of a Langevin force. (Note that this average danipitlg is indispensable for making the velocity and its
mean square tend to their equilibrium values as determIned by equilibrium statistical hllechallicS.) Statistical mccilanics of irreversible processes also tits into this scheme. it is based on a subdivision of tile total system of V -~ 1023 particles into a subsystem consisting of,i ~ N macroscopic variables., and an environment (also reservoir or bath) consisting of tile relllailulig A - n

variables. The macroscopic variables obey a seif-contaitled set of tqtlatioliS of fllOtioll by tileniselves (e.g. tile hydrod namic equatioils), itt analogy with tile equation mv = -~vfor the Brownian particle. The influence of the remainlllg degrees of Ireedont is then taken into account by adding fluctuating terms. which are assumed to have similar properties as the Latlgevin force. That is, they must have a negligibly short auto-correlation time, and there must be n~feedback of the macroscopic state on tileir stochastic properties. The crucial questlon is wilether or not this asscirnption lS true. it should be emphasized that tiliS question cannot be answered by formal transformations of the microscopic equations of nlotion, sucil as tile cumulation of N-- n variables with the use of Zwan~igsprojection operator tcchiliiqtle (Zwanzig, 1960; Nakajima. 1 958; Mon. 1965), It is not sufficient to rewrite the equations ill a form tilat looks like a Langevin equation and to bestow tile Ilaille Langevin force on one of the terms. unless it is at least piausible that it has the stochastic properties that go with it. An appeal to tile large size of the heat bath, the weakness of the coupling and ~VCll the rapidity of the fluctuations is not enough. It is necessary that all long correlation tinies in the system are fully accounted for by the macroscopic equations. 1-lence tile proper choice of macroscopic variables is crucial. So
far no systematic method is known for makitlg this ciloice or even for deciding whetiler any proPosed choice is correct. Similar stocllastification by adding fluctuating terms has been applied to linear relaxation equa970a), to the hydrodynamic equations tions (Onsager and Machiup, 1953; Fox atld Uhlenbeck, I ~Ruhin (1958); hemmer (1959); Turner (1960); Kogure (1962): Marur and Braun (1964)~ Uilersma (1966); Lopez (1966): Nakazawa (1966); Braun (1967); \Vada (1973); Kinm (1974): Adclman and Doll (1974); Van Kanipen (1 974e).

N G. Van Kampen, Stochastic differential equations

177

(Landau and Lifshitz, 1959; Zwanzig, 1972; Hauge and Martin-Lf, 1973; Klyatskin and Tatarskii, 1974; Kuramoto, 1975), to the diffusion equation (Bedeaux and Mazur, 1974). to Maxwells equations in a medium (Landau and Lifshitz, 1960), to the Boitzmann equation (Abrikosov and Khahatnikov, 1958; Bixon and Zwanzig, 1969; Fox and Uhlenbeck, 1970b), and to the equations for tile gravitational field in the universe (Nariai, 1974, 1975).

4. Formulation of the problem


A stochastic or random lariable ~ is determined by the set ~2 of values it can take (called in different coilnections the range, the set of states, or the phase space). and by its probability distribution defined on ~l.This distribution may be specified by its density D(~) obeying D(~)~ 0, fD(~)d~= 1. (4.1)

It may happen that D involves delta functions or even con sists of delta functions alone (discrete
case). The set ~2 and the distribution D(~)will always be considered as given.* Any mathematical object that depends on a stochastic variable ~ is itself stochastic. In particular. a function ~(t; ~) of t and ~ is a stochastic function of time or a random process. It may be viewed as an ensemble of functions of t, each individual function or sample function being identified by ~. Averages and higher moments are integrals over f2, tor instance
~(t

1)

~(t2))

f~(t1 ~) ~(t2

~)D(~) d~.

The variable ~ is often not written when it is not necessary to emphasize that the object in question is stochastic. An object that does not depend on a stochastic variable is called non-stochastic or sure. A stochastic process with the property that all moments

depend on the time differences alone is called stationary. One defines the auto-correlation function of a stationary process by

F(r) = K ~(t)

--

K~(t))}{~(t + r)

(~(t+ r))})

K~(t) ~(t + r))

(4.2)

Of course F is a sure function. F(0) is the variance of ~(t). In many cases a correlation time r~can be defined such that F(r) 0 for r> r~.The WienerKhintchine theorem states that the Fourier transform of F, S(w)=ifF(r)e~wT dr~f F(r)coswrdr
~).

(4.3)

is the spectral density of the fluctuations in ~(t;

*More exactly we should have postulated a set t2, a u-algebra E of subsets of 12, and a probability measure on E, not necessarily having a density D (Kolmogorov, 1950).

178

NC. Van Kampen Stochastic differential equations

A stochastic equation (Bharllcha-Reid, 1 964, 1970) is ai~ equation of tile form F(x; ~) = 0. where F is given and .v 1S tile unknown. Its solution is a well-defined stocilastic variable x(~), provided that for each ~ in &2 there exists one and only one x obeying F(x. ~) 0. Tilis condition can be nlade more explicit for linear equations:
L(~)xJ~
where f-is a given sure vector.
~.

(4.4)

L(~)a random niatrix~5.and x tile unknown vector. This equation determines a stochastic vector .v(~) provided that L(~)is nonsingular for all For instance
/1 I \0 ~\ /x f2=(--~,oo). 1\ /fm\ II 1=1 I. I / \x~! ~1~J

If L(~)is singular for certain ~ in ~2, then in general no .v exists atld the equation does not determine a stochastic vector .v(~).For instailce

/1

1x1\ Ifi\ H )( I. \~ I I \x21 \f~/

~\

~(

~,oo),

For special choice off, however, tile singular matrix does have a solution, but in that case there are infinitely many, so that again the solution .v(~)is not well-defined. For instance /1 &~\ if\ I II 11 I, \~ I / \.x2! \f/
/.\~\

~2=(0.=).

Yet in that case it is possible to define a stochastic variable x(~)by prescribing which solution is to be selected. In the above example one has x = x2 for all ~ ~ I ; it would be natural to prescribe that for ~ = I also the solution with .v1 = x2 is to be selected. It must be borne in mind, however. that the resulting stochastic variable x(~)depends on this additional prescription. A stochastic differential equation of the n-th order may be written in the form
im

= F(u, t;

~).

(4.5)

where u and F are vectors with n components. It is obvious that the solution is not unique for any unless one prescribes appropriate boundary conditions. If one sets u(0, ~) = a, where a is a sure vector, the resulting solution u(t; ~) is a well-defined stochastic process. It depends on the choice of initial condition, however, not merely through the choice of a, but also through the choice of tile initial time. Tilis is a difference with sure differential equations and needs sonic further elaboration. On selecting different vectors a one obtains an n-dimensional linear space of solutions. In the case of a sure differential equation this space contains all solutions. More precisely, if one imposes at some t0 ~ 0 a boundary coilditiOn u(t0) = b one obtains one of the solutions from the same space. In the case of a stochastic differential equation, however, this is no longer true: the stochastic process defined by (4.5) and u(t0 ~) = b is not the same as any one of those defined by (4.5) and u(O; ~) = afbr any choice of a. This is evident from the fact that the variance of
~,

*The tcrnm stochastic matrix is also used for a special type of sure matrices occurring in the theory of Markov chains (Gantmnacher, 1959).

N. G. Van Kampen, Stochastic differential equations

1 79

u(t; ~) vanishes at the time at which the initial condition is imposed and not at any other time. As a consequence, even if F does not depend explicitly on t, the solution u(t; ~) is not a stationary
process, owing to the choice of initial time. The following table summarizes the various categories of stochastic differential equations mentioned so far.
Table I Category 0. Ordinary differential equations with sure coefficients but random initial values at t = 0. In contrast to some authors (e.g., Syski, 1967) we shall henceforth not include this in the term stochastic differential equations. The solution simply amounts to solving the equation for arbitrary initial value and subsequently taking appropriate averages over the initial values. Category I. Linear differential equations in which only the inhomogeneous term is random, as in the Langevin equation. This category is sometimes referred to as linear or additive (Fox, 1972) and is too elementary for the present review, Category II. Linear differential equalions with random coefficients, sometimes referred to as multiplicative or somewhat confusingly nonlinear (Kraichnan, 1961; Bedeaux and Mazur, 1974). They are the main substance of this review, As initial conditions we prescribe sure values at t = 0, but they may afterwards be randomized as in category 0. Category III. Nonlinear differential equations with random coefficients. It is shown in sec. 18 that they can be reduced to category II. It will appear in the course of that reduction that the distinction between sure and random initial values becomes
moot.

Category IV. Eigenvalue problems of differential equations with random coefficients are not covered.

5. First example: An assembly of dipoles Consider the first order differential equation for a complex single component quantity u(t), tmi&5u, u(0)a.
--

(5.1) iS,1,

This equation is a special case of(2.5) obtained by takinggB = (0,0. ~) and settingS~

= u. If one has an assembly of such dipoles, all with slightly different values of the magnetic field, ~ is a random variable with some distribution D(~). The boundary condition u(0) = a signifies that at t = 0 all dipoles are aligned. They then all precess at slightly different rates and (u(t)) tells the magnetization in the x and y directions of the whole assembly (the magnetization along the z-axis is constant). The same equation (5.1) has also been employed to illustrate certain points in the

theory of turbulence (Kraichnan, 1 961; Leslie, 1973).

The equation (5.1) can be solved explicitly u(t; L~)= e~1(~ta. It follows that
(u(t)) fetD(ez,)deza.

Thus the result is given by the Fourier transform of D, that is, the characteristic function of the distribution. Table II lists (u(t)) for a few different choices of D; c and y are fixed parameters, the range is 12 = (~-_oo,oo). First observe that in all three items the average decays owing to gradual loss of alignment between the dipoles (phase mixing). The decay is more rapid when y is larger, that is, when the distribution D is broader. However, the way in which the amplitude decreases with time depends on the special form of D. In the first item (u(t)) is simply a damped wave, and obeys a first-order

I 8))

N. G. Van Kaomptn Stochastic dmJJcremmtial equation.s


Table

II
:11(t):

(i)

in

+ ~

--

C)-

:xp(- ct

yt)a 2)a

2 exp~--

n ((21I
-~

cxp( -ict

--

~yt

(iii)

(7y)i

exp)

I{7

c7y) 1 +

differential equation

(11(t)) = ---i(c cit

iy)(u(t)).

(5.2)

Thus the effect of the randomness, as far as the average is concerned, is to add an imaginary part to the frequency. But this is an artifact of the special form of D: the same is Ilot true for the other two items. Let us see what happens if one solves tile same equation with initial value h at t 0. In item ( i) the situation is the same as ill sure differential equations. By a suitable choice of b one can reproduce the same (u(t)). viz., b
=

exp(-- ict0

-yt0)a.

In (ii), however, the solution with initial value b is


2 ~b. (u(t)) exp~ -ic(t t0) ~(t t0) There is no choice of b that makes this coincide with the solution in table II. The stochastic process obtained in this way is different from all those Obtained by imposing a boundary condition at t = 0. By observing the process at some later period one is able to tell at what initial time tile SpIlls have been aligned. The sante remark applies to the third item. It also follows from this discussion that there is no real loss of memory. That fact is physically demonstrated in the spin echo experiment (Hahn, 1950; Walgraef and Borckmans, 1972). One first aligns the nuclear spins by a strong magnetic field B 0 in the z direction, then applies an rf pulse B1 along the x axis that turns them into the y direction. They are then allowed to precess freely in the field B0. Owing to local inhomogeneities of B0 their precession is described by the stochastic equation (5.1). The resulting magnetic moment rotates in the x---y plane and is given by (u(t)). It gradually disappears due to phase mixing. At some time r a second pulse, twice as strong as the previous one is applied with the effect that all y-components change sign: u(r + 0) = u(r 0)*. The result is that at t = 2r all spins are again aligned, 27~e ~ u(Ofl* = u(0)* = --u(0). u(2r; ~) = e The basic reason for this effect which has caused misgivings about the foundations of irrevers -- ~ --

N. G. Van Kam pen, Stochastic differential equations


---

181

ibie statistical mechanics (Blatt, 1959; Mayer, 1961) is that tile randomness is due to phase mixing rather than to the interaction with a heat bath. Each magnet has its own field and these fields are constant in time. The force exerted by a Ileat bath. on the other hand, fluctuates in time. If these fluctuations are sufficiently rapid. i.e., if the correlation time of the external force is small, they do cause a loss of memory and the average does obey a differential equation with time-independent coefficients similar to (5.2), although only approximately. This is the underlying idea of many physical applications of stochastic differential equations, and is demonstrated in the following modification of our example.
~,

6. Second exaniple: A dipole in a fluctuating field


Again consider the equation (5.1) for a magnetic dipole in a field along the z axis, but suppose that the field is a random function of time: a
=

i~(t;~)u,

u(0)

1.

(6.1)

The same equation has often been used as a model for a random harmonic oscillator, see Sec. 13, and to describe paramagnetic resonance (Anderson and Weiss. 1953). Equation (6.1) can again be solved explicitly for each sample function ~ on averaging the result

is
(u(t))
=

(exp(_if ~(t) dt} ) a.

(6.2)

Unfortunately it is rarely possible to evaluate explicitly the average of the exponential, so that it i~ necessary to resort to an expansion; or to the method of S.c. 23. The integral over ~ is itself a stochastic quantity !. On expanding the exponential one obtains a series in successive moments (~>,which may be written as multiple integrals over moments of ~: Ku(t)) 1

--

if(~(t1)) dt1

ff(~(t1) ~(t2)) dt1 dt2 + ... } a.

(6.3)

Although these moments are amenable to evaluation, it will be argued presently that this expansio
cannot be used to provide successive approximations. The reason is that any finite number of terms constitutes a bad representation of the function defined by the whole series just as the be havior of et for large t is badly represented by any finite number of terms of its expansion. This difficulty is overcome of the cumulants or semi-invariants. They are certain combinatioi of the moments and will be indicated by double brackets. For the single random variable they

are defined by means of a generating function


(e~1t~) = exp tm
m1

= (it)

m!

((Zm))

(6.4)

On substituting for

the integral over ~ one obtains

182

N. C. Van Kampen, Stochastic differential equations

(exp~_itf~(t)dt})
0

exp~

mnl

~L~1f ~
in!
0 0

dti...dtm

(6.5)

The connection with tile nloments is givell by the following hierarcily of equatiolls (we write 1. 2, .. for ~(t1), ~(t2), ...)

(1)

((1))
=

(12)

((1))((2))
=

((12))
+

(123)

(K] ))(( 2)X( 3))

((1 ))(K 23))

((2))(( 13))

((3))(( 12))

((123)) (6.6)

The general rule is that first the digits in tile moment have to be partitioned in subsets in all possible ways (not coullting the empty subset); for each partition oi~ewrites the product of the cumulants for the several subsets; finally one adds all such products obtained for the different partitionings. * Wllat is the reason for preferring the expansion in curnulants rather tilan in fllOnlelitS? Suppose that ~(t) has a short correlation time T~. More precisely we suppose that ~(t1) and ~(t2) are statistically independent quantities when It1 t21 ~ r~.Then the moment K~(t1) ~(t2)) factorizes into (~( t1)) (~( t2)). and it is seen that the cumulant ((~(t1)~(t2))) vanishes,~ * More generally, the m-th cumulant vanishes as soon as the sequence of times t1, t2 tm contains a gap large compared to This is a formal rendering of what is meant intuitively by a rapidly fluctuating random process. Henceforth, whenever we say that a function has a correlation time ~ we imply this property of the cumulants. The consequence is that each integrand in (6.5) virtually vanishes unless t1, t2,..., t,~are close together. The only contribution to the integral conies from a tube of diameter of order r~along the diagonal in the rn-dimensional integration space. Hence for large t the contribution of each term is proportional to t. so that
T~.

Ku(t))

C1ct,~(0).

(6.7)

Here C is sonic complex nuniber, which can be found from the cumulants of the stochastic process ~(t; w). This leads to the following cOnclusion. When the coefficient in (6.1) is not a random constant as in (5.1), but a random function of time with a correlation time r~, the exponential decay (6.7), rather tllan being an artifact of a special distribution as in Sec. 5, is generally true, albeit in an approximate sense. The decay of (u(t)) is again due to the loss of phase coherence, but the phase itself varies in a random fashion with time (phase diffusion rather than phase mixing). The fact that for short r~the average (u(t)) again obeys a simple equation is essential for many physical
*l.or the general formulas connecting moments with cumulants of a single variable see Lukacs (1960); Prohorov and Rozanov (1969) p. 165 (with misprints). lor the multivariate case sec Meeron (1957) and the article of J. Aase Nielsen in: Muus and Atkins (1972). **One says that the moments have the product property and the cumnulants have the cluster property. The hierarchy (6.6) is called the cluster expansion.

N.G. Van Kampen, Stochastic differential equations

t83

applications; it is implicit in most approximate treatments of stochastic differential equations (Sees. 8, 10, 1], 12) and is also the basic idea of the present article (until Ch. IV). The approximation consists in the fact that a transient time of order r~ must have elapsed after the initial time, at which the initial value of u was fixed. In practice this transient should be so short that (6.7) becomes applicable before (u(t)) has become too small. Another limitation appears
from the fact that the transient time for the m-th cumulant is actually of order mr~, so that one niust require the cumulants to be negligible after a certain m. This fact also betrays that the expansion in cumulants is likely to constitute an asymptotic rather than a convergent series, but the precise mathematical nature is not knnwn.

II. LINEAR EQUATIONS WITH SHORT CORRELATION TIME 7. Preliminaries about linear equations
Much of our work will be concerned with linear differential equations. The universal form of an n-th order equation is

A(t; ~) u,

(7.1)

where u is a vector with n components and A(t; ~) is an n X n matrix whose elements are stochastic functions of time. Formally there is no difficulty in allowing n to be infinite, that is, in

allowing A to be an operator in a linear vector space. However, because of possible convergence problems it is convenient to think of finite vectors and matrices. The problem is to find the stochastic function u(t; ~) that obeys (7.1) and the initial condition u(0; ~) a. Rather than a fixed initial vector one might also consider an ensemble of initial vectors a, with a certain probability distribution Q(a). However, if this distribution is statistically independent of that of this generalization would be trivial, because one can easily average afterwards the result obtained for a fixed but arbitrary a, comp. Table I. If, on the other hand, the distribution of a is correlated with ~, additional complications arise, which will not be investigated here. Instead of trying to find all stochastic properties of the solution u(t; ~) we shall concentrate on its average value (u(t)), as in the example of Sec. 6. It will appear that, in contrast with nonlinear
~,

equations, this average approximately obeys a differential equation of its own, without the higher

moments entering into the picture. Of course, it may happen that one is interested in knowing the higher moments of u(t; ~) as well. It will be shown in Sec. 16 that they can be found by the same method, so that there is no real restriction in studying only the average. In Sec. 1 8 a more sophisticated method is developed by which the whole probability distribution of u at time t can be found. Another remark is that in many applications A appears as the sum of a sure part and a fluctuating part A(t; l~) = A 0(t)
+

etA 1(t; ~),

(7.2)

where a is a parameter determining the size of the fluctuations. Since usually a is small, a perturbation expansion in a is indicated. It is also often true that

154

N.C. Ian Kanmtpen Stochastic differential equations

(A~(t)) = 0.

(7.3)

Of course this can alwav~be achieved by defining A 0 as the average of A. hut in that way tile
pil~sicalsignificance of tlte dcconlposition (7.2) may be lost. Also, it is necessary for perturbation tlleory tllat tile equation with /1~ alone should be soluble. Hence, although we shall often use ( 7.3) Ior simplicity, we shall not adopt it as a ulliversal truth. Agaill, ill ntany applications A is a collstallt matrIx not depetlding on t. In that case the ott-

perturbed equation can be solved formally


li~(t)

exp(A0t)a.
by

(7.4)
se

It

15

Ottell convenIent to tise tile interactIon representatIon


=

u(l)

exp(A0t) v(t).

A (t) = cxp(A0t) Vtt) exp( A0t).

if, however, A0 depends on t one llas to replace exp(A 0t) with a more gelleral evolution matrix Y(i[t) defined by
a

at

Y(t[t)=A0(t) Y(tlt).

Y(t[t)

1.

(7.5)

fite interaction representatIon is then defitled by


11(t)
=

Y(tIO)v(t).

A1(t)

}(tIO) V(t) Y(OIt).

(7.~)

Tile Iollowing sontewliat more explicit expression for Y( t 10) will be used in Sec. 1 2 and may serve here to introduce tile concept of a time-ordered product of operators. It is readily verified that (7.5) is solved by Y(tIO) I

fdt1A0(11)+ /dti

f
I

dt2A0(t1)A0(t2)+

ft

=n~oJdt1~f dt2

...f

dt0 A0(t1)A0(t2)

...Ao(t,~).

(7,7)

When tile factors A 0 commute all integrations can be extended from t~ = 0 to t~ = t (i = 1, 2 provided that a factor I/n! is supplied to compensate for the larger integration domain. The result would be tile one in (6.3). However, even when the A0(t1) do not commute olle may still write

Y(tIO)

~ fdt1 fdt2

...

fdtn [AotiA0t2

...

AO(t~1)~.

where tile time-ordering symbols indicate that the operators have to be shuffled so as to appear in the order of decreasing values of their time arguments (Dyson. 1 949). The result may also he written in a more condensed forni analogous to (7.4)

[...~

N. G. Van Kampen, Stochastic differential equations

185

Y(tlO)

[exp~JAo(t)

dt}1~

(7.8)

where the time ordering symbols mean that one should first expand the exponential and in each term order the operators chronologically. Alternatively one may interpret (7.8) by the following prescription: subdivide the interval (0, t) into N small intervals of length t/N,
=

0.

t1

t/N,

t2

2t/N

tN

and read (7.8) as

t
lim

exP~A(txi)} exP~A(tN2)) ... exp~A(to)j


+~A(tNl)} (1

=lirn(l

2))

...

(i +~A(to)}.

Finally we remark that in many applications A has the even more special form

A(t; ~)

A0 + a ~(t;

~)

B,

(7.9)

with fixed matrices A0, B and a scalar random function ~. Of course all one-variable equations, e.g., those in Sees. 5 and 6, can be regarded as to be of this type. The special cases that ~ is a Gaussian random process (Sec. 22) or even delta-correlated (ItO equation) has received so much attention that it is necessary to emphasize that in the present work these assumptions are not made.

8. Bourrets integral equation Consider the equation (7.1) with the decomposition (7.2). In the interaction representation defined by (7.6) the equation reads

va

V(t)v,

v(0)a.

(8.1)

An obvious way of solving it would be the expansion in a; this gives a result analogous to (7.7), and on averaging (v(t)>
=

fI

dt1 (V(t1)>

2 /d~ 1

dt~ K V(t1) V(t2))

... )a.

(8.2)

However, this is not a suitable expansion, because the successive terms are not merely of increasing order in a but also in t. That is, it is actually an expansion in powers of at, and is therefore only valid for limited time.* As indicated in Sec. 6 this difficulty is overcome by using an expansion in cumulants rather than in moments, as will be done in Sec. 12.
*It is true that in scattering theory where (8.2) is known as the SchwingerDyson formula our objection does not apply, The 155d.during where tile Td is the duration of the collision, reason is that in a scattering process the interaction Hamiltonian only acts collision and virtually vanishes at all other values of t. Accordingly in that case (8.2) is an expansion in powers of

186

N. C. Van Kannpen, Stochastic differential equations

First, however, we demonstrate a simpler. more Ileuristic approach. wllicil has been used by several authors (e.g. Redfield, 1957. 1965; Howe, 1971) hut was clearly formulated by Bourret (1 962a, 1 962b). For this purpose it is necessary to adopt (7.3), that is ( V(t)) = 0. Equation (8. 1), including the initial condition, is strictly equivalent with the integral equation

v(t)

af V(t) v(t) dt.

(8.3)

On iterating this equation once and averaging aiterwards one obtains

(v(t))

a2 fdtf

dt( V(t) V(t) v(t)).

(8.4)

This equation is still exact, but of no llelp in finding Kv(t)), because it relates Kv(t)) to a more complicated average. Tile essential point of the method is that one supposes that the latter average may be broken up:

(V(t) V(t)v(t))

(V(t) V(t))(v(t)).

(8.5)

With this hypothesis (8.4) becomes an integral equation tor (v(t)). This integral equation can be simplified by differentiating once, (v(t)) a~ fdt( V(t) V(t)) (v( t)).
0

cit

(8.6)

For future use we rewrite this result in the original representation, assuming for convenience tilat A 0 does not depend on time

2 f(A
(11(t))
=

A0(u(t))

1(t) exp~A0(t t) }A 1(t)) (u(t)) dt.


--

(8.7)

This we silall call Bourrets integral equation (without vouching for historical accuracy). It is a striking result, because it asserts that the time dependence of the average of ii obeys an equation all by itself. Thus one call find (11(t)) without going through the process of first solving (7. 1) for each individual ~ and averaging afterwards. This cannot be true, as demonstrated by the examples in Sec. 5. Actually it is all approximation for the case that the fluctuations are small and rapid. The precise formulation of these conditions is the main task of Sec. 10. As the initial value a has disappeared on differentiating (8.5) to obtain (8.6), the result (8.6) or (8.7) applies to all solutions that are obtained for different choices of a. The initial time t = 0, however, still enters. Hence the equation (8.7) only applies to those solutions of (7.1) that are statistically uncorrelated with A at that particular initial time (see Sec. 4). This restriction will be eliminated in Sec. 10, but first we give two examples to illustrate Bourrets idea.

N.G. Van Kampen, Stochastic differential equations

187

9. Wave propagation with random refractive index Consider a plane wave propagating in the x-directioll in a medium with refractive index n(x). As n is supposed not to depend on time one may split off a factor e12 and write an equation for the amplitude i,!i as a function of x (9.1) This first-order equation is obtained from the actual wave equation by neglecting scattering into
the (x)-direction (parabolic approximation or quasi-optics). That is a good approximation if n(x) varies smoothly compared with the wave length. Now suppose that n(x) equals a constant plus a random part, (9.2) with constant n

0, small a. and randomly but smoothly varying i~(x). We absorb the factor wn0/c
in the variable x, so that the distance is measured in unperturbed wave lengths. Furthermore, we set ~!(x) = e~u(x)and obtain for u the equation

u(x)

jet

i~(x) u(x).

This is the same equation as (6.1) with x in lieu oft. Its solution is given in (6.5):
(~(x)) = exP[i(l
+

a(~))x

~a2ff

((~(x1)~(x2)))dx1~2

}~(o).

(9.3)

It has been assumed that r~(x) is a stationary process so that (~?~ is constant and simply adds to the refractive index. The second cumulant causes a decrease in amplitude. Note that if the probability

distribution of i~is symmetrical about zero, all odd cumulants vanish, so that the phase velocity is
not affected, but only the amplitude. The reason why (9.3) could be obtained without the assumption (8.5) is that (9.1) is a first order equation for a single unknown ~4i, so that no non-commutable matrices occur. Next we improve on the approximation involved in (9.1) by starting froni an actual wave equa-

tion. Consider an electromagnetic plane wave propagating in the x-direction in a medium with
dielectric constant e(x) and permeability 1. It is sufficient to take a linearly polarized wave with electric field F along the y-axis and magnetic field H along the z-axis. Maxwells equations then

reduce to
dEiw dlliw

(9.4)

It follows that E by itself obeys the second order equation (2.2), but it is more convenient to maintain the two-component version, which is the universal form (7.1) with x in lieu oft. Again suppose that e(x) is a constant plus a random part
(9.5)

188

N.C. Van Kampen, Stochastic differential equations ~ =

Tile relation with (9. 1). (9,2) is given by (~)= 2(n)


+

n~and

a(~2).

(~(x 1) ~(.v2)) = 4(~(x1)~(x2)).


(9.6)

wilen irrelevallt orders of a are omitted. We cllOose C1 such tllat (~)= 0. Again we :tbsorh tile factor (w/c)~~0into ,v atid we set E = iii. I! = l12~~. Then tile special form (7.9) applies with ,0 1 l~ 0 00 (9.7) 1 0 In order to appiy Bourrets ititegral equation we compute: exp(A~v)= cos.v + A1)
5i11,V.
(d)5)

Tllis is simply a condensed way of writing the solution of tile unperturbed problem. I ilsertlllg (9.7) and (9.8) into (8.7) we get after some matrix multiplications. d dx A0(o(x)) ,0 1 0 0
(~(x)~(.v)) sin(x x)

+ a2(

(1d,v))

This nlay again be written as a single equation for


~ (u1(x)) +(l11(x)) a2f(~(.v)~(x)) siti(.v

(li) =

(L

dx

,v) (ii1(v)) dv.

This equation can be solved by means of Fourier or Laplace transformation; one tinds that the solution behaves approximately as a damped plane wave, whose phase velocity is also slightly cilanged by the fluctuations. We do not give tile explicit torlll because a more convenient equation for (u ~(t)) ~vill be found in the next section. and is solved ill Sec. 14. Filially we apply Bourrets method in the propagation of electromagnetic waves in three dimensions in a medium with dielectric constant e(r) and unit permeability. Maxwells equations lead to
-

eE

V(E Vioge).

(9.9)

The right-hand side is small conipared to tile terms on the left if IVlogeI ~ (w/c)~ or IVeI ~ w/c,

that is. if e varies little over a wave length. When c is random this condition must be imposed on the large majority of functions e(r) occurring in the ensemble. This is usually assumed to he true. and as a consequeiice (9.9) reduces to three separate equations (2.2) for the three compollents of E. When moreover has tile form (9.5) and c/we0 is chosen as unit of length the equation to be studied takes the forni 2~+ ~ = ~a ~(r) ~. (9.10) V This is a partial differential equation and cannot readily he written into our universal form (7.1).

N. G. Van Kampen, Stochastic differential eavations

189

Nevertheless we sketch how it can be reduced to a sure equation for (11), because of the importance of the problem. and because it illustrates Bourrets idea. The unperturbed equation (9.11) has many solutions. We select a unique one by giving a fixed incident wave. Let ~o be that solution that has tIle prescribed ingoing part. Then the differential equation (9. 11) can be rewritten as an integral equation
~(r)
=

~~(r)

afG(r

r) ~(r) ~(r) dr.

(9.12)

Here G is the outgoing Greens function of (9. 11)


G(r) er
=

47rr

This equation is still exact. A first approach to solving it would consist in replacing i/i(r) under the integral by 11i0(r), whicil amounts to first order perturbation theory in a: ~(r) = ~~(r)

afG(r

r) ~(r)~~(r) dr.

Of course this simply yields for the average amplitude (11.1(r)) = i1..0(r). but the average intensity is~ 2) = I ~ 2 + a2ffG(r r) G*(r r) (~(r) ~(r)) ~ (I ~(r)I 0(r)I 0(r) ~i~(r)dr dr.

This formula is the basis of most treatments of scatterilig by inhomogeneities, in particular the monographs of Tatarski (1961) and Chernov (1961), and aU the work on scattering by fluids and near the critical point**. It is valid when the total scattering in R is so small that the attenuation of the incident wave may be neglected. In other words the rescattering of the scattered waves is not included; that is, we are dealing with the Born approximation. To obtain higher approximations one has to iterate the equation (9. 1 2)

~(r)

~0(r)

afG(r

r) ~(r)~0(r) dr

a2f G(r

r) ~(r)drJG(r

r) ~(r) ~(r) dr.

If one again replaces 11i(r) in the last integral by 11i0(r) the processes consisting of two successive scattering events are taken into account. Yet this still limits the validity to cases in which the incident beam is not much attenuated by its passage through R. The idea now is that one can improve on this and take the attenuation during the passage into account, by replacing ili(r) with (i1.i(r)) rather than with i110(r)That leads to an equation for (11>,

(~(r))= ~0(r) + a2fG(r

r) drfG(r

r) dr (~(r) ~(r))K
2
+

I:

For elegance, and to eliminate i1i~,apply the differential operator V


*As the result is of order 02 one should also include the cross-term between ~ and the second order of ~. They have the effect of attenuating the amplitude in the forward direction (optical theorem) but do not appear in the scattered waves. **Although in that case one is also interested in time dependent fluctuations t(r, t), but they can be treated in a sintilar way (Van Hove, 1954; Komarov and Fisher, 1963; Van Kampen, 1969).

190 (V2
+

N. C. Van Kampen, Stochastic difterential equations

1) (~(r))

a2f(

~(r) G(r

r) ~(r)) K ~(r)) dr.


integral equation. but

which iS tile analog of (8.7). This is an equation for tile average alone.

the essential point is tilat it is an

10. The differential equation for the average


The ilypothlesis (8.5) is unsatisfactory. It has been criticized by Keller (1962). who proposed tile name disilonest for all methods in which the average of a product is replaced by a product of averages, i.e., which are based on an uncontrolled neglect of certain correlations. Yet it should be recognized that tile statistical mechanics of transport processes would be in a very sorry state indeed without suchl hypotheses in tIle form of a Stosszahlansatz, lnolecular chlaos assumptioll, or random phase approximation . Rather than condemning tile hlypothleses (8.5) we shall try to understand wily it works. Equation (8. 1) determines three time scales. The first oiie is the scale on wit jell V varies; this 15 measured by a~(taking V to be of order unity). The second one is tile scale on which V(t) varies, and may be called r~.but it is not relevant for the following. The tilird one is given by the correlation tinie r~of V; that is the time scale on which the random nature of the function V(t) becomes appreciable The expansion (8.2) was unsatisfactory because it involves successive powers of at; we aim at an expansion in ar 5 . It will be shown that Bourrets integral equation is the first step in such an expansion. If etr~ is small it is possible to subdivide the time axis in intervals ~t, such that ~t ~ , and yet a i.~t~ 1. That is, V does not nary much during a time ~t in which V has forgotten its past. Then it is possible to use the expansion (8.2) during ~t, witll (V(t)) instead of V(0) on the right. This expresses (V(t + it)) in terms of(V(t)). For tile next interval one may use the same expansion again to express (V(t + 2~t))in terms of(V(t + st)). The crucial point is that the values of V(t) during tile second interval are practically uncorrelated with those during the previous ~t. That niakes it possible to use in the second interval the same unbiased averages of V(t), rather than the averages conditioned by the ktlowledge ilow v behaved in the previous interval. To put it differently. on tile coarse-grained level determined by ~t the process is (approximately) Markovian. In general that means that the probability distribution of V obeys a differential equation (the master equation). In our case it even leads to an equation for the average alone, owing to the linearity of (8.1). Bourrets equation (8.6) is obtained by using (8.2) to 3and second order As forthe expressing v(t + of ~t) ~tin is higher. lower bound terms of V(t). meant omitting terms ofin order (a~t) determined byThat r~,it amounts to neglecting (V(t)) terms of order (ar~)3.i.e., of order etTc relative to tile terms that are kept. Thus Bourrets hold assumptioii (8.6) siniply amounts to neglecting terms of order (ar~)3. The reader may be surprised to find that our argument led us to expect a differential equation

for (V(t)) rather than Bourrets integral equation. We shall actually derive such a differential equation, but first anotiler step has to be taken. At the end of Sec. 8 it was remarked that (8.6), (8.7) still contain the initial time and therefore are restricted to solutions that are uncorrelated with A at that time. Since we now know that A(t) must have a finite correlation time i~, it may be expected that the influence of this initial time dis-

N.G. Van Kampen, Stochastic differential ec~jtionr

-191 110W

appears after a transient period of order r~,as was actually found in (6.7). This will in general. Change the integration variable in (8.6) by setting t t

be shown

~(v(t)) dt

a2fKV(t) V(t
0

r))KV(t

T))

dT.

(10.1) 0. Hence as

According to (7.6) one has (V(t) V(t


soon as t>
=

r)) 0 fort> as we have set (V(t)) no error is made by extending the integral to
T~. +00:

a2f

(V(t) V(t

T)%V(t

r)) dr.

(10.2)

The initial time has disappeared, so that this equation applies to all solutions of(8.6), regardless of the initial value and of the time at which the initial value is imposed, provided that a transient
period of order r~has elapsed. The second step consists in showing that (10.2) is equivalent with the differential equation obtained by replacing (u(t r)) in the integrand with (v(t)):

~=a2~fVtvt_T)dr}V(t~.

(10.3)

Since the integral virtually only extends over a time r~,the relative error made by this replacement is of order d( V) r~

According to the equation itself d(v) dt


a2r C Ky).
etTc

Thus the order of the relative error is(ar~)2.As already terms of relative order

were neglected

in the derivation of(10.2), this error is of no consequence, and we may replace the integral equation (8.6) by the differential (10.3). In the original representation this amounts to replacing (8.7)

with ~(u(t)) (Ao+a2f (Ai(t)exp(Aor)Ai(t_r))exp(_Aor)dr}(u(t)).


(10.4)

This is the fundamental result on which most of our application will be based. It has been established in several ways, two of which are outlined in Sees. 11 and 12. For other approaches
see Khasminskii (1966), Papanicolau and Keller (1971), Deutch (1972), Cogburn and Hersh (1973),

Brissaud and Frisch (1974). It is possible to extend it to higher orders,

192 d(u(t))
=

v. C. K(u(t))
=

Van Kampen, Stochastic differential equations

{K0

2K
+

3K 2
+

aK1

+ ... }

(u(t)).

(10.5)

dt
The Ks are matrices acting on tile components of(u); they niay depend on tinle but they do not act on the time dependence of(u(t)). file successive terms are.of for as n =operators 1 2 The present review. however, will be restricted throughout to order tile first nontrivial term. n = 2, which in most apphcations is the only term of interest. It should be clear tilat the differential equation (10.4) is no less accurate than the integral equation (10.]), except during the transient period. Nor is its validity more restricted, because botil require ar~to be small. When that requirement is not met one cannot make the transition froni tile integral equation to the differential equation, but at the same time tile hypothesis (8.5) used in deriving the integral equation is invalidated. An extreme example of this event is the problem treated in Sec. 5, where r~= ~ another exanlple occurs in Sec. 15. The existence of a transient Period has tile effect that tile average (11(t)). whlen extrapolated backwards down to t = 0 by means of (10.4). will not in getieral coincide witil u(0) = a. To put it differently, the average of the solution of (7. 1) with iiiitial value it(0) = a is a solution of (10.4) with a slightly different initial value a. It is easily verified that tilis mismatcil is of order (ar~)2.In practice tile transient behavior is usually irrelevant, since in most applications there is no well-defined initial condition. What is physically important is that all solutions tend to obey the differential equatio~i(10.4). As a coilsequence tilis equatioil has tile physical meaning of a renorniahization of the unperturbed operator A 0. The reason why we started out by emphasizing the initial condition is that it is needed in order to define the solutions of the stochastic differential equation.
1 , et(aT~Y

11. Kellers expansion method


We have seen in Sec. 8 that a straightforward expansion in powers of a is unsatisfactory because it amounts to expanding in powers of at. We ilave seen in Sec. 10 that Bourrets niethod provides a first step in an expansion in powers of are. Kellers method (Keller, 1964; Karal and Keller, 1964) may be regarded as a way to rearrange tile terms in the a expansion in such a manner thlat it actually becomes an expansion in ar~rather than in at. The stochastic equation (7.1) may be temporarily supplemented with an inilonlogeneous source term g(t), which is a sure vector function of t,

Lu~(~_A) ug.

(11.1)

The stochastic operator L = A(t; ~) does not only act on the components of the vector ii, but also on its time dependence. Its reciprocal U is the Greens function of the equation, and one

has uLg (u)(L)g (LY(u)g.


(11.2)

,V.G. Van Kampen, Stochastic differential equations

193

Remember, however, that this average is not well-defined unless one prescribes, by means of an

initial condition or otherwise, which of the niany solutioiis of (11 .1) has to be taken (Sec. 4). In
the formalism used here that means that one has to specify which Greens function should be used. In Kellers application to the propagation of waves in a random niedium it was natural to take for g the incident wave, so that the Greens function at large distance consists of only outgoing waves. Since we are here interested in tile initial value problem. however, we set g(t) = a~(t)and take for L the Greens function G(tlt) defined by
~a i,

A) G(tlt)

~(t

t),

G(tlt)

for

t < t.

Equation (11 .2) is merely an exact niathematical consequence of (11 . 1) and applies even wilen r~ is infinite. But the operator (LY involves an integration over all previous times down to the initial time t = 0. The problem is to eliminate this infinite memory, which of course requires a finite In order to find a more explicit form of (11.2) we introduce an expansion parameter a with the
T~.

aid of(7.2) and set L=L0+aL1, L0=a~A0, L1= A1(t;~).


=

A0 is sure; for convenience we take A0 independent oft and (A1) pan sion 2 L~ L L = L~ aL~ L1 L~+ a 1 L~ L1 L~ +,,,.

0. One easily verifies the ex-

Hence, to second order in a, 1) = L 1 + a2 L~ (L 1L

(L
=

0 2(L

1L0 a

1) L~,

(11.3)

1L~L1).

(11.4)

Now the unperturbed Greens function L~= G0(tlt) is given by the solution of the unperturbed equation

G0(tlt)

0(t

t) exp{A0(t

where 0(t) is the Heaviside step function. Combining this with (11.1), (11.2), and (11.4) one finds

to second order in a
(-~

A0) (u(t))

= a2f(A

1(t) exp{A0(t

t) }A ,(t)) (u(t)) dt.

This is again Bourrets integral equation (8.7).


So it seems that from the exact equation (11 . I) Bourrets result can be obtained by a formal expansion in a, without even mentioning the correlation time r~. The following test case, however, will show that this is deceptive. Take the second item in Table I, 12 exp(~ v2). U = i(c + ay)u, .P(y) = (2ir)

194
Remember that
(ii(t))
=
T~

N. C. Van Kampen. .Stochastic differential equations


=
00

aIld that tile exact a2t2 11(0).

solution

is

exp{---ict

---

Now first observe that Bourrets integral equation takes the form d
=

cit and is readily solved to give


(11(1)) =

--icKu(t)) --a2 fexp, -ic(l

--

t)~

(lift))

dt

ec

cos a

t Ii)

0).

Tllis does agree with the exact solution to order a2. hut the over-all behavior of the solution is grossly differellt, owing to tile fact that tile Iligiler orders in a are also higher orders ill t. Thus cxhibits the evil of cutting off an expansion containing secular terms. Where did tilese secular terms enter? To see tllis we write the exact Greens function for tilis 1110 del,

(L~) (G(t~t)) 0(t

t)exp~ ic(t-- 1)- ~a2(t


illtO

--

t)2}.

The expansion (11.4) chlanges thus (G(t~t)) = 0(t


---

1) exp~ ic(t

t)} [I

-~

~a2(t

t)21.

and it is clear that the omitted terms are secular. The conclusion is tilat. although Kellers metilod leads to a final result which happens to be correct wllen ~ is finite, it does not avoid secular ternis in the interniediate steps. That is the reason why it leads to a wrong result wilen r~is infinite, in spite of the fact that no condition on is ever mentioned. Since tile term dishonest has been preempted, I propose the term illegal for derivations whichl conceal the limited validity of tile result that they purport to derive.

1 2. The cumulant expansion


In this section a method is given which avoids both Bourrets assumption (8.5) and Kellers secular ternls (Kubo, l962a; Freed. 1968, 1972; Van Kampen, 1973a, l973b;Terwiel, 1973). The idea is to expand in cumulants as described in Sec. 6. Unlike the example in Sec. 6, however, we now have to deal with non-conlmuting inatrices rather than with the scalar function ~. Tile equation to be studied hlas the universal form (7.1). There is n~need to separate A explicitly into a sure part and stochiastic term. but it will be supposed that the magnitude of the fluctuations is still measured by a parameter a. For each iiidividual value of ~ tile solution of (7.1) may be written in terms of a time ordered product, as used for the unperturbed equation in Sec. 7. u(t)

~exp~fA(t) dt}l u(0).

(12.1)

N. C. Van Kampen, Stochastic differential equations

195

That gives for the average (u(t)) r(exp(f A(t) dt

~1

ii(0),

(12.2)

since averaging and time ordering obviously commute. Furthermore, inside the time ordering symbols one may freely commute operators, because they have to be put ultimately ill chronological order anyway. Hence the same cumulant expansion theorem as ill (6.5) may be employed,

(11(t))

[exp(fK(A(ti))) dt1 + ~

ff

t1)A(t2))) dt, dt2

)1~~(0)

(12.3)

This formula is the starting point for the coming developments. Notice that, apart first 2, a3 Moreover, they all from grow the linearly term, the successive terms in tile exponent are of order a with t when t ~ r~.as argued in Sec. 6. It is understood that A(t) has a finite correlation time r~ in tile sense that all cumulants of matrix elements of A vanish, ((A~(ti)A~K(ts) ... Ap 0(t,~))) = 0, as soon as the time arguments in them have a gap large compared to T~. The successive terms are then of order amtr~ Actually one ought not to talk about the successive terms in (1 2.3) as separate mathematical objects, because after expanding the exponent the time-orderingwill break thiem up and mix the operators that occur in them. Yet it is easily seen that the above statements about orders of magnitude remain correct. Our next task is to reduce the highly symbolical expression (1 2.3) to a usable equation. 2.

As a first step we omit all terms of order a


(u(t))
=

[exp~J(A(ti))

dti)lu(0).

(12.4)

By definition of the time ordering symbol this is the solution of tile differential equation d
=

(A(t)) (u(t)),

(u(0))

ri(0).

(12.5)

Thus this first step leads to a first approximation to the operator K in equation (10.5),
(A(t))
=

K 0(t)

aK1(t).

When A has the form (7.2) one has of course K0 = A0. To prepare for the next steps we utilize this result for defining an interaction representation. Let Y(tlt) be the evolution operator belonging to (12.5); set u(t) = Y(tIO)v(0) as in (7.6). and accordingly transform A(t) into V(t). In this representation the equation (1 2.4) takes the form (8.1), and its solution can be expressed formally in analogy with (12.3)

196
a 2

S.C.

Van Kainpen ..Stoehastic differential equation.)

(v(t))

[exp

~-

fJ (K i(t) V(t2ft) dr

dt2

...

0).

(1 2.6)

3 and Ilighler ill tile eXpOllellt. vu., tile fhieindicated second step cotlsists the terms of order a terms by the dots.in Inomitting principle one should now expand the exponential alld in each term of the expallsion rearrange tile operators I chronologically. In partial fulfilnlcnt of tilis require nient we write

(v(t))

[exp~a2Jdttf

dt 2 ((i~7t1)
V(t2)))~1

u(0).

(12.7)

Define tile operator

L(t1)

dt2(( V(t~)Vt2)>).

and consider the dlffercntial equation 2 L(t) (VU)). d (V(t)) = a Its


solution

(12.8)

is

(V(t))

[exp~a2fL(tt)dtt}1

V(0).

(12.9)

Tllis expression is ahmost identical with (1 2.7). but not quite: it will presently he shown that the difference is of higher order in are. First we investigate the collsequcnces of substituting (12.9) for (12.7). Thlen (V(t)) obeys (12.8), which yields in tue original representation
-~

(u(t))

~K 0(t)
+

2 K
a K,(t)
+

2(t) }

(11(t)).

(12.10)

dt
Here K2(t) is the operator LU) transformed back to the original representation, K2(t)= Y(tIO)L(t)Y(OIt) =Jdt Y(tIO)((V(t) VU))) Y(OIt)

dt A(t) Y(tlt)A(t))) Y(tIt).

NC. Van Kampen, Stochastic differential equations

197
=

Here Y is still the evolution matrix belonging to (1 2.5). Whien AU) (A,(t))
=

A0 + aA 1(t) with

0 one has
=

Y(tlt)

exp~A0(t

In that case our result (1 2. 10) may be written more explicitly

cit

(u(t))

A0

+ a2fdr
0

((A 1(t) exp(A0r) A ,U

r))) exp(

A0r) (Ut)).

(12.1!)

Again whien the t ~ r~the upper limit of the integral may he taken and the result is identical with (10.4). No hypothesis about absence of correlations was needed, nor haie secular terms been cut off, to arrine at the equation (10.5) to second order in a. But we still have to justify tile use of (1 2.9) in lieu of (1 2.7). The difference between thieni is that on expanding the exponential ill (1 2.7) and applying the time ordering it may happen tilat the two operators V(t,) and VU2) in the cumulant are separated by one or more operators froni the other factors; whereas in (12.9) tue operators V ill a cumulant stay together to make L. and only the operators L are time ordered among themselves. To estimate thus difterence. take a typical term of tile expansion of (I 2.7),
+00,

11!

[(J~~1 J
0 ~

dt2 ((V(t1)

V(t2)))}

1,

(12.12)

There are n pairs of tinie arguments (t,, t2), and one has to integrate over a 2ii-dirnensional domain. There is a subdomain where no two pairs overlap, and which therefore is correctly repre1r~. because each pair ranges over an sented in (12.9). The volume of that subdomain is of order t interval of order t, while the pair t 1, t22~t~r~. must be within r~from one another. Tue contribution of this is therefore of order a Insubdomain the remaining subdomain the ordering of the operators V is not the same in (12.7) as in (1 2.9). However, if two pairs ilave to overlap, all four times involved must be within a distailce of order r~from one another, so thlat the range of integration for those two pairs is only of order tr~. Hence the difference between (12.7) alld (12.9), as far as the term (12.12) is concerned, is at most of order a2~ t ~.As this is proportional to t ~, it has to be compared with the principle contribution of the previous term in the expansion of(l 2.7), which is a22t r~ This shows that the difference between (1 2.7) and (12.9) is of order a2 These higher order terms can be evaluated and a general expression of all ternis in the expansion
~ T~.

of K has been found (Van Kampen, l973a, 1973b). An alternative derivation has been given by Terwjel (1973) and Emid (1 974). As announced in Sec. 10, however, the higher orders are outside
the scope of the present review.

1 98

,\.

C. Van Kampen .5 tocha~ticdifferential equations

1 3. The random harmonic oscillator

General remark

Numerous authors Ilave studied tile harmonic oscillator with fluctuating frequency to illustrate the effect of ranciolll coefficients in differential equations, in collnection with mechallical systems, turbulellce. wave propagatlon, line broadening. and lasers. Mainly two models have been used. Tile first model is described by the equation (13.1) with random w. or in our universal notation. d /X\ / 0 I = I dt\xt w2 1~IX I . 0!\.v
I.

H3.2
single

[lie second model is described by a

equation for a complex variable z. (13.3)

is tile equation studied ill Sees. 5 and 6. When w is constant (independent of time) tilese equations can of course trivially be transformed into one anotiler by the substitution
whicil

w.v
=
-

~2w

+ ~ a--.

(13.4)

We here want to stress tile fact that (lw involves random fluctuations (13.]) and (13.2) are no longer equivalent, and in fact many niore random harmonic oscillators exist, wilicil are not equivahent with each other. It is obvious that tile substitution (13.4) no longer transforms (13.3) into (13.1) when w is a function of time. In fact, it is no longer possible to write (13.1) or (13.2) as a first order equatioll for a single complex quantity. The decision which equation should be used depends on the situation to be described. Actually it turns out that often neither is correct, but thiat a random two-bytwo matrix is required of the general form A / 0 l\ 0!
I,

/Ei

~2\

0=I \ h

A=I
\~3 ~41

(13.5)

with four random functions ~. As an example take a pendulum with mass I, length 1, subject to a randomly fluctuating gravitational force g. The equation for its angle ~ with the vertical is
i~= ----1ip,

*The following list is not exhaustive: Kraichnan (1961); Bogdanoff and Kozin (1962); Caughey and Dienes (1962); Kubo (1963); Glauber (1965); Louisell and Walker (1965); Bourret (1965, 1971); Weidlich and Haake (1965); Lax (1966); Oppenheim et al, (1967); Klauder and Sudarshan (1968); Papanicolau and Keller (1971); Fox (1972); Soong (1973); Bourret et al. (1973); Van Kampen (1973, 1974a, 1974b); Klyatskin and Tatarskii (1974).

N. G. Van Kampen, Stochastic diff/rential equations

199

which has the form (13.1). However, suppose 1 is a random function as well, due for instance to heat tluctuations in the string (Fox, 1972). In that case the Lagrange function

L(~, ~, t)

~(l2~2 + 12)

gl( I

cos ~)

leads to tue linearized equation of motion, for ~

dt

0
-

-g/l

-21/1/ \~

This is not of the form (13.2), let alone (13.3), but of course is covered by the general form (13.5). As a second example consider a two-level atom with level distance subject to a random electric field E. The Hamilton operator is a special case of (2.4)
~

(0

~)+E(t)(

~),

(13.6)

where a is the matrix element of the dipole moment P. Again this cannot be cast into the form

(13.2); and iii terms of the variable z it takes the form


z=~i~z+ {~i~~~aE(t)}z*,

whichis not (13.3). Hence equation (1 3.3) is not a proper description of line broadening by a random electric field. In fact, I kiiow of no random harmonic oscillator whicil is properly described by (13.3) with random w, except approximately as in (9.1). That was tile reason wily in Sec. 6 dipoles were chosen to illustrate the equation (6.!). Even when w is a random number constant in time, as in Sec. 5. one cannot use (13.1) and
(1 3.3) interchangeably. The reason is that, although the equations are equivalent, the corresponding initial value problems are not. Prescribing fixed values for x(0) and *(0) is hot equivaleiit to prescribing z(0), inasmuch as the connection between x and z involves the random number w, see (13.4). The stochastic process defined by (13.1) or (13.2) wth fixed initial i-aliies is not the same as that defined by (13.3) and fixed initial value. One cannot even escape by saying that one is only interested in the differential equation, because when w is independent of time the initial value influences the behavior at all later times. These facts can easily be verified by an explicit calculation similar to the work in Sec. 5. They are the reason why in Sec. 5 dipoles were chosen to illustrate the equation (5.1). The moral is that one cannot give a stochastic description of a physical system simply by taking one of the familiar equations for the sure case and declaring some of the coefficients to be random. One has to start from the fundamental equations, taking into account that the coefficients depend on time. This moral applies to all applications, not just harmonic oscillators. For instance, in the wave equation (2.2) the refractive index n may be taken to be a random function of x in the case
ji

that the fluctuations are due to alone while the permeability /1 is constant (Sec. 9). If, however, also fluctuates it is no longer possible to reduce Maxwells equations to the form (2.2). Similarly in three dimensions the exact equation (9.9) only reduces approximately to the wave equation with fluctuating refractive index (9. 10).

200

.V. C. Van Kampen, Stochastic differential equations

14. The random harmonic oscillator

Calculations

Bearing these limitations in mind, we silall now apply tile result 110.4) to equation (13.2) with a stochastic frequency (14.1) where ~(r) is a stochastic Iilocess with zero mean and correlation time . Note that this is the same as the equation (9.4) for propagation of a plane electromaglletic wave ill a rahidonl medlidihil. Tile fact that it is of second order nlakes it essentially more ciifficult thaii the equations (1 3.3) or (9.1), whicll were solved in Sec. 6. We could have included a damping term in (13.2). hut that would make tile algebra more complicated without being more illuminating.5 For the present problem eqdlatiOtl (1 0.4) takes tile form
T~

d(u(t))
=

~A 0
+

= 2f a (~(t)~(t

r)) B exp(/1 0r) B exp(


Witil tile
-

A0T)

di

(11(t)).

(14.2)

where /10 and B are tile same as in (9.7).

aid of (9.8) one \


1

finds

13 exp(A0r) B exp( A 0r)


-

/0
= I
. -

0
2
T

sill i cos T

lt remains to compute the two coefficients

sin

(14.3)

= U

f (~(t)~(t r)) sin 2r di

(14.4)

f (~(t)~(t

---

r)) (I

cos 2r) dr.

(14.5)

The latter one is readily expressed in the fluctuation spectrum (4.3) of c 2~{S(0)
S(2)}.

~,

(14.6)
=

The other one may be written c2 S~(w)


15 tile

~S~(2), 1

whiere
= f ir

2 --f (~(t)~(t
iT

i))

sin wr dT=

S(w)
~

dw

Hilbert transforni of S (Titchmarsii. 1948).

Inserting these quantities into (14.2) one obtains


*The harmonic oscillator with damping has been treated by means of Bourrets integral equation (Bourret, 1965. 1971) and by the method of our Sec. 23 (Bourret et al., 1973; Kubo, 1969).

N. C. Van Kampcn, Stochastic diftirential equatIons

201

d (x) HI (1 0 dt (.v)~ ~\ l

l\ I+( a2/O 0! 2 \c 1

0 c2

~(x) I . \(.v)

In a niore familiar form thus final result is 1)(x) = 0. (14.7) dt Thus tile fluctuations in the frequency cause a damping of tile average amplitude. According to (14.6) this damping may be negative wilen the fluctuations are particularly strong at twice the unperturbed frequency. There is also a shift in the frequency determined by the Hilbert transform of S. Tilese two effects are quite analogous to the iiatural line broadening ahid energy sluft in the theory of scattering. In contrast we compute tile averaged solution of (13.3). with 2
+

2+ ~a2c2~ dit

(1

~a2c

w(t)

I +ai7(t),

(14.8)

whiere 11(t) is related to ~(t) by (9.6). The solution is obtained by substituting (14.8) into the general result (10.4) (modified to take into account that (ri) ~ 0. or else directly from (9.3)):

(z(t))

exp ~it ia(11) t

a2f (11(t) 11(t

r)) di) z(0).

In terms of the process ~ thus becomes. with the aid of (9.6). (z(t)>
=

exp

iit

~a2(~2) t

a2 5(0) t) z(0),

(14.9)

It appears tilat the damping is different than found in (14.7), viz..


ira2

5(0)

versus

ira2
-~

~S(0)

S(2)~.

Thus tile damping cannot now become negative, owing to the lack of the term that represents the resonance between tue fluctuations and the double frequency of the oscillator. Thus denionstrates that (13. 1) and ( i 3.3) are niaterially different wilen w has random fluctuations. The reason for this resonance with the double frequencv can be better visualized in the case of a plane wave in a medium whose refractive index varies randomly with x. These variations give rise to a scattered wave (order a) in the opposite direction, which in turn is rescattered into the forward direction (order a2). Eachi of these scattering processes consists iii changing the wave vector k into -k or vice versa, which requires Fourier components 2k in tile refractive index. This effect does not occur in the simplified equation (9.1), the analog of (13.3). as it is an approximation for the case that the variations are so smooth that such components do not occur. In fact, one easily verifies that if (~(t) ~(t r)) varies slowly with r the equations (14.5) and (14.4) reduce to

c 2~ f(~(t)~(t_r)dr. ci~

202

s. C;. Van Kampen, Stochastic differential equations

In tllis approximation (1 4.7) beconles equivalent Witll (14.9). The reader may wonder how spatial variations of tile refractive index can result in a negative damping. The answer is tilat our initial value problem is not a description of what ilappens whien a given wave impinges on a medium. All we have shown is that if both incident and reflected waves are given at x = 0. the wave inside tile medium has to grow expotientiallv with .v (when C2 < 0). Of course for a tinie-dependetit problem these are tile proper initial conditions, but in that case tile negative daniping due to tluctdlations is not paradoxical.

15. Diffusion

iii

a turbulent fluid

A fluid, for instance water, is moving with a local velocity u (r, I). The motion is supposed to be turbulent, so that is too irregular a furlction to he known. bdit its stochastic properties are supposed to be described liv reasonably known functions. We suppose that (u(r, t)) = 0 and
(v~(r,t)

v1(r, t))

111(r

--

r.

t).

(15.1)

1 of extraneous iiiolecules, for instance ink, is inserted at time t = 0. Their In this flLud a small density n(r. t) obeyscloud tue stochastic differential equation ( 2.3). This eqdlation hias been studied by many authlors*, btit will serve hlere mainly to demonstrate tue hinlitations of our expansion in
T 5

Althloughl (2.3) is a partial differential equation. it is of the universal type ( 7. 1). wilen r is treated as the label v that distinguishies the conlponents. The hllatrix A consists of a sure and a random part.

2. A0DV

aA 1Vu.

Note that the symbol ~ should be read as an operator acting on every function of r tilat appears to the rugilt of it. The general result (1 0.4) takes the form 2)Vu(r. t
-

r)) exp(_TDV2)) (n(r, t)).

(n(r, t))

(DV2 + fdr( Vu(r, t) exp(rDV


{ )

In order to work out the operator notatioIl

we take Fourier transfornis in space and obtain in obvious

(n(k.

t))

-Dk2

(2irY~~ Jdrff(v
1(q. t)v1(q. t
i)) X

2l(k,+q)exp(rDk2)dqdq) (n(k.t)). (k1+q1+q)exp~---rD(k+q)


*Ior literature see the footnole in Sec. 2.

V. C. Van Kampcn. Stochastic differential equations

203

One easily fihlds froni (15. 1) (v1(q. t) v1(q. t 32 F~

r))

6(q

q) (2ir)

1(q.r).

Hence tile above equatioii reduces to 2


--

(23/2~

Jdrfr 11(q.
0 i)

2 + 2rDk .~)d~}(n(k. t)). k1(k1


---

(n(k. t))

-Did

q1) exp( TDq

(15.2)

in principle thus solves the problem. If one knows F one can perform tile integration and obtain a differential equation for (n(k, t)). If F vanishes sufficiently rapidly for r one ~iiay eXtelldh the integratioll to t = so that the differential equation is independent of the initial time. Moreover, if tue turbulence is isotropic. the integral contanis a (actor k2 and tile result may be writtell
~.

(n(k, t))
at

~--D(k)k2(n(k, t)),

(15.3)

wllerC D(k) is a renormahized, k-dependent diffusion constant.


Unfortunately there is a difficulty. Although tue actual F for a turbulent fluid is not known, hydrodynamics of incompressible fluids shows that for small q and large r
2/

5i

F11(q. r)

y(q

)y 1

1q1\ exp(vq~r),

where v is tue kinematic viscosity of the fluid. Hence the mtegrand of (15.2) behaves like 2-.- 2Dkqlr exp[(D+v)q and fails to converge for T when Iql < 2Dk(D + r~)i. The integral cannot be extended to t= and therefore no equation of type (15.3) exists. The physical explanation is that tile low q. long wave length fluctuations in u are insufficiently damped by the viscosity to ensure the existence of a finite re. Hence the correlations of n(r, t) also extend over infinitely long times. and 110 equation for (n(r, t)) exists in which the initial time is no longer relevant. The same long memory is responsible for the long time tails in the velocity auto-correlation function of the molecules of
-~

a fluid (for literature see Dorfman, 1 975).

16. Higher moments


So far only the average of the solution of our stochastic differential equation (7.1) has been studied. It will now be shown that the same theory permits to find higher moments as well. First take the second moments. When the n components u 2 quantities 0 of u obey (7.1). then the n also obey a linear differential equation (u~u~) = ~ ~~t) (iu~), (16.1)

204

\. IL

Van Kantpen .5 toehastte differential

equations

where5
=

/17,5 05
+

By determining tile average of tilis equation with initial condition 11.( 0) 1e~(O)= a,a0 one obtains the second moments (u,( I) it~(1)) (Adomian, 1 970, 1 97 1). In tile same way higiler moments of Id t) can be toutid, althoughi the required! labor grows rapidly. Fourtil moments Ilave been usedl for describing the mean square of the intensity distribtition of a light beam passing tliroughi a focussing system witil randonl inlperfections ( Papanicolaou et al.. I 973; McLaugllhin, 1975). A more powerliii approach, \vhichl directly leadis to the entire proh;tbilit~distributioti of lIft) will he given in Sec. IS. It silould be remarked that although (1 ~. I ) is a set of /12 equations (or ,i2 quantities it is ilOt really a differential system of order ,12. because owing to the symmetry relations ~ = u~ u~ there are only ~ n(n + 1) litlearlv independent quantities. Moreover, owing to tile quadratic relations (11,117,) ~ 1i~) = (tilt0 )2 actually only it are itidlependlent. ti agreement withi tile (act tilat (1 6. 1) contains lid) more solutions tllan tile original edluation (7. 1). For the averages, however, these quadratic relations dIO not holdi. and therefore ~ n(n + I ) linearly nidepetident SOlLitiOils for tile second moments are possible. Thus illdistrates tile discussion in Sec. 4. wilicil showed tllat a stochastic differential equation has a larger class of solditions than a stire equation of the same order. When it is conipldx~, as for example a quantdinl mecllanical wave function, one is usually uiter ested in tIle qdiantities rather than (l1,1i~). They also obey a set ol linear equations similar to (I 6. 1). In (act. tiley are simply the elenletlts of the density nlatrix and the equation is identical with the fanuliar Neumailn equation. Tile secoild order approximation (1 0.4) for the (u~u0) is called in this cotlnectlon the Redlfield eqdiation As ail example we compute the average ctlergy ol the ilarmonic oscillators in Sees. 1 3 and 14. For the model (I 3. 1) it is ohviodis tilat 2x2 + = w = constant, 2w
(i1~l10)

which states that the average energy -~(x-I w2x2) does not vary in time. Only the phlase becomes progressively more random, wilichi cadises tile average amplitude to decay according to (14.9). The model (1 3. 1) is less trivial. The equation for tile three second momeilts is found from (h3.2 0
=~

0 0

2 2w2
~.

s~2

~2

=~

~2

dlt~

xx /

w~ 1

x.~/

,
+

This is equivalent to (16.1), hut we have economized by writing on1y the ~n(n
~wouid be called a supcroperais)r in lirussels.

I) hinearhy mdc-

**Redfieid (1957, 1965). Sec also: Slichtcr (1963); Argyres and Kelley (1964); Aleksandrov (1966); Cukier and Deutch (1969); Aibers and Deuich (1971): and various contributions in Muus and Atkins (1972).

N. C. Van Kainpcn, Stochastic diffLrcntial equations

205

peiideiit momeilts. Inserting (14. 1) leads to a decomposition of 0 0


-

,a~ in

a sure aild a iandoni part

0 0 1

2:, -2 0)
2i.

0 0
---

0 0 0

0\ ---2 0 ~(t)~.

~i

~(t)

1
.~

corresponding to the eugeilvalues of A0. These substituted in (10.4) with the result 2) 0 0 2 (.v2) dl (.v (x2) = a2c 2c 2) 3 -a 2 ---2 (.v dit
~ ,

has two eigenvalties

aild

yl

are now

\ (xx) /

a 2c 1 I

2c ---a 2

/ \ (xx)/
a:

where C~= ir~S( 0) + S(2) }. To investigate the consequences we determine the eigenvalues to second order in
=

21(1 ~a~(c5
-

~a2ci)

~a2(3c2

c5) 16.2)

c2).

One sees that tile eigenfreqtiencies 2i of the unperturbed oscillator ilave undergone a shift andh, in addition, a damping appears. The zero frequency of the unperturbed case. \vilichl corresponded to conservation of the energy ~(~2 + ~2) llas now become X0 = ~ira2S2), Thus the eiiergv grows. owing to those fluctuations in the force that Ilave twice the proper frequency of the oscillator. Hence although the average amplitude is damped the oscillator is unstable energy-wise. It we hladh included iii our unperturbed equation (13. 1) a (sure) damping the result would be that the 2S(2) is below a certain critical value term. and unstable above it (Bourret. oscillator is stable wheii a 197 1). A harmonic oscillator with fluctuating daniping term has also been worked out ( Van Kampen. I 973b).

1 7. Randomly located scatterers*


The wave equation in one dimension in a variables, du dx A 0u.

homogeneous medium may be written, in suitable

with constant niatrix A0. Suppose at the pointsy~,y2 v5 scattering centers are located; each scatterer connects the components of u on its right with those on its left by a transmission matrix C u(y0
+

0) = Cu(y0

0).

(a

1, 2,...,s).

(17. 1)

*l~oldy (1945); Lax (1951, 1952); Twersky (1964); hibbink (1971).

206

N. C. Van Kampen, ,Stochastic differential equations

This is not a differential equation for u, so tilat tile method of Sec. 12 cannot be applied straightaway. Yet the problenl can be ilandled in a very similar manner (Ubbink. 1971 ). Tue value of it(x) is related to 11(0) by the explicit formula u(x)
=

exp{Ao(x
i <

s~)

}CexpfA(i5
i~

--

f/C... Cexp~Ai1}u(0),

taking 0 <
11(x)
=

y~<

..

<

< .v. Define tile interaction representation exp( -A55i0 )Cexp(A0r0)


=

exp(A0x) v(x).

In tllis representatioil the explicit fornlula for it(x) takes tild forlll

v(x)

C(y5) C(y5 ~)

C(i1)v(0)

r01

C(,v0)1.

(h7.2

where tile ordering synihols indicate that tile operators in tile product have to be taken in order of descending values of their arguments i. If the effect of each scatterer is weak it is natural to set C I + aB. so that

v(.v)

=r0~,~ aB(vo)/1.
+
,

Now suppose that the scatterers are located at random, so that tue j~ are random (luantities, as well as tIle numbers. Suchi a set of random dots on a line can be described by a huerarchy of distribdition functions t;~ (n = I 2, ...) defined by (Stratonovicil, 1 962)
f0(x1, v2,..,

x~)~

dx2

...

dtv,7

probability that each of then intervals x,...v~ + dx1 contains a dot, regardless of the location of the remaining dots.

The probability for more tllan one dot in x7.,x + dx1 is of iiigher order in dx1 and therefore negligible. The f0 are densities. hut not probability densities. because they do not integrate out to unity. fi(x) is simply the density of clots, f2Cx .x 2) tells something about their correlation. One defines tile correlation functions g07 by a cluster expansion similar to (6.6)

Ji(xi) =g1(.vi)
f2(xi, x2) etc. Again we assume that there is a correhation length x~. such that: if {x1, x2 x0 } contains a gap large compared to x~.then g~0(xj, x2 x,5) = 0 (cluster property) and f~factorizes (product property). Knowing how to describe randomly located dots we can now work out the average of (17.2).
=

gi(xi)gi(x2)

g2(xi, x2)

N. C. Van Kampen, Stochastic differential equations

207

(v(x))

r({l
[I
+

aB(y5)}~h + aB(y51)}

...

~h +

aB(Yi)})1
2 {(B(y 5) B(y51))
+
~

a~(B(y5))+ (B(y51))

+ ... +

(B(y~))}+ a

... }

a~{... }

[1

af B(x)f1(x)~

+~

ffB(xi)B(x2)g2(xi~x2)~i dx2

The essential identity analogous to (6.5) states that this may again be written as an expansion in the exponent: (v(.v)) rexP(a[B(xi)~i(xi)~i+~ jfB(xi)B(x2)~2(xi~x2)dxidx2+...)~.

At this point we are back on the track of the derivation in Sec. 12, comp. (12.3), and may 2x~): therefore jump to the final formula (12.11) (to order a
(u(x))
=

(A 0
+

aBgi(x)

+ a2/

B exp(A0r)B exp(--A0r)g2(x, x

T)

di) (u(x)).

(17.3)

= constant = f~ and g2(x, x r) = The above theory is due to Ubbink (1971), who applied it to the stochastic description of a photoconductor. Let ii0(t) be the probability that there are n electrons in the conduction band at time t. In the absence of photons there is a certain probability per unit time, r(n), that one of the n electrons drops back into the valence band. Hence

For a stationary distribution gi(x)

/10=r(n)u0+r(n+ l)u01. This equation has the form at timey; then


u0(y
+
/~

(17.4)

=A0u (with infinitely many components). Suppose a photon enters 0)


+

0)

u~(y

0)

a u0(y

a u~~(y 0),

where a is the quantum efficiency. This equation has the form (17.1) with C I + aB. In order to apply (17.3) one has to solve the unperturbed equation (1 7.4). As no explicit solution for general r(n) exists, we take r(n) = n. This corresponds to the somewhat academic case that n is small compared to the number of unoccupied states in the valence band. The exphicit solution is then
(e~ 40t)nm= Im~ (, )e~t(h

With the aid of this result and some algebra (1 7.3) becomes d(u,~)
=

n(u 0)
+

2c{(u~)

2(u~~> + (u~ 2)},

(n

l)(u0+i)afi(u~) + afi(u0.1)

208

V. I

I cit Kern pen Stochastic differential ~qii alto? is

wi crc

r~

2~

dli.

From this result one obtains for instance the eqduhihridun prohahihit~d!istrlhlition of the numher of charge carriers. Ratller than wri tutig that expression explicitly we use it to findi tile equilibrium fIdictciations: 2c. (/12) (~)2 = (n) + a For c = 0 t hi~ reduces to tile Poisson formula, tiit clciiatioii fioiii ii i~i/ldicatllC 0! i/ic correlation bet tseen 1/ic air al ti/lies o/ the p/to toils.
-

Ill. NONLINEAR EQUATIONS IS. Nonlinear equations reduced to the linear case
11w general stochastic nonhitiear
= dii

ffereii tial equal ion can be written in the utiiversal form


=

IJll. ~

11~1/ ~).

(v

1. 2.

....

n.

(lS.l

logethier with a given itutial value 11(0) = a, the equation dietcriliitles a stochastic process ~) provided! of course that for each mdhividtial ~ E ~2 the equation has a titiique sOldition. It is clear, however. tllat the methods developed so far no longer apply. One catinot expect to find a dli) feientiai eqdiation (or (iift)) by itself, because the notil inearity necessarily brings in tile higher moments. Nevett heicss we shall now describe a simple dlevice (or redticing tue nonlinear problem ( I S. I) to the hi tear case. Represent u by a point in an n-dimensional phase space. Equation (I S. I ) dietermines a velocity in each point of this phase space: from each initial point a a trajectory starts out which dlescrihes the correspotmtiiiig solution of ( 1 8. 1). (For the moment ~ is treated as a fixed parameter.) Now considler a clodidi of itiitial points. Jescrihedl by a diensi fy in pilase space p( 11, 0). \Vhcti all points t[iOVC accordhitig to ( 1 8. 1 ) the density vaiies in time accoiding to tile contindi ity eqdiatiotl, sVilicil expresses the conservation of tIle points.
i,,.(i.
apoe. 1)
-

a
= is
--

lEe. C ~) pEe.

t).

(18.2)

Of course this equatiotl resembles closely Liodivilles equation in statistical illecilanics, but there is an importatit difference: Liotivihles tiworein - statitig the conselvatioil of phase space voluitte does not appl~: there is no geneial reason wily our (low shouldh he incompressible. I lence tue a/all, has to renlain in trout of the 1,. As a consequence the soldition (if (1 8.2) is not obtained by just taking p constatlt along each trajectory, hut a Jacobian determinant will appear in ( 1 8.6).
5Sec :iiso: Siraionoviuh (1963) cli. 4: Kuho ) i 963): Sturrock (1966): Hail ansi Sturrock (1967): So ansi Yeit (1968); (rut~ aiui So 1973): Van Kanipcn (I 975i.

S.C. Van Kampen Stochastic di! ferential equatlolts

209

Now consider all values of ~ e ~2 with their probability distribution (4.1). Then (18.2) is a stochiastic differential equation for p. wilicil is linear, and cart tlleretore lie treatedi by the llletilodis develohied previously. Tile unknown p is analogous to a, in (7. 1). wblile the ii in (1 8.2) hias the same role as the subscript v in (7. 1). Suppose oiie has solved (1 8.2). that is. for any prescribed initial value p( 0) one knows how to find (p( le, t) ) . The way in which tilis leads to the solution of tile original equation (1 8. 1) is given by the tollowing Lemma (Van Kampen. 1975). Solve (1 8.2) with the initial condlition
11.

pEe.

0)

8~~(l1--

a).

(18.3)

On tile other llandl. let pEe. 1) he tile probability density of ie( t) as dleterminedl by (1 8. 1) together with the initial value 11(0) = a. Then
(pEe, 1))
= pEt.

1).

(18.4)

To prove this lemma we write tile solution of (1 8. 1) in the fornl


11
=

U(a, t; ~).

For tixedl t and ~ thus constitutes a mappitig of the initial vector a into 11. As it was assumed that F obeys tile disual solubilitv condhitions of a ditferential equation this mapping has an inverse
a

U~(It, t;~).

(18.5)

The solutioii of (1 8.2) may then be written explicitly


pot.

t; ~)

P1 U
L

1(11

t; ~), 0;~ I
J

d(U(u)) dOe)
-

(18.6)
lllapping.*

wilere the last factor is tIle Jacobian determinant of tIle


(pEe,

Using (1 8.3)

t)) =fp(u, t; t~)P(&~) d&~

=J
it

P( ~) d~O[ U (a, t; ~)

--

aJ

d(LC) d(ii)

Witll tIle aid of the wehlknown transformation property of the delta tunction one finds for tllis (p(u. t))

f P(~)d~

8[11

U(a. t; ~)j.

But this is just tile probability that the solution U(a, t; ~) of (1 8. 1) takes the value 11. This coni pletes the proof of (1 8.4). Thus we Ilave established an exact relationship between tile nonlinear stochastic ditfereiitial equation (1 8.1) and the linear one (1 8.2). It may be added that other solutions of (18.2). i.e..
*In prineipie we ought to have taken the absolute value ot the Jacobian, 1)ut it is positive, since it is equal to i ii allowed in vanish,
= I) and is not

210

N. C. Van Kampen Stochastic differential equations

with other initial values than just the delta (unction as in (1 8.3), have a nieaning as well. They
correspond to solutions of (1 8.1) in which the initial value a is also random; with probability distribution p(a. 0). In that case (p(u, 1)) is identical with the probability density pEt, t) of 11 arising from the randomness of the equation and of the initial value. It is indispensable, however, that the distribution of initial values is statistically independent ot tilat of ~. Finally it may be remarked that the same device may he used even if F is linear in a. tilat is. if F has the forni ( 7.1). It then leads to tile entire probability distribution of u at time t. rather than just its average. Thus the same treatment of linear equations, which at first only yielded (a). now permits to determine p(u, t) by the simple device of app/wag it to the partial d(ffrential eqllatiO/1 (18.2) rather than to (7. 1) itself:

19. Nonlinear equations with rapid fluctuations


For linear equations tile main result was (1 2.3). valid in the case that the fluctuations are small and have a short correlation time i~. This result carries over the nonlinear case and will then lead to an equation for (pta, t)) = pta, t) of the form
p(u, t)
(19.1)

where K is an operator acting ~n the u-dependence otp, but tiot on its 1-dependence. Thus tile probability density of a obeys a niaster equation. whuch means that 11 is a Markov process (Sec. 22). To put it differently the expansion in ar~ leads to an approximate description of a as a Markov process. This is a special example of a fundamental idea in statistical niechanics of irreversible processes: the rapid motions of niolecules give rise on a coarse time scale to a master equation for a probability distribution (which on an even coarser time scaje gives rise to the deterministic equations of macroscopic physics). This has been discussed in detail for a niore restricted case in chapter 4 of the nionograph by Stratonovich (1 963). In order to utilize the results obtained for linear equations it is convenient to take, in analogy with (7.2), (7.3)

F(u, t; ~)

F0(u)

aF1(u, t; ~),

(F~(n,t))

0.

(19.2)

The average is to be taken over ~ with fixed a and t. The basic assumption is (F~(u, t) F~(u,t)) 0 for It

tl > r~.

and similarly for higher eumulants. Equation (18.2) may now be written
p(u, 1)
=

(A0+ aAi) p~t),

A0=VF0,
The symbol V~is used for the operator that differentiates everything that comes after it with respect to u~ the index a has been suppressed for shortness. On substituting all this in (1 2.3) one obtains to second order

N.G. Van Kampen. Stochastic differential equations

211 (19.3)

ap(u,t)

F0+ a2f (F~(t)exp(rVF0) V F~(t r))exp(rV Fo)dr) p(u, t).

The meaning of the operator exp(-rv F0) can be gleaned from the fact that it provides the
solution of the equation

aJ(u,

t)

(19.4) Similarly to (1 8.6) this solution can be found explicitly in terms of the characteristic curves. Consider the equation a = F0(u). (19.5)

This equatioii determines for fixed t a mapping from the initial u(0) into ii(t). As we have supposed for simplicity that F0(u) does not depend oii t, this mapping can be indicated simply by a at, with inverse (ut)t = a. Then the solution of(1 9.4) is t) flu, t) J~ut, 0)- d(u = exp(tV F
~

d(u)

0)flu, 0).

Thus our operator is specified by its effect on an arbitrary functioii f:


exp(tV F0)flu) =f(u-

t) d(u t)
d(u)
-

where the last factor is again the Jacobian determinant. With the aid of this specificatioii equation (19.3) takes the form
ap(u, 1)

d(uT) V F

d(u)

2/ d(u) (F~(u,t)V_ 5, t r)) di) p(u, t), (19.6) 0(u) + a 7 F1(u where V~denotes differentiation with respect to u,~.. This is the master equation (19. 1) to second order in a, that is, to order a(ar~). Note that it involves two differentiations of p(u, t) with re-

at

spect to the components of a, and has therefore the form of a FokkerPlanck equation. An alternative form of (19.6) is sometimes convenient ap(u, t)
_____

V Fo(u)

a2f

(F 1(u, t)V_~ F1(u

T, t
A(uT)) p(u,

r))

di (19.7)

a2

(F T,t 1(u, t) F~(u

i)>

t).

Here A is an n-component vector function (not an operator),

2i 2

5, C;. la,i Kampen. Stochastic differential equations

AOl)

1) VIr hog dl(11 L d(u)

In the special case that a has a single component one has a


-

1~ a at ale

=
-/o)iI)

af

(~_---

aJ-1(11, t) , die T.ti))--- ate dill ~ l~fie


d11 (11
T --

dli

a2
+ a2
--~

f (1~(1i, 1) f

i))

~--

di p.

(19,8)

Another specialization obtains whien Ru, t; ~) has zero divergence. V F = 0. Then the Jacobian of the unperturbed equation is uiiitv so that A = 0, and moreover the operator V (19,7) commutes with F 1(i~ 5), Hence (19.7) takes the form (Cruty and So. 1973) apEs, t) a all
is

in

a
--

at

atl

f(Fi~(ut)Fi~(l1 Cti))

au5
-

dII~
p

di

a1~
--.

an
5

(19.9)

20. Two applications As an application consider the heating of a plasma in a random electric field (Sturrock, 1 966; 1 lalI amid Stdirroek. 1 967; Silevitch and Golden, 1973). The motion of a single charged particle in one dlinlellsion is .vaE(x, t;~). (20.1)

The stochastic function F is supposed to have zero mean, to be stationary in time and space. and to Ilave a correlation time r~ such that ai~is small. We take x and a = x as the two components ui, 112. Then
J0,1v.
/0,2
=

0,

Ji,2

L(x, t)

The mapping ti
.vtxO+vOt,

u~ is found by solving tile unperturbed equation.


ut=v0.
=

Its Jacobian determinant equals unity, ~o that A


ap(x,v.t)
-

0. Substitution in (1 9.7) yields p

at

5,ti))di a a a ax v+- av a2f (L(x, t) av~L(x 0

ap =v--+a2-

ax

a fE(x.t)L(xT.t_T). an 0

a --dip. av--T

N. C. Van Kampen. Stochastic differential equations

213

TIle differentiation with respect to v1 can be written in ternls of .v and n


--

a an--i
-----

ax a av--~ax

--- -

an a anT an
--- -

a ax
-

an

Hence tile final equation is


ap

at

ap a.v

a an

ap ax

a
av

ap
an

(20.2)

where the two eoetficients are c 1(n)


=
/

r(E(x, t) E(x

--

ni,

i)) di,

c0(n)

(E(x, t)E(x

--

ni, t

i)> di.

Note tllat tlley contain the field correlations as felt by the particle moving with velocity n. lntergration over x leaves us with an equation for the velocity distribution I.

aj(n, 1)
at

.,

a~ ----c0(n)

a~

an

an

(20.3)

From this one readily tinds d(n) dt 2) d(n


dt
=

dc0(n)
-

~),

(20.4)

2a2(~~~~ nc

dn d dn

0(n)).

(20.5)

Sturrock (1 966) obtained these equations first by perturbatioii theory and thlen uses them to construct the Fokker--Planck Surprisingly he arrives the sanie equation althougil 2)/dt equation is slightly(20.3). different from (20.5), and notat compatible with (20.3). hisAs expression for d(n a second application consider the motion of a particle in one dimension, subject to a force K(.v) depending on tile position x. a friction force ax. and a random force a~(t):
mx + fIx
=

K(x)

a~(t).

(20.6)

This probleni was studied by Kramers (1940) as a model of certain chemical reactions, and by Zwanzig et a!. as a model for fluctuating nonlinear systems (Bixon and Zwanzig, 1971; Nordhiolni and Zwanzig. 1974). ForK 0 it is the Langevin equation (2.1). We set in = 1 and take x and n = x as the two components a 1, a2. Then

F0,1 F0,2

a.
-

F11
fIn
+

0, ~(t).

K(x),

F12

214

5, C;. 1-an Kainpen Stochastic differential equations

Supposing that ~ has a shiori autocorrelation time T~ ( wifhlout necessarily being dieltacorrelated we may apply the result ( I 97), The mapping ie ii~ follows fioni solving tile iinpertiirhesl eq ua-~

tiC) n
=

a.

A).v).

Withiout resorting to an explicit solution one sees that the Jacobian obeys the edhuation d d(x, a1) -----log sit ci) x, a)
--

a
iiv

v~

if

d)
~

----~v+K(x)}=
and!

~.

thence the Jacobian eq nals e ap(x, a, t)


--

conseq uenthv A

0. Equation ) 1

9,7) therefore redlUces to a

a
=

a-

1
-+fI

a
c)tJ

ax

-up

A(x)

ap a -+n~ an ~au
-

(~(t)~(t

i))

--~

cia

dli

/1.

(20,7)

[he term on tIle seeotldh line is actually a rathler complicated operator acting on the (.v. a )-dlependence of p. wllichi involves the solution of the unperturbed edluation. It simplifies, however, if T5 is so short that the velocity does not vary appreciably during i5, SC) that a -T may be ieplaeed with a. Formally thus amounts to considering ~ as delta-correlated, (~(t)~(t))
=

2c0~(t1

12),

With tllis simplification the second line of) 20.7) becomes

a2c a 0

2p

an

(20.8)

svhichi reduces (1 9, 1 0) to the Kraniers equation.

As a next approximation one may take the variation of a diuring in i5:


=

i~ into

account to first order

.v

in.

-T

a + fIiv

--

iK(x).

From tilis one deduces anT

(I

fIi) an
---

+ i----

a ax

2). + 0(i

The second line of (I 9, 1 0) therefore becomes


a2(c 0

a2p
fIc1)
----

2c
+

a2p
-- -

an

a 1
---

an ax

where 1 = f~(~(t) ~(t r)) i di. Note thiat the magnitude of these correction terms depends on how much the unperturbed x and n vary ddiring r~; it is therefore not inconsistent to include them while neglecting iligiler orders of ai~

NC. Van Kampen, Stochastic differential equations

215

21. Use of the interaction representation In practice it is often more convenient to introduce an analog of the interaction representation as used in the linear theory. Consider the original equation (18. 1) in the form*
=

F0(u, t)

aFi(it, t; ~),

(F1(u, t))

0.
i~=

(21.1) F0(u, t) be

Let the general solution of tile unperturbedequation


11
=

ip(n, t).

where n stands for n independent integration constants. These may, but need not be the initial values of the coniponents of ii. This relation between a and n is now used to transform (2 1. 1) to new variables n (variation of constants)
-~

at

-~

Fo,~(n, t), t)

aF1 j~(n, 1). t; ~).

,,~

By construction the first term on the left cancels the first term on the right and one is left with
=

an

F1,5(~(v,t), t; ~)

a G0(n, t; ~).

(21.2)

This is the equation (1 8.1) transformed to tile new variables a. One may now apply to it the same linearization device. The continuity equation for the distribution a(n. t) is aa(n, t) at
=

an~

G~(n.t)u(n, t).

(21.3)

The connection between a(n, t) and p(u, 1) is of course a(v. t)


=

p(ip(n, t), 1)

d(p(v, t))
----

d(n)

(21.4)

In particular, the initial value of a is a(v, 0)


=

[ip(n, 0)al

d(sp(n, 0))
----

d(a)
=

6(v

b), p(b, 0).

(21.5)

where b is the initial value of n corresponding to the initial value a of u, that isa The averaged solution of (21.3) is the probability density ofv (a(v, t))
=

q(v, t),

and q(v, t) is related top(u, t) by the same equation (21.4). Hence one is justified in solving (21.3) rather than (1 8.2) and determining afterwards the distribution of u. To second order the equation
-

for q is
*We now allow F0 to depend on time because it does not give rise to additional complications.

216

v. C
t)
=
-

I all Kampen ,Stocitastic dt( feiential equations

aq(v.

~2

J (G(v. t) V

fda.

I
-

i)) di q(v.

1).

(2 I.~)
it

This equation is equivalent to (1 9,3). hut obviously more sitiiple. It is easy to write of a Fokker Planek equation:

in the lorni

aq(v. 1)

at

a -[(,q1+~ a2 {D 1, cii. av ~ on, all0


-

(21,7)

The coeftteien ts m tIme cii ffusion audi convectiotl terills are

D,0(v.

1)

a~f (05(v.

1)

(~(v. t

--

i))

cii.

(21.8)

(~(a. 1)

1) f ( a05(v. G aa0
-

(a. 1-- T)) cIT.

(21,9)

Of course tius can he translatedl hack mto the Fokkei Planck eqdiation (1 9,7) lor p( 11, 1) itself. We shall now apply these results to a problem in populatiotl growth. file way in which tile size 11 of an isolated hioptilation varies with time is often described! by tile nonlinear Nlaltllus---- Verllulst equation ( Lotka. 1 92 1 Montroll. 1 968; Batschleiet. 1 97 1 Montroll and! Badger. 1 974)
-

ugi,

sl1~.

f21.lO)

[lie tirst term represetits the getieration due to excess of births over deaths, and the second term serves as a rough description of the adlditional death rate due to tIle struggle for food. Both coefticients g atidi 5 depetid on the etivironnlent amid may therefore possess random fluctuations in time,* 1 lie same eqdlatlon ( 2 1 .1 0) is the rate equation for the autocatalytic chemical reaction (Glatisdorff and! Prigogine. 197 I; .Schlogl, 1972; Kei,,er and Fox. 1974; Glansdorff et al. . 1 974) A
+

X ~ 2X.

For fixed g and .c tile solutioti is

i-e(t)
1
g
=

r.s
-

/ 1 -+1 Lg ~i,(0)

.s 1 ~e gt g!

As a first example we allow s to be random and set

I.

+ a

~)fe

~).

(~)= 0.

The above solution of the unperturbed equation may be writteti witil a conveniently chosen illtegration constant ~ (21.11) i+vet
*lt
should be clear that this has nothing to

do with the fluctuations

due to the fact that the population consists of a finite number

of individuals (Van Kampen. i 976).

N. C. Van Kampen, Stochastic differential equations

217

Froni (21 .2) one then finds G(v,t)= --et~(t), so that ( 2 1 .3) takes the form
- ----

aa(n. t) at

a et~( t)

aa(v. t) an
1))

This equation is still exact. Tile second order approximation (21.6) for (u(n.
aq(a, t)
=

is

a2q(n. 1)

at = a e2tf (~(t)~ r)) e1 di~_~~n 2~_ When ~(t; ~) is a stationary process the integral is a constant initial condition ( 21 .5), is easily obtained, 2 q(v. t) = [2~a2c(e2t h)]~2exp~ 2t r (nb) L 2ac(e I)
------

C.

The explicit solution, with the

Transforming back to a by means of ( 20.4) one finally has


pta, t) [?~a2c(l

~C2t)I~l/2 a

exptr

I
~2

1/u

I
-

.ac

(I a ,-2t
--

---

I )e t

--~~J~
2 1
=

(21.12)

where a is the initial value of a. Observe that the probability duly vanishes at a edluilibrium distribution p0. ~) has its maximum at I a 2c. As a second example we set
---

0 and that the

am~(t;~),

I,

O~(t))= 0.

The same transformation (21.11) can be applied with the result G(v, t)
=

(et

a) 77(t).

It is convenient to make use of(21 .7). The coefficients are D(n)


=

a2{e2tci + etn(ct + c 0) + n 2(etci + nc

2c 0~

C~(n)= a where

0),

c0/(77(t)77(t_i))di,

cif(77(t)77(t_r))e~di.

The second order approximation is therefore 2 __a2_(etci+vco)q+a2~ {e2tci+vet(ci+co)+vsco}q. aq a a at an an

(21.13)

218

SC. Van Karnpen ,.Stochastie differential equations

The easiest way to solve thus Fokker Platlek equation with time dlependent coefficients is by transforming to a new variable.
-

etw.

q(v. t)

e tr(tt,

C).

The result is a time-independent Fokker- Planck equation. which can be solved with the aid of hypergeonietric functions. Alternatively one may draw some conclusions directly from (21 . 13). e.c.,
(a)
=

2(c 1e

t +

c 0(v)).
2c e~ for large t amid hence a

From this one finds (a) him (11(t)) = I a2c


---

1.

rhus the equilibrium average is lowered b

the fluctuations.

IV. A METHOI) FOR ARBITRARY CORRELATION TIMES 22. Markov processes Before proceeding to the next method we have to recall some facts about Markov processes, see e.g. Bharucha-Reid (1960). Let 17(t; ~) be a stochastic process, i.e., an ensemble of functions of t labelled by the parameter ~ with given distribution D( ~). Let P1(y ~. 0) dy he the probability that 77(t~ ; ~) lies between v1 and v~ + dl1. P1(y1, t1)
=

f6[77(ti; ~)

----

.vi I D(w) d~.

(22.1)

Sinularly let P2(,1 ~ t1 Y~12) dy dy2 be the joint probability that 77(t1) lies in Yi, y + dy i and also 77(t2) in Y2. Y2 + dy2. In this way one can continue to define a hlierarchy of probabilities P3. P4 wilichl constitutes an alternative way of describing stochastic processes.* More important for our purpose, however, is the coilditional probability distribution of 77(t2) when 77(t1) at t1 < t2 is known to be equal to .v1. According to Bayes rule this conditional probability density is T(y2. t2lyi, 0) P2(y1. t1y2, P1(y1. t1) The process 77(1; ~) is called Markovian if T obeys the following ChapmanKolmogorov equation** for any t1 < t2 < 13
12)

(22.2)

*This alternative description is more familiar in physics (Wang and Uhlenbeck, 1945). The equivalence of both descriptions was

proved by Kolmogorov (1950). **Also called Smoluchowski equation, but this name has been applied to slightly different equations as well.

NC. Van Kampen, Stochastic differential eq~i~tions

219 (22.3)

T(y3, t31y1. t~)

f T(v3. t3~2, t2) dy2 T(y2. t2Iy~.ti).


~ ~

The equation states that the probability tor going from to ~ via 12 15 tile prodluct of the probability for going froni y~to ~2 times that for going subsequently from 12 to that is, successive transitions are statistically independent. A more manageable lorm is obtained by taking t3 = t2 + ~t witil small ~t. For a physical process one expects that tile probability that 77 makes a junip during ~t will be proportional to ~t, apart from higher orders in ~t. Tllis is expressed by 2). (22.4) T(y3, t,1t2. t2) = 6(~~ .r2)1 I w ~t1 + ~t W(y31y2) + 0 (~t W is the transition probability per unit time froni V 2 to The term w~t is the total probability that a transition took place.
--~.

wO2) =fW(y31y2) dy3.


Substitution of(22.4) with (22.5) into (22.3) yields

(22.5)

t~v, t~)

at

f~W(,vIy)T(y, tIy1, Ci)

--

W(yIy) T(, tIy~, t1)}dj-.

(22.6)

Slightly more general: select a subensemble of the functions 77(1; ~) by prescribing a distribution P(,y i. t1) at sonic initial time t ~. Then the distribution in this subeilsemble at t ~ t obeys the
master equation
*

aP(y, t)

J~W(yiy)P(y, t)

--

W(yly) P(v, t) } dy.

(22.7)

The right-hand side is a linear operator acting on the y-dependence of P and may be abbreviated WP. The formal solution is P(y, t)
=

eS~~~tP(v, 0).

In particular, for C > t,

TO, tly,

t)

eW~t)6(y

y).

The auto-correlation function (4.2) for a stationary Markov process with zero mean is

(77(t)77(t)) fyiP~(yi)dytfy2T(y2. tIy1, C) dy2

fy e~tt)y P~(y) dy.

(22.8)

The simplest Markov process, dear to the heart of the model builders, is called the two-level jump process, two state Markov process. dichotomic Markov process, or random telegraph
*Unfortunately this name has been used so indiscriminately in the literature that it has lost almost all denotative value. We use it in the original sense (Nordsieck et al., 1940): the differential form of the Chapman --Kolmogoros equation characterizing the Markov property.

220

s. C

Ian Kasnpeii Stochastic dii es-esittaI equa f/os/s


I

process. Here ~ takes only two possible values probability a cit per cit. that is. W=~
/ V

. with equal prohahilites.

atldl

lumps with

a!

I.
--

(229)
It +
=

Its transition probability is for 12 ii


m~. fe v~.t~ )
=

T~ 0
-

e
-

21T

eW( ~2 (if

2l~

e~ e 21T
-

aiid its auto-correlatioti tcinct iotm is


=

exp(

2P~1/

[2~

},

(22,10)

A Gaussian process is defitieci as a stochastic process tor Wilich all functions t~./2. of ths above-mentioned hierarchy are Gadissian. Doohs theorem asserts that the otilv Gaussian. statiotlary Markov process is the Ornstein Ulmlenheck process. ehatacteriteci by
/i(t)
=

( 2~u2 ~

1 2

exp( ---~2,!2a2). 2Tu2)2exp


1~
-~ -

T0~,t 2[r1, Here


i
=

tt

e ~

)2
-

t~) = t

(
(J

202(

~-25T

~2

- --

and

and ~ are positive cotistants. Its auto-correlation function is

(77(1)77(12)) =ue

i~dI

and time operator W of time master equation is


~= y~-

am

~ + ~i2
-

a2
am2
-

Thus process was originally designed to describe tile random behavior of the meloeitm of a heavy Brownian particle itunierseci in a gas of light moleeules** . hut on account ot its snple properties is now Otteil used in other physical applications to simulate stochastic functions whose precise properties are not ktiowim. The white noise process can he obtained from the Ornsteiti -Uhhenheck proces~Jsthe liiiuting ease for
-~

~,

(52

~ ~,

constant.

It ilas zero mean and tile auto-correlation function is


(77(t) 77(1))
=

2F8(t

---

1).

5-Doob (1943). Ihis theorem

is sometimes misquoted

by

omitting one nt the three premises. Our formulation is not strict either.
ri(t2

because there is one other Gaussian. stationary Markov process, vi,., the purely random process in which 7?(ti) and statistically independent as soon as t i t

I arc

2.
**A selection from the extensive literature on the connection of Brosvnian motion with the Ornstein -Uhienbeck process is: Rayieigh (1 891); Uhienbeck and Ornstein (1930); (handrasekhar (1943); I)ooh (1943): Wang and

Uhienbeck (i 945); Feiier

11966),

SC. Van Kampen. Stochastic differential eqt,attons

221

These two properties are the sanie as those assumed for the Langevin force iii (2. 1). One often asstuiies in additioii that the lligher moments of the Langevin torces are also the same as for the white noise process. although that is hard to justify on time basis of physical inttntion. If one assumes thus, the solution of) 2. I ) is the Ornstein---Uhilenhcck process. Tile Rieiier pro ces.s or WienerLmm process is another linuting case. specified by 0, In tilis hiniit TO 2. t2hi1, 0)
=

~2

~,

a2y

constant

D.

V 172 CXI)

(i~ - mi)2
---

(4i~DtY

4Dt

As, however. P~(r) does not have a hitiut one nlust select a suhensemh!e by fixing an initial distributioti. e.g. Pi(m, 0) = ~(j). Consediuently the Wiener process is non-stationary. though Gadissiali amid Markoviami. It describes the position of the Brownian particle on a coarse tinie scale. on whlichl times of order I /y are ignored ( Kramers. 1940). It is also tile integral of the white noise process. amid as such is extensively used! in tIle niathiematical literature (Gillnman and Skoroimod. 1972; Bunke. 1972; Arnold, 1973).

23. A rnethlod for arbitrary correlation times


So far our treatnient of stochastic differential equation was based on the assumption that there is a short autocorrelation time i~. If, on the other haiid, i~ is intinite (or at least long compared to the duration of the process one is interested in) no simplifying approximation is available. One simply is taced witll an ensemble of solutions running concurrently, and the equation Ilas to be solved for each one individually. Thus can actually be done only in a few cases, mainly when the coefficients are time-independent, as sllown by tile examples iii Table II. Time difficulty is even greater tor in termediate values of i~, neither long nor silort compared to the duration of the process. Yet the following method makes it possible to treat all values of T~.at the expense of a severe restriction of the type of stochastic heilavior. It has been applied by several autilors to linear models (Pinsky, 1968; Kubo, 1969; Sulem and Frischi. 1972; Hersll and Papanicohaou. 1972; Bourret et al.. Van Kanipen, 1973; Brissaud and Frisch, 1974) but may be used in nonlinear cases as well (Cruty and So, 1973; Heilman and Vail Kampeii, 1975). Let a be again an ndimensional vector, fO, t; ~) a vector function of 11, 1, and one additional
variable m Consider the equation

Ru, t;77(t)).

(23.1)

where 77(t) is a stochastic process. The restriction to be made now is that 17 is taken to he a Markom process, shell that its probability density H(y, t) obeys a master equation

fl(y, t)

WH(y, t).

(23.2)
11n )) is

Moreover, for simplicity we drop the explicit C-dependence of F. The idea is that for equations of this type the (n + 1)-component aariable (a ~,a

2,...,

222

.V C. Van Kainpen Stochastic differential equations

again a Markom process. Its probability density ~(mi, m, t) varies imi tinie owing to the flow iii 11-space amid tIle jumps of 1. The cormespondimig master eqdiation is found by combining the comitiiiuitv

equation Ior the probability density of


=

11

with time master equation ( 23.2) for c.


(23.3)

a~(ii,v,
at

t)

a {14a; a) all

~1

+W~.

As imutial comiditioml we take


i,

0)

~(a

a)

J1eq(1, ).

( 23.4)

where fl~ is the equiiibriumii distribution of j-, deternmineci by the equatiomm WfF~h,i)= 0. Otiler initial conditions maythat occur and be treated iii tile same way. /1(y)a omie can go one step 1ii the special case F( a; i) can is linear and Ilence ot the fornl further. Define the marginal averages

m,,(y, t)

=f u,,P(a,
=

~,

t) (j~i ~(.

Multiplying (23.3) with a, amid integrating one obtains aim equation for these marginal averages:

am 0, at

t)

A 1,~,(v~n1~(i, t) +Wm,(j. 1). (23.5)

The initial condition is according to (23.4) m,,(y, t)


=

~fleq

(~

(23.6)

The quantity one wants to find is


(u5(t)) fm5a, t) dy.

(23.7)

The applicability of this approach is contingent on the one hand on the validity of the special type of the stochastic character of F, and on the other hand on the question whether (23.3) or (23.5) cami he solved. An approximation method of the Chlapman---Enskog type is possible whemi W is large (Heilman and Van Kampen, 1 974), but that brings us hack to the preceding expansion in aTe. because large W means rapid fluctuations in y and hence short r~.More cami be hearned from special niodehs for which the equations cami be solved exactly, although these niodels are necessarily somewhat artificial.

24. Line broadening Kubo (1 969) considered the following problem as a model for line broadening due to random perturbations.* Take the equation (6.1) for an oscillator with random freqrmemicy ~(t) = w0 +
U
=

--ifwo+ cE77(t)~a.

(24.1)

*For more detailed treatments see Abragam (1961), Schhichter (1963), Cooper (1969), Muus and Atkins (1972).

N.G. Van Kampen. Stochastic differential equations

223

Suppose that 77 is a Markov process determined by (23.2). As our equation (24.1) is linear it is possible to use the result (23.5) for the marginal average

m(. t) = ---i(w0

av)m +Wm.

(24.2)

Tilis has to be solved with initial condition (23.6).

First suppose 17 ~5 the dichotomic Markov process given by (22.8). Then (24.2) reduces to two coupled ordinary differential equations
rn(+i)
=

-i(w0+ a) rn(+l) i(w0

vm(+l)

am(--l)
+

m(1)

a) m(h)

vm(l)
=

vm(+l).

The initial condition (23.6) is.m(I)


yields for (u(t))
(u(t))
= =

~a. Tile solution of these equations is elementary and

m(t) + m_(t) +

a exp~(a + iw0)t} (cos(t~~2)

sin(Wa~

p2)).

(24.3)

The case of very long auto-correlation time obtains in the limit a -0,
(u(t))
=

a exp{iw0t}cos

at

~a exp~i(w0 + a)t}

~a exp{i(w0

a)t}.
~-,

(24.4)

This shows that u(t) oscillates with either one frequency, each with probability

which is patently correct. The next power of a gives rise to a damping ~ and therefore to a Loreiitzian frequency distribution about either frequency. There is also a phase shift and the second order of a introduces a frequency shift as well, but the over-all behavior remains the same as long as a ~ a, that is ar~~ I. The case of aery short auto-correlation time obtains by expanding in h/a, 2\ (u(t)) a (1 2/2v)t}. (24.5) / + ia ) exp~iw \ 41) / 0t (a

This is a damped wave with a single frequency and therefore a single Lorentz peak. It obeys the
differential equation

d(u(t)>
dt
=

a2
(_~~ 0

(24.6) 2/4v2) in (24.5) is the mismatch between the initial which is the equation (10.4). The factor a paragraph of Sec. 10. values due to the transient mentioned in (1 the+ last The exact equation (24.3) of course also tells what happens between these limiting cases. Clearly (u(t)) does not generally obey an equation of type (24.6). (It happens to obey a second

) (u(t)),

order differential equation, but that is only an artifact due to the special nature of the dichotomic Markov process.) One also sees that (u(t)> is damped for all values of a and a, even for a = a. (u(t))
=

expf--(a

iw 0)t}( I
+ Vt).

The line shape, as a function of the frequency w, is given by the Fourier transform of the autocorrelation function (Anderson, i949;Cooper, 1969). The line shape function is

224

.\

(I.

Van Kanm~on.Stochastic differential equations

1(cc

---

cc0)

(a(0)* 11(1)) e

dht.--

2~ (ii(0)~iiO)).

~[o find the auto-correlatioti tcinction use I 22~). ( 21.6) and (23.7): (l1(0)* 1~(t))= exp (a+ mcc0)t}
=

.s)~ (9~~I) / 2d~2 as


ts

(1>

0).

1 hius one obtaimis. in terms of ~cc /(~cc) = 2a


iT

cc
-

cc 0.

2
~--

~(~cc0 a2)2

4v2(~cc) this is a Loretittian with mliaxinidinl at cc

(24.7)

For a2 < 2v2, that is for small

aTe.

0 and width determu med by tue mlumber a of rammclomn jumps per utlit tinic
as was derived by Loremitz (1909), For large

two peaks appear roughly at the frequemicies cc0 a witll a mmnimlium in between at cc0 this means that the oscillations occur at either of the two possible treqdicncies. with rare transitiomms between thieni. In sunimarv omie sees that thlere are two Lorenti lines, whucil spread! out with increasing a, then merge into one broad litie, fromn wllmcbl agaimi a sharper central peak enierges. In a certain ramige of a thicrelore increasingly rapid thuctuatiotis give rise to a narrower line: motional narrowing. Drawings of these line protiles are given by Ktibo ( I 969). Incidentally. on cornparimig the soltmtion (24,3) with (6. I) one sees that the resmmlt (24.3) amounts to the statement that for tile dichotomic M arkov process TI exp(

---ia177(t)

2) +
dlt2
=

~2)}
.

(245)

e et{cos(I~a2-- a

This result was used imphcitly by Hu and hlartniann (1 974) to (inch the influence on a central spin of the magnetic dipole fields of the surrounding spimis. The latter are supposed to flip at ramidoni. so that each of theni creates a dichiotomimic Markov field at the center. The strength a depemicls on the locatiomi of time flipping spm. All these fields have to be added, whuch amotmnts to taking the product of inamiy factors (24.8). because th~~ spins are assumed to flip independiently. Films main problem is the evaluation of tlus product. Next we take the same equatiomi (24.1), amid ilence also (24.2). but choose for 77 the Ornstein Uhlenbeck process, which means that W is the Fokker- -Planck operator,

aU(y, t)
=

/ a

a2u
~-

2 0+av)U+ yl--- m-U+ \av ay This equation. with initial condition U(y, 0) = iTi/2 e ~2 a can be solved by setting U(y, t) = exp(Ay2 + By + C) amid solvimig the resulting equatiomis for A, B, C as fmmnctions oft. Tile result is

--i(w

at

,V, C. Van Kampest. Stochastic differential equatiosts


V ia U(J,t)=iT~2aeXpI---m2-(l --e L

225 a2

t))iw

a2 _y

3a2 4y

a2

0t~t+-~

-~e

~t+_~

e~

Integration over a yields 2/2y)t} exp[~_


(11(t))
=

a exp~- -icc0t

(a

2- (I
-

t)]

(24,9)

Tile first exponential is identical \Vitll the result of otir equatiomi ) 10.4). The reason why tllat approximation turns out to he exact ill the present case is firstly thiat no operators occur. so that equation (6.5) applies: andi secondly tilat tIme Ornstein Uhllenheck process is Gaussian. so thlat all cmmmulants beyond tile secondl vaimishm. Tue last factor in ( 24.9) is the transiemit etfect. It has to be admitted that .thie modiel iii this section violates tile injunction of Sec. 13 by starting from the equation (24. 1) rather than fronm the actual SchirOdinger equatiomi ( 2.4) of a twolevel atom in a random field. Such a more realistic treatment involves more components it,,. aimd is therefore essentially more chffictmlt.

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226

NC.

Van Kampen, Stochastic differential equation.s

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