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deriving in Sect. A.1 the binomial probability distribution, in Sect. A.2 we show that

for systems described by a large number of random variables this distribution tends

to a Gaussian function. Finally, in Sect. A.3 we define moments and cumulants of a

generic probability distribution, showing how the central limit theorem can be easily

derived.

of volume V . Isolating within V a subsystem of volume v, as the gas is macroscop-

ically homogeneous, the probability to find a particle within v equals p = v/V ,

while the probability to find it in a volume V − v is q = 1 − p. Accordingly, the

probability to find any one given configuration (i.e. assuming that particles could all

be distinguished from each other), with n molecules in v and the remaining (N − n)

within (V − v), would be equal to p n q N −n , i.e. the product of the respective prob-

abilities.1 However, as the particles are identical to each other, we have to multiply

this probability by the Tartaglia pre-factor, that us the number of possibilities of

1 Here, we assume that finding a particle within v is not correlated with finding another, which

is true in ideal gases, that are composed of point-like molecules. In real fluids, however, since

molecules do occupy an effective volume, we should consider an excluded volume effect.

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

182 A Review of Probability Distribution

n

N n N −n N! v V − v N −n

ΠN (n) = p q = . (A.1)

n n!(N − n)! V V

This is the binomial distribution, expressing the probability to find n particles in the

volume v and the remaining (N − n) within (V − v).

N

N!

(p + q)N = p n q N −n . (A.2)

n!(N − n)!

n=0

N

ΠN (n) = 1. (A.3)

n=0

N

N

N!

n= nΠN (n) = p n q N −n n, (A.4)

n!(N − n)!

n=0 n=0

considering that

∂ n

np n = p p , (A.5)

∂p

we obtain:

N

∂ N! n N −n

n=p p q . (A.6)

∂p n!(N − n)!

n=0

Then considering (A.2), we obtain:

∂

n=p (p + q)N = pN(p + q)N −1 , (A.7)

∂p

2 The number of ways with which N distinguishable objects can fill N slots is equal to N!. In

fact, if we imagine to fill the slots one by one, the first particle will have N free slots to choose

from, the second particle will have (N − 1), the third (N − 2), etc., until the last particle will find

only one free slot. Now, suppose that of the N objects, n are, say, white and indistinguishable

(this is equivalent, in our case, to having them located within v), while the remaining (N − n) are

black, i.e. they are located within (V − v). That means that we must divide N! by the number of

permutations among the n white particles and by the number of permutations among the (N − n)

black particles, to account for the fact that if any white (or black) particles exchange their places

we find a configuration that is indistinguishable from the previous one. So, at the end, we find

the factor N|/n!(N − n)!, which correspond to the Tartaglia prefactors, appearing in the Tartaglia

triangle.

A.1 Binomial Distribution 183

n = Np. (A.8)

N

N

N!

n2 = n2 ΠN (n) = p n q N −n n2 . (A.10)

n!(N − n)!

n=0 n=0

Considering that

∂ n ∂ 2 n

n2 p n = n p p = p p , (A.11)

∂p ∂p

we obtain:

2

N

∂ N! n N −n ∂ 2

n2 = p p q = p (p + q)N , (A.12)

∂p n!(N − n)! ∂p

n=0

∂p

so that:

δn 1 q

=√ , where δn ≡ (n)2 . (A.16)

n N p

√

In particular, when p = q = 1/2, we have: δn/n = 1/ n.

184 A Review of Probability Distribution

= (N − n)!N n and the

binomial distribution becomes:

nn n N

ΠN (n) = 1− , (A.17)

n! N

a x

lim 1 − = e−a , (A.18)

x→∞ x

nn e−n

Π(n) = . (A.19)

n!

It is easy to see that, predictably, the Poisson distribution gives the same results

as the binomial distribution in terms of normalization condition, mean value and

dispersion, i.e.

∞

∞

∞

Π(n) = 1; n Π(n) = n; (n − n)2 Π(n) = n. (A.20)

n=0 n=0 n=0

When fluctuations are small and

applying Stirling’s formula, n! = 2πnnn e−n , valid when n 1, obtaining:

n

1 n

Π(n) = √ en , (A.21)

2πn n

where n = n − n. Now, considering that

n

n n n 1 n 2

= exp −n ln 1 + = exp −n + + · · · , (A.22)

n n n 2 n

1 (n − n)2

Π(n) = √ exp − . (A.23)

2πn 2n

fine a continuous distribution, Π(x), defined so that Π(x) dx is the probability that

A.3 Moments and Cumulants 185

x assumes values between x and x + dx. In our case, this can be done considering

the limit of x = n/N as N → ∞,

dn

Π(x) dx = lim Π(n) , (A.24)

N →∞ N

where dn = 1 and dx = limN →∞ (1/N). Predictably, Π(x) is again a Gaussian

distribution,

1 (x − x)2

Π(x) = √ exp − , (A.25)

2πσ 2σ 2

where σ = δx.

The rth central moment, or moment about the mean, of a random variable X with

probability density Π(x) is defined as the mean value of (x − μ)r , i.e.,

μ = (x − μ) = (x − μ)r Π(x) dx, r = 0, 1, . . . ,

(r) r

(A.26)

where μ = xΠ(x) dx is the mean value, provided that the integrals converge.4

Note that μ(0) = 1 because of the normalization condition, while μ(1) = 0 by def-

inition. An easy way to combine all of the moments into a single expression is to

consider the following Fourier transform of the probability density,

Π(k) = eik(x−μ) Π(x) dx = eik(x−μ) , (A.27)

Now, since Π coincides with the mean value of eik(x−μ) , expanding it in a Taylor

series about the origin, we easily find:

∞

1 1 (r)

= 1 + (x − μ) (ik) + (x − μ)2 (ik)2 + · · · =

Π(k) μ (ik)r . (A.28)

2 r!

r=0

Therefore, we see that the r-th moment is the r-th derivative of the characteristic

function with respect to (ik) at k = 0.

Sometimes it is more convenient to consider the logarithm of the probability

density. In that case, proceeding as before, we can define the cumulant generating

function,

∞

1 (r)

=

Φ(k) = ln Π(k) κ (ik)r , (A.29)

r!

r=1

4 In general, the rth moment of a random variable is defined as the mean values of x r .

186 A Review of Probability Distribution

where κ (r) are called cumulants, with obviously κ (0) = κ (1) = 0. The first three

cumulants are equal to the respective central moments, that is κ (1) = μ(1) is the

mean value,5 κ (2) = μ(2) is the variance, and κ (3) = μ(3) is the skewness, measuring

the lopsidedness of the distribution. Instead, higher order moments and cumulants

are different from each other. For example, κ (4) = μ(4) − 3(μ2 )2 , where the forth

central moment is a measure of whether the distribution is tall and skinny or short

and squat, compared to the normal distribution of the same variance.6

When the random variable x is the sum of many mutually independent random

variables xi , we know that the global probability is the product of the probabilities

of the individual variables, and therefore the cumulant

generating function (A.29) is

the sum of the individual functions, i.e. Φ(k) = i Φi (k). Therefore, from (A.29)

we see that,

(r)

κ (r) = κi . (A.30)

i

This is the additive property of cumulants, stating that the cumulants of a sum of

random variables equals the sum of the individual cumulants.

For a binomial distribution, when the independent variable is rescaled as x =

n/N , we found: κ (2) = σ 2 = p(1 − p)/N and κ (r) = O(N −r+1 ), so that, when

N 1, the expansion (A.29) becomes at leading order:

1 1

Π̂(k) = e− 2 σ

2 k2

Φ(k) = − σ 2 k 2 , i.e., . (A.31)

2

Antitransforming, as in Eq. (4.78)–(4.79), we find the Gaussian distribution (A.25).

Clearly, this shows that the Gaussian distribution has the property that all cumulants

of higher order than 2 vanish identically.

This is basically the central limit theorem, stating that the mean of a sufficiently

large number of independent random variables (each with finite mean and variance)

will be approximately normally distributed.

5 This equality is true even when we consider moments referred to the origin, instead of moments

6 This characteristic is measured through a non-dimensional parameter, called kurtosis, or “peaked-

ness” in Greek, which is defined as the ratio between the fourth cumulant and the square of the

second cumulant.

Appendix B

Review of Statistical Thermodynamics

starting from some intuitive postulates at the microscale, in Sect. B.1 we derive

Boltzmann’s fundamental definition of entropy, showing from that how to define

some basic macroscopic quantities, such as temperature and pressure. Then, in

Sect. B.2, we see the connection between thermodynamics and statistical mechanics

on a deeper level, showing the equivalence between free energy and partition func-

tion. Finally, in Sect. B.3, we derive an expression for the free energy of a fluid that

is used in Chap. 9 within the context of the diffuse interface model.

B.1 Introduction

is equally likely to be found in any of its accessible states. Accordingly, the proba-

bility Π eq (C) that at equilibrium an isolated system is found in a given configuration

C equals the ratio between the number of accessible states associated with C, Ω(C),

and the total number of accessible states, Ωtot , i.e.,

eq Ω(C)

ΠC = . (B.1)

Ωtot

and d, which are to be placed in two containers, indicated as A and B. Then, the

accessible states associated with having two spheres in A and two in B correspond

to having in A the spheres ab, ac, ad, bc, bd or cd, so that Ω = 6, while Ωtot =

eq

24 = 16, yielding Π4 (2) = 3/8. Generalizing this result to N spheres, we find:

N eq N N 1

Ω(C) = , Ωtot = 2 ;

N

ΠN = , (B.2)

N/2 2 N/2 2N

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

188 B Review of Statistical Thermodynamics

where

N N!

= (B.3)

n n!(N − n)!

is the Tartaglia prefactor (see Appendix A).

Now, consider an ideal gas at equilibrium, composed of N molecules and con-

tained in a box of volume V . Isolating within V a subsystem of volume v, since

at equilibrium the gas is homogeneous, the probability to find a particle within the

volume v equals p = v/V , while the probability to find it in a volume V − v is

q = 1 − p. If the particles cannot be distinguished from each other, the probability

to find n molecules in the volume v and the remaining (N − n) within (V − v) is

equal to the binomial distribution (see Appendix A)

n

eq N n N−n N! v V − v N−n

ΠN (n) = p q = . (B.4)

n n!(N − n)! V V

In Appendix A we show that the binomial distribution is normalized, with the fol-

lowing values of the mean and dispersion values of n,

N

eq

ΠN (n) = 1; (B.5)

n=0

N

eq

n= nΠN (n) = Np; (B.6)

n=0

N

eq

(δn)2 = (n)2 = (n)2 ΠN (n) = Npq, (B.7)

n=0

where n = n − n.

eq

When we plot ΠN as a function of n/N for a given value of v/V , we see that,

as N increases, the binomial distribution p becomes

√ sharper an sharper around its

mean, equilibrium value, n/N = p, as δn/N = pq/N , thus confirming what

we saw in Sect. 1.1. In addition, letting N → ∞, with ρ = x = limN→∞ n/N

denoting a continuous density function, we can define a continuous distribution

eq

Π eq (x) dx = limN→∞ N1 ΠN (n), seeing that the binomial curve tends to a Gaus-

sian distribution, centered around x = n/N and having a dispersion, or variance,

equal to σ 2 = (x)2 = (δx)2 = pq/N , [see Eqs. (A.24)–(A.25)]

1 (x − x)2

Π eq (x) = √ exp − . (B.8)

2π σ 2σ 2

In general, we may conclude that for any thermodynamic quantity x, there is a

probability Π eq (x̃) that A will be equal to a certain value, x̃, defined as the ratio

between the number of times that we measure x = x̃ and the total number of mea-

surements, as this latter goes to infinity. This probability is maximum when x̃ coin-

cides with the equilibrium value, x = x, while it decays rapidly as we move away

B.1 Introduction 189

from it. In fact, Π eq (x̃) is a sharp function whose width tends to zero as N → ∞,

i.e. for classical thermodynamics, where we assume that all the variables describing

the state of a system are constant.

Now, in isolated systems, the number of accessible states Ω (and the equilibrium

probability distribution as well) depends on its state variables, but it cannot depend

on a particular reference frame. Accordingly, Ω may depend only on the invariants

of the system, namely its energy, E, momentum, Q, and angular momentum, M.

To understand which type of relations we expect to exist among these quantities,

let us suppose that our system is composed of two separate subsystems, 1 and 2 [3,

Chaps. 4 and 9]. Then, the accessible states Ω1+2 (x1 + x2 ) associated with subsys-

tem 1 having a given configuration x1 and subsystem 2 another given configuration

x2 , equals the product of the accessible states Ω1 (x1 ) and Ω2 (x2 ) of the single sub-

systems, i.e. Ω1+2 (x1 + x2 ) = Ω1 (x1 ) × Ω2 (x2 ). On the other hand, E, Q and M

are extensive variables, so that E = E1 + E2 , Q = Q1 + Q2 and M = M1 + M2 . So,

we may conclude:

ln Ω = α + βE + C1 · Q + C2 · M, (B.9)

where α, β, C1 and C2 are characteristics of the system. Therefore, when our system

is isotropic, C1 = C2 = 0, so that the probability that the system is in a state k is:

where Ek is the energy of the state k and C a constant, showing that Ω(E) is a very

rapidly increasing function of E, compatible with all the other constraints that the

system must satisfy.

Let us consider an isolated macroscopic system with constant volume, divided

into two parts through a fixed, thermally conducting partition, therefore assuming

that the two subsystems are free to exchange heat, but not work. Accordingly, al-

though the total energy, Etot = E1 + E2 , will remain constant, the energy of subsys-

tem 1 and 2, E1 and E2 , will fluctuate around their equilibrium value, due to the heat

δQ = dE1 , that is exchanged between the two subsystems. As we saw, the number

of accessible states Ω1 available to subsystem 1 is an exponentially increasing func-

tion of its energy E1 , the same happening to subsystem 2. Accordingly, just as we

saw in the case of an ideal gas contained in two subsystems [cf. Eq. (B.8) at x = x

when N 1], the total number of accessible states Ω = Ω1 Ω2 (and therefore its

logarithm as well) will exhibit an extremely sharp maximum when E1 = E 1 , which

is the equilibrium value of the energy of subsystem 1, (obviously, the equilibrium

value of subsystem 2 is given by E 2 = Etot − E 1 ) [4, Chap. 3.3]. Therefore,

d ln Ω d ln Ω1 d ln Ω2 d ln Ω1 d ln Ω2

= + = 0, i.e. = , (B.11)

dE1 dE1 dE1 dE1 dE2

where we have considered that dE1 = −dE2 . So, defining

d ln Ω

β= , (B.12)

dE

190 B Review of Statistical Thermodynamics

we obtain:

β1 = β2 , (B.13)

indicating that at thermal equilibrium the property β of the two subsystems are

equal to each other. In fact, as β has the units of an inverse energy and is obviously

connected with the thermodynamic temperature, it is convenient to define it so that

it agrees with all previous definition of temperature as

1

β= , (B.14)

kT

Therefore, considering that from thermodynamics,

1 ∂S

= , (B.15)

T ∂E V

S = k ln Ω. (B.16)

This is Boltzmann’s fundamental definition of entropy, which allows to connect

microscopic statistical mechanics with macroscopic thermodynamics. In fact, as we

indicate below, this result will lead directly to the thermodynamic second law, as

stated in Eq. (B.22). In addition, considering that, according to the postulate (B.1),

the number of accessible states is proportional to the probability at local equilibrium,

Eq. (B.16) can be rewritten as,

1

Π (x) = C exp Stot (x) ,

eq

(B.17)

k

Generalizing this analysis, subdividing the system in as many subsystems as pos-

sible, we see that at equilibrium the energy of a system tends to distribute equally

among all its degrees of freedom, with each degree of freedom having an average

energy equal to 12 kT . This is the so-called equipartition principle, and is equiva-

lent to the second law of thermodynamics [2]. In fact, with this assumption, the

definition of temperature of classical thermodynamics can be obtained as follows.

Consider one mole of a very dilute gas1 contained in a volume V . From elementary

considerations of kinetic theory, we see that the NA gas particles exert on the wall a

force per unit surface (i.e. a pressure P ) equal to 13 NVA m v 2

, where m is the mass of

each particle. Then, considering that from the equipartition principle m v 2

= 3kT

(as each particle has three degrees of freedom), we obtain the well known ideal

1 Remind that in 1 mole of an ideal gas there are NA molecules, where NA = 6.022 × 1023 mole−1

is the Avogadro number.

B.2 Connection with Thermodynamics 191

gas law, P V = RT , where R = NA k is the gas constant. This coincides with the

definition of temperature in classical thermodynamics, i.e.

PV

T = lim . (B.18)

P →0 R

Naturally, we could carry over the same analysis assuming that the two subsys-

tems are separated by a moving, thermally insulating, partition, so that they can

exchange mechanical work, but not heat. In that case, imposing that the equilibrium

volume V1 will maximize the total number of accessible states Ω, we can derive the

condition of mechanical equilibrium, as

d ln Ω d ln Ω1 d ln Ω2 d ln Ω1 d ln Ω2

= + = 0, i.e. = , (B.19)

dV1 dV1 dV1 dV1 dV2

where we have considered that dV1 = −dV2 . Therefore, we obtain the condition

that at equilibrium the two pressures are equal, defining

1 d ln Ω

P= . (B.20)

β dV

Clearly, when our system is not at equilibrium, with the two subsystems having

different temperatures, T1 and T2 and pressures P1 and P2 , then a heat Q and a work

W will be exchanged between the two subsystems (from higher to lower tempera-

ture and pressure) in order to equilibrate their temperature and their pressure, thus

maximizing the total entropy S1 + S2 .

In general, considering that,

∂ ln Ω ∂ ln Ω

d ln Ω = dE + dV , (B.21)

∂E ∂V

and substituting (B.15), (B.16) and (B.20), we obtain the well known following

expression:

dE = T dS − P dV , (B.22)

where both the first and the second laws of thermodynamics are manifested.

Consider again an isolated system, with total energy E0 , composed of two subsys-

tems in thermal interaction with one another, assuming that one of them, say A, is

much smaller than the other, say R, which we will therefore call a heat reservoir,

having temperature T . If A is in one definite state k, with energy Ek , the number

of states accessible to the whole system is just the number of states accessible to R,

192 B Review of Statistical Thermodynamics

∂ ln ΩR

ln ΩR (E0 − Ek ) = ln ΩR (E0 ) − Ek + · · · α − βEk , (B.23)

∂E 0

ingly, since the probability of A being in a state k is proportional to the number of

accessible states under these conditions, we obtain:

eq 1 −βEk

Πk = Π eq (Ek ) = e . (B.24)

Z

Here Z is a normalization constant, which can be evaluated imposing that the sum

of all probabilities taken over all the accessible states, irrespective of their energy,

must be equal to 1,

Π eq (Ek ) = 1, (B.25)

k

obtaining:

Z= e−βEk . (B.26)

k

ics.3

Now we intend to show that all physical quantities can be expressed in terms of

the partition function, Z, defined in (B.26). So, for example, the mean energy of a

subsystem in thermal contact with a heat reservoir can be calculated as follows:4

−βEk

eq k Ek e

E

= E = E k Πk = −βEk

. (B.27)

k ke

Accordingly, we find:

1 ∂Z ∂ ln Z ∂(F /T )

E=− =− = −T 2 , (B.28)

Z ∂β ∂β ∂T

where

En

F = −kT ln Z = − kT ln exp − (B.29)

n

kT

3 The letter Z is used because the German name is Zustandsumme.

4 Ingeneral, the mean energy of a system is identified with its internal energy, provided that the

contribution of the overall kinetic and potential energies can be neglected.

B.2 Connection with Thermodynamics 193

is the Helmholtz free energy. This equality can be easily seen considering that, as

S = −∂F /∂T , Eq. (B.28) leads to the free energy definition,

F =E−TS (B.30)

and, conversely,

E

S= + k ln Z. (B.31)

T

This is another way to express the connection between mechanics (i.e. the energy

of the states of the system) and thermodynamics. In particular, substituting (B.29)

into (B.24), we obtain:

eq

kT ln Πk = F − Ek . (B.32)

This last relation is important, as it allows us to express Boltzmann’s fundamental

definition of entropy, Eq. (B.16), in an equivalent form. In fact, considering that,

1 1 eq

S= (E − F ) = (Ek − F )Πk , (B.33)

T T

k

where we have applied (B.27), together with the normalization condition (B.25),

and substituting (B.32), we obtain:

eq eq

S = −k Πk ln Πk , (B.34)

k

eq

where, we remind, Πk = Π eq (Ek ) is the probability (B.24) that the system has

energy Ek . Therefore, considering that ln Π eq (E) is a linear function of E, this last

relation can also be written as,

S = −k ln Π eq (E) = −k ln Π eq (E). (B.35)

Note that in this derivation the system is assumed to have T and V constant.

Therefore, the partition function and the free energy are defined as a function of

T and V , i.e., F = F (T , V ). Then, once we know F , all other thermodynamic

functions can be determined from it, such as P = (∂F /∂V )T , S = −(∂F /∂T )V

and G = F + P V .

Proceeding in the same way, we find:

∂E ∂En −βEn −βEn

P =− = e e , (B.36)

∂V n

∂V n

that is:

1 ∂ ln Z

P= . (B.37)

β ∂V

194 B Review of Statistical Thermodynamics

∂ ln Z ∂ ln Z

d ln Z = dV + dβ, (B.38)

∂V ∂β

where E denotes the mean energy E. Here δW = −P dV is the work done by (and

therefore exiting) the system, and we have used the definition (i.e. the first law of

thermodynamics) δQ = dE + δW of the heat Q entering the system. Finally, sub-

stituting (B.31) into (B.39), we obtain the second law of thermodynamics in the

form,

δQ = T dS, (B.40)

showing that although δQ is not an exact differential, an exact differential results

when it is divided by T .

of volume V and having a temperature T . The starting point is the expression (B.29)

for the free energy,

En

F = −kT ln exp − , (B.41)

n

kT

where the sum is taken over all the possible states of the system. In general,

as the

total energy E is the sum of the energies of each of the N molecules, i.e. E = k k

and considering that the molecules are indistinguishable from each other, we have:

N

En 1 k

exp − = exp − , (B.42)

n

kT N! kT

k

sents the states of the molecules. Therefore, we obtain the following expression for

the free energy:

k

F = kT ln N ! − N kT ln exp − . (B.43)

kT

k

B.3 Free Energy of Fluids 195

write:

e k

F = −N kT ln exp − . (B.44)

N kT

k

In general, the energy of a molecule is the sum of a kinetic and a potential part,

p2

= + ψ, (B.45)

2m

where p is the momentum and ψ the potential energy.

First, let us consider the case of an ideal gas, where ψ = 0, i.e. the molecules do

not interact with each other. Converting the summation into an integral we apply the

following rule,

+∞

1

(. . .) = 3 (. . .) d 3 p d 3 r, (B.46)

h V −∞

k

where the volume integral is taken over the volume occupied by the fluid (in this

case, it is the molar volume), while the momentum integral is taken over all the

possible momenta, i.e. from −∞ to +∞. Here h is a normalization constant, rep-

resenting the volume, in phase space, occupied by a single state6 having the units

of an action, which, as we will see, has no importance for our purposes. In order to

determine it, though, we must apply quantum mechanics, finding that it coincides

with Planck’s constant. Then we find:

e p2

Fid = −N kT ln exp − d 3 p d 3 r, (B.47)

N h3 2mkT

that is,

3/2

eV 2πmkT

Fid = −N kT ln = −N kT ln V + funct(T ). (B.48)

N h2

∂fid N kT

P =− = . (B.49)

∂V T V

For real gases, adding the contribution of the potential energy, ψ = ψ(r1 , . . . , rN )

and denoting by NA the Avogadro number, we obtain:

−ψ/kT

F = Fid − kT ln CNA N

... e 3 3

ρ(r1 ) d r1 . . . ρ(rN ) d rN , (B.50)

V V

196 B Review of Statistical Thermodynamics

where ρ is the molar density, so that NA ρ(r)d 3 r is the number of molecules in the

volume d 3 r, while C is an appropriate constant that avoids to count twice the same

molecule. Now, adding and subtracting 1, and assuming pairwise interactions, i.e.

the potential energy ψ depends only on the distance r between two molecules, we

obtain:

2

NA −ψ(r)/kT

2 V V

where r = |r1 , −r2 |, while NA2 /2 NA (NA − 1)/2 is the number of ways we can

choose a couple within a sample of NA molecules. At this point, assuming that the

integral is much smaller than 1, since ln(1 + ) , we obtain:

kT NA2

2 V V

Finally, denoting x = r1 and r = r2 − r1 , and defining the local molar free energy f

as

F= f (x) d 3 x, (B.53)

V

we obtain:

1

2 V

where

fid (x) = RT ln ρ(x) + funct(T ). (B.55)

The expression (B.54) is the starting point to derive the diffuse interface model

of multiphase flows.

References

1. Einstein, A.: Ann. d. Physik 33, 1275 (1910)

2. Hatsopoulos, G.N., Keenan, J.H.: Principles of General Thermodynamics. Wiley, New York

(1965)

3. Landau, L.D., Lifshitz, E.M.: Statistical Physics, Part I. Pergamon, Elmsford (1980)

4. Reif, F.: Fundamentals of Statistical and Thermal Physics. McGraw Hill, New York (1965)

Appendix C

Principle of Causality

The causality principle states that an effect may never precede in time its cause. In

this appendix, we see how this trivial statement leads us to derive a general relation

(i.e. the Kramers-Kronig relations) that must be satisfied by any susceptibility.

Denote by xx (ω) the Fourier transform of the correlation function σ xx (t), defined

σik ik

in (2.15), i.e.,

∞

σik (ω) =

xx xx

σik (t)eiωt dt, (C.1)

−∞

where

∞

dω

xx

σik (t) = xi (t)xk (0) = xx

σik (ω)e−iωt . (C.2)

−∞ 2π

xx (t) is real, we see that

From the definition (C.1) and considering that σik

xx

σik (ω) =

σkixx∗ (ω) = xx

σik (−ω). (C.3)

where the asterisk denotes complex conjugate. In addition, from the condition (2.16)

xx (t) = σ xx (−t), we obtain the following rela-

of microscopic reversibility, i.e. σik ik

tion:

xx

σik (ω) =

σkixx (ω). (C.4)

Now, from Eqs. (C.3)–(C.4) we see that xx (ω) is a real and even (i.e. its imaginary

σik

and odd parts are zero), symmetric tensor, i.e.,

xx

σik (ω) = xx∗

σik (ω) = xx

σik (−ω) =

σkixx (ω). (C.5)

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

198 C Principle of Causality

Accordingly,

∞ dω

xx

σik (τ ) = 2 xx

σik (ω) cos(ωτ ) . (C.6)

0 2π

In particular,

∞

−1 dω

xx

σik (0) = xi xk

= kgik =2 xx

σik (ω) . (C.7)

0 2π

As we saw in the previous chapter, near equilibrium generalized forces, X and gen-

eralized displacements x are linearly related. For time-dependent processes, this

relation can be generalized as the following convolution integral:

n

∞

xi (t) = κik t − t
Xk t
dt
, (C.8)

k=1 0

where κik (t) is a time dependent generalized susceptibility. Since the effect may not

precede in time its cause, we have:

Now, when we consider the Fourier transform of x and X, the convolution integral

(C.8) becomes the simple relation,

n

xi (ω) = k (ω).

κik (ω)X (C.10)

k=1

−1

κik (0) = −gik . (C.11)

Let us see what effect the causality condition (C.9) has on the susceptibility matrix.

For this purpose, we extend the definition of Fourier transform (C.1) to complex

values ω = ω(r) + iω(i) of the argument. Since κik (t) vanishes for negative times,

the Fourier integral (C.1) can be rewritten between 0 and ∞ as:

∞ ∞

(r) (i)

κik (ω) = κik (t)eiωt dt = κik (t)eiω t−ω t dt. (C.12)

0 0

For positive values of ω(i) , this integral exists and is finite, and it tends to zero as

ω(i) → ∞. Therefore, the statement equivalent to the causality condition (C.9) is:

C.2 Kramers-Kronig Relations 199

The function

κ (ω), with ω = ω(r) + iω(i) , has no poles (i.e. no singular points)

in the upper half of the complex plane and tends to zero in the limit as ω(i) → ∞.

Now we apply Cauchy’s theorem, stating that, given a closed contour in the com-

plex plane, any function f (ω) having no poles inside that contour satisfies the rela-

tion:

f (ω) dω = 0, (C.13)

where the integral is taken along the contour (e.g. in counter clockwise direction).

We shall apply this theorem to the function,

κik (ω)

f (ω) = , (C.14)

ω−u

where u is real. The contour we choose include the whole upper half of the complex

plane (in the lower half there might be poles). It extends along the whole real axis,

avoiding the point w = u (which is a pole of the function f (ω)) with a semi-circle of

radius r in the upper half of the complex plane and is closed by a semi-infinite semi-

circle, also in the upper half of the complex plane. Inside this contour, the function

f (ω) has no poles and therefore we can apply Cauchy’s theorem,

∞

u−r

κik (ω)

κik (ω)

κik (ω)

dω + dω + dω = 0, (C.15)

−∞ ω−u u+r ω − u Cr ω−u

where Cr is the small semicircle with radius r around the pole ω = u, passed in

clock-wise direction, and we have considered that the line integral along the infinite

semicircle vanishes, since κik (ω) tends exponentially to zero as ω(i) → ∞. In the

limit as r → 0, the first two integrals together reduce to the so-called principal part

of the integral from −∞ to ∞. The last integral can be easily evaluated considering

that ω = u + reiθ (here θ denotes the angle between the radius of the circle and the

positive side of the real axis) as follows,

κik (ω) 0

dω = lim κik u + reiθ i dθ = −iπ

κik (u). (C.16)

Cr ω−u r→0 π

Therefore we obtain:

∞

1

κik (ω)

κik (u) = P dω, (C.17)

iπ −∞ ω − u

where the symbol P denotes the principal value integral. Equation (C.17) is referred

to as the Kramers-Kronig relation, which can be considered as a direct consequence

of the causality condition (C.9).

Applying again Cauchy’s theorem to the function,

eiω|t|

κik (ω)

f (ω) = , (C.18)

ω−u

200 C Principle of Causality

∞

1 eiω|t|

κik (ω)

e

κik (u) =

iu|t|

P dω. (C.19)

iπ −∞ ω−u

∞

1 eiω|t|

κik (ω)

κik (0) = P dω. (C.20)

iπ −∞ ω

Now, let us see what happens when a constant driving force Fi is applied at times

t < 0, while it is lifted at t = 0, i.e. when,

1 when t > 0

H (t) = . (C.22)

0 when t < 0

1

Xi (ω) = Fi πδ(ω) + P . (C.23)

iω

n

∞

xi (t) = e−iωt k (ω) dω ,

κik (ω)X (C.24)

−∞ 2π

k=1

and obtain:

n
∞

1 1 −iωt

κik (ω)

xi (t) = κik (0) + P e dω Fk . (C.25)

2 iπ −∞ ω

k=1

n

xi (t) =

κik (0)Fk (t < 0). (C.26)

k=1

This is a trivial result, indicating that for t < 0 the constant driving force induces

a constant response. On the other hand, for positive times, substituting (C.20) into

(C.24) we find:

∞

1

n

κik (ω)

xi (t) = P cos(ωt) dωFk (t > 0). (C.27)

iπ −∞ ω

k=1

C.2 Kramers-Kronig Relations 201

χik (t), such that

n

xi (t) = χik (t)Fk , (C.28)

k=1

with

κik (0) if t < 0

χik (t) = 1 ∞

κik (ω) . (C.29)

iπ P −∞ cos(ωt) ω dω if t > 0

Formally, that means that for practical purposes we can write:

2

ik =

χ

κik (ω). (C.30)

iω

Appendix D

Review of Analytical Mechanics

tion of Newton’s mechanics. In Sects. D.1, D.3 and D.4 of this appendix, we see

that in both Lagrangian and Hamiltonian approaches energy, instead of force, is the

fundamental quantity. This allows to see clearly the connection between invariance

with respect to a certain variable and the conservation of the associated momentum

(Sect. D.2). Finally, in Sect. D.5, we present a generalization to non conservative

systems.

tion of any particle i can be described through Newton’s equation,

Fi = mr̈i , (D.1)

r̈i = d 2 ri /dt 2 is the acceleration, while Fi = −∂V/∂ri is the force, which here

is expressed as the gradient of a position-dependent potential energy V(r). New-

ton’s equations consist of second-order ordinary differential equations, which can

be integrated by knowing two conditions. Therefore if, at any instant of time, for

each particle we know the position and the velocity, then we can determine their

trajectories in the future and in the past.

Now, multiply Eq. (D.1) by any, so called, virtual displacement δri of the system,

describing a movement that is consistent with all the constraints.1 Therefore, we

1 A virtual displacement is an infinitesimal change of the system coordinates occurring while time

is held constant; it is called virtual rather than real since no actual displacement can take place

without the passage of time.

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

204 D Review of Analytical Mechanics

N

N

Fi · δri = −δV = mi r̈i · δri , (D.2)

i=1 i=1

where the negative change of potential energy, −δV, equals the virtual work of all

active forces.

When the system is subjected to time independent constraints (e.g. the distance

between two particles is constant), we will have only n < 3N degrees of freedom,

corresponding to n independent generalized coordinates, qj , with j = 1, 2, . . . , n,

and we can write

n

∂ri

ri = ri (q1 , q2 , . . . , qn ); δri = δqj . (D.3)

∂qj

j =1

n

∂V

N

n

∂ri

−δV = − δqj = mi r̈i · δqj , (D.4)

∂qj ∂qj

j =1 i=1 j =1

and considering that the virtual generalized displacements δqj are arbitrary, we ob-

tain:

N

∂ri ∂V

mi r̈i · + = 0. (D.5)

∂qj ∂qj

i=1

The first term on the LHS of the above equation can be rewritten as,

N

∂ri d ∂T ∂T

mi r̈i · = − , (D.6)

∂qj dt ∂ q̇j ∂qj

i=1

1

N

T = mi |ṙi |2 . (D.7)

2

i=1

The proof of this statement can be broken down in three steps. First, substituting

(D.3), we have:

∂T N

∂ ṙi

= mi ṙi · . (D.8)

∂ q̇j ∂ q̇j

i=1

D.1 Lagrangian Approach 205

Then, considering that the operators of virtual variation, δ, and that of time differ-

entiation, d/dt, are commutable, as they are independent from each other, we can

write:

n n

d d ∂ri ∂ri

δṙi = δri = δqj + δ q̇j , (D.9)

dt dt ∂qj ∂qj

j =1 j =1

and therefore:

∂ ṙi d ∂ri ∂ ṙi ∂ri

= ; = . (D.10)

∂qj dt ∂qj ∂ q̇j ∂qj

Finally, substituting this last relation into (D.8) and time differentiating, we obtain:

∂ri

N N

d ∂T ∂ ṙi

= mi r̈i · + mi ṙi · , (D.11)

dt ∂ q̇j ∂qj ∂qj

i=1 i=1

where we have considered that the operators d/dt and ∂/∂qj commute with each

other, as seen in (D.10). At the end, substituting the equality

∂T N

∂ ṙi

= mi ṙi · . (D.12)

∂qj ∂qj

i=1

The previous findings, Eqs. (D.4) and (D.6), can be reinterpreted defining a new

function, L, called Lagrangian, as

L(q, q̇) = T (q, q̇) − V(q), (D.13)

obtaining:

d ∂L ∂L

− = 0. (D.14)

dt ∂ q̇j ∂qj

These are the equations of Lagrange. They constitute a system of n second-

order differential equations and are expressed in terms of the coordinates qj (j =

1, 2, . . . , n). Although Lagrange’s equation is equivalent to Newton’s equation of

motion,3 in many problems it is more useful, as it is easier to write down an ex-

pression for the energy of a system instead of recognizing all the various forces (see

Comment D.3 below).

Comment D.1 The Lagrangian is defined within the time derivative of an arbitrary

function of time and position, f˙(q, t). This can be easily seen, considering that

d ∂ f˙ ∂ f˙ d ∂f ∂ f˙

− = − = 0, (D.15)

dt ∂ q̇j ∂qj dt ∂qj ∂qj

where Eq. (D.10) has been applied.

206 D Review of Analytical Mechanics

Comment D.2 When we express the “old” coordinates in terms of the generalized

coordinates, applying Eq. (D.3) we see that the kinetic energy becomes:

1

n N

∂ri ∂ri

T (q, q̇) = aj k (q)q̇j q̇k ; aj k (q) = mi · . (D.16)

2 ∂qj ∂qk

j,k=1 i=1

This shows that, while the potential energy is only a function of the generalized co-

ordinates, the kinetic energy (a) is a quadratic function of the generalized velocities;

(b) depends on the generalized coordinates as well.

radial coordinates (r, φ). We see that |ṙ|2 = ṙ 2 + r 2 φ̇ 2 . Therefore, denoting q1 = r

and q2 = φ, we obtain the expression (D.16) for the kinetic energy, with a11 = m,

a12 = a21 = 0 and a22 = mr 2 . Now, if the particle has mass m and is immersed in a

Coulomb force field, with V(r) = −K/r, where K is a constant, the Lagrangian is:

m 2 K

L= ṙ + r 2 φ̇ 2 + . (D.17)

2 r

Therefore, Lagrange’s equations (D.14) give:

d ∂L ∂L d K

− =0 ⇒ (mṙ) = mr φ̇ 2 − 2 , (D.18)

dt ∂ ṙ ∂r dt r

and

d ∂L ∂L d 2

− =0 ⇒ mr φ̇ = 0. (D.19)

dt ∂ φ̇ ∂φ dt

This latter equation shows that mr 2 φ̇, denoting angular momentum, is a conserved

quantity.

Clearly, if we try to derive (D.18) and (D.19) from Newton’s equation of motion,

we would have a much more difficult time.

Expressing them in terms of q and q̇ at any time, we see that during the evolu-

tion of our system there are 2n quantities that are conserved. Among them, though,

energy and momentum conservation are particularly important as they derive from

symmetry considerations.

ity of time.

D.2 Conservation Laws 207

Imposing that the Lagrangian does not change if time t is shifted by a constant

amount a = δt, i.e.

∂L ∂L

a=0 ⇒

δL = = 0, (D.20)

∂t ∂t

wee see that L cannot depend explicitly on time. Accordingly, considering that

dL ∂L ∂L ∂L

= + q̇j + q̈j , (D.21)

dt ∂t ∂qj ∂ q̇j

j

dL d ∂L ∂L d ∂L

= q̇j + q̈j = q̇j . (D.22)

dt dt ∂ q̇j ∂ q̇j dt ∂ q̇j

j j

Therefore,

dH

= 0; (D.23)

dt

where4

∂L

H= q̇j −L , (D.24)

∂ q̇j

j

revealing that H is conserved, i.e. it remains invariant during the evolution of the

system.

The function H is called Hamiltonian and coincides with the total energy of the

system. In fact, considering that the kinetic energy is a quadratic function of the

generalized velocities [cf. Eq. (D.16)], we obtain:5

∂L ∂T

q̇j = q̇j = 2T , (D.25)

∂ q̇j ∂ q̇j

j j

H = T + V, (D.26)

i.e. the Hamiltonian is the sum of the kinetic and potential energy.

momentum and angular momentum derive from the homogeneity and isotropy of

space.

4 With the symbol H here we indicate also the Hamiltonian of the system (see next section) which

coincides with this function, but it is expressed in terms of generalized coordinates and momenta

(instead of velocities).

5 This can be seen as a result of Euler’s theorem.

208 D Review of Analytical Mechanics

change if the origin of our reference frame is shifted by a constant amount a = δr,

we obtain:

N

∂L

N

∂L

δL = ·a=0 ⇒ = 0. (D.27)

∂ri ∂ri

i=1 i=1

Considering that ∂L/∂ri = −∂V/∂ri = Fi represents the force acting on the i-th

particle, the expression (D.27) indicates that the sum of all the forces acting on the

particles of an isolated system must vanish, i.e.,

N

Fi = 0. (D.28)

i=1

N

d ∂L d ∂L

N

= = 0. (D.29)

dt ∂ ṙi dt ∂ ṙi

i=1 i=1

In our case, though, ∂L/∂ ṙi = mi ṙi is the momentum pi of the i-th particle. There-

fore, (D.29) can be rewritten as:

dP

N

∂L

= 0; P= pi ; pi = , (D.30)

dt ∂ ṙi

i=1

indicating that the total momentum of the system is conserved. This relation also

reveals that momentum is an additive quantity, as the total momentum is the sum of

the momenta of each particle.

The same procedure can be applied imposing that, as a consequence of space

isotropy, the Lagrangian does not change if our reference frame is rotated by a con-

stant angle δφ, so that each point i is shifted by an amount δri = ri × δφ. At the

end, in place of (D.28), we obtain:

N

i = 0; i = ri × Fi , (D.31)

i=1

indicating that the sum of all the torques acting on the particles of an isolated system

must vanish. Also, considering that ∂L/∂ φ̇i = ri × mi ṙi is the angular momentum

mi of the i-th particle, in place of Eq. (D.30) we obtain:

dM

N

∂L

= 0; M= mi ; mi = , (D.32)

dt ∂ φ̇i

i=1

D.3 Hamiltonian Approach 209

terms of generalized coordinates qj , we can define the generalized momentum pj ,

∂L

pj = , (D.33)

∂ q̇j

∂L

Fj = . (D.34)

∂qj

Accordingly, Lagrange’s equations (D.14) can be rewritten as:

ṗj = Fj . (D.35)

i.e. Fk = ∂L/∂qk = 0, then we see that dpk /dt = 0, that is the conjugated momen-

tum pk is conserved. Conservation of energy, momentum and angular momentum

can be considered as particular cases of this statement. This property is generally

referred to as Noether’s theorem.

In general, from (D.16) we see that, although the generalized momentum pj

is a linear function of the generalized velocities q̇j , it does not always reduce to

a simple product of a mass by a velocity. In fact, as generalized coordinates and

momenta can be transformed through canonical transformations [2], denoting qj as

coordinate and pj as momentum is only a question of nomenclature.

∂L ∂L

dL = dqj + d q̇j , (D.36)

∂qj ∂ q̇j

j

dL = (ṗj dqj + pj d q̇j ). (D.37)

j

H= pj q̇j − L, (D.38)

j

where we have applied the definition (D.33) of momentum. The function H is called

the Hamiltonian of a system and is expressed in terms of coordinates and momenta,

210 D Review of Analytical Mechanics

dH = (−ṗj dqj + q̇j dpj ). (D.39)

j

∂H ∂H

q̇j = ; ṗj = − . (D.40)

∂pi ∂qi

1, 2, . . . , n) and constitute a system of 2n first-order differential equations. From

a practical point of view, in most cases they are not as convenient to implement as

Lagrange’s equations which, as we saw, constitute a set of n second-order differ-

ential equations. However, due to their symmetry and elegance, they provide a very

important insight into the intrinsic laws of mechanics. For that reason, they are often

called canonical equations.

In the most general case where H = H(qj , pj , t) and L = L(qj , q̇j , t) depend

explicitly on time, we have,

dH ∂H ∂H ∂H

= + q̇j + ṗj , (D.41)

dt ∂t ∂qj ∂pj

j

dH ∂H

= . (D.42)

dt ∂t

In addition, in the expression (D.37) we would have the additional term, (∂L/∂t)dt,

which would be subtracted from (D.39), so that at the end we obtain:

∂H ∂L

=− . (D.43)

∂t q,p ∂t q,q̇

Here, we have stressed that the time derivative on the LHS must be performed with

qj and pj constant, while that on the RHS have qj and q̇j constant.

The procedure above can be generalized to any function F (qj , pj , t), i.e.,

dF ∂F ∂F ∂F

= + q̇j + ṗj , (D.44)

dt ∂t ∂qj ∂pj

j

dF ∂F

= + {H, F }, (D.45)

dt ∂t

D.4 Principle of Minimum Action 211

where

∂H ∂F ∂H ∂F

{H, F } = − . (D.46)

∂pj ∂qj ∂qj ∂pj

j

This is called Poisson’s parenthesis between H and F . Therefore, we wee that a dy-

namical variable F = F (qj , pj ) that does not depend explicitly on time is an inte-

gral of motion, i.e. dF /dt = 0, only when {H, F } = 0, i.e. its Poisson’s parenthesis

with the Hamiltonian is zero. In addition, from the definition (D.46) we obtain:

ciple.

A particularly important application of this theory is the theorem of Liouville,

where we consider systems composed of a very large number of degrees of free-

dom, N . In this case, as solving the system of 2N differential canonical equations

is impossible,6 we study the evolution of the probability density ΠN (qj , pj , t) in

the phase space (qj , pj ). Since ΠN is conserved, it must remain constant during the

evolution of the system, i.e.,7

dΠN

= 0, (D.48)

dt

so that, applying (D.45), we obtain Liouville’s equation,

∂ΠN

+ {H, ΠN } = 0. (D.49)

∂t

In particular, at steady state, when ∂ΠN /∂t = 0, we reach an equilibrium condition,

eq

with ΠN = ΠN , so that:

eq

H, ΠN = 0, (D.50)

eq

that is ΠN must be an integral of motion. In particular, Eq. (D.50) is satisfied when

eq

ΠN is an arbitrary function of the total energy E = H, although this is by no means

the only solution.

In the cases that are of interest here, i.e. systems subjected to conservative forces

and with ideal (i.e. non dissipative) constraints, Lagrange’s equation can be derived

from a very general and beautiful principle. The idea is to study the evolution of a

6 Themain reason of this impossibility is that we do not know the initial conditions for all the N

degrees of freedom.

7 This statement is proven formally in Appendix E; see Eqs. (E.1)–(E.5).

212 D Review of Analytical Mechanics

ri (t1 ) at time t1 to a final configuration ri (t2 ) at time t2 by perturbing the trajectories

ri (t) by virtual (i.e. compatible with all constraints) displacements δri (t), where, by

definition,

δri (t1 ) = δri (t2 ) = 0. (D.51)

First, take the time integral of Eq. (D.2):

t2

N

δV + mi r̈i · δri dt = 0. (D.52)

t1 i=1

t2

N N t2

N

d ṙi

mi · δri dt = [mi ṙi · δri ]tt21 − mi ṙi · δṙi . (D.53)

t1 dt t1

i=1 i=1 i=1

Therefore applying (D.51), observing that the last term above is the variation of the

kinetic energy (D.7), δT , and

considering that the operator of virtual variation, δ,

and that of time integration, dt (just like time differentiation, d/dt) are indepen-

dent from each other and therefore are commutable, we obtain:

δS = 0, (D.54)

t2

S= L dt. (D.55)

t1

Equation (D.54) is the principle of minimum action and reveals that a system evolves

in such a way to minimize the action.9

As mentioned in the previous section, when the system is subjected to time in-

dependent constraints we will have only n independent generalized coordinates, qj ,

with j = 1, 2, . . . , n, and we can write L(q, q̇) = T (q, q̇)−V(q). Accordingly, from

Eq. (D.54) we can obtain again Lagrange’s equation. In fact, we have:

n

∂L

n

∂L

δL = δqj + δ q̇j , (D.56)

∂qj ∂ q̇j

j =1 j =1

8 Being a scalar that depends on a function, i.e. the trajectory of the system, the action S is a

functional.

9 Clearly, Eq. (D.54) could also mean that the action is maximized. This is, however, impossible,

as one could always find a path with a larger action by slowing up the movement of the system for

most of the time (keeping the same trajectory) and then accelerating it at the end.

D.4 Principle of Minimum Action 213

n

t2

∂L d ∂L

(δqj ) + δqj dt = 0. (D.57)

t1 j =1 ∂ q̇j dt ∂qj

Integrating by parts the first term and considering that δqj = 0 at t = t1 and t = t2 ,

we finally obtain:

t2 n

d ∂L ∂L

− δqj dt = 0. (D.58)

t1 dt ∂ q̇j ∂qj

j =1

Now, since the virtual displacements δqj are arbitrary and since this equality must

hold for any t1 and t2 , we conclude that the integrand must be zero, yielding La-

grange’s equation (D.14), i.e.,

d ∂L ∂L

− = 0. (D.59)

dt ∂ q̇j ∂qj

According to the principle of minimum action, only one of the different trajecto-

ries connecting initial and final configurations refers to the real motion of the system,

and that corresponds to the trajectories that minimizes the S. Now, instead of keep-

ing the lower and upper limit of (D.55) fixed, let us compare the different values of

S corresponding to trajectories having the same initial configuration, but with vari-

able final configurations, i.e. when δri (t1 ) = 0 and δri (t2 ) = δri . In this case, the

first term on the RHS of Eq. (D.53) does not vanish, yielding i mi ṙi · δri , so that

at the end, instead of (D.54), we obtain, in generalized coordinates:

δS = pj δqj . (D.60)

j

∂S

= pj . (D.61)

∂qj

In the same way, the action can be seen as a function the time, i.e. we consider

the trajectories starting from the same initial configuration and ending at the same

final configuration, but at a different time, t2 = t. From its definition (D.55), we see

that the total derivative of S is:

dS

= L. (D.62)

dt

Therefore, considering that the action (D.55) is a function of both coordinates

and time of the upper limit, S = S(qj , t), we find:

dS ∂S ∂S ∂S

L= = + q̇j = + pj q̇j , (D.63)

dt ∂t ∂qj ∂t

j j

214 D Review of Analytical Mechanics

∂S ∂S

+ H qj , , t = 0, (D.64)

∂t ∂qj

where H = j pj q̇j − L is the Hamiltonian and the momenta have been expressed

as gradient of the action through (D.61). The equation of Hamilton-Jacobi, together

with Lagrange’s equations and the canonical equations, can be considered as one of

the governing equations of motion. Being a first-order partial differential equation,

however, solving the Hamilton-Jacobi equation is in general more complicated than

solving a system of ordinary differential equations, unless we can identify one or

more integral of motion [1].

In general, forces can be conservative (i.e. potential) and non conservative. Near

local equilibrium, non conservative forces are linearly related to velocities (i.e. they

are viscous forces), leading to the phenomenological equations (2.21),

n

n

q̇i = Lij Qj , i.e., Qi = L−1

ij q̇j , (D.65)

i=1 i=1

where Qi = k −1 ∂S/∂qi is a generalized force, while the coefficients Lij satisfy the

Onsager reciprocity relations, Lij = Lj i . Accordingly, the entropy production rate

is determined as [see Eqs. (2.34) and (2.35)],

n

∂S

n

kB−1 Ṡ = kB−1 q̇i = Qi q̇i , (D.66)

∂qi

i=1 i=1

obtaining:

n

n

n

n

kB−1 Ṡ = Lij Qi Qj = L−1

ij q̇i q̇j . (D.67)

i=1 j =1 i=1 j =1

Now, defining the drag coefficients, ζij = kT L−1ij , this last relation can be more

conveniently written defining the following dissipation function (an energy per unit

time), first defined by Rayleigh,

1

n n

1

F = T Ṡ = ζij q̇i q̇j . (D.68)

2 2

i=1 j =1

10 It

was discovered by Hamilton, but Jacobi pointed out its importance in determining solutions of

the canonical equations.

References 215

Accordingly, the total forces (both conservative and non conservative) can be written

as:

∂L ∂F

Fi = − , (D.69)

∂qi ∂ q̇i

so that the Lagrange equations (D.59) can be rewritten as:

d ∂L ∂L ∂F

− =− . (D.70)

dt ∂ q̇j ∂qj ∂ q̇i

motion becomes:

m · ẋ + ζ · ẋ + A · x = 0. (D.71)

References

1. Arnold, V.I.: Mathematical Methods of Classical Mechanics, pp. 255–270. Springer, Berlin

(1978)

2. Landau, L.D., Lifshits, E.M.: Mechanics. Pergamon, Elmsford (1976)

Appendix E

Microscopic Balance Equations

derived from the basic equation of statistical mechanics; in particular, in Sect. E.1

Boltzmann’s H theorem is derived, explaining the apparent paradox between micro-

scopic reversibility and macroscopic irreversibility. Then, in Sect. E.2, we see that

the balance equations that we have derived in Sect. 7 can also be obtained by coarse

graining the fundamental equations of classical mechanics, describing the motion

of all the particles that constitute our system.

E.1 H theorem

Let us consider a classical N -body system and define the ensemble probability func-

tion ΠN (x1 , x2 , . . . , xN , t), where xi = (ri , pi ) are the six-dimensional vectors con-

sisting of the space coordinates ri and momentum pi . ΠN (X, t)dX is the fraction of

the ensemble of replicates of the system to be found at time t in the volume element

dX about the point X = (x1 , x2 , . . . , xN ) in the 6N -dimensional space. Therefore,

ΠN is normalized as:

ΠN (X) dX = 1. (E.1)

X

The trajectories of the N particles can be determined through Hamilton’s equa-

tion of motion (D.40):

where ∇ri = ∂/∂ri and ∇pi = ∂/∂pi , the dot indicates time derivative and HN is

the Hamiltonian of the system.

Since particles are neither created nor destroyed, ΠN is a density in the X-space,

so that it obeys the continuity equation,

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

218 E Microscopic Balance Equations

N N 2

∂ HN ∂ 2 HN

∇X · Ẋ = ∇ri · ṙi + ∇pi · ṗi = − = 0, (E.4)

∂ri pi ∂pi ri

i=1 i=1

Π̇N + Ẋ · ∇X ΠN = 0, (E.5)

i.e.,

∂ΠN

N

+ ṙi · ∇ri ΠN + ṗi · ∇pi ΠN = 0. (E.6)

∂t

i=1

The entropy of the system is given by Eq. (B.34),

SN = −k ΠN ln ΠN dX = −k ln ΠN

, (E.7)

X

where we have defined the overall average A

derivative and considering the normalization (E.1) we obtain:

−1 dSN 1 dΠN dΠN d

−k = = dX = ΠN dX = 0, (E.8)

dt ΠN dt X dt dt X

showing that, when the motion of all particles is monitored exactly, with unlimited

precision, any process is iso-entropic, or reversible. In fact, entropy increase is a

consequence of a loss of information, which may be caused by coarse-graining or

particle indistinguishability.

Now, as the time derivative of the position is the velocity and the time derivative

of the momentum is the force, assuming that the particles interact via a two-body

potential we obtain:

N

ṙi = pi /m = vi ; ṗi = Fi + fij , (E.9)

j =1

where Fi (ri ) is the external force exerted on particle i, which depends only on

the position of particle i, while fij = ∇ri ψij is the interparticle force, with ψij =

ψ(|ri − rj |) denoting a potential, that depends only on the interparticle distance.

Here we have assumed that particles are indistinguishable, having, in particular, the

same mass m. For multicomponent systems, we can repeat this treatment for each

chemical species.

Now let us keep one particle (anyone of them, as they are identical) fixed, and

average the continuity equation (E.3) over positions and momenta of all the other

N − 1 particles, defining,

Π1 (x1 , t) = ΠN (x1 , x2 , . . . , xN , t) dx2 , . . . , xN . (E.10)

X

E.2 Balance Equations 219

Applying the equations of motion (E.2) and considering that, since ΠN is normal-

ized it must vanish very rapidly at infinity, we obtain:

∂Π DC Π

+ v · ∇r Π + F · ∇p Π = −N f12 ∇p Π2 dr2 dp2 = , (E.11)

∂t Dt

where the index 1 has been dropped for convenience. This is basically the Boltz-

mann equation, where its RHS indicates a loss of coherence and it needs some as-

sumptions on Π2 to be solved. In fact, as DC Π represents the difference between

the probability distribution before and after a particle-particle interaction, Boltz-

mann proposed his celebrated assumption of molecular chaos (Stosszahl Ansatz) to

estimate it. The role of this term is further clarified as we can easily show that

dS

> 0; S = −k ln Π

, (E.12)

dt

showing that the loss of coherence is the cause of the entropy monotonic increase

predicted by the second law of thermodynamics. This is generally referred to as

the H theorem, since S, apart from the minus sign, is also referred to as the H -

function.1

the evolution of Πk (x1 , x2 , . . . , xk , t), with k = 1, 2, . . . , N , which is generally re-

ferred to as the BBGKY hierarchy, after the work by Bogolyubov, Born, Green,

Kirkwood and Yvon. In general, these equations have the form:

DΠk

= F (Πk+1 ); Πk = ΠN dxk+1 . . . dxN ,

Dt

that is, in order to calculate Πk , we need to know Πk+1 . Therefore, we need a clo-

sure to truncate the series, and that is generally done by approximating, or ignoring,

the second- or higher-order correlation function.

Let us define the momentum average of any quantity f (r, p) as:

f (r, p)Π(r, p, t) dp N

f

(r, t) = = f (r, p)Π(r, p, t) dp, (E.13)

Π(r, p, t) dp n(r, t)

where n is the number density, i.e. the ratio between mass density and the mass of a

single particle,

1

n(r, t) = ρ(r, t) = N Π(r, p, t) dp. (E.14)

m

220 E Microscopic Balance Equations

Dt Π DC Π

f dp = f dp, (E.15)

Dt Dt

physical meaning of the RHS of this equation, we see that it is identically zero

when f is a conserved quantity. In that case we find:

∂

f (r, p) + v · ∇r + F · ∇p Π(r, p, t) dp = 0. (E.16)

∂t

f v · ∇r Π = ∇r · (vf Π) − Π v · ∇r f ; f F · ∇p Π = ∇p · (Ff Π) − Π F · ∇p f

(E.17)

where we have taken into account the fact that v is an independent variable, while F

does not depend on p. Substituting (E.17) into (E.16) and applying the divergence

theorem, considering that Π decays exponentially fast as |p → ∞|, we obtain:

∂

f Π dp + ∇r · vf Π dp − Π v · ∇r f dp − Π F · ∇p f dp = 0, (E.18)

∂t

rewrite the general balance equation for any conserved quantity f in the following

form,2

∂

n f

+ ∇r · n vf

= n v · ∇r f

+ nF · ∇p f

, (E.19)

∂t

where nf

= n f

because n is independent of p.

Assume that the system is composed of monatomic molecules. Then, the in-

dependent conserved quantities are mass, momentum and energy (we could also

include the electric charge, but this extension is trivial). Accordingly, we set succes-

sively, f = m (mass), f = mvi , with i = 1, 2, 3 (momentum) and f = 12 m|v − u|2

(thermal energy), where u(r, t) = v

is the mean velocity.

Mass Balance For f = m, since mn = ρ is the mass density [see Eq. (E.14)], we

find immediately:

∂ρ

+ ∇r · (ρu) = 0, (E.20)

∂t

which coincides with (7.7).

2A more complete treatment can be found, for example, in [1], and [2].

E.2 Balance Equations 221

∂

ρvi

+ ∇r · (ρvi v) = ρFi , (E.21)

∂t

where F = F/m is the force per unit mass. Now, applying the obvious identity

vi vj

= ui uj + ṽi ṽj

, where ṽi = vi − ui , with ṽi

= 0, and substituting (E.20),

we obtain:

∂u

ρ + u · ∇u = ρF − ∇ · P, (E.22)

∂t

where,

Pij = ρ ṽi ṽj

, (E.23)

is the symmetric pressure tensor, that is the diffusive momentum flux tensor. This

equation coincides with (7.25).

∂ 1 2 1 1

ρ ṽ + ∇r · ρvṽ 2 = ρ v · ∇r ṽ 2 . (E.24)

∂t 2 2 2

1

kT = m ṽ 2 , (E.25)

3

1

J(q) = ρ ṽ 2 ṽ . (E.26)

2

At the end, we obtain:

(q)

3 ∂(ρT ) ∂J ∂uj

k + ∇r · (ρT u) = − i − mPij , (E.27)

2 ∂t ∂ri ∂ri

where P is the pressure tensor. Finally, substituting the continuity equation (E.20)

and dividing by m we obtain:

∂T

ρc + u · ∇r T = −∇r · J(q) − P:∇u, (E.28)

∂t

where c = 3k/2m is the specific heat per unit mass of monatomic molecules. The

last term expresses the viscous heat dissipation; as P is symmetric, only the sym-

metric part of the velocity gradient contributes to this term.

Therefore, starting from first principles, conservation equations can be derived

exactly. In particular, note that the diffusive momentum and heat fluxes, P and J(q) ,

222 E Microscopic Balance Equations

depend on the velocity fluctuations and arise from coarse graining of the fluctuating

part of the total fluxes. Identical considerations lead to defining Taylor dispersivity

(see Sect. 11.2.2) and turbulent fluxes (see Sect. 11.3.3).

Comment If particles do not interact with each other, the fluctuating part of the

particle velocities satisfies the Maxwellian distribution, so that the pressure tensor,

P, results to be isotropic (i.e. there is pressure but not shear stresses) and the diffu-

sive heat flux J(q) is identically zero.3 So, as expected, dissipation can be accounted

for only when particle collision is considered.

References

1. de Groot, S.R., Mazur, P.: Non-Equilibrium Thermodynamics. Dover, New York (1984),

Chap. IX

2. Kreuzer, H.J.: Non-Equilibrium Thermodynamics and Its Statistical Foundations. Clarendon,

Oxford (1981), Chap. 7

3. Landau, L.D., Lifshitz, E.M.: Statistical Physics, Part I. Pergamon, Elmsford (1980)

= kT /m; therefore, since ρ = mNA /Vw , where NA is the Avogadro

number and Vw is the molar volume, we see that Pij = P δij , where P = RT /Vw is the pressure

of an ideal gas and R = NA k is the gas constant.

Appendix F

Some Results of Transport Phenomena

we utilize in Chaps. 10 and 11. First, in Sect. F.1, we express the solution of the

Laplace equation in terms of vector harmonics, namely the fundamental harmonic

functions and all their gradients. Then, in Sect. F.2, these results are generalized to

determine the general solution of the Stokes equation, in particular the stokeslet,

rotlet and stresslet. These results are applied in Sect. F.3 to derive the reciprocal

theorems of transport phenomena and Faxen’s laws. Finally, in Sect. F.4, the sed-

imentation velocity of dilute suspensions is determined as an example of George

Batchelor’s renormalization procedure.

Consider the temperature field T (r) in a homogeneous medium, at steady state and

in the absence of convection, where r is the position vector. As we know, T (r) is a

harmonic function, i.e. it satisfies the Laplace equation,

∇ 2 T = 0, (F.1)

linear combinations of the fundamental solutions of the Laplace equation, i.e. 1

and 1/|r|, together with all their gradients. These are tensorial harmonic functions

named vector harmonics, that can be written in invariant notation, i.e. in a form that

is independent of the coordinate system and involves only the position vector, r, and

its length, r = |r|. Vector harmonics can be growing or decaying, i.e. they approach

0 as r → 0 and as r → ∞, respectively.

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

224 F Some Results of Transport Phenomena

Among the decaying harmonic functions, the first to be considered is 1/r, which is

often referred to as a monopole and represents the Green function, or propagator,

of the Laplace equation, i.e. it is the solution of the equation: ∇ 2 T = δ(r). The

monopole is the temperature field generated by an energy impulse, Q̇, placed at the

origin, that is a point source which radiates equally well in all directions. In fact,

since at steady state the energy that crosses per unit time any closed surface that

includes the origin is constant and equal to Q̇, for a sphere of radius a we have,

Q̇ = n · JU d 2 rS ; JU = −k∇T , (F.2)

r=a

unit vector, k is the heat conductivity, while JU is the heat flux, so we easily find

that a temperature distribution T = 1/r induces a heat flux Q̇ = 4πk. Accordingly,

the monopole temperature distribution is often indicated as:

α Q̇

T (m) (r; α) = ; α= , (F.3)

r 4πk

showing that the strength of the monopole, α, is directly related to the total heat

flux.

Due to the linearity of the Laplace equation, all the gradients of the singular fun-

damental solution, r −1 , will be (singular) solutions as well. So, for example, ∇r −1 ,

which is often referred to as a dipole distribution, is the solution of the equation

∇ 2 ∇T = ∇δ(r), and therefore represents the temperature field generated by two

monopole sources of infinitely large, equal, and opposite strengths, separated by an

infinitesimal distance d, located at the origin;1 therefore, as one monopole gener-

ates the same energy that is absorbed by the other, the dipole has no net energy

release. In the same way, we can define a quadrupole, as two opposing dipoles, an

octupole, as two opposing quadrupole, and so on, so that, in general, we see that any

decaying temperature field is determined as a linear combination of decaying vector

harmonics, which are defined (after multiplication by convenient constants) by the

following n-th order tensorial functions,

(−1)n 1

H[−(n+1)] (r) = ∇∇∇ · · · ∇ , (F.4)

1 × 3 × 5 × · · · × (2n − 1) r

n times

for n = 1, 2, . . .; in particular,

1 (−2) ri (−3) ri rj δij

H (−1) = − ; Hi = ; Hij = − 3;

r r3 r 5 3r

1 In fact, the dipole strength is the product of the strength of the two opposite impulses by their

distance.

F.1 Laplace Equation and Spherical Harmonics 225

Hij k = − .

r7 5r 5

Concretely, we have:

∞

T (r) = Cn (·)n H[−(n+1)] (r), (F.5)

n=0

where Cn are n-th order constant tensors, representing the strength of the monopole,

dipole, quadrupole, etc., to be determined by satisfying the boundary conditions.

Formally, this temperature distribution solves the following Laplace equation:

∞

(−1)n

∇ 2T = Cn (·)n ∇∇∇ · · · ∇ δ(r). (F.6)

1 × 3 × 5 × · · · × (2n − 1)

n=0 n times

To understand the meaning of all these singular terms, consider the temperature

field disturbance due to the presence of a particle. Clearly, each infinitesimal sur-

face element dS = d 2 rS located at position rS on the particle surface will act as a

point impulse of strength dαS = fS dS, where fS has to be determined, inducing a

temperature disturbance dαS |r − rS |−1 at position r. At the end, superimposing the

effects of all surface elements, we obtain the following boundary integral equation:

T (r) = fS (rS )|r − rS |−1 d 2 rS , (F.7)

S

where the impulse strength fS (rS ) is determined by satisfying the boundary condi-

tions, e.g. imposing a given temperature or flux distribution on the surface.

When we are far from the particle, i.e. when |r| |rS |, we can expand the Green

function, obtaining:

1 (−1)n n n n −1

|r − rS |−1 = r −1 − rS · ∇r −1 + rS rS : ∇∇r −1 + · · · + r (·) ∇ r + · · · ,

2 n! S

where rn = rr · · · r (n times), and similarly for ∇ n and (·)n . Substituting this ex-

pression into (F.7) we obtain the multipole expansion (F.5).

Growing harmonics, in contrast, grow with distance from the origin. They are com-

posed of the fundamental uniform solution, H (0) = 1, and of all its inverse gradients,

that are harmonic tensorial functions whose gradients are equal to 1. For example,

1 1 r2

∇i−1 1 = ri ; ∇i−1 ∇j−1 1 = ri rj − δij . . . .

3 10 3

226 F Some Results of Transport Phenomena

from the decaying harmonics as:

and, in particular,

r2

H (0) = 1; Hi(1) = ri ; Hij(2) = ri rj − δij ;

3

(3) r2

Hij k = ri rj rk − (xi δj k + xj δik + xk δij ).

5

In general, the solution of the Laplace equation can be written as a linear combi-

nation of all spherical harmonics,

∞

∞

n=−∞ n=0

where C
n and C
n are n-th order constant tensors, to be determined imposing that

the boundary conditions be satisfied. In particular,

1

3

r
5

rr I

T (r) = C0 + rC0 + C1 + r C1 · 3 + C2 + r C2 : 5 − 3 + · · ·

r r r 3r

We will find these sets of harmonic tensorial functions very useful in constructing

solutions that take advantage of the symmetry of the problem under consideration.

In fact, there are only a limited number of ways in which the boundary conditions

can be combined with the set of decaying or growing harmonics to generate tensors

that constitute the desired solutions in invariant form.

For example, suppose that we want to determine the temperature distribution

around a sphere induced by an imposed T , i.e. T = T0 at r → ∞ and T = 0 at

the surface r = a of the sphere. Then, the temperature field must be the product of

the scalar driving force, T = T0 , and a linear combination of the scalar harmonic

functions, H (0) and H (−1) . Therefore, T (r) = T0 (λ
/r + λ
), where λ
and λ
are

scalar constants to be determined through the boundary conditions, finding at the

end the obvious solution:2

where α = aT0 . This shows that the temperature distribution around a sphere in-

duced by an imposed T is determined uniquely by a monopole at the center of the

2 In this case, we could simply say that the temperature field must be spherically symmetric, i.e.

only a function of r.

F.2 Stokes Equation 227

sphere. Accordingly, applying Eq. (F.3), we can easily determine the total heat flux

leaving the sphere,

Q̇ = 4πkaT , (F.11)

where T = −T0 is the temperature difference between the sphere and infinity.

A more complex case is when we impose a constant temperature gradient, Gi ,

at infinity, i.e. T (r) = Gi ri at r → ∞, while, as before, T = 0 at the surface of the

sphere r = a.3 Then, the temperature field is the product of the driving force, i.e.

(1)

the vector Gi , by a linear combination of the vectorial harmonic functions, Hi and

(−2)

Hi , obtaining:

1
a3

T (r) = Gi ri λ 3 + λ = Gi ri 1 − 3 , (F.12)

r r

where the constants λ
and λ
have been determined by imposing that the boundary

conditions are satisfied. So, as expected, we have obtained the temperature distribu-

tion due to a dipole located at the center of the sphere and, therefore, no net heat

flux is released, or absorbed.

In the most general case, if we impose a temperature distribution at infinity (and

yet satisfying the Laplace equation),

∞

T (r) = Cn (·)n H(n) (r) as r → ∞, (F.13)

n=0

∞

T (r) = Cn (·)n r 2n+1 − a 2n+1 H[−(n+1)] (r), (F.14)

n=0

∇p = η∇ 2 v; ∇ · v = 0, (F.15)

where p and v are the pressure and the velocity fields, satisfying appropriate bound-

ary conditions, while η is the fluid viscosity.

3 Note that r = H(1) and so the imposed temperature at infinity satisfies, as it must, the Laplace

equation.

228 F Some Results of Transport Phenomena

Taking the divergence of the Stokes equation and considering that the velocity

field is solenoidal, we see that the pressure field is harmonic, i.e. it satisfies the

Laplace equation,

∇ 2 p = 0. (F.16)

In addition, it is easy to verify that the velocity field can be written as

1

v= rp + u, (F.17)

2η

where u is a harmonic vectorial function,

∇ 2 u = 0. (F.18)

Obviously, only three of the four harmonic functions deining p and v are inde-

pendent, as the condition that the velocity field must be divergence free must be

implemented, obtaining:

1

∇ ·u=− (3p + r · ∇p) = 0. (F.19)

2η

So, the important idea here is that we are looking for solutions of the Laplace

equation in one case for a scalar field (pressure) and in the other for a vector field

(homogeneous solution for the velocity).

F.2.1 Stokeslet

The simplest application of these procedure arises when we calculate the propagator,

or Green function, of the Stokes equation, that is the velocity and pressure fields

induced in an unbounded and otherwise quiescent fluid by a point body force located

at the origin, f(r) = Fδ(r), where F is a force. Then, both p and u are decaying

harmonic function proportional to F, i.e.,

rk

p = Fk λ , (F.20)

r3

and

Fk
δik ri rk δik

ui = λ + λ
− . (F.21)

2η r r5 3r 3

Now, since λ
has the units of a square length, considering that there is no charac-

teristic dimension in this problem, it must be λ
= 0. Consequently, imposing that

∇i vi = 0, we see that λ
= λ, so that we obtain:

Fk δik ri rk

vi = λ + 3 . (F.22)

2η r r

F.2 Stokes Equation 229

The value of λ can be determined imposing that the total force applied to the

fluid located outside a sphere of radius a must equal to F, i.e.,

ni Tij d 2 r = Fi , (F.23)

r=a

where ni = −ri /a is the normal unit vector, perpendicular to the surface of the

sphere and directed inward, while Tij is the stress tensor,

ri rj rk

Tij = −pδij + η(∇i vj + ∇j vi ) = −3λFk . (F.24)

r5

Now, considering that

rj rk

ni Tij = 3λFk ,

a4

and using the identity,4

4

ri rk d 2 r = πa 4 δik , (F.25)

r=a 3

we finally obtain: λ = 1/4π . Therefore, the Stokeslet has the following pressure and

velocity fields:5

(s) (s) 1 rk

p (s) (r; F) = Fk Pk (r); Pk (r) = , (F.26)

4π r 3

(s) (s) (s) 1 ri rk

vi (r; F) = Fk Vik (r); Vik (r) = δik + 2 , (F.27)

8πηr r

(s) 3 ri rj rk

Tik (r) = Fk . (F.28)

4π r 5

The multiplier V(s) is called the Oseen tensor, and describes the disturbance to an

unperturbed flow due to a point force.

This result could also be obtained taking the Fourier transform of the Stokes

equations,

∇p − η∇ 2 v = Fδ(r); ∇ · v = 0, (F.29)

defining the Fourier transform f(k) of any function f (r),

f(k) = F f (r) = f (r)eik·r d 3 r, (F.30)

4 It is evident that wheni = k this integral must be zero. Then, multiplying both member by δik and

considering that δik δik = 3, we easily verify the identity.

5 Sometimes the strength of the Stokeslet is indicated as α = F/8πη.

230 F Some Results of Transport Phenomena

d 3k

f (r) = F −1 f (k) = f(k)e−ik·r . (F.31)

(2π)3

kj

(k) = i

p Fj , (F.32)

k2

and

1 ki kj

vi (k) = 2 δij − 2 Fj . (F.33)

ηk k

Finally, antitransforming Eqs. (F.32) and (F.33), we find again Eqs. (F.26) and (F.27).

while a sphere is kept fixed at the origin, i.e. v(r) = 0 at r = a. Then, proceeding as

before, we obtain the same expressions (F.20)–(F.21),

rk

p = aηUk λ , (F.34)

r3

and

aUk ri rk δik ri rk δik

v i = Ui + λ + +λ − 3 , (F.35)

2 r3 r r5 3r

where the divergence-free condition, ∇i vi = 0, is satisfied identically (with λ = λ ).

Note that now λ = 0, since we have a characteristic dimension a.

Imposing that v(r) = 0 at r = a we find: λ = −λ /a 2 = −3/2. So, at the end,

we find:

3 rk

p = − aηUk 3 , (F.36)

2 r

and

3 ri rk δik 2 ri rk δik

vi = Ui − aUk + −a − 3 . (F.37)

4 r3 r r5 3r

At large r, the flow perceives only a point force Fk , so that the pressure and

the velocity fields must reduce to the Stokeslet (F.26)–(F.27). Therefore, Fk /4π =

3

2 aηUk , i.e.,

F = 6πηaU. (F.38)

F.2 Stokes Equation 231

This is the Stokes law, establishing the drag force exerted on a sphere by a uniform

fluid flow.

The last term in the expression (F.35) can be expressed in terms of the following

singular solution of the Stokes equation,

vi (r; F) = − ∇ 2 vi (r; F) = Fk Vik (r); p (d) (r; F) = 0, (F.39)

6

where,

(d) 1 ri rk 1 1 (−3)

Vik (r) = − δik = H (r). (F.40)

8πη r 3 r 2 3 8πη ik

This term is the harmonic tensorial function (F.4) with n = 2, and therefore it is

referred to as a potential doublet, since it is identical to a doublet in potential flow.

Consequently, according to the d’Alambert paradox, the drag force exerted by the

potential doublet (as well as by any potential flow) is equal zero.

Comparing the expression (F.27) and (F.40) with the solution (F.37) of the creep-

ing flow past a sphere we see that the Stokes flow past a sphere is the sum of a

Stokeslet and a potential doublet, i.e.,

a 2 2 (s)

v(r) = U · I − 6πηa 1 + ∇ V (r) , (F.42)

6

while p(r) = −F · P(s) (r). When r = 0, Eq. (F.42) becomes a particular case of

Faxen’s law (see Sect. F.3.2).

In this case, the unperturbed velocity field is a constant shear flow, U(r) = Gs · r

as r → ∞, with I:Gs = 0 and Gsij = Gsj i is a symmetric tensor, while a sphere of

radius a is kept fixed at the origin, i.e. v(r) = 0 at r = a. Then, proceeding as before,

we obtain,

ri rj 1 δij

p = a ηGij λ

3 s

− , (F.43)

r5 3 r3

and

ri rj rk δik rj + δij rk + δj k ri

ui = a 5

Gsj k λ
− . (F.44)

r7 5r 5

232 F Some Results of Transport Phenomena

Considering that Gsii = 0, we see that the last term in (F.43) and the last term in

(F.44) are identically zero. Then, substituting these results in (F.17) we obtain:

2

2 a5 ri rj rk 3
a

vi = Gsik rk 1 − λ
5 + Gsj k 5

a λ + 2λ . (F.45)

5 r 2r r2

obtain:

ri rj

p = −5a 3 ηGsij 5 , (F.46)

r

and

a5 5 s ri rj rk 3 a2

vi = Gsik rk 1− 5 − Gj k 5 a 1 − 2 . (F.47)

r 2 r r

In this case, the unperturbed velocity field is a constant rigid body rotation, with

v(r) = Ga · r as r → ∞, with Gaij = −Gaj i is an antisymmetric tensor, while a

sphere of radius a is kept fixed at the origin, i.e. v(r) = 0 at r = a. Then, since

p = 0 out of symmetry, the velocity must be a harmonic function and we easily

find:

a3

vi = Gaik rk 1 − 3 ; p = 0, (F.48)

r

flow. In this case, the torque experienced by the sphere can be easily determined,

obtaining:

= 8πηa 3 . (F.49)

As for the Laplace equation, the disturbance of the flow field due to the presence of

a submerged object can be generally expressed using a multipole expansion in terms

of the gradients of the Stokeslet, as in (F.5), obtaining,

∞

p(r) = F(n+1) (·)n+1 ∇ n P(s) , (F.50)

n=0

F.2 Stokes Equation 233

and,

∞

v(r) = F(n+1) (·)n+1 ∇ n V(s) , (F.51)

n=0

where ∇ n = ∇∇∇ · · · ∇ (n times), while F(n) is an n-th order constant tensor ex-

pressing the strength of the n-th multipole, to be determined by satisfying the bound-

ary conditions. Formally, in fact, this flow field distribution solves the following

Stokes equation, as in (F.6),

∞

∇p − η∇ 2 v = F(n+1) (·)n ∇∇∇

· · · ∇ δ(r); ∇ · v = 0, (F.52)

n=0 n times

thus generalizing the Stokeslet definition (F.29). Thus, F(1) is the force exerted by

the object on the fluid, F(2) is the corresponding moment of dipole, F(3) the moment

of quadrupole, etc. In turn, due to the linearity of the Stokes equation, these multi-

pole strengths are proportional to the gradients of the unperturbed velocity U at the

origin, that is the velocity field in the absence of the particle, i.e.,

F(m) = − R(mn) (·)n ∇ n−1 U|r=0 , (F.53)

n

In particular, for an isolated sphere of radius a fixed at the origin and immersed

in an arbitrary flow U(r), Faxen’s law (F.88) yields:

a2

F(1) = 6πaη 1 + U|r=0 , (F.54)

6

so that

(11) (12) (13)

Rij = 6πηaδij ; Rij k = 0; Rij k = πηa 3 δi δj k . (F.55)

As for the dipole strength, F(2) , its contribution to (F.51) can be written as:

(2) (s) (S) (s) (s) (R) (s) (s)

vi = Fj k ∇k Vj i = Fj k 12 ∇k Vj i + ∇j Vki + Fj k 21 ∇k Vj i − ∇j Vki , (F.56)

where F(S) and F(R) are the symmetric and antisymmetric components of F(2) , re-

spectively, while the superscript S and R stand for stresslet and rotlet (see next

section). Now, consider that the gradient of the Stokeslet is:

(s) 1 rj rk

∇k Vj i (r) = δj k − 3 2 ri + (δij rk − δik rj ) , (F.57)

8πη r 3 r

and

(s) 1 δik ri rk

∇k Pi (r) = −3 5 . (F.58)

4π r3 r

234 F Some Results of Transport Phenomena

Comparing (F.57) and (F.58) with (F.46)–(F.48) for r a, and considering that

I:Gs = 0, we obtain 3/(8πη)F(S) = −5/2a 3 Gs and 2/(8πη)F(R) = −a 3 Ga , so that

at the end we find:

20 3 1

+

3 1

+

F = − πηa

(2)

∇U + ∇U − 4πηa ∇U − ∇U (F.59)

3 2 r=0 2 r=0

and therefore,

(22) 16 4

Rij k = πηa 3

δik δj + δi δj k . (F.60)

3 3

Obviously, if the suspended sphere is neutrally buoyant, then F(1) = F(R) = 0, so

that the only contribution that is left is the stresslet, yielding at the end:

(22) 10

Rij k = πηa 3 (δik δj + δi δj k ). (F.61)

3

As we saw in the previous section, the disturbance of the flow field due to the pres-

ence of a submerged object can be calculated using a multi-pole expansion, i.e.

expanding the propagator, or Stokeslet, in a Taylor series,

p (s) (r − rS ) = p (s) (r) − p (D) (r) + · · · ; v(s) (r − rS ) = v(s) (r) − v(D) (r) + · · · ,

(D) (s)

p (D) (r) = rS · ∇p (s) (r); vj (r) = rS · ∇vj (r). (F.62)

constitute the Stokes dipole, or doublet [3, 4]. The latter is obtained by superim-

posing two Stokeslets of infinitely large, equal, and opposite strengths, separated

by an infinitesimal distance d, such that the separation is normal to the force direc-

tion. Accordingly, considering the gradient of the Stokeslet, (F.57) and (F.58), and

denoting

F

α= ; β = −rS , (F.63)

8πη

we see that the Stokes doublet can be written as:

(D) (D)

vj (r; α, β) = βi Vij k (r)αk , (F.64)

and

(D)

p (D) (r; α, β) = βi Pik (r)αk , (F.65)

F.2 Stokes Equation 235

where

(D) 1 ri rk δij rk − δj k ri

Vij k (r) = 3

δik − 3 2 rj + , (F.66)

r r r3

and

(D) 1 ri rk

Pik (r) = 2η 3 δik − 3 2 . (F.67)

r r

Since the Stokes flow is not irrotational, the velocity gradient tensor resulting

from the Stokes dipole has both a symmetric (strain) and an antisymmetric (rotation)

component, with [see (8.12)] ∇v = : + S, where = 12 : ∇v is the angular

velocity, while S is the shear rate tensor. Then, we see that the Stokes doublet can

be written as the sum of two terms, i.e. v(D) = v(R) + v(S) and p (D) = p (R) + p (R) ,

where,

γ ×r

v(R) (r; γ ) = ; p (R) (r; γ ) = 0, (F.68)

r3

with γ = β × α, is the rotlet,6 while,

1 (α · r)(β · r)

v (r; α, β) = 3 (α · β) − 3

(S)

r, (F.69)

r r2

2η (α · r)(β · r)

p (r; α, β) = 3 α · β − 3

(S)

, (F.70)

r r2

is the stresslet.

The rotlet can be regarded as the flow field generated by a singular point torque

at the origin, as it coincides with the velocity field generated by a sphere of radius

a rotating with angular velocity ω = γ /a 3 and subjected to a torque 0 = 8πηa 3 ω.

Since the flow field is potential, it exerts zero force on the fluid, just like the potential

doublet.

These statements can be proved considering that, for any closed surface S con-

taining the rotlet, we have:

0 = − r0 × n · T(R) d 2 r = − r0 × ∇ · T(R) d 3 r,

S V

where T(R) = −p (R) I + 2ηS(R) is the rotlet stress tensor.7 Now, define f(R) as the

singular forcing function that generates the rotlet, i.e.,

7 The minus sign comes from the fact that the unit vector n here is directed inward.

236 F Some Results of Transport Phenomena

Consequently,

0 = r0 × f(R) d 3 r = 8πηγ . (F.71)

V

This confirms that if a torque 0 is exerted on a sphere of radius a immersed

in an otherwise quiescent fluid, the sphere will rotate with angular velocity ω =

0 /8πηa 3 .

The stresslet represents straining motion of the fluid symmetric about the αβ

plane, with the principle axes of strain lying in the α +β, α −β and α ×β directions.

In virtue of these symmetries, the stresslet exerts zero force and zero torque on the

fluid. Sometimes it is more convenient to rewrite the stresslet as:

(S) (S) (S) (d)

vj (r; α, β) = βi Vij k (r)αk ; Vij k (r) = −3Vik (r)rj , (F.72)

(S) (S) (d)

p (S) (r; α, β) = βi Pik (r)αk ; Pik (r) = −6ηVik (r), (F.73)

1 (S)

v(S) (r; α, β) = rp (r; α, β). (F.74)

2η

Consequently, referring to the fundamental solution (F.17) of Stokes flow, we see

that the Stokes doublet can be written as

1 (S)

v(D) = rp + v(R) , (F.75)

2η

where we have considered that v(R) is a harmonic function, so that p (D) = p (S) .

The Stokes quadruple distribution, ∇∇v(s) is more complicated; however, one

component is particular useful, namely the potential doublet ∇ 2 v(s) , as we have

seen in Eq. (F.39).

T = −pI + η ∇v + ∇v+ ; ∇ · T = 0 and ∇ · v = 0,

corresponding to any two flows of the same fluid in the volume V outside a closed

surface S. Clearly we have:

3

T :∇v d r = T
:∇v
d 3 r. (F.76)

V V

F.3 Further Topics 237

∇i Tij vj − Tij vj = vj ∇i Tij − vj ∇i Tij + Tij ∇i vj − Tij ∇i vj , (F.77)

where the first two terms on the RHS are identically zero. Therefore, taking the

volume integral and integrating by parts, we obtain:

n · T
· v
d 2 r = n · T
· v
d 2 r. (F.78)

S S

This is the famous reciprocal theorem, obtained in 1892 by Lorentz, who general-

ized the analogous Maxwell-Betti theorem.

Identical results can be obtained in heat and mass transport. In fact, consider-

ing the temperature (or concentration) and heat (or mass) flux fields, (θ
; J
) and

(θ
; J
), with J = −k∇θ and ∇ · J = 0, we obtain:

3

J · ∇θ d r = J
· ∇θ
d 3 r, (F.79)

V V

that is,

n·J θ d r=2

n · J
θ
d 2 r. (F.80)

S S

As a first application of the reciprocal theorem, let us apply Eq. (F.80) to calculate

the net heat flux Q̇ released by a perfectly conducting body (i.e. one with a very large

heat conductivity) immersed in an arbitrary undisturbed temperature field, T ∞ (r).

In fact, let us denote: (θ
; J
) ≡ (T ∞ ; J∞ ), while (θ
; J
) denotes the temperature

field induced by a constant temperature difference T0 between the body surface and

infinity. Accordingly, Eq. (F.80) gives:

T0 Q̇ = n · J
T ∞ d 2 r. (F.81)

S

In particular, when the body is a sphere of radius a and centered in the origin,

n · J
= kT0 /a, so that we obtain:

k

Q̇ = − T ∞ (r) d 2 r. (F.82)

a r=a

Now, expanding T ∞ (r) in a Taylor expansion in terms of the values of T ∞ and all

its gradients at the origin, we can write:

1

T ∞ (r) = T ∞ (0) + r · ∇T ∞ 0 + rr: ∇∇T ∞ 0 + · · · . (F.83)

2

238 F Some Results of Transport Phenomena

gradients, we obtain:

Q̇ = −4πakT ∞ (0). (F.84)

This shows that if we introduce a perfectly conducting sphere with known temper-

ature T in an undisturbed temperature distribution T ∞ (r), then the net heat flux

released by the sphere can be calculated directly, without actually solving the heat

transfer problem, and it depends only on the undisturbed temperature at the center

of the sphere. This law is equivalent to saying that this net heat flux is determined

only by a monopole located at the center of the sphere, as one would expect, since

all the higher-order multi-poles release no net fluxes.

In the previous analysis we have assumed that the temperature vanishes at infinity

or, equivalently, that it is kept equal to zero at the surface of the sphere (remind

that the temperature is uniform, as the sphere is perfectly conducting). In general,

denoting by T the temperature of the sphere, Eq. (F.84) can be rewritten as:

1

T = T ∞ (0) + Q̇. (F.85)

4πak

Here we see that, when Q̇ = 0, i.e. in the absence of any flux release, we find T =

T ∞ (0), revealing that the temperature of the sphere is equal to the unperturbed

temperature at the center.

A similar result can be obtained applying the reciprocal theorem (F.78) to calcu-

late the hydrodynamic force on a rigid body (i.e. one with a very large viscosity),

which is kept fixed in an arbitrary undisturbed flow field, v∞ (r). Proceeding like

before, we obtain:

V0 · F = n · T
v∞ d 2 r, (F.86)

S

where T
is the stress tensor induced by the uniform translation of the body, with

velocity V0 . In particular, when the body is a sphere of radius a, centered in the

origin, Eq. (F.37) yields: n · T
= (3/2a)ηV0 , so that we obtain:

3η

F= v∞ (r) d 2 r. (F.87)

2a r=a

(F.25), and considering that ∇ 4 v∞ = 0, as well as all the other higher-order even

gradients, we finally obtain:

a2 2 ∞

F = 6πaη 1 + ∇ v (0). (F.88)

6

This result is generally referred to as Faxen’s law, stating that the force exerted on

a rigid sphere by a known unperturbed flow field can be calculated directly, with-

out actually solving the flow field problem, and it depends only on the undisturbed

F.4 Sedimentation Velocity in Dilute Suspensions 239

temperature at the center of the sphere and its Laplacian. This law is equivalent to

saying that this net force is determined only by a monopole and a potential doublet

located at the center of the sphere, as one would expect, since all the other Stokes

multi-poles exert zero force.

In the previous analysis we have assumed that the flow field vanishes at infinity

or, equivalently, that the velocity of the sphere is zero. In general, denoting by V the

velocity of a sphere centered in the origin, Eq. (F.88) can be rewritten as:

a2 1

V = 1 + ∇ 2 v∞ (0) + F. (F.89)

6 6πaη

Here we see that, when F = 0, i.e. for a neutrally buoyant sphere, we find V =

2

[1 + a6 ∇ 2 ]v∞ (0). Consequently, if a sphere is immersed in a linear flow field, its

velocity coincides with the unperturbed velocity at its center. However, this is not

true in general. For example, the velocity of a sphere immersed in a Poiseuille flow

is slower than the unperturbed fluid velocity at its center.

Using the same procedure, the angular velocity of a sphere centered in the

origin can be determined, obtaining,

1 1

= ∇ × v∞ (0) + , (F.90)

2 8πa 3 η

where is the torque exerted on the sphere, while ∇ × v∞ is the vorticity (i.e.

twice the angular velocity) of the fluid flow the origin, that is at the center of the

sphere. Here we see that, when = 0, i.e. for a neutrally buoyant sphere, we find

= 12 ∇ × v∞ (0), that is the sphere rotates with the same angular velocity as that

of the unperturbed fluid flow at the center of the sphere. When a torque is exerted

on the sphere, conversely, it will increment its angular velocity, with respect to its

unperturbed rotation, by an amount /8πa 3 η. Equation (F.90) is identical to (F.85),

since the vorticity, like the temperature, satisfies the Laplace equation.

In a dilute suspension of identical rigid spheres, particles fall through the liquid due

to gravity. Under the assumption of negligible inertia and Brownian motion effects,

the average velocity of the particles in a well-mixed suspension can be expressed,

to leading order in the particle number density n0 , as:

r≥2

where V0 is the Stokes terminal velocity of an isolated sphere and V(x0 |x0 + r) is

the velocity of a test sphere located at x0 in an unbounded fluid when another sphere

is located at x0 + r.

240 F Some Results of Transport Phenomena

As is well known, the integral in the expression given above is divergent since

V − V0 decays as 1/r as r → ∞. Therefore, since the average sedimentation ve-

locity is finite, a proper renormalization of the integral is required. Although such a

renormalization was given by Batchelor [2], here we present an alternate derivation

which, perhaps, might be of interest in a wider context.

The velocity of the test sphere in the presence of another sphere can be deter-

mined reminding that the disturbance v(x0 |x0 + r) of the fluid velocity at x0 due to

the motion of sphere at (x0 + r), can be determined by replacing the second sphere

with a Stokeslet and a potential doublet at (x0 + r), i.e., [cf. Eq. (F.37)]

3 1 r · V0 3 3

v(x0 |x0 + r) = V0 + +r 2 − , (F.92)

4r 4r 3 r 4r 4r 3

where, without loss of generality, the radius of the particles has been set equal to

unity. At this point, applying Faxen’s law (see Sect. F.3.2), we obtain:

1

V = V0 + v(x0 |x0 + r) + ∇ 2 v(x0 |x0 + r) + w(x0 |x0 + r), (F.93)

6

where w(x0 |x0 + r) is the difference between the exact value and Faxen’s law ap-

proximation, which decays exponentially as r −4 . In fact, Faxen’s law applies only to

an unbounded fluid and therefore cannot account for the fact that the second sphere

has a non zero size.

Substituting (F.93) into (F.91) yields

V = V0 + V1 + V2 + V3 , (F.94)

where

V1 = n0 v(x0 |x0 + r) d 3 r, (F.95)

r≥2

1 2

V2 = n0 ∇ v(x0 |x0 + r) d 3 r, (F.96)

r≥2 6

and

∞

V3 = n0 w(x0 |x0 + r) d 3 r. (F.97)

r=2

Since v is of order 1/r and ∇ 2 v is of order 1/r 3 , the integrals V1 and V2 are

divergent, while V3 converges, since w decays as r −4 .

Clearly, in a dilute suspension, V1 equals the average velocity of a fluid point

when a sphere is located in the infinite domain r ≥ 2, i.e. outside the exclusion

(f )

region. Hence, the average fluid velocity within the suspension, V , is given by

(f ) 9

V = V1 + n0 v(x0 |x0 + r) d 3 r = V1 + φV0 , (F.98)

1≤r≤2 2

with φ ≡ 4π

3 n0 being the volume fraction occupied by the spheres in the suspension.

F.4 Sedimentation Velocity in Dilute Suspensions 241

Thus, the divergent integral V1 represents physically the average velocity of the

fluid outside the exclusion regions of the spheres in a very dilute suspension, and is

related to the average fluid velocity within the suspension by (F.98). Now, we know

that the bulk velocity of the suspension on a macroscopic scale is zero relative to the

container, so that,

(f ) (p)

(1 − φ)V + φV = 0, (F.99)

(p)

where V is the average velocity of the particles. Up to O(φ), (F.99) gives

(f )

V = −φU0 + O φ 2 . (F.100)

Thus, the divergent integral V1 must be renormalized such that the above constraint

is satisfied. Therefore, by (F.98) and (F.100),

11

V1 = − φU0 . (F.101)

2

This is identical to Batchelor’s equation (5.3) and in fact the whole derivation

parallels his.

The integral V2 , can be renormalized in a similar way by noting that, in the fluid

phase, this term is related to the dynamic pressure8 disturbance p due to a single

sphere by the Stokes equation ∇ 2 v = η1 ∇p. Therefore, aside from the factor 1/6η,

V2 equals the average pressure gradient of the fluid at the point x0 in the infinite

domain r ≥ 2, outside the exclusion region. Consequently, the average pressure gra-

dient over the whole domain occupied by the fluid phase in the dilute suspension,

(f )

∇p , is given by

(f )

∇p = 6ηV2 + n0 ∇p(x0 |x0 + r) d 3 r = 6ηI2 , (F.102)

1≤r≤2

r · V0

p(x0 + r|x0 ) = 3η . (F.103)

2r 4

Thus, the integral V2 is closely related to the average pressure gradient in the fluid

phase, which naturally leads to the examination of the bulk pressure gradient in the

suspension. On a macroscopic scale, however, the suspension as a whole is akin to a

static effective fluid with total pressure gradient φ(ρ (p) − ρ (f ) )g, in addition to that

of the stagnant pure fluid, where ρ (p) and ρ (f ) are the mass densities of the particles

and of the fluid, respectively, and g is the gravitational acceleration. Thus, we have

the constraint,

(f ) (p) 9

(1 − φ)∇p + φ∇p = φ ρ (p) − ρ (f ) g = φηV0 , (F.104)

2

8 The dynamic pressure is defined as the difference between the total pressure and the static pressure

of a pure fluid.

242 F Some Results of Transport Phenomena

(p)

where ∇p is the average pressure gradient inside the spheres,

(f ) 1

∇p ≡ 4 ∇p(x0 |x0 + r) d 3 r. (F.105)

3 π r≤1

The above can be converted into an integral over the volume inside a fixed sphere.

Noting that ∇p(x0 |x0 + r) depends only on the position of the sphere relative to that

of the sample point and is independent of their absolute positions, we obtain

∇p(x0 |x0 + r) d 3 r = ∇p(x0 − r|x0 ) d 3 r = ∇p(x0 + r|x0 ) d 3 r,

r≤1 r≤1 r≤1

where account has been taken of the symmetry of the domain of integration.

To evaluate the last integral, which refers to the integral over the position of the

sample point x0 + r within the sphere located at x0 , we make use of the divergence

theorem and the fact that, on the surface of an isolated sphere translating with ve-

locity U0 , the fluid pressure is given by (F.103). Hence,

∇p(x0 |x0 + r) d 3 r = 2πηV0 , (F.106)

r≤1

and therefore,

3 (p)

∇p

= ηV0 . (F.107)

2

From (F.104) and (F.107), we obtain the constraint

(f )

∇p = 3φηV0 + O φ 2 , (F.108)

1

V2 = φV0 . (F.109)

2

Although this is identical to Batchelor’s equation (5.4), its derivation here is

slightly different.

Finally, the last integral (F.97) was evaluated numerically by Batchelor [2], ob-

taining:

V3 = −1.55φV0 . (F.110)

At the end, by substituting (F.101), (F.109) and (F.110) into (F.94), we obtain:

V = V0 1 − 6.55φ + O φ 2 . (F.111)

flux and the pressure gradient, the expression for the average sedimentation velocity

of a monodisperse suspension of spheres can be renormalized, thus obtaining the

analytical result (F.111), exact up to O(φ 2 )-terms.

References 243

References

1. Batchelor, G.K.: J. Fluid Mech. 41, 545 (1970)

2. Batchelor, G.K.: J. Fluid Mech. 52, 245 (1972)

3. Chwang, A.T., Wu, T.W.: J. Fluid Mech. 63, 607 (1974)

4. Leal, L.G.: Laminar Flow and Convective Transport Processes, p. 239. Butterworth, Stoneham

(1992)

Appendix G

Solutions of the Problems

G.1 Chapter 1

Problem 1.1

N

N

(δA)4 = δai δaj δak δa

= (δa)4 (δij δk + δik δj + δi δj k ). (G.1)

i,j,k,=1 i,j,k,=1

Therefore:

(δA)4 = 3N 2 (δa)4 . (G.2)

Problem 1.2 Multiplying Eq. (1.21) by −g−1 , and considering that x = −g−1 · X,

we obtain:

−1 −1

xi xk

= −gkj xi Xj

= gik , (G.3)

In the same way:

Xi Xk

= −gij xj Xk

= gik . (G.4)

equalities,

∂T ∂T T ∂T

T = S + P = S + P , (G.5)

∂S P ∂P S n cp ∂P S

and

∂V ∂V ∂T

V = S + P = S − V κS P , (G.6)

∂S P ∂P S ∂P S

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

246 G Solutions of the Problems

∂T

where we have applied Maxwell’s relation ( ∂P )S = ( ∂V

∂S )P . Finally we obtain:

1 T

G = (S) + V κS (P ) ,

2 2

(G.7)

2 ncP

from which it is easy to obtain the final result, confirming that cP > 0 and κS > 0.

and

(P )2

we will obtain the results (1.43) and (1.47) that we have already derived.

The cross term can be found as follows:

∂P ∂P kT 2 αP

T P

= (T )2 + T V

= . (G.8)

∂T V ∂V T cV κT

kT 2

Here, we have considered that T V

= 0, while (T )2

= ncV , and we have

substituted the thermodynamic equality:

∂P ∂P ∂V αP

=− = , (G.9)

∂T V ∂V T ∂T P κT

In the same way, choosing V and P as independent variables, for (V )2

and

(P )2

we will obtain the results (1.43) and (1.47) that we have already derived,

while the cross term can be found as follows:

2 ∂P ∂P

V P

= (V ) + T V

= −kT . (G.10)

∂V T ∂T V

correspond a decrease in volume.

In alternative, it is instructive to obtain the first of these results using a brute force

approach. Consider the following equalities,

∂S ∂S T

S = T + P = T − V αP P , (G.11)

∂T P ∂P T n cp

and

∂V ∂V

V = T + P = V αP T − V κT P , (G.12)

∂T P ∂P T

∂S

)T = ( ∂V

∂T )P . Finally we obtain:

1 ncP

G = (T ) − 2V αP T P + V κT (P ) .

2 2

(G.13)

2 T

G.2 Chapter 2 247

ncP V κT V αP

g11 = ; g22 = ; g12 = g21 = − , (G.14)

kT 2 kT kT

or,

n cP

V −αP

g= TV . (G.15)

kT −αP κT

Therefore, calculating the inverse of the g-matrix, we obtain:

−1 kT 2 κT αP

g = n cP (G.16)

n cV κT αP TV

kT 2 kT kT 2 αP

(T )2 = ; (P )2 = ; T P

= , (G.17)

ncV V κS cV κT

G.2 Chapter 2

Problem 2.1 Denoting by F and the force and the torque exerted by the fluid

on the particle and by V and its velocity and angular velocity, respectively,1 in

creeping flow regime the entropy production rate is

T σ (S) = F · V + · . (G.18)

Therefore, the general phenomenological equations relating forces and fluxes is:

= −ζ (rt)

·V−ζ (rr)

· , (G.20)

where ζ (tt) is the translation resistance tensor, ζ (rr) is the rotation resistance tensor,

while ζ (tr) and ζ (rt) are coupling resistance tensors. This shows that, in general,

an applied force induces in the body both a velocity and an angular velocity, and

1 In general, V is the difference between the particle velocity and the local fluid velocity, and

analogously for .

248 G Solutions of the Problems

likewise for an applied torque (think, for example, of a body with a corkscrew ge-

ometry).2

Now, in order to apply the Onsager reciprocity relations, let us define the follow-

ing sixth-order generalized forces velocity vectors as:

6

T σ (S) = Fi V i , (G.22)

i=1

with the phenomenological equations and the Onsager reciprocity relations becom-

ing:

6

Fi = ζij Vi ; ζij = ζj i . (G.23)

i=1

come:

⎛ (tt) (tt) (tr) (tr)

⎞

⎛ ⎞ ζ11 ζ12 ζ11 ζ12 ⎛ ⎞

F1 ⎜ (tt) ⎟ V1

⎜

⎜ F1 ⎟ ⎜ ζ21 (tt)

ζ22

(tr)

ζ21

(tr) ⎟

ζ22 ⎟ ⎜ V2 ⎟

⎜ ⎟=⎜ ⎟⎜ ⎟. (G.24)

⎝ 1 ⎠ ⎜ (rt) (rt) (rr) (rr) ⎟ ⎝ Ω1 ⎠

ζ

⎝ 11 ζ12 ζ11 ζ12 ⎠

2 (rt) (rt) (rr) (rr)

Ω2

ζ21 ζ22 ζ11 ζ12

Therefore, the Onsager reciprocity relations can be written as:

(tt) (tt) (rr) (rr) (tr) (rt)

ζij = ζj i , ζij = ζj i , ζij = ζj i , (G.25)

that is,

ζ (tt) = ζ (tt)+ , ζ (rr) = ζ (rr)+ , ζ (tr) = ζ (rt)+ . (G.26)

The first two equalities indicate that the translation and rotation resistance tensors

are symmetric; so, for example, the ratio between the force applied along x1 , F1 and

the resulting velocity along x2 , V2 , is equal to the ratio between F2 and V1 . The last

equality is very interesting, as it relates the rotation induced by an applied linear

force with the translation induced by an applied torque.

2A beautiful study of these effects, with all the involved symmetry properties, can be found in [6].

G.3 Chapter 3 249

1

x (ω) = κ (ω)f(ω),

(G.28)

kT

where

kT

κ (ω) = . (G.29)

m(ω02 − ω2 ) − iζ

Therefore,

'

(ω) = (kT )2 2 Im

ff

1

= 2kT ζ. (G.30)

ω κ ∗ (ω)

So, as expected, the random force is delta-correlated.

G.3 Chapter 3

Problem 3.1 When t m/ζ , the inertial term of the Langevin equation can be

neglected and therefore the Langevin equation reduces to:

ζ ẋ = f (t), (G.31)

where f (t) satisfies the relations (3.25) and (3.26). Squaring this equation and tak-

ing its average we obtain:

f (t)f (t
)

kT

ẋ(t)ẋ t
= 2

= 2Dδ t − t
; D= , (G.32)

ζ ζ

where we have substituted Eq. (3.26). Now,

t

x(t) = ẋ t
dt
, (G.33)

0

t t

2 0 0

x t = ẋ t ẋ t t dt dt , (G.34)

0 0

2 0 kT

x t = 2 D t; D= . (G.35)

ζ

Problem 3.2 The Stokes-Einstein relation can be obtained also in the following

way.

kT −ζ τ/m

v0 v(τ ) = v0 v

vτ 0 = v02 e−ζ τ/m = e , (G.36)

m

250 G Solutions of the Problems

t t−t

2 0 t 0 kT t

x t = v t v t t dt dt = dt dτ e−ζ |τ |/m , (G.37)

0 0 m 0 −t

that is

2 0 kT m −ζ t/m

x t =2 t 1− 1−e . (G.38)

ζ ζt

For t m/ζ , we find again the Stokes-Einstein relation.

equation, Eq. (3.29), for (

t = tζ /m 1, we have:

ζ 2

δp

t 0 = p0 e−ζ t/m − 1 = − p0 t + O (

p

t , (G.39)

m

and

t

p t ζ ζ )] 2

(δp)2 t 0 = e[− m (t−t )− m (t−t f t f t dt dt + O ( t , (G.40)

0 0

that is,

p0 Qm 2

(δp)2 t

= 1 − e−2ζ t/m = 2kT ζ t + O (

t . (G.41)

ζ

Problem 3.4 Consider the Brownian motion of a particle with mass m immersed in

a fluid and attracted to the origin through a linear force,

is the same that we

have found in the absence of any external force, that is defined through Eqs. (3.25)

and (3.26). Equation (3.54) can be written as:

ż = v, (G.43)

mv̇ = −ζ v − Az + f (t), (G.44)

0 −m−1

x = (z, mv); M= ; J̃ = (0, f ). (G.45)

A ζ m−1

mv 2 Ax 2

Π = C exp −

eq

− , (G.46)

2kT 2kT

G.4 Chapter 4 251

so that:

1 A 0

g= . (G.47)

kT 0 m−1

Finally we obtain:

sym

sym 0 −m−1 A−1 0

Q = M · g−1 = kT , (G.48)

A ζ m−1 0 m

that is

sym

0 −1 0 0

Q = kT = kT ζ . (G.49)

1 ζ 0 1

Therefore, we find again the usual relation,

0

f (t)f (t + τ ) τ = 2kT ζ δ(τ ). (G.50)

G.4 Chapter 4

Problem 4.1

• M can be determined from the phenomenological relation v̇

0t = −M v

0t , with

M = ζ /m;

• Q can be determined from the fluctuation-dissipation theorem, Q = Mg −1 , with

g = m/kT , so that Q = kT ζ /m2 .

Then, the Fokker-Planck equation for Π(v, t|v0 ) (note that v is the independent

random variable) becomes the Kramers equation:

∂Jv ζ kT ζ ∂Π

Π̇ + = 0; Jv = − vΠ − 2 . (G.51)

∂v m m ∂v

At equilibrium, Jv = 0 and dΠ/Π = −(m/kT )dv, so that we obtain the

Maxwell distribution,

mv 2

Π eq (v) = C exp − . (G.52)

2kT

The general solution (4.55) in this case becomes:

1

Π v(t)|v0 = C exp − V (v) ,

2

(G.53)

2

where

v = v − v

0t = v − v0 e−ζ t/m ; (G.54)

0 kT

m

252 G Solutions of the Problems

Problem 4.2 Considering Eqs. (3.52) and (3.53), from the definitions (4.7) and

(4.8) we obtain, as t → 0,

v ζ

δv

t 0 = − v0 t = −Mv0 t, (G.56)

m

and

v0 2kT ζ

(δv)2 t

= t = 2Qt, (G.57)

m2

with,

ζ kT ζ

M= ; Q= . (G.58)

m m2

Problem 4.3 In the presence of a linear external force F = −Ax and for long

timescales, t m/ζ , we can repeat the same analysis as in Problem 4.1, as the

Langevin equation becomes:

ζ ẋ + Ax = f. (G.59)

Again, the coefficient M in the Fokker-Planck equation can be easily determined

from the phenomenological relation ẋ

0t = −M x

0t , with M = A/ζ , while Q

can be determined from the fluctuation-dissipation theorem, Q = Mg −1 , with

g = A/kT , so that Q = kT /ζ = D, where D is the diffusivity. So we obtain the

Smoluchowski equation:

∂Jx A kT ∂Π

Π̇ + = 0; Jx = − xΠ − , (G.60)

∂x ζ ζ ∂x

and we may conclude:

0 kT

A

where x = x(t) − x0 e−2At/ζ . In particular, when A = 0, there is no equilibrium

configuration and this procedure seems invalid. However, taking the limit when

A → 0, Eq. (G.61) becomes:

2 0 kT

x(t) − x0 t = 2 t = 2Dt, (G.62)

ζ

i.e. the “usual” Stokes-Einstein result.

G.5 Chapter 5

Problem 5.1 Ito’s lemma (5.11) with x = W , f = x 4 , V = 0 and B = 1, reduces

to:

dW 4 = 6W 2 dt + 4W 3 dW, (G.63)

G.5 Chapter 5 253

t t

1 3

I W 3 (s) dW (s) = W 4 (t) − W 2 (s) ds. (G.64)

0 4 2 0

Again, the second term on the RHS would be absent by the rules of standard calcu-

lus.

to:

n(n + 1) n−1

dW n+1 = W dt + (n + 1)W n dW, (G.65)

2

so that we obtain by integration:

t t

1 n

I W n (s) dW (s) = W n+1 (t) − W n−1 (s) ds. (G.66)

0 n+1 2 0

Again, the second term on the RHS would be absent by the rules of standard calcu-

lus.

dS = rS dt + σ S dW (G.67)

σ S, obtaining:

1 2

d ln S = r − σ dt + σ dW. (G.68)

2

Integrating, with S(0) = S0 , we obtain:

S(t) 1

ln = r − σ 2 t + σ W (t), (G.69)

S0 2

that is,

1 2 )t+σ W (t)

S(t) = S0 e(r− 2 σ . (G.70)

This is called the log-normal, or Black-Scholes model, of the market for a particular

stock.

Note that the basic assumption of the Black-Scholes model is that when σ = 0,

i.e. in the absence of fluctuations, the system is well behaved, which contradicts all

experimental data. This is particularly alarming, as most of the predictions of the

financial analysts are based on this model.

254 G Solutions of the Problems

G.6 Chapter 6

pressible flow field, V1 = γ x2 and V2 = γ x1 . Then, the minimum path obeys the

same Eq. (6.41), with Mi = γ , obtaining again Eq. (6.42). Substituting this result

into Eq. (6.34), i.e. Lmin = ζ (ẏ − V)2 , we obtain:

γ

4D

The same result can be obtained [5] by solving directly the Fokker-Planck equation.

The variances of this distribution read:

D 2D

X12 = X22 = sinh(2γ t); X1 X2

= sinh2 (γ t). (G.73)

γ γ

= X22

= 2Dt and X1 X2

= 0.

Problem 6.2 Changing coordinate system along the principle axis of the elonga-

√ with X1 = X2 (stretching)

tional flow of Problem 6.1, √ and X1 = −X2 (squeezing),

define Y1 = (X1 + X2 )/ 2 and Y2 = (X1 − X2 )7 2, so that we obtain the straining

flow, VY1 = Y1 and VY2 = −Y2 . Then, the distribution (G.72) becomes [8]:

γ −γ t 2

γt 2

(G.74)

4D sinh(γ t)

D 2γ t D

Y12 = e −1 ; Y22 = 1 − e−2γ t ; Y1 Y2

= 0. (G.75)

γ γ

= Y22

= 2Dt and

Y1 Y2

= 0.

G.7 Chapter 7

Problem 7.1 As we saw in Eq. (7.21), for non reactive mixtures the law of mass

conservation of a chemical species k is:

Dφ (k) (k)

ρ = −∇ · Jd ,

Dt

G.7 Chapter 7 255

where ρ (k) and ρ = ρ (k) are the mass density (i.e. mass per unit volume) of

component k and the total mass density, respectively, φ (k) = ρ (k) /ρ is the mass

(k)

fraction of component k, while Jd = ρφ (k) (v(k) − v) is its diffusive flux, with v(k)

denoting

(k) (k)the mean velocity of component k and v the barycentric velocity, v=

φ v . If the chemical species k carries a charge per unit mass, z(k) , then the

total electric current flux (i.e. the electric charge crossing per unit time a unit surface

cross section) I can be written as the sum of a convective and a diffusive component,

n

I= ρ (k) z(k) v(k) = ρzv + i,

k=1

where,

n n

z= ρ z = φ z

ρ

k=1 k=1

n

(k)

i= z(k) Jd

k=1

Finally, multiplying the equation of mass conservation of a chemical species by

z(k) and summing over k we obtain:

Dz

ρ = −∇ · i,

Dt

showing that the law of conservation of electric charge follows directly, without any

further assumptions, from the law of mass conservation.

magnetic fields, E and B, respectively.3 The momentum balance equation is again

given by Eqs. (7.25)–(7.26), where

F(k) = z(z) E + v(k) × B

3 Here we neglect all polarization phenomena, so that the electric and magnetic fields coincide with

4 The speed of light, that sometimes appears in the Maxwell equations, and therefore in the Lorentz

256 G Solutions of the Problems

Now, the entropy production expression (7.72) will include an additional term,

(k)

i.e. the product of this force by the diffusive flux Jd , i.e.,

n

(k)

T σ (S) = Jd · F(k) .

k=1

1 (k)

v(k) = v + J .

ρφ (k) d

(k) (k)

Therefore, since Jd · Jd × B = 0, the additional term becomes:

n

(k)

T σ (S) = z(z) Jd · (E + v × B).

k=1

Note that, expressing the electric field in terms of an electric potential φ, defined as

E = −∇φ, its contribution can be included in Eq. (7.72) directly, considering the

electrochemical potential ( μ(k) as the sum of the chemical potential, μ(k) , and the

electrostatic contribution, ψ (k) = z(k) φ.

G.8 Chapter 8

(s)

Problem 8.1 Considering the symmetry of P̆ij and S̆k , we see that

(s)

In addition, since P̆ij and S̆k are traceless by definition, we have:

Finally, since from (8.7) and (8.14) we see that the entropy production rate includes

(s)

a term T σS = P̆ij S̆ij , the Onsager reciprocity relations yield:

ηij k = ηkj i .

Problem 8.2 Considering that the very dilute case consists of the diffusion of a

single Brownian particle that moves along a trajectory (

r(t), we have:

(

J(1) = m1 n(1)(

v, (G.76)

G.9 Chapter 9 257

r(t)], while (

with n(1) (r, t) = δ[r −( v(t) is the velocity of the Brownian particle.5

Therefore, we may conclude:

( vk (t2 ) = 2Dδik δ(t1 − t2 ),

vi (t1 )( (G.77)

G.9 Chapter 9

Problem 9.1 At the end of a tedious, but elementary power expansion in terms

of the reduced variables, we see that the Van der Waals equation reads, neglecting

higher order terms,6

3

p̃ = 4t˜ − 5t˜ṽ − ṽ 3 . (G.78)

2

Note that we cannot have any term proportional to ṽ or ṽ 2 , in agreement with the

conditions (∂P /∂ ṽ)TC = (∂ 2 P /∂ ṽ 2 )TC = 0, while the coefficient of the ṽ 3 -term

must be negative, as (∂ 3 P /∂ ṽ 3 )TC < 0. When t˜ > 0, all states of the system are

stable, that is there is no phase separation and the system remains homogeneous.

That means that, when t˜ > 0, it must be (∂P /∂ ṽ)TC < 0, and therefore the coeffi-

cient of the t˜ṽ-term must be negative. Finally, note that the t˜ṽ 2 and t˜2 ṽ-terms have

been neglected because they are much smaller than t˜ṽ, while the t˜ṽ-term must be

kept, despite being much smaller than t˜, for reasons that will be made clear below.

At the critical point, where t˜ = 0 , from (G.78) we obtain: p̃ ∝ ṽ δ , where δ = 3

is a critical exponent.

Consider an isotherms below the critical point, with t˜ = −a 2 , where the sys-

tem is unstable and separates into two coexisting phases. The spinodal volumes can

β 4˜

be determined imposing that (∂ p̃/∂ ṽ)T̃ = 0, obtaining: ṽs = −ṽs = − 3 t , i.e.

α

β = 1/2.7

5 Here, (

J(1)is a diffusive flux, since the solvent is quiescent and therefore the average velocity of

the mixture is zero.

6 This expression can be generalized as p̃ = b t˜ − 2a t˜ṽ − 4B ṽ 3 , which is the basis of Landau’s

c c c

mean field theory [7, Chaps. 146, 148].

7 This critical property can also be determined from the free energy f . In fact, integrating

Th

(dfT h )T = −P dv and substituting (G.78), we see that in the vicinity of the critical point the free

energy has the following expression:

3

fT h (ṽ, T̃ ) = PC vC h(T̃ ) + (1 + 4T̃ )ṽ + 3T̃ ṽ 2 + ṽ 4 , (G.79)

8

where h(t˜) = (1 + t˜) ln[3/(2vC )] − 9/8. From this expression we can determine ṽe , finding again

β = 1/2.

258 G Solutions of the Problems

∂P ∂ p̃ ∼

κT−1 = −v = −PC (1 + ṽ) = 2ac PC t˜, (G.80)

∂v T ∂ ṽ T̃

showing that γ = 1.

Finally, considering that the molar internal energy uT h remains finite at the criti-

cal point, we find α = 0.8

2

∂ p̃ ∂ p̃

c p − cv ∝ , (G.82)

∂ t˜ ṽ ∂ ṽ t˜

we see that, since (∂ p̃/∂ t˜)t˜=0,ṽ=0 = bc and (∂ p̃/∂ ṽ)t˜=0,ṽ=0 = 0, the specific heat

cp diverges. In fact, we find:

1 1 1

cp ∝ = ∝ , (G.83)

(∂ p̃/∂ t˜)t˜ −2ac t˜ − 12Bc ṽ 2 t˜

√

where we have considered that on the equilibrium curve, ṽ ∝ t˜.

imposing that u 1, we easily obtain at leading order:

∂u

= −2ψ∇ 2 u − ∇ 4 u,

∂t

where the spatial and temporal variables have been made non dimensional in terms

of a and 2a 2 /D. Assuming a periodic perturbation u = u0 exp (ik · r + σ t) we find:

σ = k 2 2ψ − k 2 ,

ble when k < 2ψ. Among the infinite unstable modes, the one that grows fastest

will eventually prevail. That corresponds to the√wave vector that maximizes the ex-

ponential growth σ , which is given by kmax = ψ [1, 2].

PC vC dfT h

cvsat = 5 + fT h (0) − (0) . (G.81)

TC d t˜

G.10 Chapter 10 259

G.10 Chapter 10

and Ji , integrating by parts we obtain:

1 1

Ji

= ∇k (ri Jk ) d r =

3

nk ri Jk d 2 r, (G.84)

V V V r=R

and

1 1

∇i T

= ∇i T d 3 r = ni T d 2 r, (G.85)

V V V r=R

where the volume V has been assumed to be a sphere of radius R a, and

nk = Rk /R is the unit vector perpendicular to the sphere of radius R. At this point,

substituting into these expressions the outer solution (10.5), we find,

3 Ri R

Ji

= −k0 Rk Ri (1 + Kφ)δk − 3Kφ 2 G d 2 R,

4πR 4 R R

and

3

∇i T

= Ri Rk (1 + Kφ) d 2 R,

4πR 4 R

)where φ 2= a /R

3 3 is the volume fraction of the inclusions. Considering that

R Ri Rk d R = 3 πR , we obtain:

4 4

Ji

= −k0 Gi (1 − 2Kφ), (G.86)

and

∇i T

= Gi (1 + Kφ). (G.87)

Therefore, considering the definition (10.8) of the effective conductivity, i.e. Ji

=

−κ ∗ ∇i T

, we obtain:

κ ∗ 1 − 2Kφ

= = 1 − 3Kφ + O φ 2 . (G.88)

κ0 1 + Kφ

at the interfaces, together with the equality Tij = ∇k (ri Tkj ) [cf. Eq. (10.25)], we

obtain:

1 1

Sij

= (∇i vj + ∇j vi ) d r =

3

(ni vj + nj vi ) d 2 r,

2V V 2V R

and

1 1

Tij

= Tij d r =

3

nk ri Tkj d 2 r.

V V V R

260 G Solutions of the Problems

The shear flow past a sphere is given by Eq. (F.47). At large distances, i.e. when

R a, at leading order it reduces to:

5 ri rj rk

vi − Gik rk = − a 3 Gj k 5 ,

2 r

5 ri rk δj + rj rk δi + ri r δj k + rj r δik ri rj rk r

Tij = − η0 a Gk

3

− 10 ,

2 r5 r7

where Tij
= Tij + pδij − 2η0 Gij is the perturbation of the shear stress due to the

presence of the particle.

Therefore,

3 5 ri rj rk r 2

Sij

− Gij = − 4

φGk d r,

4πR R 2 r2

and considering that

4

ri rj rk r d 2 r = πR 6 (δij δk + δik δj + δi δj k ),

R 15

with Gii = 0, we obtain:

Sij

= Gij (1 − φ).

This shows that the mean shear rate decreases, due to the presence of rigid parti-

cles, as one should expect.

In the same way, we find:

3 5 ri rk δj + ri r δj k ri rj rk r

Tij = − 3

η0 a Gk −8 d 2 r,

4πR 4 R 2 r3 r5

i.e.,

3 5 ri rj rk r

Tij
= − η0 φGk ri rk δj + ri r δj k − 8 d 2 r,

4πR 4 2 R r2

and therefore,

15 4 4

Tij
=− η0 φGk πR (δik δj + δi δj k ) − 8 × πR (δik δj + δi δj k ) ,

4 4

8πR 4 3 15

that is,

15 8 64

Tij
= − η 0 φGij − πR 4 = 3φη0 Gij .

8πR 4 3 15

Consequently, we conclude:

3

Tij + pδij

= 2η0 Gij 1+ φ .

2

G.11 Chapter 11 261

Tij + pδij

= 2η∗ Sij

,

5

η ∗ = η0 1 + φ ,

2

Problem 10.3 Substituting the equations of motion (10.76) into the RHS of Eq.

(10.101), we obtain,

(2)

η̇ij kl = xi Π̇j k xl d r = xi πk,j − η∇ 2 Πj k xl d 3 r,

3

(G.89)

η̇ij kl = xi −η∇ 2 Pj∗k xl d 3 r.

(2)

(G.90)

Finally, integrating by parts, applying the normalization condition (10.90) and con-

sidering the exponential decay of P∗ , we rederive the dynamical definition of vis-

cosity (10.101).

G.11 Chapter 11

Problem 11.1 Here the Brownian particle can sample only transversal position

−(Y − a) < y < (Y − a). Accordingly, as the mean particle velocity Vp is calculated

over all the accessible values of V (y) we have:

Y −a

1 3 y2

Vp = V 1 − 2 dy,

2(Y − a) −(Y −a) 2 Y

i.e.,

3V 1

Vp = (1 − ) − (1 − ) ,

3

4(1 − ) 3

so that at leading order we obtain: Vp = V (1 + ). This shows that the suspended

particle has a mean velocity that is larger than that of the fluid.

9 In his first calculation of the effective viscosity [3], Einstein neglected to take into account the

variation of the mean shear rate, so that he obtained a factor 3/2, which only later [4] he corrected

into 5/2. The fact that even Him made a mistake has always been a source of great consolation to

all of us.

262 G Solutions of the Problems

since by “cutting out” the wall region, where the velocity gradient is larger, we

keep only the central part of the velocity profile, which is rather flat and does not

influence diffusion too much (in the limit case of an ideal plug flow, Taylor diffusion

is identically zero).

Repeat the analysis of Sect. 11.2.2, assuming that the Brownian particles are

convected by a linear Couette flow, V (y) = 2V y/Y , with 0 ≤ y ≤ Y .10 In this case,

as (

v = 2( (

y − 1, we find d B/dy =( y 2 −(

y and α = 1/30. Therefore, we finally obtain:

1 V 2Y 2

D∗ = D + . (G.91)

30 D

(b) Lagrangian approach.

In this case, when V (y) = 2V y/Y , with 0 ≤ y ≤ Y , we find,

√

4 2V

vn = 2 2 for n = 2m + 1; vn = 0 for n = 2m. (G.92)

π n

Finally, considering that ∞ m=0 (2m + 1)

−4 = π 4 /960, substituting this result into

(11.91) we obtain:

1 V 2Y 2

D∗ = D + , (G.93)

30 D

which coincides with (G.91).

array of fixed particles is governed by the Stokes equations,

∇p = η∇ 2 v; ∇ · v = 0,

v=0 at sp .

r pL v

(

r= ; (=

p ; (

v= ,

L ηV V

tilde indicates non dimensionality. At this point, assume that all quantities depend

separately on macroscopic and microscopic length, x and y, respectively, defined in

G.11 Chapter 11 263

(11.101), where = /L, with denoting the micro, or pore, scale. Now impose the

following scaling [10]:

p

and

(

v = 2 v0 (x, y) + 3 v1 (x, y) + · · · ,

together with the expansion (11.103):

( = ∇ x + 1 ∇y .

∇

At leading order we find:

p0 = p0 (x).

At the next order we obtain:

Define:

v0 (x, y) = −W(y) · ∇x p0 ,

and,

p1 (x, y) = −P(y) · ∇x p0 .

Here, W and P satisfy the following cell problem:

Averaging we obtain:

v0

= −(

k · ∇ x p0 ,

where (

k is the non-dimensional permeability,

(

k = W

.

Clearly, this shows that permeability is the mean velocity induced by a normalized

pressure gradient.

Going back to dimensional variables, we find the Darcy law,

−η ∇p

= k · V

,

where k = 2( k = 2 W

, thus confirming that permeability has the typical dimen-

sion of the square of the pore size.

264 G Solutions of the Problems

References

1. Cahn, J., Hilliard, J.: J. Chem. Phys. 28, 258 (1958)

2. Cahn, J., Hilliard, J.: J. Chem. Phys. 31, 688 (1959)

3. Einstein, A.: Ann. Phys. 19, 289 (1906)

4. Einstein, A.: Ann. Phys. 34, 591 (1911)

5. Foister, R.T., Van de Ven, T.G.M.: J. Fluid Mech. 96, 105 (1980)

6. Happel, J., Brenner, H.: Low Reynolds Number Hydrodynamics. Springer, Berlin (1963),

Chap. 5

7. Landau, L.D., Lifshitz, E.M.: Statistical Physics, Part I. Pergamon, Elmsford (1980)

8. Liron, N., Rubinstein, J.: SIAM J. Appl. Math. 44, 493 (1984)

9. Mauri, R., Haber, S.: SIAM J. Appl. Math. 46, 49 (1986)

10. Sanchez-Palencia, E.: Non-Homogeneous Media and Vibration Theory. Springer, Berlin

(1980)

Background Reading

New York (1956) (First Edition: 1926)

• Gardiner, C.W.: Handbook of Stochastic Methods, 2nd edn. Springer, Berlin

(1985)

• de Groot, S.R., Mazur, P.: Non-Equilibrium Thermodynamics. Dover, New York

(1984) (First Edition: 1961)

• Kreuzer, H.J.: Nonequilibrium Thermodynamics and Its Statistical Foundations.

Clarendon Press, Oxford (1981)

• Landau, L.D., Lifshitz, E.M.: Statistical Physics, Part I. Pergamon, Elmsford

(1980), Chap. XII (First Edition: 1978)

• Prosperetti, A.: Advanced Mathematics for Applications. Cambridge University

Press, Cambridge (2011)

• Reif, F.: Fundamentals of Statistical and Thermal Physics. McGraw Hill, New

York (1965)

• van der Waals, J.D.: The thermodynamic theory of capillarity under the hypothe-

sis of a continuous variation of density. Z. Phys. Chem. Stochiom. Verw. 13, 657

(1894); reprinted in J. Stat. Phys. 20, 200 (1979)

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

Index

Accessible states, 187 multicomponent mixtures, 98–100

Action, 121, 212 non-isotropic media, 101, 102

single-phase fluid, 92

B Correlation function, 16, 20, 197, 198

Balance equations, 73–85, 219–222 Critical point, 111–113

for angular momentum, 82, 83 Curie’s principle, 89, 103

for chemical species, 76, 77

for entropy, 84, 85 D

for internal energy, 81 Diffuse interface approach, 108

for kinetic energy, 78 Diffusivity

for mass, 220 colloidal suspensions, 141–144

for mechanical energy, 79 dynamical definition, 145

for momentum, 74, 75, 77, 78, 221 effective, 161, 166, 167, 170, 174

for potential energy, 79 gradient, 19, 27, 143

for total energy, 80–82, 221 in binary mixtures, 94, 98

general, 73, 74 in multicomponent mixtures, 99

self, 19, 27, 141

Binomial distribution, 25, 181–183, 188

Dispersion relations, 21, 22

mean value, 182

Drag coefficient, 28

normalization, 182

of a suspension, 140, 242

variance, 183

Drift velocity, 174

Bohm’s quantum potential, 58

Dufour coefficient, 94

Boltzmann’s entropy, 190, 193

Brownian motion, 25–28 E

Effective constitutive relations, 133–144

C Entropy production, 6, 19, 85, 87

Cahn boundary condition, 121 Equilibrium curve, 114

Casimir reciprocity relations, 19

Chemical potential F

generalized, 118, 130 Faxen law, 231, 237–240

non local, 118 Fluctuation-dissipation theorem, 18–24, 28,

thermodynamic, 118, 129, 143 30, 32, 41, 42

Conservation “violation” of, 43, 141

of angular momentum, 208 Fluctuations

of energy, 207 Einstein’s formula, 4

of momentum, 208 equilibrium, 4–10

Constitutive relations, 87–102 in binary solutions, 10

Soft and Biological Matter, DOI 10.1007/978-94-007-5461-4,

© Springer Science+Business Media Dordrecht 2013

268 Index

Flux M

chemical species, 127, 130 Margules coefficient, 128

heat, 80, 81, 85, 126, 127 Markov process, 35, 36

momentum, 77, 126 Maxwell distribution, 8, 251

Fokker-Planck equation, 35–42 Mean field theory, 108

backward, 40 Microscopic reversibility, 15, 16, 43

derivation, 36 Minimum action principle, 121, 212

general solution, 39 Minimum path, 65–67

Free energy Minimum work, 6

of a fluid, 110, 194–196 Momentum, 209

bulk, 117 Multipole expansion, 224–226

non local, 116

surface, 117, 121 N

thermodynamic, 111 Nelson’s acceleration, 57

van der Waals, 111

of a suspension, 144 O

Onsager reciprocity relations, 17–20, 88–91

thermodynamic, 192

Onsager-Machlup function, 65

Ornstein-Uhlenbeck process, 38, 68

G Oseen tensor, 229

Gaussian distribution, 4, 5, 26, 186, 188

Gibbs-Duhem relation, 93, 99, 100, 143 P

Gibbs-Thomson law, 120 Partition function, 192

Green-Kubo relation, 18 Path integral, 61–70

Peltier effect, 97

H Permeability, 139

H theorem, 219 Poisson distribution, 184

Hamilton equations, 210, 217 Poisson parenthesis, 211

Hamilton-Jacobi equation, 214 Potential doublet, 231

Hamiltonian, 207, 209 Principle of detailed balance, 15

Heat conductivity, 92, 94 Principle of virtual work, 204

effective, 133–137 Probability distributions, 13–15

Heat source, 80, 81, 125–127

Homogenization method, 168–178 R

Renormalization, 240

I Rotlet, 235

Ito’s calculus, 50–53, 65

S

Schrödinger equation, 58

K

Sedimentation, 239

Korteweg body force, 124, 126, 127

Seebeck effect, 96

Korteweg stresses, 108, 109, 123–125

Smoluchowski equation, 48, 161, 252

Kramers equation, 47, 159, 251

Soret coefficient, 95

Kramers-Kronig relations, 21, 22, 199

Spinodal curve, 115

Stochastic differential calculus, 49–55

L Ito, 50–53

Lagrange equation, 205, 213 Stratonovich, 53–55

Lagrangian, 122, 205 Stochastic mechanics, 55–60

Langevin equation, 25–32 Stokes doublet, 234

generalized, 31 Stokes-Einstein relation, 28, 141, 249, 250

one-dimensional, 28 Stokeslet, 228, 229

Liouville equation, 211, 218 Stratonovich’s calculus, 53–55, 65

Local equilibrium, 1 Stresslet, 235, 236

Lorentz reciprocal theorem, 236, 237 Surface tension, 119, 120

Index 269

T V

Tartaglia prefactor, 182, 188 Van der Waals equation, 111, 113

Taylor dispersion, 161–168 Virial coefficient

channel flow, 163, 167

binary mixture, 128

Couette flow, 178, 262

diffusivity, 163, 164, 166, 167 of a suspension, 144

eigenvalue expansion, 166 single component, 111

Lagrangian approach, 165 Viscosity

pipe flow, 164, 168 bulk, 92

velocity covariance, 164 effective, 137–139

Thermal diffusion coefficient, 94

Thermal electricity coefficient, 96 shear, 92

Thermo-diffusion, 92, 94

Thermo-electricity, 95

Thermodynamic force, 5, 87 W

Thomson effect, 97 Wiener process, 45–47

Transport in random media, 169–178

homogeneous fields, 169–172

Lagrangian approach, 175–178 Y

nonhomogeneous fields, 173–175 Young-Laplace equation, 120

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