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Fokker-Planck Equation
with Detailed Balance
The set of values {x} for X may be discrete, or continuous. If the set of
values is continuous, then PX (x) is a probability density so that PX (x)dx
is the probability that one finds the stochastic variable X to have values
in the range [x, x + dxi.
An arbitrary number of other stochastic variables may be derived from
X. For example, any Y given by a mapping of X, is also a stochastic
variable. The mapping may also be ‘time’ dependent, that is, the mapping
depends on an additional variable t:
The quantity Y (t) is called a random function, or, since t often is time,
a stochastic process. A stochastic process is a function of two variables,
one is the time, the other is a stochastic variable X. Let x be one of the
possible values of X then
224
Appendix E. Fokker-Planck Equation with Detailed Balance 225
wehere W (y 0 |y) is the probability, per unit time, that the system changes
from a state | y i, characterized by the value y for the stochastic variable
Y , to a state | y 0 i.
Note that for a system in equilibrium the transition rate W (y|y 0 ) and
the reverse W (y 0 |y), may be very different. Consider, for instance, a simple
system that has only two energy levels 0 = 0 and 1 = ∆E. Then we find
that
W (1 |0 ) exp(−0 /kT ) = W (0 |1 ) exp(−1 /kT ) . (E.4)
The forward jump rate is assumed to be sharply peaked so that R+ (ρ; y) '
0 for r > δ, and R+ (ρ; y + ∆y) ' R+ (ρ; y) for ∆y < δ. The change in the
probability distribution is then given by the Master equation
Z ∞
∂
P (y, t) = {W (y|y − ρ)P (y − ρ, t) − W (y − ρ|y)P (y, t)} dρ
∂t
Z 0∞ . (E.6)
+ {W (y|y + ρ)P (y + ρ, t) − W (y + ρ|y)P (y, t)} dρ
0
Here we note that the detailed balance equation (E.3) may be written
where the ∇ = ( ∂y∂ 1 , ∂y∂ 2 , . . . ∂y∂n ). The Fokker-Planck equation in this form
makes explicit that there is no time dependence if P (r, t) = P0 (r).
The diffusion tensor D is given in terms of an expression similar to
equation (E.11)
Z
1
D(r) = (r 0 − r)·W (r 0 |r)·(r 0 − r)dn r 0 , (E.13)
2
Z
1
Dij (r) = (yi0 − yi )W (r 0 |r)(yj0 − yj )dn r 0 , (E.14)
2
E.1 The Einstein Relations 227
That is, the diffusion constant is one half the mean square jump distance
times the jump rate.
The Fokker-Planck equation for the concentration may also be written
as a continuity equation:
∂
c(r, t) + ∇·J = 0 (E.21)
∂t
Where the probability flux, or rather Brownian particle flux, J is given by