Dynamics of Stochastic Systems
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About this ebook
· This book is translation from Russian and is completed with new principal results of recent research.· The book develops mathematical tools of stochastic analysis, and applies them to a wide range of physical models of particles, fluids, and waves.· Accessible to a broad audience with general background in mathematical physics, but no special expertise in stochastic analysis, wave propagation or turbulence
Valery I. Klyatskin
Born in 1940 in Moscow, USSR, Valery I. Klyatskin received his secondary education at school in Tbilisi, Georgia, finishing in 1957. Seven years later he graduated from Moscow Institute of Physics and Technology (FIZTEX), whereupon he took up postgraduate studies at the Institute of Atmospheric Physics USSR Academy of Sciences, Moscow gaining the degree of Candidate of Physical and Mathematical Sciences (Ph.D) in 1968. He then continued at the Institute as a researcher, until 1978, when he was appointed as Head of the Wave Process Department at the Pacific Oceanological Institute of the USSR Academy of Sciences, based in Vladivostok. In 1992 Valery I. Klyatskin returned to Institute of Atmospheric Physics Russian Academy of Sciences, Moscow when he was appointed to his present position as Chief Scientist. At the same time he is Chief Scientific Consultant of Pacific Oceanological Institute Russian Academy of Sciences, Vladivostok. In 1977 he obtained a doctorate in Physical and Mathematical Sciences and in 1988 became Research Professor of Theoretical and Mathematical Physics, Russian Academy of Science.
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Dynamics of Stochastic Systems - Valery I. Klyatskin
Netherlands.
Preface
Valery I. Klyatskin
Writing this book, I issued from the course that I gave to scientific associates at the Institute of Calculus Mathematics, Russian Academy of Sciences. In the book, I use the functional approach to uniformly formulate general methods of statistical description and analysis of dynamic systems described in terms of different types of equations with fluctuating parameters, such as ordinary differential equations, partial differential equations, boundary-value problems, and integral equations. Asymptotic methods of analyzing stochastic dynamic systems — the delta-correlated random process (field) approximation and the diffusion approximation — are also considered. General ideas are illustrated by the examples of coherent phenomena in stochastic dynamic systems, such as clustering of particles and passive tracer in random velocity field and dynamic localization of plane waves in randomly layered media.
The book consists of three parts.
The first part may be viewed as an introductory text. It takes up a few typical physical problems to discuss their solutions obtained under random perturbations of parameters affecting the system behavior. More detailed formulations of these problems and relevant statistical analysis may be found in other parts of the book.
The second part is devoted to the general theory of statistical analysis of dynamic systems with fluctuating parameters described by differential and integral equations. This theory is illustrated by analyzing specific dynamic systems. In addition, this part considers asymptotic methods of dynamic system statistical analysis, such as the delta-correlated random process (field) approximation and the diffusion approximation.
The third part deals with analysis of specific physical problems associated with coherent phenomena. These are clustering and diffusion of particles and passive tracer in a random velocity field, dynamic localization of plane waves propagating in layered random media. These phenomena are described by ordinary differential equations and partial differential equations.
Each chapter is appended with problems the reader to solve by himself (herself), which will be a good training for independent investigations.
The book is intended primarily for scientific workers; however, it may be useful also for senior and postgraduate students specialized in mathematics and physics and dealing with stochastic dynamic systems.
Introduction
Different areas of physics pose statistical problems in ever-greater numbers. Apart from issues traditionally obtained in statistical physics, many applications call for including fluctuation effects into consideration. While fluctuations may stem from different sources (such as thermal noise, instability, and turbulence), methods used to treat them are very similar. In many cases, the statistical nature of fluctuations may be deemed known (either from physical considerations or from problem formulation) and the physical processes may be modeled by differential, integro-differential or integral equations.
We will consider a statistical theory of dynamic and wave systems with fluctuating parameters. These systems can be described by ordinary differential equations, partial differential equations, integro-differential equations and integral equations. A popular way to solve such systems is by obtaining a closed system of equations for statistical characteristics of such systems to study their solutions as comprehensively as possible.
We note that often wave problems are boundary-value problems. When this is the case, one may resort to the imbedding method to reformulate the equations at hand to initial value problems, thus considerably simplifying the statistical analysis [1], [2].
The purpose of this book is to demonstrate how different physical problems described by stochastic equations may be solved on the base of a general approach.
In stochastic problems with fluctuating parameters, the variables are functions. It would be natural therefore to resort to functional methods for their analysis. We will use a functional method devised by Novikov [3] for Gaussian fluctuations of parameters in a turbulence theory and developed by the author of this book [1], [4]–[6] for the general case of dynamic systems and fluctuating parameters of arbitrary nature.
However, only a few dynamic systems lend themselves to analysis yielding solutions in a general form. It proved to be more efficient to use an asymptotic method where the statistical characteristics of dynamic problem solutions are expanded in powers of a small parameter which is essentially a ratio of the random impact’s correlation time to the time of observation or to other characteristic time scale of the problem (in some cases, these may be spatial rather than temporal scales). This method is essentially a generalization of the theory of Brownian motion. It is termed the delta-correlated random process (field) approximation.
For dynamic systems described by ordinary differential stochastic equations with Gaussian fluctuations of parameters, this method leads to a Markovian problem solving model, and the respective equation for transition probability density has the form of the Fokker–Planck equation. In this book, we will consider in depth the methods of analysis available for this equation and its boundary conditions. We will analyze solutions and validity conditions by way of integral transformations. In more complicated problems described by partial differential equations, this method leads to a generalized equation of Fokker–Planck type in which variables are the derivatives of the solution’s characteristic functional. For dynamic problems with non-Gaussian fluctuations of parameters, this method also yields Markovian type solutions. Under the circumstances, the probability density of respective dynamic stochastic equations satisfies a closed operator equation.
In physical investigations, Fokker–Planck and similar equations are usually set up from rule of thumb considerations, and dynamic equations are invoked only to calculate the coefficients of these equations. This approach is inconsistent, generally speaking. Indeed, the statistical problem is completely defined by dynamic equations and assumptions on the statistics of random impacts. For example, the Fokker–Planck equation must be a logical sequence of the dynamic equations and some assumptions on the character of random impacts. It is clear that not all problems lend themselves for reducing to a Fokker–Planck equation. The functional approach allows one to derive a Fokker Planck equation from the problem’s dynamic equation along with its applicability conditions.
For a certain class of random processes (Markovian telegrapher’s processes, Gaussian Markovian process and the like), the developed functional approach also yields closed equations for the solution probability density with allowance for a finite correlation time of random interactions.
For processes with Gaussian fluctuations of parameters, one may construct a better physical approximation than the delta-correlated random process (field) approximation, — the diffusion approximation that allows for finiteness of correlation time radius. In this approximation, the solution is Markovian and its applicability condition has transparent physical meaning, namely, the statistical effects should be small within the correlation time of fluctuating parameters. This book treats these issues in depth from a general standpoint and for some specific physical applications.
In recent time, the interest of both theoreticians and experimenters has been attracted to relation of the behavior of average statistical characteristics of a problem solution with the behavior of the solution in certain happenings (realizations). This is especially important for geophysical problems related to the atmosphere and ocean where, generally speaking, a respective averaging ensemble is absent and experimenters, as a rule, have to do with individual observations.
Seeking solutions to dynamic problems for these specific realizations of medium parameters is almost hopeless due to extreme mathematical complexity of these problems. At the same time, researchers are interested in main characteristics of these phenomena without much need to know specific details. Therefore, the idea to use a well developed approach to random processes and fields based on ensemble averages rather than separate observations proved to be very fruitful. By way of example, almost all physical problems of atmosphere and ocean to some extent are treated by statistical analysis.
Randomness in medium parameters gives rise to a stochastic behavior of physical fields. Individual samples of scalar two-dimensional fields ρ(R, t), R = (x,y), say, recall a rough mountainous terrain with randomly scattered peaks, troughs, ridges and saddles. Common methods of statistical averaging (computing mean-type averages — 〈ρ(R, t)〉, space-time correlation function — 〈ρ(R, t) ρ(R’, t’)〉 etc., where 〈…〉 implies averaging over an ensemble of random parameter samples) smooth the qualitative features of specific samples. Frequently, these statistical characteristics have nothing in common with the behavior of specific samples, and at first glance may even seem to be at variance with them. For example, the statistical averaging over all observations makes the field of average concentration of a passive tracer in a random velocity field ever more smooth, whereas each its realization sample tends to be more irregular in space due to mixture of areas with substantially different concentrations.
Thus, these types of statistical average usually characterize ‘global’ space-time dimensions of the area with stochastic processes but tell no details about the process behavior inside the area. For this case, details heavily depend on the velocity field pattern, specifically, on whether it is divergent or solenoidal. Thus, the first case will show with the total probability that clusters will be formed, i.e. compact areas of enhanced concentration of tracer surrounded by vast areas of low-concentration tracer. In the circumstances, all statistical moments of the distance between the particles will grow with time exponentially; that is, on average, a statistical recession of particles will take place