Langevin equation
In 1908 P. Langevin [a1] proposed the following equation to describe the natural phenomenon of Brownian motion (the irregular vibrations of small dust particles suspended in a liquid):
![]() | (a1) |
Here denotes the velocity at time
along one of the coordinate axes of the Brownian particle,
is a friction coefficient due to the viscosity of the liquid, and
is a postulated "Langevin forceLangevin force" , standing for the pressure fluctuations due to thermal motion of the molecules comprising the liquid. This Langevin force was supposed to have the properties
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The Langevin equation (a1) leads to the following diffusion (or "Fokker–Planck" ) equation (cf. Diffusion equation) for the probability density on the velocity axis:
![]() | (a2) |
The equations (a1) and (a2) provided a conceptual and quantitative improvement on the description of the phenomenon of Brownian motion given by A. Einstein in 1905. The quantitative understanding of Brownian motion played a large role in the acceptance of the theory of molecules by the scientific community. The numerical relation between the two observable constants and
, namely
(where
is the temperature and
the particle's mass), gave the first estimate of Boltzmann's constant
, and thereby of Avogadro's number.
The Langevin equation may be considered as the first stochastic differential equation. Today it would be written as
![]() |
where is the Wiener process (confusingly called "Brownian motion" as well). The solution of the Langevin equation is a Markov process, first described by G.E. Uhlenbeck and L.S. Ornstein in 1930 [a2] (cf. also Ornstein–Uhlenbeck process).
The Langevin equation is a heuristic equation. The program to give it a solid foundation in Hamiltonian mechanics has not yet fully been carried through. Considerable progress was made by G.W. Ford, M. Kac and P. Mazur [a3], who showed that the process of Uhlenbeck and Ornstein can be realized by coupling the Brownian particle in a specific way to an infinite number of harmonic oscillators put in a state of thermal equilibrium.
In more recent years, quantum mechanical versions of the Langevin equation have been considered. They can be subdivided into two classes: those which yield Markov processes and those which satisfy a condition of thermal equilibrium. The former are known as "quantum stochastic differential equations" [a4], the latter are named "quantum Langevin equations" [a5].
References
[a1] | P. Langevin, "Sur la théorie de mouvement Brownien" C.R. Acad. Sci. Paris , 146 (1908) pp. 530–533 |
[a2] | G.E. Uhlenbeck, L.S. Ornstein, "On the theory of Brownian motion" Phys. Rev. , 36 (1930) pp. 823–841 |
[a3] | G.W. Ford, M. Kac, P. Mazur, "Statistical mechanics of assemblies of coupled oscillators" J. Math. Phys. , 6 (1965) pp. 504–515 |
[a4] | C. Barnett, R.F. Streater, I.F. Wilde, "Quasi-free quantum stochastic integrals for the CAR and CCR" J. Funct. Anal. , 52 (1983) pp. 19–47 |
[a5] | R.L. Hudson, K.R. Parthasarathy, "Quantum Itô's formula and stochastic evolutions" Commun. Math. Phys. , 93 (1984) pp. 301–323 |
Langevin equation. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Langevin_equation&oldid=47575