# 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):

$$\tag{a1 } \frac{dv ( t) }{dt} = - \gamma v ( t) + L ( t).$$

Here $v ( t)$ denotes the velocity at time $t$ along one of the coordinate axes of the Brownian particle, $\gamma > 0$ is a friction coefficient due to the viscosity of the liquid, and $L ( t)$ 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

$$\mathbf E ( L ( t)) = 0 \ \ \textrm{ and } \ \ \mathbf E ( L ( t) L ( s)) = D \cdot \delta ( t - s).$$

The Langevin equation (a1) leads to the following diffusion (or "Fokker–Planck" ) equation (cf. Diffusion equation) for the probability density on the velocity axis:

$$\tag{a2 } { \frac \partial {\partial t } } \rho _ {t} ( v) = \ \gamma \frac \partial {\partial v } ( v \rho _ {t} ( v)) + { \frac{1}{2} } D ^ {2} \frac{\partial ^ {2} }{\partial v ^ {2} } \rho _ {t} ( v).$$

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 $\gamma$ and $D$, namely $D = 2 \gamma kT/M$( where $T$ is the temperature and $M$ the particle's mass), gave the first estimate of Boltzmann's constant $k$, and thereby of Avogadro's number.

The Langevin equation may be considered as the first stochastic differential equation. Today it would be written as

$$dv ( t) = - \gamma u ( t) dt + D dw ( t),$$

where $w ( t)$ 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].

How to Cite This Entry:
Langevin equation. Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Langevin_equation&oldid=47575
This article was adapted from an original article by H. Maassen (originator), which appeared in Encyclopedia of Mathematics - ISBN 1402006098. See original article