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Вы находитесь на странице: 1из 141

Statistical Physics

(FYS3130)

Prepared by Yuri Galperin

Spring 2004

Contents

1

General Comments

Introduction to Thermodynamics

2.1 Additional Problems: Fluctuations

2.2 Mini-tests . . . . . . . . . . . . .

2.2.1 A . . . . . . . . . . . . .

2.2.2 B . . . . . . . . . . . . .

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7

28

30

30

31

33

3.1 Mini-tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

3.1.1 A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

3.1.2 B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

49

59

77

79

103

A Additional information

A.1 Thermodynamics . . . . . . . . . . . . . . .

A.1.1 Thermodynamic potentials . . . . . .

A.1.2 Variable transformation . . . . . . . .

A.1.3 Derivatives from the equation of state

A.2 Main distributions . . . . . . . . . . . . . . .

A.3 The Dirac delta-function . . . . . . . . . . .

A.4 Fourier Series and Transforms . . . . . . . .

B Maple Printouts

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107

107

107

107

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109

110

111

115

CONTENTS

Chapter 1

General Comments

This year the course will be delivered along the lines of the book [1]. The problems will also be

selected from this book. It is crucially important for students to solve problems independently.

The problems will be placed on the course homepage. The same page will contain solutions

of the problems. So if a student is not able to solve the problem without assistance, then she/he

should come through the solution. In any case, student have to able to present solutions, obtained

independently, or with help of the course homepage.

FYS 3130 (former FYS 203) is a complicated course, which requires basic knowledge of

classical and quantum mechanics, electrodynamics, as well as basics of mathematics.

Using a simple test below please check if your knowledge is sufficient. Answers can be found

either in the Maple file.

Elementary functions

Problem 1.1:

f (x) = x4 + ax3 + bx2 .

f (x) = a4 F () where

F () = 4 + 3 + 2 ,

(b) Investigate F ().

How many extrema it has?

When it has only 1 minimum? When it has 2 minima? At what value of it has an

inflection point?

5

6

Plot F () for this value of .

Problem 1.2: Logarithmic functions are very important in statistical physics. Check you memory by the following exercises:

Plot function

1x

1+x

Discuss properties of this function at |x| > 1.

f1 (x) = ln

Plot function

for

|x| 1 .

f2 (x) = ln(tan x) .

e4 ln x (x2 + 1)2 + 2x2 + 1 .

Problem 1.3:

Simplify

sin2 x tan2 x 1 .

C(, ) =

S(, ) =

en cos n ,

> 0.

en sin n ,

> 0.

n=0

n=0

Hint: take into account that cos x = Re eix , sin x = Im eix .

Basic integrals

Problem 1.4:

Calculate interglars:

In () =

xn ex dx ,

dx

,

2

x a2

G() =

Z

0

ex

2 /2

> 0.

dx

.

x(1 x)

dx ,

> 0.

Chapter 2

Introduction to Thermodynamics

Quick access: 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

Problem 2.1: Test the following differentials for exactness. For those cases in which the differential is exact, find the function u(x, y).

(a) dua =

y dx

x2 +y2

dy

+ x2x+y

2 .

(b) dub = (y x2 ) dx + (x + y2 ) dy .

(c) duc = (2y2 3x) dx 4xy dy .

Solution 2.1:

(a) The differential is exact, ua (x, u) = arctan(x/y).

Here one point worth discussion. The function ua (x, u) = arctan(x/y) has a singularity

at x = 0, y = 0. As a result, any close path embedding this point contributes 2 to the variation of the quantity u(x, y). Consequently, this function cannot serve as a thermodynamic

potential if both positve and negative values of x and y have physical meaning.

(b) The differential is exact, ub (x, y) = yx + (y3 x3 )/3.

(c) The differential is not exact.

The function u(x, y) is reconstructed in the following way. For an exact differential, du = ux dx +

uy dy,

u(x, y)

u(x, y)

ux =

, uy =

.

x

y

If we introduce

u1 (x, y) =

Z x

0

ux (, y) d ,

u(x, y) u1 (x, y)

df

=

= uy (x, y)

dy

y

y

As a result,

f (y) =

Z y

0

Finally,

u(x, y) =

Z x

0

d uy (x, )

d ux (, y) +

Z y

0

Z x

ux (x, y)

Z yZ x

d d

0

d uy (x, )

ux (, )

.

Z yZ x

d d

0

dx .

ux (, )

.

Problem 2.2:

2. du2 = y(x 2y) dx x2 dy.

For both differentials, find the change u(x, y) between two points, (a, b) and (x, y). Compute the

change in two different ways:

(a) Integrate along the path (a, b) (x, b) (x, y),

(b) Integrate along the path (a, b) (a, y) (x, y).

Discuss the meaning of your results.

Solution 2.2: The calculations are shown in the Maple file. In the case (b) the results are

different because the differential is not exact.

with the walls at temperature T (black body radiation) behaves like a gas of photons having

internal energy U = aV T 4 and pressure P = (1/3)aT 4 , where a is Stefans constant.

(a) Plot the closed curve in the P V plane for a Carnot cycle using black body radiation.

(b) Derive explicitly the efficiency of Carnot engine which uses black body radiation as its

working substance.

P re s s u re

2

1

T

h

3

4

T c

V o lu m e

Solution 2.3: We will follow example shown in Exercise 2.2. Let us start with isotherms. At

the isotherms the pressure is V -independent, thus isotherms are horizontal, see Fig. 2.1 Along

the first isothermal path,

V2

4 4

4

Q12 = U + PV = (4/3)aTh (V2 V1 ) = aTh V1

1 .

(2.1)

3

V1

In a similar way,

4 4

V3

Q34 = aTc V4 1

.

3

V4

(2.2)

dQ = 0 = dU + P dV = 4aV T 3 dT + aT 4 dV + (1/3)aT 4 dV = 4aV T 3 dT + (4/3)aT 4 dV .

Consequently,

dT

1 dV

=

V T 3 = const, PV 4/3 = const .

T

3 V

Let us start form the point 2 characterized by the values P1 ,V2 and adiabatically expand the

gas to the point 3 characterized by the volume V3 . We have V2 Th3 = V3 Tc3 . In a similar way,

V4 Tc3 = V1 Th3 . Combining these equalities, we get:

V2 Th3

= V3 Tc3 ,

V4 Tc3

= V1 Th3

V2 V1

=

=

V3 V4

Tc

Th

4 4

Tc

V3

W = Q12 + Q34 = aTh V1

1

1

.

3

V4

Th

(2.3)

10

Remember: along a closed path U = 0 and the total heat consumption is equal to mechanical

work.

On the

4 4

V2

Q12 = aTh V1

1 .

3

V1

As a result,

=

W

Th Tc

=

Q12

Th

as it should be.

Problem 2.4: A Carnot engine uses a paramagnetic substance as its working substance. The

equation of state is

nDH

M=

T

where M is magnetization, H is the magnetic field, n is the number of moles, D is a constant

determined by the type of substance, and T is is the temperature.

(a) show that the internal energy U, and therefore the heat capacity CM , can only depend on

the temperature and not the magnetization.

(b) Let us assume that CM = C = constant. Sketch a typical Carnot cycle in the M H plane.

(c) Compute the total heat absorbed and the total work done by the Carnot engine.

(d) Compute the efficiency of the Carnot engine.

Solution 2.4:

(a) By definition [see Eq. [1](2.23)],

dU = T dS + H dM .

Thus at M = const the internal energy is independent of the magnetization.

(b) Since C = const, U0 = NcM T , where cM is the specific heat per one particle while N is the

number of particles. Introducing molar quantities we get U0 = ncT .

A Carnot cycle is shown in Fig. 2.2. We have:

(c) For an isothermal process at T = Tc ,

Q12 =

Z H2

H(M) dM =

H1

Tc

(M 2 M22 ) .

2nD 1

In a similar way,

Q34 =

Th

(M32 M42 ) .

2nD

11

M

T

4

3

h

2

T c

1

H

Figure 2.2: Sketch of the Carnot cycle.

The total work is then W = Q12 + Q34 , and the efficiency is

W

Tc M12 M22

=

= 1+

.

Q34

Th M32 M42

Now let us discuss adiabatic paths. We have at each path,

0 = dQ = dU H dM = nc dT

MT

dM .

nD

Immediately we get

dT

1

= 2 M dM .

T

n cD

Integrating this equality from point 2 to point 3 we obtain,

2n2 cD ln

Th

= M33 M22 .

Tc

2n2 cD ln

Tc

= M13 M42 .

Th

As a result,

M32 M22 = M42 M12

=

Q12 + Q34 Th Tc

=

.

Q34

Th

12

W = Q34 =

Problem 2.5:

M32 M42 Th Tc

.

2nD

Th2

Find the efficiency of the engine shown in Fig. 2.3 ([1] -Fig.2.18). Assume that

P

1

a d ia b a tic

4

2

3

V

the operating substance is an ideal monoatomic gas. Express your answer in terms of V1 and V2 .

(The processes 1 2 and 3 4 are adiabatic. The processes 4 1 and 2 3 occur at constant

volume).

v

Solution 2.5: Let us start with the processes at constant volume. The mechanical work during

theses processes does not take place. Consequently,

Q23 = (3/2)nR(T3 T2 ) ,

Q41 = (3/2)nR(T1 T4 ) ,

W = (3/2)nR(T1 + T3 T2 T4 ) .

The efficiency is given by the expression

=

T1 + T3 T2 T4

T2 T3

= 1

.

T1 T4

T1 T4

(2.4)

Now let us consider the adiabatic processes where TV 2/3 = const (monoatomic ideal gas!). Thus,

T1 T4

=

=

T2 T3

V2

V1

2/3

13

Substituting this expression into Eq. (2.4) we obtain:

2/3

1

V1

= 1 = 1

.

V2

Problem 2.6:

atm.

(b) How much heat is rejected?

Assume that the average isothermal compressibility of water during this process is T = 0.5

104 (atm)1 and the average thermal expansivity of water during this process is P = 2 104

( C)1 .

Solution 2.6:

Z P2

S

Q=T

dP .

P T

P1

Using the Maxwell relation for the Gibbs free [see Eq. [1]-(2.112)] energy we obtain

V

S

=

= V P .

P T

T P

Thus

Q = T

Z P2

P1

V (P)T (P) dP

V (P) = V0 [1 T (P P0 )] = (M/) [1 T (P P0 )] .

As a result,

Q = (M/)T T (P2 P1 ) [1 T (P P0 )/2] .

We see that since the compressibility of water is very low one can neglect the correction due to

change in the volume and assume V M/. The mechanical work is

Z P2

Z P2

V

W =

P dV =

dP = (M/2)T (P22 P12 ) .

P

P T

P1

P1

14

2 J 0

a

J 0

c

b

2 L 0

L 0

Figure 2.4:

Problem 2.7: Compute the efficiency of the heat engine shown in Fig. 2.4 (Fig. [1]-2.19). The

engine uses a rubber band whose equation of state is

J = LT ,

(2.5)

where is a constant, J is the tension, L is the length per unit mass, and T is the temperature in

Kelvins. The specific heat (heat capacity per unit mass) is a constant, cL = c.

Solution 2.7: From Fig. 2.4 we see that the path a b is isothermal. Indeed, since J L, it

follow from Eq. ( 2.5) that T = const. Then, from the same equation we get,

Ta = Tb = J0 /L0 ,

Tc = J0 /2L0 = Ta /2 .

As a result,

Qba = MTa

Z 2L0

L0

L dL = (3/2)ML02 Ta = (3/2)MJ0 L0 ,

Qcb = Mc(Tb Tc ) MJ0 L0 = (1/2)McTa MJ0 L0 .

Hence, the total work is

W = Qba + Qac + Qcb = (1/2)MJ0 L0

and

W

1

= .

Qba 3

This result is also clear from geometrical point of view.

=

15

Problem 2.8:

"

3 #

J

aT

L0

,

=

1+2

L T

L0

L

"

3 #

J

aL

L0

=

1

,

T L

L0

L

where J is the tension, a = 1.0 103 dyne/K, and L0 = 0.5 m is the length of the band when no

tension is applied. The mass of the rubber band is held fixed.

(a) Compute (L/T )J and discuss its physical meaning.

(b) Find the equation of state and show that dJ is an exact differential.

(c) Assume that heat capacity at constant length is CL = 1.0 J/K. Find the work necessary to

stretch the band reversibly and adiabatically to a length 1 m. Assume that when no tension

is applied, the temperature of the band is T = 290 K. What is the change in temperature?

Solution 2.8:

(a) We have

L

T

T

J

= 1 .

J L L T

J

Consequently,

L

T

T

J

J

L

1

T

Physical meaning 1

J =

L

3

L0

1

L

L

L

= =

3 .

J

T

1 + 2 LL0

L T

L

T

J

T

(b) The equation of state has the form

"

3 #

aT L

L0

J=

1

.

L0

L

The proof of the exactness is straightforward.

16

0 = dQ = CL dT + J(L, T ) dL .

Consequently,

"

3 #

dT

J(L, T )

L0

aT L

=

=

1

.

dL

CL

CL L0

L

following differential equation

dT /T = `(1 `3 ) d` .

Its solution is

Tf

ln =

T0

2

Lf

L0

2 "

3 #

L0

1+2

.

Lf

Here L f and T f are final values of the length and temperature, respectively. This is the

equation for adiabatic process which provides the change in the temperature. The mechanical work is then

W = CL (T f T0 ) .

Problem 2.9: Blackbody radiation in a box of volume V and at temperature T has internal

energy U = aV T 4 and pressure P = (1/3)aT 4 , where a is the Stefan-Boltzmann constant.

(a) What is the fundamental equation for the blackbody radiation (the entropy)?

(b) Compute the chemical potential.

Solution 2.9:

(a) Let us first find the Helmholtz free energy. From the relation P =

A

V T

1

1

A = PV = aV T 4 = U .

3

3

Consequently,

As a result,

A

S=

T

S

U

=

V

4U

4

.

= aV T 3 =

3

3T

(S,V )/(T,V )

(S/T )V

1

(S,V )

=

=

= .

(U,V ) (U,V )/(T,V ) (U/T )V

T

we get

17

Problem 2.10: Two vessels, insulated from the outside world, one of volume V1 and the other

of volume V2 , contain equal numbers N of the same ideal gas. The gas in each vessel is originally

at temperature Ti . The vessels are then connected and allowed to reach equilibrium in such a way

that the combined vessel is also insulated from the outside world. The final volume is V = V1 +V2 .

What is the maximum work, W f ree , that can be obtained by connecting these insulated vessels?

Express your answer in terms of Ti , V1 , V2 , and N.

Solution 2.10:

G = NkT ln P + N(T )

Consequently,

G

S=

= Nk ln P N0 (T ) .

T P

Before the vessels are connected,

Si = Nk ln(P1 P2 ) 2N0 (T ) .

After the vessels are connected the temperature remains the same, as it follows from the conservation law, the entropy being

S f = 2Nk ln P 2N0 (T ) .

Consequently, S = Nk ln(P2 /P1 P2 ). On the other hand,

1 V1 +V2

=

,

P

2NkTi

1

Vi

=

Pi NkTi

P2

4V1V2

=

.

P1 P2 (V1 +V2 )2

For an ideal gas, the energy of the particle can be written as a sum of the kinetic energy, p = p2 /2m, and the

energy of internal excitations, (characterized by some quantum numbers ),

1

p = p + .

As we will see later, the free energy of the ideal gas can be constructed as

!N

"

#

kT

eV mkT 3/2

p /kT

/kT

A = ln e

NkT ln

e

N!

N 2h2

p

= NT ln(eV /N) + N f (T ) ,

"

#

mkT 3/2

/kT

f (T ) = kT ln

.

e

2h2

G = A + PV = NkT ln P + N(T ) ,

(T ) f (T ) kT ln kT .

18

W f ree = Ti S = NkTi ln

(V1 +V2 )2

.

4V1V2

Problem 2.11: For a low-density gas the virial expansion can be terminated at first order in the

density and the equation of state is

NkT

N

P=

1 + B2 (T ) ,

V

V

where B2 (T ) is the second virial coefficent. The heat capacity will have corrections to its ideal

gas value. We can write it in the form

3

N 2k

CV,N = Nk

f (T ) .

2

V

(a) Find the form that f (T ) must have in order for the two equations to be thermodynamically

consistent.

(b) Find CP,N .

(c) Find the entropy and internal energy.

Solution 2.11:

(c) The equation of state under consideration can be obtained from the Helmholtz free energy2

A = Aideal + kT B2 (T )

Then

A

S=

T

= Sideal + S ,

S k

N2

.

V

N2

B2 (T ) + T B02 (T ) .

V

Since we know both entropy and Helmholtz free energy, we find the internal energy as

N2

N2

kT

B2 (T ) + T B02 (T )

V

V

2

N

U kT 2 B02 (T ) .

V

U = A + T S = Uideal + kT B2 (T )

= Uideal + U ,

2 Remember

that P =

A

V

19

(a) As a result,

CV = T

S

T

U

T

= CVideal + CV ,

CV kT

N2 0

2B2 (T ) + T B002 (T ) .

V

f (T ) = 2T B02 (T ) + T 2 B002 (T ) .

(b) Let us express the equation of state as V (P, T ). Since the density is assumed to be small in

the correction one can use equation for the ideal gas to find the the volume. We have,

V=

NkT

+ NB2 (T ) .

P

S = Sideal + S1 ,

S1 kN

B2 + T B02

.

kT /P + B2

Now

CP =

=

=

=

S1

T P

(B2 + T B02 )0 (kT /P + B2 ) (k/P + B02 )(B2 + T B02 )

kN

(kT /P + B2 )2

N2

CPideal k

T (2B02 + T B002 ) (B2 + T B02 )

V

N2

CPideal + CV + k (B2 + T B02 ) .

V

CPideal + T

Here in all corrections we used equation of state for an ideal gas. As a result,

CP CV = (CP CV )ideal + k

Problem 2.12:

Prove that

H

CY,N =

T Y,N

and

H

Y

N2

(B2 + T B02 ) .

V

=T

T,N

X

T

X .

Y,N

20

Solution 2.12: Let us first recall definitions for X, Eq. ([1]-2.66), U = ST +Y X + J j0j dN j .

The enthalpy is defined as

H = U XY = ST + 0j dN j .

J

Since dU = T dS +Y dX we get

dH = T dS X dY .

Consequently,

CY,N = T

S

T

Y,N

H

T

.

Y,N

H

H

H

S

=

+

.

Y T,N

Y S,N

S Y,N Y T

Now,

H

Y

= X ,

S,N

H

S

=T.

Y,N

Now we have to use the Maxwell relation, which emerges for the Gibbs free energy G = H T S.

From

dG = S dT X dY

we get

S

Y

=

T

X

T

.

Y,N

Problem 2.13: Compute the entropy, enthalpy, Helmholtz free energy, and Gibbs free energy

for a paramagnetic substance and write them explicitly in terms of their natural variables if possible. Assume that mechanical equation of state is m = (D/T )H and the the molar heat capacity

at constant magnetization is cm = c, where m is the molar magnetization, H is the magnetic field,

D is a constant, c is a constant, and T is the temperature.

Solution 2.13: Let us start

with the internal energy u(T, m) per one mole. We have the magR

netic contribution umag = 0m H(m) dm. Since H(m) = (T /D)m we get umag = (T /2D)m2 . The

thermal contribution is cT . As a result,

u(T, m) = T (c + m2 /2D) ,

T (u, m) =

u

.

c + m2 /2D

c + m2 /2D

s

1

s(u, m) = (c + m2 /2D) ln(u/u0 ) .

= =

u m T

u

21

Here u0 is a constant. As a result, in natural variables

s

u(s, m) = u0 exp

.

c + m2 /2D

To find other thermodynamic potentials we need s(T, m). We can rewrite the above expression

for the entropy as

T (c + m2 /2D)

s(T, m) = (c + m2 /2D) ln

.

u0

In particular, the Helmholtz free energy is

T (c + m2 /2D)

2

a(T, m) = u T s = T (c + m /2D) 1 ln

.

u0

To get enthalpy we have to subtract from u the quantity Hm = (D/T )H 2 and to express m through

H as m = (D/T )H. As a result, we obtain:

h(T, H) = u Hm = T (c + DH 2 /2T 2 ) (D/T )H 2 = T (c DH 2 /2T 2 ) .

Finally, Gibbs free energy is g = a Hm, which has to be expressed through T and H. We get

T (c + DH 2 /2T 2 )

2

2

g = a Hm = T (c + DH /2T ) 1 ln

(D/T )H 2

u0

T (c + DH 2 /2T 2 )

= T (c DH 2 /2T 2 ) T (c + DH 2 /2T 2 ) ln

.

u0

Problem 2.14:

state is

Compute the Helmholtz free energy for a van der Waals gas. The equation of

n2

P + 2 (V nb) = nRT ,

V

where and b are constants which depend on the type of gas and n is the number of moles.

Assume that heat capacity is CV,n = (3/2)nR.

Is this a reasonable choice for the heat capacity? Should it depend on volume?

Solution 2.14:

P=

n2

nRT

2 .

V nb V

Z

A=

22

Here A (T ) is the integration constant, which can be found from the given specific heat. Indeed,

S=

Consequently,

A (T ) =

Z T

CV,n dT 0

T0

Z T

The suggestion regarding specific heat is OK since the difference between the entropies of

van der Waals gas and the ideal gas is temperature independent. (Check!)

Problem 2.15:

Prove that

(a) T (CP CV ) = TV 2P

(b) CP /CV = T /S .

Solution 2.15:

(a)

(S,V )/(T, P)

(T,V )/(T, P)

(S/T )P (V /P)T (S/P)T (V /T )P

= T

(V /P)T

(S/P)T (V /T )P

= CP T

.

(V /P)T

CP CV = T

[(V /T )P ]2

2

= TV P .

(V /P)T

T

The first relation follows from this in a straightforward way from definitions.

(b) Let us first calculate the adiabatic compressibility (V /P)S as

V

(V, S) (V, S)/(V, T ) (V, T ) (S/T )V

V

=

=

=

.

P S (P, S)

(P, S)/(P, T ) (P, T ) (S/T )P

P T

Consequently,

CP (V /P)T

T

=

=

.

CV

(V /P)S

S

23

Problem 2.16:

Show that

T ds = cx (T /Y )x dY + cY (T /x)Y dx ,

where x = X/n is the amount of extensive variable, X, per mole, cx is the heat capacity per mole

at constant x, and cY is the heat capacity per mole at constant Y .

Solution 2.16:

cx = T (S/T )x ,

cY = T (S/T )Y .

T (S/T )x (T /Y )x dY + T (S/T )Y (T /x)Y dx

= T (S/Y )x dY + T (S/x)Y dx = T ds .

Problem 2.17: Compute the molar heat capacity cP , the compressibilities, T and S , and

the thermal expansivity P of a monoatomic van der Waals gas. Start from the fact that the

mechanical equation of state is

RT

P=

2.

vb v

and the molar heat capacity is cv = 3R/2, where v = V /n is the molar volume.

Solution 2.17: Let us start with ther specific heat. Using the method similar to the Problem

2.15 we can derive the relation

cP cv = T

[(P/T )v ]2

R

=

.

(P/v)T

1 2(v b)2 /RT v3

1

T =

v

v

P

1

=

v

P

v

1

=

T

1

(v b)2

.

vRT 1 2(v b)2 /RT v3

Given cv , other quantities can be calculated using results of the Problem 2.15.

Problem 2.18: Compute the heat capacity at constant magnetic field CH,n , the susceptibilities

T,n and S,n , and the thermal expansivity H,n for a magnetic system, given that the mechanical

equation of state is M = nDH/T and the heat capacity CM,n = nc, where M is the magnetization,

H is the magnetic field, n is the number of moles, c is the molar heat capacity, and T is the

temperature.

24

Solution 2.18:

T,n =

Now,

M

H

=

S

M

H

=

T,n

nD

.

T

CM,n

(M, S) (M, S)/(M, T ) (M, T ))

.

=

= T,n

(H, S)

(H, S)/(H, T ) (H, T )

CH,n

Thus we have found one relation between susceptibilities and heat capacities,

S,n CM,n

=

.

T,n CH,n

Now let us find CH,n . At constant H, M becomes dependent only on temperature. Then,

dM =

nDH

dM

dT = 2 dT .

dT

T

dU = H dM =

nDH 2

dT .

T2

As a result,

CH,n CM,n =

nDH 2

.

T2

According to Eq. (R2.149), H is defined as

H =

M

T

=

H

nDH

.

T2

Problem 2.19: A material is found to have a thermal expansivity P = v1 (R/P + a/RT 2 ) and

an isothermal compressibility T = v1 [T f (P) + b/P]. Here v = V /n is the molar volume.

(a) Find f (P).

(b) Find the equation of state.

(c) Under what condition this materials is stable?

25

Solution 2.19:

(a) By definition, we have

v

R

a

=

+

.

T

P RT 2

v

b

= T f (P) .

P

P

To make dv an exact differential we need:

R

= f (p) .

P2

Thus

f (p) = R/P2 .

(b) We can reconstruct the equation of state as:

v =

=

Z P

v

dP =

Z P

RT b

dP 2

P

P

RT

b ln P + g(T ) .

P

v

R

R

a

= + g0 (T ) +

.

T

P

P RT 2

Thus g(T ) = a/RT + const. As a result, we can express the equation of state as

v v0 =

RT

P0

a

+ b ln

.

P

P RT

(c) Since the compressibility must be positive, we have the stability condition

T f (P) +

b

>0

P

TR b

+ > 0.

P2 P

P/T < R/b .

Problem 2.20: Compute the efficiency of the reversible two heat engines in Fig. 2.5 (R2.20).

Which engine is the most effective? (Note that these are not Carnot cycles. The efficiency of a

heat engineis = Wtotal /Qabsorbed .

26

T

2

1

b

T

(a )

T

S 1

S 2

(b )

1

c

S 1

S

S 2

S

Figure 2.5:

Solution 2.20:

Since dQ = T dS, we immediately get for any closed path in the T S plane:

I

Wtotal =

T dS .

Wtotal = (1/2)(T2 T1 )(S2 S1 ) .

The heat absorbed in the case (a) is

Qabsorbed = T2 (S2 S1 ) .

Thus,

a =

T2 T1

.

2T2

Qabsorbed = (1/2)(T2 + T1 )(S2 S1 ) .

Thus

b =

T2 T1

> a .

T2 + T1

Problem 2.21: It is found for a gas that T = T v f (P) and P = Rv/P + Av/T 2 , where T is

the temperature, v is the molar volume, P is the pressure, A is a constant, and f (P) is unknown

function.

(a) What is f (P)?

(b) Find v = v(P, T ).

27

Solution 2.21:

v

A

2 R

= v

+

,

T

P T2

v

= v2 T f (P) .

P

R A

= 2,

T

P T

= T f (P) .

P

Again, from the Maxwell relation we get

=

Z P

R

P2

dP = T R

Z P

dP

P2

RT

+ g(T ) .

P

= 0 +

A RT

.

T

P

Consequently,

v(P, T ) =

1

.

0 + A/T RT /P

Problem 2.22: A monomolecular liquid at volume VL and pressure PL is separated from a gas

of the same substance by a rigid wall which is permeable to the molecules, but does not allow

liquid to pass.The volume of the gas is held fixed at VG , but the volume of the liquid cam be

varied by moving a piston. If the pressure of the liquid is increased by pushing in on the piston,

by how much does the pressure of the gas change? [Assume the liquid in incompressible (its

molar volume is independent of the pressure) and describe the gas by the ideal gas equation of

state. The entire process occurs at fixed temperature T ].

Solution 2.22: Let us consider the part of the system, which contains both liquid and gas

particles. In this part the chemical potentials must be equal, L = G . On the other hand, the

chemical potentials and pressures of gas in both parts must be equal. Thus we arrive at the

equation,

L (PL , T ) = G (PG , T ) .

If one changes the pressure of liquid by PL , then

G

L

PL =

PG .

PL T

PG T

28

For an ideal gas, (/P)T = kT /PG = VG /NG vL . the quantity vL has a physical meaning of

the volume per particle. For a liquid, the relation is the same,

G

G

V

=

=

=

= vL .

P T P N P,T N P N,T

N T

The last relation is a consequence of incompressible character of the liquid. As a result,

vL

PG

=

.

PL

vG

Quick access: 23 24 25 26 27

Problem 2.23: Find the mean square fluctuation of the internal energy (using V and T as independent variables). What is the mean square fluctuation of the internal energy for a monoatomic

ideal gas?

Solution 2.23:

We have

U

U

P

U =

V +

T = T

P V +CV T .

V T

T V

T V

Here we use Maxwell relation which can be obtained from Helmholtz free energy. Squaring and

averaging we obtain (note that hV T i = 0)

2

P

2

h(U) i = T

P h(V )2 i +CV2 h(T )2 i .

T V

Now,

h(T ) i = kT /CV ,

Thus

h(V ) i = kT

V

P

.

T

2

P

V

h(U) i = kT T

P

+CV kT 2 .

T V

P T

2

P = NkT /V ,

CV = (3/2)Nk .

Thus,

h(U)2 i = (3/2)N(kT )2 .

29

Problem 2.24:

ideal gas.

Solution 2.24:

We have

P =

P

V

P

V +

T

T .

V

2

kT

P

P

2

h(T ) i =

.

hT Pi =

T V

CV

T V

For an ideal gas,

hT Pi =

2 kT 2

.

3 V

Problem 2.25:

Solution 2.25:

P

hV Pi =

h(V )2 i = kT .

V T

Problem 2.26:

V

,

hS V i = kT

T P

Solution 2.26:

hS T i = kT .

Starightforward.

Problem 2.27: Find a mean square fluctuation deviation of a simple pendulum with the length

` suspended vertically.

Solution 2.27: Let m be the pendulum mass, and is the angle of deviation from the vertical.

The minimal work is just the mechanical work done against the gravity force. For small ,

Wmin = mg ` (1 cos ) mg`2 /2 .

Thus,

h2 i = kT /mg` .

30

2.2 Mini-tests

2.2.1 A

The Helmholtz free energy of the gas is given by the expression

A = N0 NkT ln(eV /N) NcT ln T NT .

Here e = 2.718 . . . is the base of natural logarithms, N is the number of particles, V is the volume,

T is the temperature in the energy units, while 0 , c and are constants.

(a) Find the entropy as function of V and T .

(b) Find internal energy U as a function of the temperature T and number of particles N.

(c) Show that c is the heat capacity per particle at given volume, cv .

(d) Find equation of state.

(e) Find Gibbs free energy, enthalpy. Find the entropy as a function of P and T .

(f) Using these expression find the heat capacity at constant pressure, cP .

(g) Show that for an adiabatic process

T P1 = constant, where = cP /cv .

Solution

By definition,

A

S=

T

= N ln

V,N

eV

+ Nc (1 + ln T ) + NT .

N

Now,

U = A + T S = N0 + NcT ,

A

NT

P =

,

=

V T,N

V

V

NcT lT + NT

N

N0 + NT ln P NT (1 + c) ln T NT ,

U + PV = U + NT = N0 + N(c + 1)T ,

N ln P + N(1 + c) ln T + N( + 1 + c) ,

S

T

= 1+c.

T P,N

G = A + PV = A + NT = N0 NT ln

=

W =

S =

cP =

2.2. MINI-TESTS

31

N ln P + NcP ln T = const

T cP /P = const .

Since cP cV = cP c = 1, we obtain

T cP PcP cV = const ,

T P1 = const .

2.2.2 B

Problem 1

Discuss entropy variation for

(a) adiabatic process,

(b) isothermic process,

(c) isochoric process,

(d) isobaric process.

Problem 2

(a) Discuss the difference between Gibbs and Helmholtz free energy.

(b) Prove the relation

A

2

U = T

.

T T

(c) A body with constant specific heat CV is heated under constant volume from T1 to T2 . How

much entropy it gains?

(d) Discuss the heating if the same body is in contact with a thermostat at T2 . In the last case the

heating is irreversible. Show that the total entropy change is positive.

(e) Two similar bodies with temperatures T1 and T2 brought into contact. Find the final temperature and the change in entropy.

Solution

Problem 1

(a) Constant

(b)

S = Q/T .

(c)

S=

Z T2

CV (T )

T1

dT = CV ln

T2

.

T1

32

(d)

S=

Z T2

CP (T )

T1

dT = CP ln

T2

.

T1

Problem 2

Mechanical work under isothermic process is given by

dW = dU dQ = dU T dS = d(U T S) .

The function of state

A = U TS

is called Helmholtz free energy. We have

dA = dU T dS S dT = (T dS P dV ) T dS S dT = S dT P dV.

Thus,

A

S=

T

A

P=

V

,

V

.

T

The thermodynamic potential with respect to P and T is called Gibbs free energy. We have

G = U T S PV dG = S dT +V dP .

(b) Substituting

A

S=

T

(c) We have

Z

S=

T2

T1

CV

T2

dT = CV ln

.

T

T1

(e) Energy conservation law yields

CV (T2 TB ) = CV (TB T1 )

TB = (T1 + T2 )/2 .

TB

T1 + T2

TB

= 2CV ln

S = CV ln +CV ln

0.

T1

T2

2 T1 T2

Chapter 3

The Thermodynamics of Phase Transitions

Quick access: 1 2 3 4 5 6 7 8 9 10 11 12 13

Problem 3.1:

a 5/2

s = s0 + R ln C(v b) u +

,

v

(a) Compute equation of state.

(b) Compute the molar heat capacities, cc and cP .

(c) Compute the latent heat between liquid and vapor phases temperature T in terms of the

temperature T , the gas constant R and gas molar volumes vl and vg . How can you find

explicit values of vl and vg if you need to?

Solution 3.1:

a) Let us first find the temperature as function of u and s. We have

s

a 1

1

5R

=

u+

.

=

T

u v

2

v

Thus,

h

i

s = s0 + R ln C(5RT /2)5/2 (v b) ,

5

a

RT ,

2

v

io

n

h

5

a

5/2

.

a = u T s = RT T s0 + R ln C(v b)(5RT /2)

2

v

u =

33

34

As a result,

a

P=

v

=

T

RT

a

2.

vb v

(b) We have,

cv = T

s

T

5

= RT .

2

v

The result for cP can be obtained in the same way as in the problem 2.17.

(c) The latent heat q is just

vg b

.

vl b

Since the pressure should be constant along the equilibrium line, Pl = PG , we have

q = T (sg sl ) = RT ln

RT

a

RT

a

2=

2.

vg b vg vl b vl

Another equation is the equality of chemical potentials, l = g . We know that =

(a/n)T,V , so everything could be done. Another way is to plot the isotherm and find

the volumes using the Maxwell rule.

Problem 3.2: Find the coefficient of thermal expansion, coex = v1 (v/T )coex , for a gas

maintained in equilibrium with its liquid phase. Find an approximate explicit expression for

coex , using the ideal gas equation of state. Discuss its behavior.

Solution 3.2:

have,

It is implicitly assumed that the total volume of the system is kept constant. We

v

v

v

dP

=

+

.

T

T P

P T dT

v

= R/P ,

T P

Consequently,

1

coex =

v

v

T

v

P

= RT /P2 .

T

1

T P

=

1

.

T

P T coex

coex

q

q

P

,

=

T coex T (vg vl ) T vg

35

where q = (h)lg , we can rewrite this expression as

coex

q

1

1

.

T

RT

The coefficient of thermal expansion is less because with the increase of the temperature under

given pressure the heat is extracted from the system.

Problem 3.3: Prove that the slope of the sublimation curve of a pure substance at the triple

point must be greater than that of the vaporization curve at the triple point.

Solution 3.3:

The triple point is defined by the following equations for the 2 phases:

P1 = P2 = P3 ,

T1 = T2 = T3 ,

1 = 2 = 3 .

The definitions of the sublimation and vaporization curves are given in Fig. 3.4 of the textbook [1]. Consequently, the slopes of the vaporization and sublimation curves are given by the

relations

sg sl

sg sl

sg ss

sg ss

P

P

=

,

=

.

T lg vg vl

vg

T sg vg vs

vg

Since solid state is more ordered, ss < sl , and

P

P

ss sl

=

< 0.

T lg

T sg

vg

Problem 3.4: Consider a monoatomic fluid along its fluid-gas coexistence curve. Compute the

rate of change of chemical potential along the coexistence curve, (/T )coex , where is the

chemical potential and T is the temperature. Express your answer in terms of sl , vl and sg , vg

which are the molar entropy and molar volume of the liquid and gas, respectively.

Solution 3.4:

Consequently,

g

g

d

dP

=

.

+

dT

T P

P T dT

d

dT

= sg + vg

coex

sg sl

sg vl vg sl

=

.

vg vl

vg vl

36

Problem 3.5: A system in its solid phase has a Helmholtz free energy per mole, as = B/T v3 ,

and in its liquid phase it has a Helmholtz free energy per mole, al = A/T v2 , where A and B are

constants, v is the volume per mole, and T is the temperature.

(a) Compute the Gibbs free energy density of the liquid and solid phases.

(b) How are the molar volumes, v, of the liquid and solid related at the liquid-solid phase

transition?

(c) What is the slope of the coexistence curve in the P T plane?

Solution 3.5:

(a) By definition, g = a + Pv, and P = (a/v)T . Thus,

g = a v (a/v)T ,

gs = 4B/T v3s ,

gl = 3A/T v2l .

Ps = 3B/T v4s ,

Pl = 2A/T v3l .

v3l

2A

.

=

4

vs

3B

(c) Now we can express the Gibbs free energies per mole in terms of P,

4

gs = (3B)1/4 P3/4 T 1/4 ,

3

3

gl = (2A)1/3 P2/3 T 1/3 .

2

P

=

T

37/4 A1/3

28/3 B1/4

!12

=

321 A4

.

224 B3

Problem 3.6: Deduce the Maxwell construction using stability properties of the Helmholtz

free energy rather than the Gibbs free energy.

Solution 3.6: Since the system in the equilibrium, the maximum work extracted during the

process of the phase transition is A P0 V . Let us look at Fig. 3.1.

37

P0

b

a

v g

v l

Figure 3.1:

We see that P0 V = P0 (Vg Vl ) is just the area of the dashed rectangle. To find A let is follow

isotherm. Since T = const,

Z

A =

P dV ,

which is just the area below the isotherm a b c. Subtracting areas we reconstruct the Maxwell

rule.

Problem 3.7: For a van der Waals gas, plot the isotherms in the in the P V plane (P and V

are the reduced pressure and volume) for reduced temperatures T = 0.5, T = 1.0, and T = 1.5.

For T = 0.5, is P = 0.1 the equilibrium pressure of the liquid gas coexistence region?

Solution 3.7: We use Maple to plot the curves. The graphs have the form We see that for

T = 0.5 there is no stavle region at all. To illustrate the situation we plot the curves in the

vicinity of T = 1.

Problem 3.8: Consider a binary mixture composed of two types of particles, A and B. For this

system the fundamental equation fog the Gibbs energy is

G = nA A + nB B ,

(3.1)

dG = S dT +V dP + A dnA + B dnB

(3.2)

(S is the total entropy and V is the total volume of the system), and the chqemical potentials A

and B are intensive so that

A = A (P, T, xA ) and

B (P, T, xB ) .

38

12

10

8

6

4

2

0

0.6

0.7

0.8

0.9

1.1

1.2

Figure 3.2: The upper curve corresponds T = 1.5, the lower one - to T = 0.5.

2

1.8

1.6

1.4

1.2

P

1

0.8

0.6

0.4

0.2

0

Figure 3.3: The upper curve corresponds T = 1.05, the lower one - to T = 0.85.

Use these facts to derive the relations

s dT v dP +

=A,B

and

=A,B

x = 0

x (d + s dT v dP) = 0 ,

(3.3)

(3.4)

= A, B.

Solution 3.8:

dg = d x = (x d + dx )

(3.5)

39

The let us divide Eq. (3.2) by n to obtain

dg = s dT + v dP + dx .

(3.6)

Equating the right hand sides of these equation we prove Eq. (3.3). Further, the entropy is an

extensive variable. Consequently,is should be a homogeneous function of n .

S = (S/n )P,T,n6= n = n s x .

Problem 3.9: Consider liquid mixture (l) of particles A and B coexisting in equilibrium with

vapor mixture (g) of particles A and B. Show that the generalization of of the Clausius-Clapeyron

equation for the coexistence curve between the liquid and vapor phases when the mole fraction

of of A in the liquid phase is fixed is given by

g g

g g

xA (sA slA ) + xB (sB slB )

P

,

(3.7)

= g g

g g

T xl

xA (vA vlA ) + xB (vB vlB )

A

where s = (S/n )P,T,n6= , and v = (V /n )P,T,n6= with = A, B and = A, B. [Hint:

Equation (b) of the Problem (3.8) is useful.]

Solution 3.9:

xg dg + sg dT vg dPg = 0 .

g

g d

g

g dPg

x dT + s v dT = 0 .

Now, let us take into account that at the coexistence curve = l . Thus

g

dPl

d dl

=

= sl + vl

.

dT

dT

dT

Since at the equilibrium Pg = Pl , we prove Eq. (3.7).

Problem 3.10: A PV T system has a line of continuous phase transitions (a lambda line) separating two phases, I and II, of the system. The molar heat capacity cP and the thermal expansivity

P are different in the two phases. Compute the slope (dP/dT )coex of the line in terms of the

I

II

temperature T , the molar volume v, cP = cIP cII

P , and P = P P .

40

Solution 3.10: At a continuous phase transition the entropy is continuous, s = 0. At the same

time, s = s(P, T ) and along the coexistence curve P is a function of the temperature. For each

phase, we get

s

s dP

ds

=

+

.

dT

T P dT

We know that (S/T )P = cP /T and from the Maxwell relation

(s/P)T = (v/T )P .

Since s = 0,

The answer is

dP

dT

=

coex

cP

.

T P

Problem 3.11: Water has a latent heat of vaporization, h = 540 cal/gr. One mole of steam is

kept at its condensation point under pressure at T1 = 373 K. The temperature is then lowered to

T2 = 336 K. What fraction of the steam condenses into water? (Treat the steam as an ideal gas

and neglect the volume of the water.)

Solution 3.11: Let us use the Clausius-Clapeyron equation for the case of liquid-vapor mixture.

Since vg vl we get

q

dP

= g.

dT coex T v

Here q is the latent heat per mole. Considering vapor as an ideal gas we get

dP

qP

=

dT

RT 2

As a consequence,

P = P0 eq/RT .

q(T1 T2 )

P1

= exp

.

P2

RT1 T2

g

n1 P1

q(T1 T2 )

18 h (T1 T2 )

= exp

= exp

.

g =

RT1 T2

RT1 T2

n2 P2

Here we have taken into account that the olecular weight of H2 O is 18. The relative number of

condensed gas is then

18 h (T1 T2 )

n1 n2

= 1 exp

.

n1

RT1 T2

41

Problem 3.12: A liquid crystal is composed of molecules which are elongated (and often have

flat segments). I behaves like a liquid because the locations of the center of mass of the molecules

have no long-range order. It behaves like crystal because the orientation of the molecules does

have long range order. The order parameter of the liquid crystal is given by the diatic

S = [nn (1/3)I] ,

where n is a unit vector (called the director), which gives the average direction of alignment of

the molecules. The free energy of the liquid crystal can be written as

1

1

1

= 0 + A Si j Si j B Si j S jk Ski + C Si j S jk Skl Skl ,

2

3

4

(3.8)

x i I x j = i j ,

Si j = x i S x j ,

and the summation is over repeated indices. The quantities x i are the unit vectors

x 1 = x ,

x 2 = y ,

x 3 = z .

(a) Perform the summations in the expression for and write in terms of , A, B, C.

(b) Compute the critical temperature Tc , at which the transition from isotropic liquid to liquid

crystal takes place.

(c) Compute the difference between the entropies between the isotropic liquid ( = 0) and the

liquid crystal at the critical temperature.

Solution 3.12:

(a) First, for brevity, let us express the matrix S as (s I/3), where

2

n1 n1 n2 n1 n3

s = nn = n2 n1 n22 n2 n3 .

n3 n1 n3 n2 n23

The Eq. (3.8) can be expressed as

1

1

1

= 0 + Aa2 2 Ba3 3 + Ca4 4 ,

2

3

4

1

1 3

a2 = Tr s I , a3 = Tr s I ,

3

3

"

1

a4 = Tr s I

3

m

It is easy to calculate bm = Tr s 13 I . Indeed,

m

1 m

m!

(1)k k mk

=

Tr s I

.

Tr s I

k

3

k=0 k!(m k)! 3

2 #2

.

(3.9)

42

Tr sk Imk = Tr sk I = Tr sk = 1 ,

Tr Im = Tr I = 3 .

Here we have used the properties of trace and of s operators. Since trace is independent of

the presentation, let us direct the axis 1 along the vector n. Then

1 0 0

s = 0 0 0 Tr sk = Tr s = 1 .

0 0 0

Consequently,

m

1

1 m

bm = 1

+2

,

3

3

a2 = b2 =

2

,

3

a3 = b3 =

2

,

9

a4 = b22 =

4

.

9

Finally, we get

1

2

1

= 0 + A2 B3 + C4 .

3

27

9

(3.10)

(b) At the transition point the dependence () has two equal minima. To find this point, let

us shift the origin of by some 0 in order to kill odd in 0 items. It we put = 0 +

we have

1

2

1

0 = A( + 0 )2 B( + 0 )3 + C( + 0 )4 .

(3.11)

3

27

9

In order to kill the term proportional to 3 one has to put (see the Maple file) 0 = B/6C.

Substituting this value into the expression for the coefficient ,

(2/3)A0 (2/9)B20 + (4/9)C30 ,

and equating the result to 0 we get A = B2 /27C. Since A = A0 (T T ) we have

Tc = T +

B2

.

27A0C

S = (1/3)A0 (+ )(+ + ) = (2/3)A0 0 (+ ) ,

where are the roots of the equation / = 0 while are the roots of the equation

/ = 0. Note that the potential () is symmetric, thus + + = 0. The important

part () at the critical point can be obtained substituting 0 and A into Eq. (3.11). It has

the form,

C 4

B2 2

() =

.

9

18C2

43

Thus,

=

B

,

6C

+ =

B

.

3C

As a result,

S =

Problem 3.13:

1 A0 B2

.

27 C2

a

P + 2 (v b) = RT .

Tv

(a) Find values of the critical temperature Tc , the critical molar volume vc , and the critical

pressure, Pc in terms of a, b, and R.

(b) Does the Berthelot equation satisfy the law of corresponding states.?

Find the critical exponents , , and from the Berthelot equation.

Solution 3.13:

(a) Let us express the pressure as a function of volume,

P=

a

RT

2.

vb Tv

P

RTc

2a

=

+

= 0,

2

V T

(vc b)

Tc v3c

2

2RTc

6a

P

=

= 0.

V 2 T

(vc b)3 Tc v4c

From this we obtain:

r

vc = 3b ,

Tc =

8a

,

27Rb

Pc =

RTc

.

8b

(b) We put

P = Pc P ,

to get:

T = Tc T ,

v = vc v

3

P + 2 (3v 1) = 8T .

T v

44

(c) First let us simplify the equation of state near the critical point. Putting

v = 1 + ,

P = 1 + p ,

T = 1 +

and expanding in p, , and up to lowest non-trivial order (see Maple file), we get

3

p = 3 12 + 7 .

2

The derivative (p/) is

(3.12)

9

= 2 12 .

2

(3.13)

Z g

Z g

p

dp =

d = 0

l

l

requires l = g . Since along the coexistence curve p(g , ) = p(g , ) we get

g =

= 1/2 .

= 24

= 1.

the equation of state being

2

T ) = 8T 3 .

P(,

3

T

P = 1 + (3/2)( 1)3

= 3.

3.1 Mini-tests

3.1.1 A

Properties of Van der Waals (VdW) liquid

(i) Find the critical temperature Tc at which the Van der Waals isotherm has an inflection

point. Determine the pressure Pc and volume, Vc , for a system of N particles at T = Tc .

3.1. MINI-TESTS

45

(ii) Express the VdW equation in units of Tc , Pc , and Vc . Show that it has the form

3

0

P + 02 (3V 0 1) = 8T 0

V

(3.14)

(iii) Analyze the equation of state (3.14) near the critical point. Assume that

P0 = 1 + p,

T0 = 1+

V0 = 1n

and show that for small p, and n the equation of state has the approximate form

p = 4 + 6n + (3/2)n3 .

(3.15)

(iv) Plot p(n, ) versus n for = 0.05 and discuss the plots.

(v) Using the above equation find the stability region. Show this region in the plot.

(vi) Show that the Maxwell relation can be expressed as

Z nr

n (p/n) dn = 0

nl

(3.16)

along the equilibrium liquid-gas line. Using this relation and the equation of state find nl

and nr .

(vii) Discuss why the stability condition and Maxwell relation lead to different stability criteria?

Illustrate discussion using the plot.

Solution

(i) Writing the VdW equation as

P=

and requiring

we obtain

Tc =

P

V

NkT

N 2a

2

V Nb V

8 a

,

27 bk

= 0,

Tc

2 P

V 2

Vc = 3Nb,

=0

Tc

Pc =

1 a

.

27 b2

(iii) Straightforward.

(iv) Straightforward.

46

(p/n) = 6 + (9/2)n2 .

Consequently

p

nst = 2 /3 .

Eq. (3.15) we get (see the Maple file)

nr = 4 .

3.1.2 B

Curie-Weiss theory of a magnet

The simplest equation for a non-ideal magnet has the form

m = tanh[(Jm + h)]

(3.17)

where = 1/kT , J is the effective interaction constant, while h is the magnetic field measured in

proper units.

(i) Consider the case h = 0 and analyze graphically possible solutions of this equation.

Hint: rewrite equation in terms of an auxiliary dimensional variable m Jm. Show that

a spontaneous magnetization appears at T < Tc = J/k.

(ii) Simplify Eq. (3.17) at h = 0 near the critical temperature and analyze the spontaneous

magnetization as a function of temperature.

Hint: Put T = Tc (1 + ) and consider solutions for small m and .

(iii) Analyze the magnetization curve m(h) near Tc . Hint: express Eq. (3.17) in terms of the

variables m and h h h/J and plot h as a function of m.

(iv) Plot and analyze the magnetization curves for T /Tc = 0.6 and T /Tc = 1.6.

Solution

(i) At h = 0 the equation (3.17) has the form:

(J)1 m = tanh m .

From the graph of the function F(m)

(J)1 m tanh m (see the Maple file) one observes

that only trivial solution m = 0 exists at J < 11, or at T Tc = J/k. At T < Tc there exists

2 non-trivial solutions corresponding spontaneous magnetization. Thus (J)1 = T /Tc

3.1. MINI-TESTS

47

(T /Tc )m tanh m,

near Tc acquires the form F(m)

=

3

m + m /3. Thus the solutions have the from

m = 0, 3 .

Since near Tc the ratio Tc /T can be substituted by 1, the same result is true for m.

(iii) In general, Eq. (3.17) can be rewritten as

(T /Tc )m = tanh(m + h)

Consequently,

.

m

To plot the magnetization curve one has to come back to the initial variables.

48

Chapter 4

Elementary Probability Theory and Limit

Theorems

Quick access: 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

Problem 4.1: A bus has 9 seats facing forward and 8 seats facing backward. In how many

ways can 7 passengers be seated if 2 refuse to ride facing forward and 3 refuse to ride facing

backward?

Solution 4.1: Three people refuse ride facing backward, and they should be definitely placed

to 9 seats facing forward. The number of ways to do that is 9 8 7. In a similar way, 2 people can

occupy 8 seats facing backward in 8 7 ways. Now 17 5 = 12 seats left. They can be occupied

by 7 3 2 = 2 nice people in 12 11 ways. As a result, we get

9 8 7 8 7 12 11 = 3725568

ways.

Problem 4.2: Find the number of ways in which 8 persons can be assigned to 2 rooms (A and

B) if each room must have at least 3 persons in it.

Solution 4.2: The number of persons in the room is between 3 and 5. Let us start with the

situation where room A has 3 persons. The number of ways to do that is 8 7 6. The total

number of ways is then

8 7 6 + 8 7 6 5 + 8 7 6 5 4 = 8736 .

49

50

Problem 4.3: Find the number of permutations of the letters in the word MONOTONOUS. In

how many ways are 4 Os together? In how many ways are (only) 3 Os together?

Solution 4.3: The total number of the letters is 10, we have 4 Os, 2 Ns, and other letters do not

repeat. Thus the total number of permutations is 10!/(4!2!) = 75600. To get the number of ways

to have 4 Os together we have to use model word MONTNUS which has 7 letters with 2 repeated

Ns. Thus the number of ways is 7!/2! = 2520. To have three Os together we have 6 places to

insert a separate O to the word MONTNUS, thus the number of ways is 6 2520 = 15120.

Problem 4.4: In how many ways can 5 red balls, 4 blue balls, and 4 white balls be placed in a

row so that the balls at the ends of the row are of the same color?

Solution 4.4: Let us start with 5 red balls and choose 2 of them to be at the ends. The rest

5 + 4 + 4 2 = 11 balls are in the middle. They have to be permuted, but permutation of the balls

of the color must be excluded. Among them the have 3 rest red balls, 4 blue balls and 4 white

balls. Thus we have 11!/(3!4!4!) = 11550 ways. Now let us do the same with white balls. Now

we have 2 rest white balls, but 5 blue balls to permute. We get 11!/(2!5!4!) = 6930 ways. The

same is true for blue balls. The total number of ways is 138600 + 2 83160 = 25410 ways.

Problem 4.5:

(b) Find the probability of getting at least one head.

(c) Show that the event heads on the first coin and the events tails on the last coin are

independent.

(d) Show that the event only two coins heads and the event three coin heads are dependent

and mutually exclusive.

Solution 4.5:

(a) The answer is (1/2)3 = 1/8.

(b) The sum of the probabilities is 1. Since the probability to get no heads is 1/8, the answer

is 1 1/8 = 7/8.

(c) We assume that result of coin tossing is fully random.

(d) The event 3 heads contradicts the requirement only 2.

51

Problem 4.6: Various 6 digit numbers can be formed by permuting the digits 666655. All

arrangements are equivalently likely. Given that the number is even, what is the probability that

two fives are together?

Hint: You must find a conditional probability.

Solution 4.6: Since the number must be even, the last number is 6, and there are 4 ways to

choose this number. There are 5 digits left, and the total number of their permutations give 5!.

We have to divide it by 3! of permutations of 6 and 2! permutations between 5. We end at the

number of different numbers is 4 5!/3!2! = 40. If we want to have two fives together, it is the

same as permute 4 units, the number of permutations 4 4!/3! = 16. Thus the probability is

P = 16/40 = 2/5 .

Problem 4.7:

problems.

Fifteen boys go hiking. 5 get lost, 8 get sunburned, and 6 return home without

(b) What is the probability that a lost boy got sunburned?

Solution 4.7: See. pp. 176-177 of the book [1].

Let us define the event to get sunburned as A, and the event to get lost - B. The probability to

get sunburned is P(A) = 8/15, while the probability to get lost is P(B) = 5/15 = 1/3. Thus

We know that 15 6 = 9 boys had problems. Thus, the joint probability to be either sunburned or lost is, P(A B) = 9/15. Thus the probability to be both sunburned and lost is

P(A B) = P(A) + P(B) P(A B) = (8 + 5 9)/15 = 4/15 .

Consequently, conditional probabilities are

P(A|B) = P(A B)/P(A) = 1/2 (a),

respectively.

Problem 4.8: A stochastic variable X can have values x = 1 and x = 3. A stochastic variable

Y can have values y = 2 and y = 4. Denote the joint probability density

PX,Y (x, y) =

pi, j (x i) (y j) .

i=1,3 j=2,4

(a) p1,2 = p1,4 = p3,2 = p3,4 = 1/4;

(b) p1,2 = p3,4 = 0 and p1,4 = p3,2 = 1/2.

For each case decide if X and Y are independent.

52

Solution 4.8:

(a) First let us calculate

hXY i = (1 2 + 1 4 + 3 2 + 3 4) /4 = 6 .

At the same time hXi = 2 and hY i = 3. Since hXY i = hXi hY i the variables are independent.

(b) We have,

hXY i = (1 4 + 3 2) /2 = 5 .

It is not equal to hXi hY i, so the variables are dependent.

Problem 4.9: The stochastic variables X and Y are independent and Gaussian distributed with

first moment hxi = hyi = 0 and standard deviation X = Y = 1. Find the characteristic function

for the random variable Z = X 2 +Y 2 , and compute the moments hzi, hz2 i and hz3 i. Find the first

3 cumulants.

Solution 4.9: First let us find the distribution function for Z. Let us do the problem in two

ways.

Simple way:

Let us transform the problem to the cylindrical coordinates, x, y , . We have

P(x)P(y) =

1 (x2 +y2 )

1 2

e

=

e ,

2

2

Thus,

1

PZ (z) =

2

d d e

2 /2

dx dy = d d, .

(z 2 ) =

1 z/2

e

.

2

General way:

Z

PZ (z) =

dy PY (y) (x2 + y2 z)

dx PX (x)

Z z

dx

2

P

(x)

P

z

x

X

Y

z 2 z x2

Z z

1

x

z x2

dx

1

=

exp

= ez/2 .

0

2

2

2

z x2

fZ (k) = heikz i =

1

2

Z

0

dze(ik1/2)z =

1

.

1 2ik

53

Then,

d n fZ (k)

hz i = (i)

.

dkn k0

Performing calculations (see the Maple file), we obtain:

n

hzi = 2 ,

hz2 i = 8 ,

hz3 i = 48 .

Thus,

C1 (Z) = hzi = 2, , C2 (Z) = hz2 i hzi2 = 4 ,

C3 (Z) = hz3 i 3hzihz2 i + 2hzi3 = 48 3 2 8 + 3 23 = 24 .

Problem 4.10:

A die is loaded so that even numbers occur 3 times as often as odd numbers.

(a) If the die is thrown N = 12 times, what is the probability that odd numbers occur 3 times?

If is is thrown N = 120 times, what is the probability that odd numbers occur 30 times?

Use the binomial distribution.

(b) Compute the same quantities as in part (a), but use the Gaussian distribution

Note: For parts (a) and (b) compute your answers to four places.

(c) Compare answers (a) and (b). Plot the binomial and Gaussian distributions for the case

N = 12.

Solution 4.10:

(a) For the random process, the parial probability for an odd number p = 1/4 and for an even

number is q = 1 p = 3/4. The probability to have k odd numbers, according to binimial

distribution is

N!

PNb (k) =

pk qNk .

k!(N k)!

Consequently (see Maple file),

b

P12

(3) =

12! 39

= 0.2881 .

3!9! 412

b (30) = 0.08385.

In a similar way, P120

(b) The number of odd numbers is hki = N/4 and the dispersion is = N p q = 3N/16. Thus

1

(k N/4)2

G

PN (k) = p

exp

.

3N/8

3N/8

As a result,

G

P12

(3) = 0.2660 ,

G

P120

(30) = 0.0841 .

54

Problem 4.11:

(b) What is the probability that one pages contains 2 mistakes?

Solution 4.11:

wg (n) =

(g + n 1)!

.

(g 1)!n!

If one has a page without mistakes, it means that n mistakes are distributed between g 1 pages.

The probabiliy of that event is

P(0) =

g1

=

.

(g 2)!n! (g + n 1)! g + n 1

In our case g = 1400 and n = 700, thus P(0) = 1399/2099 0.67. In a similar way, if we have

two misprints at a page, then n 2 misprints are distributed between g 1 pages. Thus, the

number of ways to do that is wg1 (n 2). Consequently,

P(2) =

wg1 (n 2)

(g + n 4)! n!(g 1)!

(g 1)n(n 1)

=

=

.

wg (n)

(g 2)!(n 2)! (g + n 1)! (g + n 1)(g + n 2)(g + n 3)

Problem 4.12: There old batteries and a resistor, R, are used to construct a circuit. Each battery

has a probability p to generate voltage V = v0 and has a probability 1 p to generate voltage

V = 0 Neglect internal resistance in the batteries.

Find the average power, hV 2 i/R, dissipated in the resistor if

(a) the batteries are connected in the series and

(b) the batteries are connected in parallel.

In cases (a) and (b), what would be the average power dissipated in all batteries were

certain to generate voltage v0 .

(c) How you realize the conditions and results in this problem in the laboratory?

55

Solution 4.12: Let us start with series connection and find the probability to find a given value

of the voltage. We have 4 possible values of the voltage. In units v0 they are 0, 1, 2, and 3. We

have,

P(0) = (1 p)3 ,

P(2) = 3p2 (1 p) ,

P(3) = p3 .

Consequently,

hW i = hV 2 i/R = (v20 /R) 3p(1 p)2 + 12p2 (1 p) + 9p3 = (3v20 /R) p (1 + 2p) .

Now let us turn to parallel connection. Let us for a while introduce conductance Gi = 1/Ri of

the batteries, as well as conductance G = 1/R of the resistor. The voltage at the resistor is given

by the expression

i=1,2,3 Ei Gi

.

V=

G + i=1,2,3 Gi

Here Ei are electro-motive forces of the batteries. Now the crucial point is to assume something

about the resistances of the batteries. Let us for simplicity assume that they are equal, and

Gi G. Actually, it is a very bad assumption for old batteries. Under this assumption, V =

(E1 + E2 + E3 )/3. The the result is just 9 times less that that for series connection.

To check this kind of phenomena in the lab one has to find many old batteries at a junk-yard,

first check distribution of their voltages and then make circuits.

The problem is badly formulated.

Problem 4.13: Consider a random walk in one dimension. In a single step the probability of

displacement between x and x + dx is given by

1

(x a)2

P(x) dx =

exp

dx .

(4.1)

22

22

After N steps the displacement of the walker is S = X1 + X3 + XN where Xi is the displacement

after ith step. After N steps,

(a) what is the probability density for the displacement, S, of the walker, and

(b) what is his standard deviation?

Solution 4.13:

(a) By definition,

Z

PS (s) =

dx1 P(x1 )

dx2 P(x2 ) . . .

dxN P(xN ) (s x1 x2 . . . xN ) .

Z

dk ikx

e .

(x) =

56

In this way we get

PS (s) =

Z

Z

Z

Z

dk iks

e

dx1 eikx1 P(x1 ) dx1 eikx2 P(x2 ) . . . dxN eikxN P(xN )

Z

N Z

Z

dk iks

dk iks

ikx

=

e

dx e

P(x)

=

e [P (k)]N .

Here

P (k) =

(4.2)

dx eikx P(x)

is the Fourier component of the single-step probability. From Eq. (4.1) we obtain

Now,

Z

dk

(s Na)2

PS (s) =

exp

exp ik(s Na) k N /2 =

2N2

2

2N2

2

Z

hSi =

ds sPS (s) = Na ,

hS2 i hSi2 = N2 .

Problem 4.14: Consider a random walk in one dimension for which the walker at each step

is equally likely to take a step with displacement anywhere in the interval d a x d + a,

where a < d. Each step is independent of others. After N steps the displacement of the walker is

S = X1 + X3 + + XN where Xi is the displacement after ith step. After N steps,

(a) what is the average displacement, hSi, of the walker, and

(b) what is his standard deviation?

Solution 4.14:

Z

hSi =

s PS (s) ds =

Z

s ds

dx1 P(x1 )

dxN P(xN ) (s x1 . . . xN )

dx1 P(x1 )

In a similar way,

Z

hS2 i =

dx1 P(x1 )

57

We know that

!2

xi

i

= xi2 + xi x j .

i6= j

The number of pairs with non-equal i and j is N(N 1). After averaging the obtain

hS2 i = NhX 2 i + N(N 1)hXi2 .

To calculate hX 2 i let us specify the normalized probability as

1

1, d a x d + a

P(x) =

.

otherwise

2a 0,

Then,

hX 2 i =

1

2a

Z d+a

x2 dx = d 2 + a2 /3 .

da

hS2 i hSi2 = N(d 2 + a2 /3) + N(N 1)d 2 (Nd)2 = Na2 /3 .

Problem 4.15: Consider a random walk in one dimension. In a single step the probability of

displacement between x and x + dx is given by

P(x) dx =

a

1

dx .

2

x + a2

(4.3)

Find the probability density for the displacement of the walker after N steps. Does it satisfy the

Central Limit Theorem? Should it?

Solution 4.15:

P (k) = e

a|k|

Z

dk Nka

1

PS (s) = 2

e

cos ks =

0

Na2

.

Na2 + s2

It does not satisfy the Central Limit Theorem. It should not because hX 2 i is divergent.

58

Chapter 5

Stochastic Dynamics and Brownian Motion

Quick access: 1 2 3 4 5 6 7 8 9 10 11 Test 1

Problem 5.1: Urn A has initially 1 red and 1 white marble, and urn B initially has 1 white

and 3 red marbles. The marbles are repeatedly interchanged. In each step of the process one

marble is selected from each urn at random and the two marbles selected are interchanged. Let

the stochastic variable Y denote configuration of the units. There configurations are possible.

They are shown in Fig. 5.1

We denote these 3 realizations as y(n) where n = 1, 2 and 3.

(a) Compute the transition matrix Q and the conditional probability matrix P(s0 |s).

(b) Compute the probability vector, hP(s)|, at time s, given the initial condition stated above.

What is the probability that there are 2 red marbles in urn A after 2 steps? After many

steps?

(c) Assume that the realization, y(n), equals to n2 . Compute the moment, hy(s)i, and the

autocorrelation function, hy(0)y(s)i, for the same initial conditions as in part (b).

59

60

Solution 5.1:

The configurations are shown in Fig. 5.1. By inspection of the figure we get,

Q11 = 0 , Q12 = 1 , Q13 = 0 ,

1 1 1

1 1 1 3 1

1 3 3

Q21 = = , Q22 =

+ = , Q23 = = ,

2 4 8

2 4 2 4 2

2 4 8

1

1

Q31 = 0 , Q32 =

, Q33 = .

2

2

0

1

0

Q = 1/8 1/2 3/8 ,

0 1/2 1/2

while the initial condition corresponds to the probability vector

hp(0)| = (0, 1, 0) .

Below we proceed as in exercise 5.1 of the book [1].

The following procedure is clear form the Maple printout. First we find eigenvalues of Q

which are equal to 1, 1/4. The corresponding right eigenvectors are:

3

1

1

, 1 }], [ , 1, {[4, 1, 2]}]

[1, 1, {[1, 1, 1]}], [ , 1, { 6,

4

2

4

Thus we denote 1 = 1, 2 = 1/4, 3 = 1/4, and

|1i = (1, 1, 1) ,

|3i = (1, 2, 3) .

The left eigenvectors are just the right eigenvalues of the transposed matrix, QT . We have for

them the Maple result

1

1

[ , 1, {[1, 2, 3]}], [ , 1, {[1, 2, 1]}], [1, 1, {[1, 8, 6]}]

4

4

Thus,

h1| = (1, 8, 6) ,

h2| = (1, 2, 1) ,

h3| = (1, 2, 1) .

hi|ki = ni ik ,

where

n1 = 15, n2 = 10, n3 = 12 .

1 8 6

6

12

6

3 3/2 ,

P1 = 1 8 6 , P2 = 3/2

1 8 6

1

2

1

4

8 12

2 3 .

P3 = 1

2 4

6

61

Now, P(s0 |s) = P(s s0 ) with

si

Pi

i ni

1

3 1

1 1

8

6 1

2 1

+ ( )s + ( )s

( )s + ( )s

15 5 4

3 4

15 5 4

3 4

1

3 1

1 1

8

3 1

1 1

( )s + ( )s

+ ( )s + ( )s

15 20 4

12 4

15 10 4

6 4

1

1 1

1 1

8

1 1

1 1

+ ( )s ( )s

( )s ( )s

15 10 4

6 4

15 5 4

3 4

P(s) =

2 3 1 s

1

+ ( ) ( )s

5 5 4

4

2

3 1

1 1

( )s ( )s

5 20 4

4 4

2

1 1

1 1

+ ( )s + ( )s

5 10 4

2 4

Now we come to the point (b). Straightforward calculation gives

hP(s)| = hp(0)|P(s)

1

3 1 s 1 1 s 8

3 1 s 1 1 s 2

3 1 s 1 1 s

( ) + ( ),

+ ( ) + ( ), ( ) ( ) .

=

15 20 4

12 4 15 10 4

6 4 5 20 4

4 4

We are asked to find the probability of the configuration 3. After 2 steps it is 3/8, and at s

we get 2/5.

The part (c) is calculated in a straightforward way. We obtain

29

3 1

3 1

( )s ( )s ,

5

10 4

2 4

79

33

81

hy(0)y(s)i =

(1)(1+s) 4(s) 16(s) +

(1)(1+2 s) 16(s)

50

4

100

11

3

841

+ (1)(1+s) 16(s) 4(s) +

2

2

25

hy(s)i =

Problem 5.2: Three boys, A,B, and C, stand in a circle and play catch (B stands to the right of

A). Before throwing the ball, each boy flips a coin to decide whether to throw to the boy on his

right or left. If heads comes up, the boy throws to his right. If tails come up, the boy throws

to his right.

The coin of boy A is fair (50% heads and 50% tails), the coin of boy B has head of both

sides, and the coin of boy C is weighted (75% heads and 25% tails).

(a) Compute the transition matrix, its eigenvalues, and its left and right eigenvalues.

(b) If the ball is thrown in regular intervals, approximately what fraction of time each boy have

the ball (assuming they throw the ball many times)?

(c) If boy A has the ball to begin with, what is the chance it has it after 2 throws? What is the

chance he will have in after s throws.

62

Solution 5.2:

The problem is similar to the previous one. Let us map the notations

A 1,

B 2,

C 3,

Q12 = Q13 = 1/2 ,

Q23 = 1 ,

Q21 = 0 ,

Q31 = 3/4 ,

Q32 = 1/4 .

At the same time O11 = Q22 = Q33 = 0. As a result, the transition matrix has the form

0 1/2 1/2

0

1 .

Q= 0

3/4 1/4 0

The following solution is similar to the previous problem (see the Maple printout). Note that the

eigenvalues and eigenvectors are complex, but conjugated. It means that the probability is real,

but oscillates in time).

The answers are: after many throws the chance for the boy A to hold the ball is 6/19; starting

from the given initial conditions his chance to hold the ball after 2 throws is 3/8.

Problem 5.3:

B (2)

A (1)

C (3)

Figure 5.2:

A bell rings at regular intervals (short compared with the mouses lifetime). Each time it rings,

the mouse changes rooms. When he changes rooms, he is equally likely to pass through any of

the doors of the room he is in.

Let the stochastic variable Y denotes mouse in a particular room. There 3 realizations of

Y:

1. Mouse in room A

2. Mouse in room B

3. Mouse in room C

63

which we denote as y(1), y(2), and y(3), respectively.

(a) compute the transition matrix, Q, and the conditional probability matrix, P(s0 |s).

(b) . Compute the probability vector, hP(s)|, at time s, given that the mouse starts in room C.

Approximately, what fraction of his life does he spend in each room?

(c) Assume that the realization, y(n) equals to n. Compute the moment, hy(s)i, and the autocorrelation function, hy(0)y(s)i, for the same initial condition as in part (b).

Solution 5.3:

Thus

Q21 = 1/3 ,

Q31 = 1/3 ,

Qii = 0 .

0 1/2 1/2

Q = 1/3 0 2/3 .

1/3 2/3 0

Now we do the same as in previous problems (see Maple printout). The answers are obvious

from the printout.

Problem 5.4: The doors in the mouses house shown in Fig. 5.2 so thay get periodically larger

and smaller. This causes the mouses transition between the rooms to become time periodic. Let

the stochastic variable Y have the same meaning as in Problem 5.3. The transition matrix is now

given by

Q11 (s) = Q22 (s) = Q33 (s) = 0 , Q12 (s) = cos2 (s/2) , Q12 (s) = sin2 (s/2) ,

Q21 (s) = 1/4 + (1/2) sin2 (s/2) , Q23 (s) = 1/4 + (1/2) cos2 (s/2)

Q31 (s) = (1/2) cos2 (s/2) , Q32 (s) = (1/2) + (1/2) sin2 (s/2) ,

(a) If initially the mouse is in room A, what is the probability to find it in room A after 2s

room changes?

(b) If initially the mouse is in room B, what is the probability to find it in room A after 2s room

changes? In room B?

Solution 5.4:

The solution is rather tedious, but obvious from the Maple file.

64

Problem 5.5: Consider a discrete random walk on a one-dimensional periodic lattice with

2N + 1 sites (label the sites from N to N). Assume that the walker is equally likely to move on

the lattice site to the left or right at each step. Treat this problem as a Markov chain.

(a) Compute the transition matrix, Q, and the conditional probability, P(s0 |s).

(b) Compute the probability P1 (n, s) at time s, given the walker starts at site n = 0.

(c) If the lattice has 5 sites (N = 2), compute the probability to find the walker on each site

after s = 2 steps and after s = steps.Assume that the walker starts at site n = 0.

Hint: Let us understand the word periodic as peridically extended, i. e. possessing the property

P[n + (2N + 1),t] = P(n,t) .

Solution 5.5:

wn1,n = wn,n1 = wn+1,n = wn,n+1 = 1/2 .

dPn /ds = wn1,n Pn1 + wn+1,n Pn+1 Pn (wn,n1 + wn,n+1 )

= (1/2) (Pn1 + Pn+1 2Pn ) .

Let us look for the solution in the form

Pn (s) es+in .

Then we get

Now we have to find . If we apply cyclic boundary conditions (assuming that the word periodic

in the problem formulation means that) we have to require: P(n + 2N + 1) = P(n) at any s. Thus

ei(2N+1) = 1

(2N + 1) = 2k ,

where k is the integer number ranging from N to N. Thus, the general solution is

N

2k

k

2

2s sin

P(n, s) = Pk exp in

.

2N + 1

2N + 1

k=N

The quantities Pk should be found from the initial conditions. At s = 0 we can rewrite the l. h. s.

of the requirement P(n, 0) = n,0 in the form

N

P(n, 0) =

k=N

Pk ein2k/(2N+1) .

65

On the other hand,

n,0 =

N

1

ein2k/(2N+1) .

2N + 1 k=N

From that we immediately get Pk = const(k). The proper constant 1/N (s) is the normalization

coefficient found from the condition

N

P(n, s) = 1 .

n=N

Finally

Here

N

1

k

2k

2

P(n, s) =

exp in 2N + 1 2s sin 2N + 1 .

N (s) k=N

2k

k

2

N (s) = exp in

2s sin

= 2N + 1 .

2N + 1

2N + 1

n=N

N

Now let us find the conditional probability P(n, s|m, 0). Now we have to apply the initial condition P(n, 0) = m,0 , or

N

P(n, 0) =

Pk ein2k/N = n,m =

k=N

Pk ei(nm)2k/(2N+1) .

k=N

Thus,

Pk = eim2k/(2N+1) .

Consequently,

N

1

2k

k

2

P(s s0 |0)mn = P(n, s|m, 0) =

exp i(n m) 2N + 1 2s sin 2N + 1 .

2N + 1 k=N

As s the probability tends to 1/(2N + 1). The calculation for N = 2 is straightforward, see

Maple file. Finally, the matrix Qmn = P(1|0)mn .

Problem 5.6: At time t, a radioactive sample contains n identical undecayed nuclei, each with

the probability for the unit time, , of decaying. The probability of decay during the time t

t + t is t. Assume that at time t = 0 there are n0 undecayed nuclei present.

(a) Write down and solve the master equation of the process [find P1 (n,t)].

(b) Compute the the mean number of undecayed nuclei and the variance as a function of time.

(c) What is the half-life of this decay process?

66

Solution 5.6:

dP

= n P(n,t) + (n + 1) P(n + 1,t) .

dt

This is a linear master equation, and we solve it by the method of generating functional, p. 262

of the book [1]. We introduce

F(z,t) =

zn P1 (n,t) .

n=

zn

F

F

= (z 1) .

t

z

(5.1)

Indeed,

d

n

In a similar way

F

.

z

znnP(n,t) = z zn1nP(n,t) = z z

n

F

F

+ (z 1)

= 0.

z

The characteristics of this equation meet the equation

d =

Consequently,

dz

z1

ln(z 1) = const .

(z 1) = zn0

As result,

n

F(z,t) = (z 1)e + 1 0 .

Now,

hn(t)i =

In a similar way,

(u) = (u + 1)n0 .

F

z

= n0 e .

z=1

(5.2)

67

To find the probabilities let us express the quantity

(z 1)e + 1

n0

n0

n0 !

n=0

Thus,

P1 (n, ) =

Problem 5.7:

n n

n0 !

en0 1 e 0 .

n!(n0 n)!

Consider a random walk on the lattice shown in Fig. 5.3. The transition rates are

1

w12 = w13 = 1/2 , w21 = w23 = w24 = 1/3, w31 = w32 = w34 = 1/3,

w42 = w43 = 1/2,

w14 = w41 = 0 .

(a) Write the transition matrix, W, and show that that this system obey detailed balance.

(b) Compute the symmetric matrix, V, and find its eigenvalues and eigenvectors.

(c) Write P1 (n,t) for the case P(n, 0) = n,1 . What is P(4,t)?

Solution 5.7: The solution is similar to the Exercise 5.2 in p. 245 of the book [1]. The answers

are obvious from the Maple file.

Problem 5.8: Consider a random walk on the lattice shown in Fig. 5.4. The site P absorbs the

walker. The transition rates are

w12 = w13 = 1/2 w21 = w23 = w2P = 1/3,

w31 = w32 = w3P = 1/3,

wP1 = wP2 = 1/2 .

(a) Write the transition matrix, M, and compute its eigenvalues and eigenvectors.

(b) In the walker starts at site n = 1 at time t = 0, compute the mean first passage time.

68

1

Solution 5.8: The solution is similar to the Exercise 5.4 of the book [1]. The answers are clear

from the Maple file.

Problem 5.9: Let us consider on RL electric circuit with resistance, R, and inductance, L,

connected in series. Even there is no average electromotive force (EMF) exists across the resistor,

because of the discrete character of electrons in the circuit and their random motion, a fluctuating

EMF, (t), exists whose strength is determined by the temperature, T . This, in turn, induces the

fluctuating current, I(t), in the circuit. The Langevin equation for the current is

L

d I(t)

+ R I(t) = (t) .

dt

(5.3)

h(t2 )(t1 )i = g (t2 t1 )

and h(t)i = 0, compute g and the current correlation function hhI(t2 )I(t1 )i iT . Assume that

the average magnetic energy LhI02 iT /2 = kT /2 and hI0 iT = 0 where I(0) = I0 .

Solution 5.9: Let us divide Eq. (5.3) by R, denote L/R and measure time in units of and

the current in units I1 R1 g. Namely, define = t/, and j(t) = I(t)/I1 . Then the equation

for the current has the form

d j/d + j = () ,

h(2 )(1 )i = ( 1 ) .

j() = j0 e

Z

0

ds es (s) .

Multiplying solutions for j(2 ) and for j(1 ) and averaging over realizations of we get

h j(2 ) j(1 )i = j02 e(2 +1 )

+

Z 2

Z 1

ds2

ds1 (s2 s1 )es1 +s2 1 2

0

1

1

2

j0

e1 2 + e|2 1 | .

2

2

0

69

The first item must vanish since in the equilibrium the process must be stationary, i. e. it must

depend only on the difference 2 1 . Thus,

1

2

hI02 iT =

LhI02 i = kT

g = 2R2 kT /L .

h j02 iT =

g

.

2R2

Consequently,

hh j(2 ) j(1 )i iT =

1 |2 1 |

e

,.

2

In dimensional variables,

hhI(t2 )I(t1 )i iT = I12 hh j(2 ) j(1 )i iT =

kT |t2 t1 |/

e

.

L

Problem 5.10: Due to the random motion and discrete nature of electrons, an LRC series

circuit experience a random electromotive force (EMF), (t). This, in turn, induces a random

varying charge, Q(t), on the capacitor plates and a random current, I)t) = dQ(t)/dt, through the

resistor and inductor. The random charge, Q(t), satisfies the Langevin equation

L

d2Q

dQ Q

+

R

+ = (t) .

dt 2

dt

C

h(t2 )(t1 )i = g (t2 t1 )

and h(t)i = 0. Assume that the circuit is at the temperature T and the average magnetic energy

in the inductor and average electric energy in the capacitor satisfy the equipartition theorem,

1

1

LhI02 iT =

hQ2 iT ,

2

2C 0

where Q(0) = Q0 , I(0) = I0 . Assume that hI0 iT = 0, hQ0 iT = 0, hQ0 I0 iT = 0.

(a) Compute the current correlation function hhI(t2 )I(t1 )i iT .

(b) Compute the variance of the charge distribution, hh(Q(t) Q0 )2 i iT .

70

Solution 5.10:

mapping

The problem is exactly the same as in the Exercise 5.5 of the book [1]. After

Q x,

I v,

LC 20 ,

L m,

hhI(t + )I(t)i iT =

kT ||

e

C(||) ,

L

where

C() = cosh (/) sinh ,

= R/L ,

q

= 2 20 .

The variance of charge distribution can be calculated by integrating the formal solution

I(t) = I0 et Q0

20 t

1

e sinh t +

over time:

2

1 et

Q(t) = Q0 + I0

Q0 0

2

1

+

L

Z t

dt

00

Z t

0

dt 0 (t 0 )e(t

Z t

dt 0 (t 0 )e(tt )C(t t 0 )

1 e()t 1 e(+)t

00 t 0 )

C(t 00 t 0 )

"

!#2

2

20 1 e()t 1 e(+)t

1 et

2

2

2

hhQ (t)i iT = hQ0 iT 1

+ hI0 iT

2

g

L2

Z t

0

Z t

dt1

Z t

dt2

Z t

dt3

Now we substitute hQ20 iT = CkT , hI02 iT = kT /L, and g = 4RkT , and then apply function. The

last term becomes

4RkT

L2

Z t

0

Z t

Z t

dt1

dt2

The rest integrations must be done explicitly which results in lengthy expressions.

Problem 5.11: Consider a Brownian particle of mass m in one dimension in the presence of

a constant force f0 in a fluid with force constant and in th4e presence of a delta-correlated

random force (t) such that h(t1 )(t2 )i = g (t1 t2 ) and h(t)i = 0. Assume that the velocity

and displacement of the Brownian particle at t = 0 are v0 and x0 , respectively.

(a) Compute the velocity correlation function hv(t1 )v(t2 )i .

(b) Compute the displacement variance h(x(t) x0 )2 i.

71

Solution 5.11:

d v(t)

f0

1

+ v(t) = (t) ,

dt

m

m m

dx

= v(t) .

dt

Its solution is

(/m)t

v(t) = v0 e

1

f0

+

1 e(/m)t +

Z t

0

dt 0 e(/m)(t t) (t 0 ) .

The quantity

f0

(/m)t

1e

vd (t) =

is just the drift velocity in the force f0 . Using results of the Sec. 5.E.1 of the book [1] we obtain

hh[v(t + ) vd (t + )] [v(t) vd (t)]i iT =

kT (/m)||

e

.

m

hhv(t + )v(t)i iT = vd (t + )vd (t) +

kT (/m)||

e

.

m

Z t

f m

0

0 f0

(/m)t 0

(/m)t

dt

1e

=

t

1e

xd (t) =

.

0

Finally we obtain

2kT

m

(/m)t

hh[x(t) x0 xd (t)] i iT =

t

1e

.

Problem 5.12: Stochastic processes

Consider an electron (spin S = 1/2) bounded to an impiruty center and assume that the temperature T is much less than the energy difference between the levels of orbital motion. Consequently,

only spin degrees of freedom are excited.

Let the system be placed in external magnetic field B, the additional energy in magnetic field

is B where corresponds to the values 1/2 of the spin component along the field. Here

= |e|h/2mc is the Bohr magneton, c is the velocity of light since the Gaussian system is used.

The magnetic moment of the states with Sz = 1/2 is .

(a) Find the stationary probabilities for the states with Sz = 1/2, P .

- Find average magnetic moment of the system as function of temperature T and magnetic field

B.

72

(b) Find mean square fluctuation of magnetic moment, h(M)2 i and the ratio h(M)2 i/hMi2 .

- Show that

2

h(M 2 )i =

.

(5.4)

cosh2 (B/T )

- Discuss limiting cases of large and low temperatures. Explain these results qualitatively.

(c) Write down the Master Equation for the probability Pi (t) to find the system in the state i =

at time t.

- Using the result for the stationary case find the relation between the transition probabilities

W+ and W+ for the transition from the state + to the state - and for the reverse transition,

respectively. Express the probabilities W+ and W+ through the quantity W = W+ +W+ .

- Derive the Master Equation for the population difference, P (t) w+ (t) w+ (t).

(d) Write down the Master Equation for the conditional probability, P( f ,t|i,t0 ), to find the system

in the state f at time t under the conditions that at time t0 it was in the state i.

- Specify initial conditions to this equation.

- Show that solution of this equation with proper initial condition is

P( f ,t|i,t0 ) = w f + (i f w f )eW |tt0 |

(5.5)

Hint: It is convenient to express the set of Master Equations for the quantities P( f ,t|i,t0 ) at

different i and f as an equation for the 22 matrix P with matrix elements Pf i (t|t0 ) P( f ,t|i,t0 ).

= W P at t t0 can then be searched in in the

(k)

(tt

)

0

k

independent matrices. They are determined from the intial conditions and from the fact that at

t t0 the conditional probabilities tend to the stationary ones.

(e) Using Eq. (5.5) show that the correlation function hM(t)M(0)i has the form

hM(t)M(0)i = h(M)2 i eW |t|

(5.6)

- Find the fluctuation spectrum.

Solution 5.12: (a) Denote w the probabilities of the states Sz = 1/2. We have

M = (w+ w ) .

(5.7)

w+ /w = e2B/T .

(5.8)

73

Since only 2 spin levels are involved,

w+ + w = 1 .

(5.9)

w+ =

1

e2B/T + 1

e2B/T

w = 2B/T

,

e

+1

As a result,

B

M = tanh

T

B

w w+ = tanh

T

(5.10)

(5.11)

(b) We get:

hM 2 i = 2 (w+ + w ) = 2

hMi2 = 2 tanh2 (B/T ) .

As a result,

h(M 2 )i =

2

,

cosh2 (B/T )

(5.12)

h(M)2 i

1

=

2

2

hMi

sinh (B/T )

(5.13)

to magnetic field.

(c) The equation reads,

wi (t)

= [Wis wi (t) Wsi ws (t)]

t

s=

(5.14)

Wis wi (t) = Wsi ws (t)

we obtain

W+ w

=

= e2B/T , ,

W+ w+

W+ =

W

,

1 + e2B/T

W+ =

W

1 + e2B/T

(5.15)

w+ (t)

= W+ w+ (t) +W+ w (t) ,

t

w (t)

= W+ w (t) +W+ w+ (t) .

t

(5.16)

P (t)

= W P (t)

t

(5.17)

74

(d) We consider a stationary random process, and P( f ,t|i,t0 ) is a function of t t0 . Let us assume

t0 = 0, t 0 and denote Let us for brevity denote P( f ,t|i, 0) Pf i (t). The Master Equation for

Pf i (t) has the form

Pf i (t)

= [W f s Pf i (t) Ws f Psi (t)] .

(5.18)

t

s

The initial condition to this equation is

Pf i (t) = i f

at t 0 .

(5.19)

with matrix elements Pi f (t) = P( f ,t|i, 0). Then Eq. (5.18) can

Let us introduce the matrix P(t)

be rewritten as

P(t)

Ws f

W f s

= W P(t) , with W =

.

(5.20)

W f s Ws f

t

k C (k) ek t . Then k are the

It is natural to search the solution of Eq, (5.18) in the form P(t)

eigenvalues of the matrix W while Ck are the numerical matrices to be determined from intial

conditions at t = 0 and from the fact that Pf i (t) w f at t . Here w f is the stationary

probability of the state f .

Equating the determinant of W I we get

1 = 0 ,

2 = W f s +Ws f W .

(1)

(2)

Pf i (t) = C f i +C f i eWt

where C (k) are time-independent matrices. From the initial conditions (5.19),

(1)

(2)

C f i +C f i = f i .

On the other hand, at t the conditions probability tends to the stationary one, w f . Consequently,

(1)

Cfi = wf .

Finally, because of the time reversibility, Pf i (t) depends only on |t|. As result,

Pf i (t) = w f + ( f i w f )eW |t|

This expression coincides with Eq. (5.5).

(e) By definition,

hM(t)M(0)i = hM(t)M(0)i hMi2 = Mi M f [P( f ,t|i, 0) w f ]wi .

if

75

Using Eq. (5.5), one can rewrite the above equation as

hM(t)M(0)i = eW |t| Mi M f (i f w f )wi = h(M)2 ieW |t|

if

The fluctuation spectrum is

(M) =

dt et hM(t)M(0)i = h(M)2 i

(M) = 2h(M)2 i .

W

2 +W 2

dt etW |t| .

76

Chapter 6

The Foundations of Statistical Mechanics

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77

78

Chapter 7

Equilibrium Statistical Mechanics

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Problem 7.1: Compute the structure function for N noninteracting harmonic oscillators, each

with frequency and mass m. Assume the system has total energy E. Using this structure

function and the microcanonical ensemble, compute the entropy and the heat capacity of the

system.

Solution 7.1: One can use either classical, or quantum Hamiltonian. Let us do the problem

classically. For brevity let us assume the the oscillators are one-dimensional. Then the Hamiltonian is

N 2

pi

m2 xi2

H =

+

=E.

2m

2

i=1

The total number of states is

Z

(E) =

dx1

dx2 . . .

dxN

d p1

d p2 . . .

"

d pN E

i=1

Here

(x) =

p2i

m2 xi2

+

2m

2

#

.

1, x > 0

0, x < 0

d(x)/dx = (x) ,

thus the structure function (E) = (E)/E is given by the equation

"

Z

Z

Z

Z

Z

Z

(E) =

dx1

dx2 . . .

dxN

d p1

d p2 . . .

d pN E

i=1

79

m2 xi2

p2i

+

2m

2

#

.

80

p

p

Let us use the following trick. Denote qi = xi m2 /2, i = 1..N, qi+N = pi 1/2m and R2 = E.

Then

!

N Z

Z

2N

2

2 N

2

2

(R) .

=

dq1 . . . dq2N R q j

j=1

From the dimensionality considerations,

(R)

= A2N R2N .

To find the coefficient A2N let us consider the integral

! Z

Z

Z

2N

dq1 . . .

dq2N exp q2j =

j=1

dq e

q2

2N

= N .

Z

0

R2

e

= 2NA2N

dR

R

Z

0

Thus

A2N =

Finally,

1

E N

(E) =

2

,

N(N)

N

.

N(N)

1

E N

(E) =

2

.

E (N)

N

E

1

(E)

S/k = ln

= ln

= N ln(E/h) 2N ln N + 2N .

N

N!h

h

(N!)2

Here we used the Stirlings formula. Now,

1

S

Nk

=

=

T

E

E

E = NkT, C = kN .

This is the classical answer. The quantum calculation is demonstrated in the Exercise 7.1 of the

book [1].

Problem 7.2: A system consists of N noninteracting, distinguishable two-level atoms. Each

atom can exist in one of two states, E0 = 0, and E1 = . The number of atoms in energy level E1

is n1 . The internal energy of the system is U = n0 E0 + n1 E1 .

(a) Compute the entropy of the system as a function of internal energy.

(b) Compute the heat capacity of a fixed number of atoms, N.

81

Solution 7.2: Since E0 = 0 the energy U cam be realized in U/ n1 particles are in the state

1, and (N U/) = N n1 particles are in the state 0. The number of ways to do that is

N!

W=

n1 !(N n1 )!

Consequently,

S

N!

= ln

N ln N N n1 ln n1 + n1 (N n1 ) ln(N n1 ) + (N n1 ) .

k

(N n1 )!

Finally

U

S

U U

U

ln N

.

N ln N ln N

k

1

S

k N U

=

ln

.

T

U

U

As result,

2

e/kT

N

U = /kT

, C = Nk

2 .

kT

e

+1

e/kT + 1

Problem 7.3: A lattice contains N normal lattice sites and N interstitial lattice sites. N identical

atoms sit on the lattice, M on the interstitial sites and N M on the normal sites (N M 1.

If an atom occupies a normal sites, its energy E = 0. If an atom occupies an interstitial site, its

energy is E = . Compute the internal energy and heat capacity as a function of temperature for

this lattice.

Solution 7.3: The internal energy is U = M, so we have to express M as a function of temperature. The number of ways in which one can place M atoms at N interstitial sites is

N!

Wi =

.

M!(N M)!

The rest N M atoms can be placed at N normal states in the same number of ways. Thus

2

N!

S

N!

W=

= 2 ln

.

M!(N M)!

k

M!(N M)!

Using the Stilings formula we get

S/k 2 [N ln N N M ln M + M (N M) ln(N M) + (N M)]

2 [N ln N M ln M (N M) ln(N M)] ,

1

T

= (2k/) ln(N M)/M , M = U/ .

Thus,

U=

N

N e/kT ,

+1

e/2kT

C 2kN(/2kT )2 e/2kT .

82

Problem 7.4: Consider a lattice with N spin-1 atoms with magnetic moment . Each atom can

be in one of 3 spin states:, Sz = 1, 0, +1. Let n1 , n0 and n1 denote the respective number of

atoms in each of those spin states. Find the total entropy and the configuration which maximizes

the total entropy. What is the maximum entropy? (Assume that no magnetic field is present,

so all atoms have the same energy. Also assume that atoms on different lattice sites cannot be

exchanged, so they are distinguishable).

Solution 7.4:

We have

N!

,

n1 !n1 !(N n1 n1 )!

lnW N ln N n1 ln n1 n1 ln n1 (N n1 n1 ) ln(N n1 n1 ) .

W =

n1 = (N n1 n1 ) = n1

n1 = n0 = n1 = N/3

Smax = kN ln 3 .

Problem 7.5: A system has 3 distinguishable molecules at rest, each with a quantized magnetic

moment which can have z-components +/2 or /2. Find an expression for the distribution

function, fi (i denotes the configuration), which maximizes entropy subject to the conditions

fi = 1 , Mi,z fi = ,

i

where Mi,z is the magnetic moment of the system in the i-th configuration. For the case = 1/2

compute the entropy and compute fi .

Solution 7.5: Let us measure magnetic moment in units . We have 4 configurations with

magnetic moments in parentheses

(3/2),

(1/2),

(1/2),

(3/2) .

The configurations with magnetic moments 1/2 are triply degenerated. Denoting the configurations as 1,2, 3 and 4, we construct the functional

S

= gi fi ( + Mi,z ln fi ) .

k

i

From this expression we get

+ Mi,z ln fi 1 = 0

fi = exp (1 Mi,z ) .

83

Here gi is the degeneracy factor: g1,4 = 1, g2,3 = 3. We have 2 equations for and :

gi exp (1 Mi,z)

= 1,

= .

or

2e

cosh + 3 cosh

= 1

2

2

3 3

1 3

2e

sinh + sinh

= .

2

2

2

2

cosh

+ 3 cosh = 3 sinh

+ 3 sinh

2

2

2

2

x6 3x2 4 = 0 ,

the meaningful solution being

x=

Consequently,

2,

or

= ln 2 .

27 2

= 1 + ln

.

4

As a result, we have

fi = N eMi,z ln 2 ,

N =

23/2

.

27

The entropy is

1

S

27

= gi fi ln fi = gi fi (ln N + Mi,z ln 2) = ln N ln 2 = ln .

k

2

4

i

i

Problem 7.6: A fluid in equilibrium is contained in the insulated box of volume V . The fluid is

divided (conceptually) into m cells. Compute the variance of the enthalpy fluctuations, h(Hi )2 i

in the i-th cell. (For simplicity assume the fluctuations occur at fixed particle number, Ni ).

Hint: Use P and S as independent variables.

84

Solution 7.6:

We have

H = T S +V P .

Thus

h(H)2 i = T 2 h(S)2 i +V 2 h(P)2 i .

From the general theory the fluctuation probability is proportional to

w eWmin /kT ,

Wmin = U T S + P V

(7.1)

is the minimum work needed to carry out reversibly the given change in the thermodynamic

quantities of small part considered (relative to which the remainder of the body acts as a medium).

Expanding U in the series, we obtain

1 2U

U

2U

2

2

Wmin =

(S) + 2

S V + 2 (V )

2 S2

SV

V

1

U

U

=

S

+ V

2

S V

V S

1

=

(S T P V ) .

2

Thus

P V S T

w exp

2kT

(7.2)

One can use this general formula and choose different couples as independent variables. In our

case the proper pair is S P. We get

V

V

P +

S ,

V =

P S

S P

T

T

T =

P +

S

P S

S P

T

T

=

P +

S .

P S

CP

The Maxwell relation following from dH = T dS +V dP is

V

T

=

.

S P

P S

Thus

V =

V

P

T

P +

P

S

.

S

1

V

1

2

2

w exp

(S) .

(P)

2kT P S

2CP

85

As a result,

hS Pi = 0 ,

h(S)2 i = kCP ,

h(P)2 i = kT (P/V )S .

h(H)2 i = kT 2CP V 2 kT (P/V )S .

Problem 7.7: A fluid in equilibrium is contained in the insulated box of volume V . The fluid

is divided (conceptually) into m cells. Compute the variance of the internal energy fluctuations,

h(Ui )2 i in the i-th cell. (For simplicity assume the fluctuations occur at fixed particle number,

Ni ). What happens to the internal energy fluctuations near the critical point?

Solution 7.7:

We have,

U

U

P

U =

V +

T = T

P V +CV T .

V T

T V

T V

Now we can use Eq. (7.2) and choose V, T as independent variables. We have:

S

S

P

CV

S =

T +

T =

T +

T ,

T V

V T

T

T V

P

P

P =

T +

V .

T V

V T

The we get

P

CV

1

2

2

w exp

(T ) +

(V ) ,

2kT

2kT V T

hT V = 0i

Finally,

h(T )2 i = kT 2 /CV ,

h(V )2 i = kT (V /P)T .

2

P

V

h(U) i = kT T

P

+ kT 2CV .

T V

P T

2

Problem 7.8: What is the partition function for a van der Waals gas with N particles? Note

that the result is phenomenological and might involve some guessing. It is useful to compare it

to the partition function for an ideal gas. Remember that the particles are indistinguishable , so

when using a partition function one must insert a counting factor. Use this partition function to

compute the internal energy, U(N, T,V ), the pressure, P(N, T,V ), and the entropy, S(N, T,V ).

86

Solution 7.8:

1

ZN =

N!h3N

dr1 . . . drN

(k)

ZN

1

=

N!h3N

2

1

,

N!3N

T

(0)

(k)

where T = h/ 2mkT . Since the partition function for the ideal gas is ZN = V N ZN Then we

are left with

Z

Z

h

i

ZN

1

1

V ({ri })

V ({ri })

=

dr

.

.

.

dr

e

=

1

+

dr

.

.

.

dr

e

1

1 + zN .

N

N

1

1

(0)

VN

VN

Z

N

Let us try to consider rarefied gas where only pair interaction is important. Then we can choose

N(N 1)/2 pair to get

Z

h

i

N2

V (r1 r2 )

dr

dr

e

1

.

zn

1 2

2V 2

Introducing the virial coefficient

Z

1

B(T ) =

dr 1 eV (r) ,

2

where r = r1 r2 , we obtain

zN = N 2 B(T )/V .

We get

A = A0 kT ln(1 + zn ) A0 kT zN = A0 + kT N 2 B(T )/V ,

(0)

A0 kT ln ZN .

In the spirit of the van der Walls model let us assume that the interaction is large at r 2r0 , and

at r > 2r0 the interaction is small. Then

Z 2r0

Z

2

V (r)

2

V (r)

r dr 1 e

B(T ) = 2

r dr 1 e

+ 2

0

16r03 /3 + 2

where b = 16r03 /3 and a =

2r0

2r0

R 2

2r0 r drV (r). Finally,

N2

a

zn =

b

.

V

kT

For an ideal gas,

eV

A0 = NkT ln

N

mkT

2h2

3/2

= N f (T ) NkT ln(eV /N) .

87

Thus,

A = N f (T ) NkT ln(e/N) NkT (lnV Nb/V ) N 2 a/V .

Since ln(V Nb) Nb/V + lnV we get

A A0 NkT ln(1 Nb/V ) N 2 a/V .

From this we get

A

NkT

N 2a

A

Nb

P =

=

, S=

= S0 + kN ln 1

,

V V b

V

T

V

N 2a 3

N 2a

U = U0

= kT

.

V

2

V

Problem 7.9: Consider a solid surface to be a two-dimensional lattice with Ns sites. Assume

that Na atoms (Na Ns ) are adsorbed on the surface, so that each site has either 0 or 1 adsorbed

atom. At adsorbed atom has energy E = , where > 0. Assume that atoms on the surface do

not interact with each other.

(a) If the surface is at temperature T , compute chemical potential of the adsorbed atoms as a

function of T , , and Na /Ns (use the canonical ensemble).

(b) If the surface is in equilibrium with an ideal gas of similar atoms at temperature T , compute

the ratio Na /Ns as a function of pressure, P of the gas. Assume the gas has number density

n. (Hint: equate chemical potentials of the adsorbed atoms and the gas).

Solution 7.9:

(a) The canonical partition function is

1 Ns Ei

Ns !

Z=

=

eNa .

e

Na ! i=1

Na !(Ns Na )!

Here = 1/kT . Since Na Ns ,

Z

NsNa Na

e

.

Na !

= kT ln(Ns /Na ) .

88

(b) For an ideal gas,

P3T

= kT ln

kT

Equating chemical potentials, we obtain

3

PT

Ns

ln

= ln

kT

Na

kT

Na P3T /kT

=

e

.

Ns

kT

n3T e/kT .

Problem 7.10: Consider a two-dimensional lattice lattice lattice in the x y plane with sides of

length Lx and Ly which contain N atoms(N is very large) coupled by nearest neighbor harmonic

forces.

(a) Compute the Debye frequency for this lattice.

(b) In the limit T 0, what is the heat capacity?

Solution 7.10: We follow the section 7.E of the book [1]. Since N 1 the boundary conditions

are not important, and we can apply zero boundary conditions. As in this exercise, we use

continual approximation and replace

...

Lx Ly

(2)2

dkx dky . . . .

Lx Ly

g() = ( k, ) =

(2)2

k,

dk ( k, ) .

Here denotes the vibrational mode. In two-dimensional lattice we have two modes, longitudinal, l, and transverse, t. In the Debye approximation it is assumed that the dispersion law k, is

linear and isotropic:

k, = c k , ki = si , si = 1, 2, . . . .

Li

where c is the sound velocity for each mode. Since in two-dimensional case

Z

dk . . . =

we obtain

kdk d . . . = 2

Lx Ly

g() =

2h2

1

1

+

c2l ct2

kdk . . .

89

Since the total number of vibrations should be normalized to 2N, where 2 is the number of modes

and N is number of atoms, we should get

Z D

g() d = 2N .

Consequently

Lx Ly

2N =

4h2

and

1

1

+

c2l ct2

s

Lx Ly

8Nh2

1

=

D

2D

1

1

+

.

c2l ct2

g() =

4N

.

2D

As result,

4kN

C=

(hD )2

Z TD /T

0

x 3 ex

dx x

=

(e 1)2

2kN,

T

2

24(3)kN(T /TD ) , T 0 .

Problem 7.11: A cubic box (with infinitely hard walls) of volume V = L3 contains an ideal gas

of N rigid HCl molecules (assume the effective distance between the H atom and the Cl atom

d = 1.3 A).

(a) If L = 1.0 cm, what is the spacing between the translation energy levels?

(b) Write the partition function for this system (include the translational and rotational contributions). At what temperature do rotational degrees of freedom become important.

(c) Write expressions for the Helmholtz free energy, the entropy, and the heat capacity of

the system for temperatures where the rotational degrees of freedom make a significant

contributions.

Solution 7.11: Let us put the origin of the reference frame in the cubes corner. Since at the

walls the wave function should vanish, for each component of the momentum p we get:

sin(p L/h) = 0

k = n /L , k p /h .

Here n is an integer number. Thus the energy levels of translational motion are given by the

expression

h 2 2

2

2

2

.

n = 0 (nx + ny + nz ) , t =

2mL2

90

ni +1 ni = (2ni + 1)t .

The rotational degrees of freedom are determined by the moment if inertia,

I=

m1 m2 2

d ,

m1 + m2

h 2

K = 0, 1, . . . , r = .

2I

K = r K(K + 1) ,

Thus the spacing between the levels is

It is important that each rotational level is degenerate by the factor (2K + 1).

Thus Z = Ztr Zrot where

!3

V /3T ,

t 1,

exp(

),

t 1,

t

nx =1

kT /r ,

r 1,

= (2K + 1) er K(K+1) =

2

r

1 + 3e

, r 1.

K=0

Ztr =

Zrot

t n2x

A = kT ln Ztr kT ln Zrot ;

2

A

S

A

S =

, C=T

= T

.

T V

T V

T 2 V

The calculations are obvious.

Problem 7.12: An ideal gas is composed of N red atoms of mass m , N blue atoms of mass

m, and N green atoms of mass m. Atoms of the same color are indistinguishable. Atoms of

different color are distinguishable.

(a) Use the canonical ensemble to compute the entropy of this gas.

(b) Compute the entropy of ideal gas of 3N red atoms of mass m. Does if differ from that of

the mixture. If so, by how much.

91

Solution 7.12: Since the atoms of different color distinguishable the partition function is just

the product of partition function. For each component

!N

N

2

1

V

p /2m

ZN = e

=

.

N! 3T

k

From this expression,

eV

AN = NkT ln

N

mkT

2h2

3/2

Here

f (T ) =

mkT

2h2

3/2

.

A = 3N f (T ) 3NkT ln(eV /N) ,

S1 = 3Nk ln(eV /3N) 3N f 0 (T )

S S1 = 3N ln 3 .

Problem 7.13: An ideal gas consists of a mixture of green and red spin-1/2 particles. All

particles have mass m. A magnetic field, B, is applied to the system. The green particles have

magnetic moment G , and the red particles have magnetic moment R , where R < G . Assume

that temperature is high enough that Fermi statistics can be neglected. The system will be in

equilibrium if chemical potentials the the red and the green gases are equal. Compute the

ratio NR /NG , where NR is the number of red atoms and NG is the number of red particles.

Use the canonical ensemble (no other ensembles will be accepted).

Solution 7.13: Let us consider one of the gases since they are noninteracting. We have Z =

Ztr Zs where Ztr is the usual transport partition function while

N

Zs = eB + eB = 2N coshN (B) .

Since

1 V cosh(B) N

eV cosh(B)

kT

= kT ln

.

= ln

N N!

T

NT

Equating chemical potentials for red and green gases we get

cosh(R B) cosh(G B)

=

NR

NG

NR

cosh(R B)

.

=

NG cosh(G B)

92

Problem 7.14: Consider a one-dimensional lattice with N lattice sites and assume that i-th

lattice site has spin si = 1. The Hamiltonian describing this lattice is

N

H = si si+1 .

i=1

Assume periodic boundary condition, so sN+1 = s1 . Compute the correlation function, hs1 s2 i.

How does it behave at very high temperature and at very low temperature?

Solution 7.14:

We have,

ZN (T ) =

...

s1 =1

sN =1

exp si si+1

e

P = e

= e I + e 1 .

e e

We have

hsi |P|s

Then

ZN (T ) =

...

s1 =1

2 ihs2 |P|s

3 i . . . hsN |P|s

1 i = Tr P N .

hs1 |P|s

sN =1

1 = 2 cosh ,

2 = 2 sinh .

Thus

ZN () = 2N (coshN + sinhN ) .

We have

hsi si+1 i =

1 ln ZN

=

.

N

coshN () + sinhN ()

At low temperature, 1, cosh() sinh() and hsi si+1 i = 1. Thus we have ferromagnet

ordering.

At high temperature,

cosh() 1 ,

sinh() 0

hsi si+1 i = 1 .

93

Problem 7.15: In the mean field approximation to the Ising lattice, the order parameter, hsi,

satisfied the equation

Tc

hsi = tanh hsi

,

T

where Tc = /2k where is the strength of the coupling between lattice sites and is the number

of nearest neighbors.

(a) Show that hsi is the following temperature dependence

1 e2Tc /T ,

T 0,

hsi p

3(1 T /Tc ), T Tc .

(b) Compute the jump in the heat capacity at T = Tc .

(c) Compute the magnetic susceptibility, (T, N)B=0 , in the neighborhood of Tc both for T >

Tc and T < Tc . What is the critical exponent for both cases?

Solution 7.15:

(a) Since tanh 1 2 e2 at large , we get

hsi 1 2 e2hsiTc /T

hsi 1 2 e2Tc /T .

Tc hsi3

hsi hsi +

T

3

Thus,

hsi

Tc

T

3

.

3(1 T /Tc ) .

(b) We will use notations of Sec. 7.F.2 of the book [1]. The the Hamiltonian is

N

H = E(, B) si , E(, B) =

i=1

hsi + B .

2

E(, B)hsi

E

hsi

C = N

= N E + hsi

.

T

hsi

T N,B

N,B

At T Tc 0 and B = 0 we get

hsi =

3(1 T /Tc )

C|Tc 0 =

3 N

.

2 Tc

At T > Tc the average spin is zero, thus the jump in specific heat is given by C|Tc 0 .

(7.3)

94

(c) To get magnetic susceptibility we have to differentiate the magnetic moment N = Nhsi

with respect to B:

hsi

= N

.

B N,B0

Defining = (hsi/B)N,B0 we get the following equation at B 0:

=

+ .

cosh2 (hsiTc /T ) 2

Its solution is

=

2

.

2 cosh (hsiTc /T ) Tc /T

2

Finally,

=

N2

Tc /T

.

2

cosh (hsiTc /T ) Tc /T

=

Below Tc we get

"

N2 Tc

.

T Tc

hsi2

cosh2 (hsiTc /T ) 1 +

2

As a result, below Tc

=

Tc

T

2 #2

T

1+3 1

Tc

Tc

N2

.

2(Tc T )

Problem 7.16:

E 2 , E > 0,

g(E) =

0,

E < 0,

Solution 7.16:

N=

Z

g(E) dE

Emin

= 3

E

e c 1 c

Z 2

x dx

0

ex 1

1/3

N

kTc =

.

2(3)

2(3)

.

3c

95

Problem 7.17: An ideal Bose-Einstein gas consists of noninteracting bosons with mass m

which have an internal degree of freedom which can be described by assuming, that the boson are two-level atoms. Bosons in the ground state have the energy E0 = p2 /2m, while bosons

in the excited state have the energy E1 = p2 /2m + , where p is the momentum and is the

excitation energy. Assume that kT . Compute the Bose-Einstein condensation temperature,

Tc , for this gas of two-level bosons. Does the existence of internal degree of the internal degree

of freedom raise or lower the condensation temperature?

Solution 7.17:

Z

g0 (E) =

p2

dp E

2m

4

= 3

h

In a similar way,

p2

=a E,

p dp E

2m

2

m3/2

a

.

22 h 3

g1 (E) = a E .

3/2

Nc

a

Z

x dx

0

ex 1

Z p

x c dx

ex 1

c

(3/2)

+

e

.

2

2

0 =

we get

c = 0 1 +

a

3/2

2N0

2/3

a(3/2)

2N

!2/3

2 a 0

0 + p e

.

6N 0

Problem 7.18: Compute the Clausius-Clapeyron equation for an ideal Bose-Einstein gas and

sketch the coexistence curve. Show that the line of transition points in the P v plane obeys the

equation

2h2 g5/2 (1)

5/3

.

pv =

m [g5/2 (1)]5/3

96

Solution 7.18: Let us first recall the notations. The quantity z = e is called the fugacity, the

distribution function is written as

z

1

hnl i = ( )

=

.

e l

1 e l z

The functions gi (z) are introduced as

4

g5/2 (z) =

g3/2 (z) = z

2

x2 dx ln 1 zx =

z

d

g5/2 (z) = 3/2 .

dz

=1

z

5/2 ,

=1

(7.4)

(7.5)

=

22 h 3

Z

0

kT

dy y ln 1 z ey = V 3 g5/2 (z) .

T

kT

g5/2 (z) .

3T

In equilibrium with the condensate at T = Tc ,

P=

Pc =

kTc

g5/2 (1) .

3T

hnc i =

q

Denoting T

= a/T 1/2

where a =

g3/2 (1)

3T

3/2

Thus,

Pc =

N g3/2 (1) Tc

=

V

a3

g5/2 (1)

3T

= ka2

Tc =

[vg3/2 (1)]5/3

Na3

V g3/2 (1)

!2/3

.

.

m [vg3/2 (1)]5/3

Problem 7.19: Show that the pressure, P, of an ideal Bose-Einstein gas can be written in the

form P = u, where u is the internal energy per unit volume and a is a constant.

(a) what is u?

(b) What is ?

97

Solution 7.19:

Z

g5/2 (z) =

dy y ln 1 z ey

0

Z

2 2

z

=

dy y3/2 y

e z

3 0

U=

Z

0

g() d

z

e z

2

PV = U

3

P=

2

u.

3

Thus, = 2/3.

Problem 7.20: Electrons in a piece of Cu metal can be assumed to behave as an ideal Fermi

gas. Cu metal in the solid state has mass density = 9 gr/cm3 . Assume that each Cu atom

donates an electron to the Fermi gas. Assume the system is at T = 0 K.

(a) Compute the Fermi energy, F , of the electron gas.

(b) Compute the Fermi temperature, TF = F /k.

Solution 7.20:

Z

2V 4

p2

2

g() =

p dp

h3

2m

2V m3/2

=

V

g

.

0

2 h 3

Here g0 = 2m3/2 /2 h 3 , we have taken into account that spin degeneracy for electrons 2. Integration expression for densoty of states from 0 to F and equationg to the number of electrons

we obtain

3/2

(2/3)g0 F = ne F = (3ne /2g0 )2/3 , .

Here ne = Ne /V = /mCu is the electron density.

98

Problem 7.21:

D, if E > 0 ,

f (E) =

0, if E < 0 ,

where D is a constant.

(a) Compute the Fermi energy.

(b) Compute the specific heat at low temperature.

Solution 7.21:

We have,

N=D

Z

0

D

=

(E)

e

+1

dE

Thus

e

N/D

=e

dx

D

= ln 1 + e

.

x

e + 1

N

1 N/D

= ln e

1 kTeN/DkT .

U =D

E dE

e(E) + 1

Let us use the trick called the Sommerfeld expansion. Consider an auxiliary integral,

Z

f (E) dE

f ( + kT z) dE

I =

=

(E)/kT

ez + 1

+1

0 e

/kT

Z /kT

Z

f ( kT z) dE

f ( + kT z) dE

= kT

+ kT

z

e +1

ez + 1

0

0

Z

Z

f ( + kT z) f ( kT z)

=

f (E) dE + kT

dE

ez + 1

0

0

1

integrand, we obtain

I

2 0

f (E) dE + 2(kT ) f ()

Z

z dz

ez + 1

In our case, f (E) = DE, f 0 () = D, and we get

0

+... =

f (E) dE +

U

2 2

+ (kT )2 .

D

2

6

The specific heat is then

2 2

C

=

+ k T.

D

T

3

The first item is exponentially small at low temperatures, and

C

2 2

2 kT

Dk T k

.

3

3

2

(kT )2 f 0 () + . . . .

6

99

Problem 7.22: Compute the magnetization of an ideal gas of spin-1/2 fermions in the presence

of magnetic field. Assume that fermions each have magnetic moment e . Find the expression for

magnetization in the limit of weak magnetic field and T 0 K.

Solution 7.22: We will calculate here only spin (Pauli) susceptibility. Since the spin degree of

freedom leads to additional energy e B we get

1

1

() = 0 ( e B) + 0 ( + e B)

2

2

where 0 is the grand potential in the absence of magnetic field,

Z

2

2A E 3/2 dE

2V m3/2

0 () = U =

.

,

A

=

3

3 0 e(E)/kT + 1

2 h 3

As a result,

Z

Z

1

() 1

E 3/2 dE

E 3/2 dE

+

.

=

A

3 0 e(Ee B)/kT + 1 3 0 e(E+e B)/kT + 1

In small magnetic fields or at large temperature,

() 0 () +

Consequently,

Since

M=

B

(e B)2 2 0 ()

.

2

2

= 2e B

T,V,

= N we get

= 2e B

2 0 ()

.

2

.

T,V

e B .

In very strong magnetic fields the analysis is more complicated. First the chemical potential is

given by the expression

i

N 1h

=

( + e B)3/2 + ( e B)3/2 .

A 3

In a similar way,

i

2 h

()

5/2

5/2

.

=

( + e B) + ( e B)

A

15

These equations are written assuming that e B , otherwise only one item is present. Physically

it means that only spins-up-states are occupied. Let us consider the case of very strong magnetic

field, e B . Then

() =

2A

( + e B)5/2

15

M=

Ae

( + e B)3/2 = Ne .

3

100

Problem 7.23: Show that the entropy for an ideal Fermi-Dirac gas (neglecting spin) can be

written in the form

S = k [hnl i lnhnl i + (1 hnl i) ln(1 hnl i)] ,

l

1

(

)

l

where hnl i = e

+1

.

Solution 7.23: The number of ways to distribute Nl identical particles among Gl states with

not more than 1 particle per state is just

Wl =

Gl !

.

Nl !(Gl Nl )!

S = k ln [Gl ln Gl Nl ln Nl (Gl Nl ) ln(Gl Nl )] .

l

Using the mean occupation number hnl i = Nl /Gl we can rewrite this formula as

S = k Gl [hnl i lnhnl i + (1 hnl i) ln(1 hnl i)] .

l

Problem 7.24: To the lowest order in the density, find the difference in the pressure and the

isothermal compressibility between an ideal boson and ideal fermion gas. Assume that the

fermions and bosons have the same mass and both are spin-less. (Note: You are now considering fairly high temperature).

Solution 7.24:

g() = g0V 1/2

we obtain

2

= g0V

3

Z

0

3/2 d

2

g0V

()

3

e

1

Z

0

3/2

d e

()

()

.

1e

2

P = g0 (kT )5/2 z

3

Z

0

3/2 d e 1 z e

2

=

g0 (kT )5/2 z 1 z

.

2

8

101

The normalization condition in this case gives

N = g0V (kT )3/2 z

As result,

Z

0

2

1/2 d e 1 z e =

zg0V 1 z

.

2

4

2

N

z0 =

.

g0 (kT )3/2 V

We obtain

NkT

P

V

2

8

1 z0 42

1 z0

NkT

!

!

NkT

2

2

N

1 z0

1

.

8

V

4 g0 (kT )3/2 V

The sign + hold for the Fermi statistics, the sign - holds for the Bose statistics. The compressibility is calculated in a straightforward way since

!

2

NkT

.

V

1

P

4 g0 (kT )5/2 P

102

Chapter 8

Tests and training

Here we put some exercises for self-testing.

103

104

Problem 8.1:

(a) Discuss the difference between Gibbs and Helmholtz free energy.

(b) Prove the relation

U = T

A

T T

(c) A body with constant specific heat CV is heated under constant volume from T1 to T2 . How

much entropy it gains?

(d) Discuss the heating if the same body is in contact with a thermostat at T2 . In the last case

the heating is irreversible. Show that the total entropy change is positive.

(e) Two similar bodies with temperatures T1 and T2 brought into contact. Find the final temperature and the change in entropy.

Solution 8.1:

(a) Mechanical work under isothermic process is given by

dW = dU dQ = dU T dS = d(U T S) .

The function of state

F = U TS

is called Helmholtz free energy. We have

dF = dU T dS S dT = (T dS P dV ) T dS S dT = S dT P dV.

Thus,

F

S=

T

F

P=

V

,

V

.

T

The thermodynamic potential with respect to P and T is called Gibbs free energy. We have

G = U T S PV dG = S dT +V dP .

(b) Substituting

F

S=

T

105

(c) We have

S=

Z T2

CV

T1

T2

dT = CV ln

T

T1

(e) Energy conservation law yields

CV (T2 TB ) = CV (TB T1 ) > TB = (T1 + T2 )/2 .

for the entropy change we have

TB

TB

T1 + T2

S = CV ln +CV ln

= 2CV ln

0.

T1

T2

2 T1 T2

Problem 8.2: Find fluctuation of the energy per particle for the Boltzmann gas of spinless

particles at a given temperature . Assume that p = p2 /2m.

Solution 8.2:

h()2 i =

(i hi)2 = h2 i hi2 .

Now

Thus

hi =

1

1 Z1 ()

i ei =

.

Z1 i

Z1

h2 i =

1

1 2 Z1 ()

2 i

e

=

.

i

Z1

Z1 2

i

1 2 Z1 ()

1 Z1 () 2 2 log Z1

h() i =

=

.

Z1 2

Z1

2

2

Z1

1

= exp( p ) =

(2h)3

p

Z

0

4p2 d p exp( p ) .

It is convenient to introduce the density of states as number of states per energy interval.

4

g() = ( i ) =

(2h)3

p

Z

0

m3/2

p2 d p ( i ) =

.

22 h 3

i

106

In this way,

Z1

m3/2

=

22 h 3

As

Z

0

Z

0

,

3/2

a=

m3/2

8 2 h 3

Thus

h()2 i =

Problem 8.3:

probability

dx x1/2 exp(x) .

we get

Z1 =

m3/2

exp() =

22 h 3 3/2

1/2

3

log Z1 = log a log .

2

3

.

22

Two-level systems with random energy spacings are distributed with a constant

p() = P0 .

Solution 8.3:

n+

= e ,

n

Thus

n =

n+ + n = 1 .

1

.

exp() + 1

The average energy is (we start from the middle of the distance between the levels)

hi =

(n+ n ) = tanh .

2

2

2

c() =

hi

hi 1

1

== 2

=

.

2

T

4 cosh (/2)

C =

Z

0

p() d c() = P0

d

0

1

1

P0

=

2

4 cosh (/2) 2

Z

0

dx

P0

.

=

2

cosh x 2

Appendix A

Additional information

A.1 Thermodynamics

A.1.1 Thermodynamic potentials

Thermodynamic potential

Internal energy

Heat function (enthalpy)

Helmholtz free energy

Gibbs free energy

Landau free energy

Notation

U

H

F

G

Independent variables

S, V, N

S, P, N

T, V, N

T, P, N

T, V,

Differential

T dS P dV + dN

T dS +V dP + dN

S dT P dV + dN

S dT +V dP + dN

S dT P dV N d

Jacobian (u, v)/(x, y) is defined as the determinant

=

(x, y) v/x v/y

(A.1)

(u, v)

(v, u)

=

,

(x, y)

(x, y)

(u, y)

=

(x, y)

u

x

,

y

=

.

(x, y)

(t, s) (x, y)

(A.2)

Important relations arise from the properties of partial differentiations. Consider 3 quantities,

X,Y, Z, related by the equation of state K (X,Y, Z) = const. Now let us consider X,Y as indepen107

108

Z

Z

dX +

dY dZ = 0 .

X Y

Y X

(A.3)

X

X

dX +

dY +

dZ = 0

(A.4)

Y Z

Z Y

Z

Now we multiply Eq. A.3 by X

and

Eq.

A.4

by

and subtract the results. We obtain

Y

Y

Z

Z

X

X

Y

+

Z

Z

Y

X

X

Z

dX +

dZ = 0 .

Y Z

Z Y Y X

Z

X

Z

+

= 0

X Y Y Z

Y X

X

Z

X

+

= 0,

Y Z

Z Y Y X

or

X

Y

X

Y

Y

Z

Z

= 1 ,

X X Y

1

Y

=

.

X Z

(A.5)

(A.6)

General scheme for transformation: Consider any quantity F (X,Y ), the differential of which

can be expressed as

F

F

dF =

dX +

dX .

X Y

Y X

Then we divide it by dZ and assume Y = const, (dY = 0). We get

F

F

X

=

.

Z Y

X Y Z Y

Another important relation arises if one divides the expression for d F by xX,

F

F

F

Y

=

+

.

X Z

X Y

Y X X Z

(A.7)

(A.8)

Equations (A.7), (A.8) together with Eqs. (A.5), (A.6) and the Maxwell relations are usually

used for transformations and computation of derivatives from the equation of state.

109

Binomial distribution

WN (m) =

N!

pm (1 p)Nm .

m!(N m)!

Poisson distribution

P(m) =

m m m

e .

m!

(A.9)

(A.10)

Gaussian distribution

G(x) =

e(xx)/2

.

2

Distribution of displacemnet for 1D random walk with the step l

G(x) =

2

2

1

p

e[x(pq)l] /8Nl p(1p) .

2l 2N p(1 p)

Gaussian integrals

I1 (a) =

Z

dz eaz

2 /2

z dz e

dI1 (a)

=2

da

z2 /2

1

ik xi xk ,

2

i,k

(A.12)

2/a .

S S0 =

(A.11)

= I1 (a) 2 .

(A.13)

(A.14)

a=1

ik = ki .

For convenience, let us assume summation over repeated subscripts and rewrite the above equation

1

S S0 = ik xi xk .

(A.15)

2

Consequently,

1

w = A e 2 ik xi xk .

Let us first calculate the normalization factor A from

Z

dw dx1 dxn = 1 .

To calculate the integral let us introduce the linear transform

xi = aik yk

110

ik xi xk = yi yi = yi yk ik

the relation

ik ail akm = km

(A.16)

should be valid. Denoting determinants of the matrices and a as and a, respectively, we get

the relation a2 = 1. The Jacobian of the transformation xi yi is just a,

(x1 , . . . , xn )

= |a|

= a.

J =

(y1 , . . . , yn )

Consequently,

Z

Aa

Thus

dy e

y2 /2

A(2)n/2

= p

= 1.

1

w=

exp ik xi xk .

2

(2)n/2

(A.17)

Xi = S/xi = ik xk ,

(A.18)

p

Z

hxi Xk i =

n/2

(2)

(A.19)

The easiest way to calculate this integral is to calculate to assume for a while that xi 6= 0. Then

p

Z

x =

xi eik (xi xi0 )(xk xk0 /2 dx1 dxn = xi0 .

n/2

(2)

Then we can differentiate both sides with respect to xk0 and then put xi0 = xk0 = 0. The l.h.s. is

just hxi Xk i while the r.h.s. is ik . Thus

(A.20)

hxi Xk i = ik , or ik hxi xk i = ik , hxi xk i = 1 .

ik

The main property is to single-out one particular value x x0 of a variable x. It is defined by the

characteristic properties

0 for x 6= x0

(A.21)

(x x0 ) =

for x = x0

111

Z x0 +

x0

(x x0 ) dx = 1 .

Since delta-function has a very (infinitely) sharp peak at x = x0 and a unit area

Z B

f (x0 ) if A < x0 < B

f (x) (x x0 ) dx =

.

0

otherwise

A

(A.22)

(A.23)

Let introduce a positive parameter and at final stage tend it to zero. Physically it means that

is less than all other involved scales. The main representations are the following: rectangular,

1

(x) =

,

(A.24)

0

otherwise

Lorentzian,

(x) =

Gaussian,

,

2

x + 2

2

2

1

(x) = ex /2 ,

2

and integral,

(A.25)

(A.26)

1 ikx

e dk

2

We will also need a representation for the Kronekkers symbol

(x) =

1

n,0 =

2

en d .

(A.27)

(A.28)

Fourier series

Generally the Fourier series is defined as an expansion of a real function in series as

f (x) =

a0

+ (ak sin kx + bk cos kx) .

2 k=1

(A.29)

Another form is complex Fourier series

f (x) =

k=

ck eikx ,

ck = (ak bk )/2, c0 = a0 /2 .

(A.30)

112

Since

Z 2

sin mx sin nx dx =

Z 2

mn , m 6= 0,

0,

m = 0,

mn , m 6= 0,

2,

m = n = 0,

cos mx cos nx dx =

Z 2

sin mx cos nx dx =

0, for integer m, n

we have

Z 2

cos kt

ak

bk = 1

dt f (t) sin kt ,

0

1 ikt

ck

2e

At k = 0,

k 6= 0 .

(A.31)

1 2

a0 = c0 =

dt f (t) .

2 0

If the function has a discontinuity at x = x0 then the series gives

f (x0 ) =

1

[ f (x0 + 0) + f (x0 0)] .

2

If one is willing to change the interval 2 2L than k has to be replaced by k/L and the

normalization factor is 1/L rather than 1/.

Advantages of the Fourier series: it can represent discontinuous functions. Let us take an

example of periodic function with the period 2 defined as

1, /2 < x < /2

F(x) =

0, < x < /2, /2 < x < ,

This function is even, thus

bk = 0 ,

Below we plot the sum of 5 and 50 Fourier harmonics. It is useful to know the Parsevals identity

1

[ f (x)]2 dx =

a20

+ (a2k + b2k ) .

2 k=1

Fourier transform

We assume L and replace

(. . .) L

k=

1

g(k) =

2

dk (. . .) .

f (t) eikt dt .

(A.32)

113

0.8

0.6

0.4

0.2

0.8

0.6

0.4

0.2

0.2

0.4

0.6

0.8

Figure A.1:

The completeness condition

1

f (x) =

2

dk e

ikt

dx f (x) eikx .

(A.33)

(x t) =

1

2

dk eik(tx) .

(A.34)

We have several useful rules for the Fourier transform. If g(k) is the Fourier transform of f (x)

then

f 0 (x) d f /dx ik g(k) ;

f (n) (x) d n f /dxn (ik)n g(k) ;

Z

Z

f1 (t) f2 (t) dt

f1 (t) f2 (t) dt

Z

Z

g1 (k) f2 (k) dk ;

g1 (k) f2 (k) dk

These properties are very important for solving differential equations, etc.

(A.35)

114

f (x) =

R

1

F() eix dx

2

1

a2 +x2

,a > 0

1, |x| < a

f (x) =

0, |x| > a

2 x2

a

e

F() = 12

q a||

q

f (x) eix dx

e

2 a

2 sin(a)

2

1

e /4a

a 2

Examples

One-dimensional diffusion:

n(x,t)

2 n(x,t)

= D

.

t

x2

Let us assume that we add a particle at time t = 0 at the point x = 0. Then the equation together

with initial condition can be written as

n(x,t)

2 n(x,t)

+D

= (x) (t) .

t

x2

The Fourier transform of this equation has the form:

(Dk2 i) n(k, ) = 1

n(k, ) =

1

1

.

2

2

(2) Dk i

n(x,t) =

Z

Z

dk d

1

Dk2 i

Z

dk Dk2 |t|

1

e

= p

=

2 D|t|

ex

2 /4D|t|

Appendix B

Maple Printouts

Quick access: 1, 2.1, 2.2, 2.17, 3.7, 3.12, 3.13, 4.9, 4.10, 4.13, 4.14, 5.1, 5.2, 5.3, 5.4, 5.5, 5.7,

5.8

Test in mathematics

>

>

F:=(xi,eta)->xi^4+xi^3+eta*xi^2:

F1:=(xi,eta)->subs(y=xi,diff(F(y,eta),y)): solve(F1(xi,eta)=0,xi);

3 1

3 1

0, +

9 32 ,

9 32

8 8

8 8

>

x1:=-3/8+1/8*sqrt(9-32*eta):

x2:=-3/8-1/8*sqrt(9-32*eta):

>

>

>

F2:=(xi,eta)->subs(y=xi,diff(F1(y,eta),y)):

g0:=eta->simplify(F2(0,eta)): g1:=eta->simplify(F2(x1,eta)):

g2:=eta->simplify(F2(x2,eta)):

>

2

9 3

9 32 4

8 8

9 3

+

9 32 4

8 8

>

plot({g0(eta),g1(eta),g2(eta)},eta=-0.1..9/32);

115

116

2.5

2

1.5

1

0.5

0.1 0.05

0.05

0.1

0.15

eta

0.2

0.25

x0-> maximum at eta <0, otherwise minimum; x1-> minimum at eta>0, maximum at

9/32>eta>0; x2-> minimum at 9/32>eta.

>

117

0.1

0.05

xi

0.2

0.4

0.05

0.1

0.035

0.03

0.025

0.02

0.015

0.01

0.005

0.6

0.4

xi

Problem 1.2

> f1:=x->ln((1-x)/(1+x)):

0.2

plot(f1(x),x=-1..1);

0.2

118

6

4

2

1 0.8 0.6 0.4 0.2 0

2

x

4

6

>

f2:=x->ln(abs(tan(Pi*x))):

plot(f2(x),x=0..1,f2=-5..5);

4

f2

0

2

4

0.2

0.4

0.6

0.8

119

>

simplify(exp(4*ln(x))-(x^2+1)^2+2*x^2+1);

0

Problem 1.3

> simplify((sin(x))^(-2)-(tan(x))^(-2)-1,trig);

0

> assume(alpha>0): assume(beta>0):

> k:=alpha->sum(exp((I*beta-alpha)*n),n=0..infinity):

>

>

a1:=alpha->evalc(Re(k(alpha))):

a1(alpha); a2(alpha);

a2:=alpha->evalc(Im(k(alpha))):

e (cos() e )

(cos() e )2 + sin()2

e sin()

(cos() e )2 + sin()2

Problem 1.4

> assume(zeta>0): assume(n,natural):

> simplify(int(x^n*exp(-zeta*x),x=0..infinity));

>

>

(n1) (n + 1)

int((x^2+a^2)^(-1),x); int((x^2-a^2)^(-1),x);

x

arctan( )

a

a

1 ln(x a) 1 ln(a + x)

2

a

2

a

int(exp(-zeta*x^2/2),x=0..infinity);

1 2

p

2

Problem 2.1

(a)

>

>

uax:=(x,y)->-y/(x^2+y^2): uay:=(x,y)->x/(x^2+y^2):

simplify(diff(uax(x,y),y)-diff(uay(x,y),x));

0

> ua:=(x,y)->int(uax(xi,y),xi=0..x): ua(x,y);

x

arctan( )

y

120

(b)

>

>

ubx:=(x,y)->(y-x^2): uby:=(x,y)->(x+y^2):

simplify(diff(ubx(x,y),y)-diff(uby(x,y),x));

0

> ub:=(x,y)->int(ubx(xi,y),xi=0..x)+int(uby(x,eta),eta=0..y)-int(int(di

> ff(ubx(xi,eta),eta),eta=0..y),xi=0..x);

ub := (x, y)

Z x

ubx(, y) d +

Z y

0

>

uby(x, ) d

Z xZ y

0

ubx(, ) d d

ub(x,y);

1

1

y x x 3 + y3

3

3

(c)

>

>

ucx:=(x,y)->(2*y^2-3*x): ucy:=(x,y)->-4*x*y:

simplify(diff(ucx(x,y),y)-diff(ucy(x,y),x));

8y

Problem 2.2

General definitions

> ua:=(x,y)->int(ux(xi,b),xi=a..x)+int(uy(x,eta),eta=b..y);

ua := (x, y)

Z x

ux(, b) d +

Z y

a

>

Z y

b

>

>

>

>

uy(x, ) d

ub:=(x,y)->int(uy(a,eta),eta=b..y)+int(ux(xi,y),xi=a..x);

ub := (x, y)

>

uy(a, ) d +

Z x

ux(, y) d

a

ux1:=(x,y)->2*x*y+x^2: uy1:=(x,y)->x^2:

ua1:=(x,y)->int(ux1(xi,b),xi=a..x)+int(uy1(x,eta),eta=b..y):

ub1:=(x,y)->int(uy1(a,eta),eta=b..y)+int(ux1(xi,y),xi=a..x):

ua1(x,y); ub1(x,y); simplify(ua1(x,y)-ub1(x,y));

1

1

b (x2 a2 ) + x3 a3 + x2 (y b)

3

3

1

1

a2 (y b) + y (x2 a2 ) + x3 a3

3

3

0

ux2:=(x,y)->y*(2-2*y): uy2:=(x,y)->-x^2:

121

>

ua2:=(x,y)->int(ux2(xi,b),xi=a..x)+int(uy2(x,eta),eta=b..y):

>

ub2:=(x,y)->int(uy2(a,eta),eta=b..y)+int(ux2(xi,y),xi=a..x):

>

b (2 2 b) (x a) x2 (y b)

a2 (y b) + y (2 2 y) (x a)

2 b x 2 b a 2 b2 x + 2 b2 a x2 y + x2 b + a2 y a2 b 2 y x + 2 y a + 2 y2 x 2 y2 a

Why?

>

simplify(diff(ux2(x,y),y)-uy2(x,y),x);

2 4 y + x2

Problem 2.17

>

P:=(T,v)->R*T/(v-b)-alpha/v^2:

>

num:=(diff(P(T,v),T))^2:

>

simplify(-T*num/den);

den:=diff(P(T,v),v);

RT

2

den :=

+

(v b)2 v3

v3 R2 T

R T v3 + 2 v2 4 v b + 2 b2

>

factor(2*alpha*v^2-4*alpha*v*b+2*alpha*b^2);

2 (v + b)2

Problem 3.7

>

P:=(v,T)->(8*T/(3*v-1))-3/v^2;

P := (v, T ) 8

>

>

T

3

2

3v1 v

plot({P(v,1.5),P(v,1),P(v,0.5)

},v=0.5..1.2,thickness=3,color=black);

122

12

10

8

6

4

2

0

0.6

0.7

0.8

0.9

1.1

1.2

For T=0.5 there is no stable region at all. The phse transition can exist only nes T=1.

> plot({P(v,1.05),P(v,1),P(v,0.85)

> },v=0.45..5.3,P=0..2,thickness=3,color=black);

2

1.8

1.6

1.4

1.2

P

1

0.8

0.6

0.4

0.2

0

>

?plot,color

Problem 3.12

>

>

phi:=xi->(A/3)*(xi+eta)^2-(2*B/27)*(xi+eta)^3+(C/9)*(xi+eta)^4:

series(phi(xi),xi=0,5);

1

2

1

2

2

4

1

2

2

( A 2 B 3 + C 4 ) + ( A B 2 + C 3 ) + ( A B + C 2 ) 2 +

3

27

9

3

9

9

3

9

3

2

4

1

( B + C ) 3 + C 4

27

9

9

> c3:=eta->-2/27*B+4/9*C*eta: solve(c3(eta)=0,eta);

1B

6C

> c1:=(A,eta)->2/3*A*eta-2/9*B*eta^2+4/9*C*eta^3;

2

2

4

c1 := (A, ) A B 2 + C 3

3

9

9

> solve(c1(A,B/(6*C)),A);

>

1 B2

27 C

c2:=subs({eta=B/(6*C),A=B^2/(27*C)},1/3*A-2/9*B*eta+2/3*C*eta^2);

c2 :=

1 B2

162 C

>

>

delta:=xi->(C/9)*xi^4+c2*xi^2:

delta1:=xik->subs(y=xi,diff(delta(y),y)):

>

4 3 1 B2

C

9

81 C

solve(4/9*C*xi^2-1/81*B^2/C,xi);

1B 1B

,

6C 6C

delta1(xi);

Problem 3.13

>

P:=(v,T)->8*T/(3*v-1)-3/(T*v^2);

3

T

2

3v1 T v

p1:=(nu,epsilon)=P(1+nu,1+epsilon)-1;

1+

3

p1 := (, ) = 8

1

2 + 3 (1 + ) (1 + )2

aux:=series(8*(1+epsilon)/(2+3*nu)-3/(1+epsilon)/(1+nu)^2-1,nu=0,4):a

ux;

P := (v, T ) 8

>

>

>

6

1

1

27 27

3

) + (6 6 +

) + (9

+ 9 + 9 ) 2 + (12

)

1+

1+

1+

1+

2

2

3

4

+ O( )

> aux1:=(epsilon)->3+4*epsilon-3/(1+epsilon)+(-6-6*epsilon+6/(1+epsilon

> ))*nu+(-9*1/(1+epsilon)+9+9*epsilon)*nu^2

> +(12*1/(1+epsilon)-27/2-27/2*epsilon)*nu^3;

(3 + 4

3

6

1

+ (6 6 +

) + (9

+ 9 + 9 ) 2

1+

1+

1+

1

27 27

+ (12

) 3

1+

2

2

aux2:=series(aux1(epsilon),epsilon=0,2);

3

51

aux2 := 3 + (7 3 + 18 2 12 ) + O(2 )

2

2

aux1 := 3 + 4

>

> p:=(nu,epsilon)->-3/2*nu^3+(7-12*nu)*epsilon;

3

p := (, ) 3 + (7 12 )

2

Critical point - epsilon=0;

> d1:=(nu,epsilon)->subs(y=nu,diff(p(y,epsilon),y)):

9

2 12

2

The curve is symmetric. That leads to vg=-vl=v

> solve(p(v,epsilon)= p(-v,epsilon),v);;

0, 2 2 , 2 2

Critical exponent beta=1/2

Along the coexitence curve, v2=-8epsilon. exponent gamma=1

Function of pressure

> P1:=(rho,T)->8*T*rho/(3-rho)-3*rho^2/T:

Near the critical point

>

P1(1+xi,1);

8

1+

3 (1 + )2

2

d1(nu,epsilon);

>

series(8*(1+xi)/(2-xi)-3*(1+xi)^2,xi=0);

3

3

3

1 + 3 + 4 + 5 + O(6 )

2

4

8

Problem 4.9

>

>

int(1/sqrt(z-x^2),x=0..sqrt(z));

1

2

f:=k->1/(1-2*I*k): d1:=k->subs(y=k,diff(f(y),y)):

d2:=k->subs(y=k,diff(d1(y),y)): d3:=k->subs(y=k,diff(d2(y),y)):

>

>

assume(z>0):

2I

8

48 I

Problem 4.10

>

P:=(N,k)->(N!/(k!*(N-k)!))*(1/4)^k*(3/4)^(N-k):

>

evalf(P(12,3));

.2581036091

>

evalf(P(120,30));

.08385171464

>

G:=(N,k)->(1/sqrt(3*N*Pi/8))*exp(-(k-N/4)^2*8/(3*N));

e(8/3

r

G := (N, k)

>

(k1/4 N)2

)

N

3

N

8

evalf(G(12,3));

.2659615201

>

evalf(G(120,30));

.08410441740

>

plot({P(12,k),G(12,k)},k=0..12);

0.25

0.2

0.15

0.1

0.05

0

>

6

k

10

12

100

120

plot({P(120,k),G(120,k)},k=0..120);

0.08

0.06

0.04

0.02

20

40

60

k

80

Problem 4.13

beta = sigma2

> assume(beta>0): assume(a,real): assume(N>0):

> P:=k->(2*Pi*beta)^(-1/2)*int(exp(-(x-a)^2/(2*beta)-I*k*x),x=-infinity.

> .infinity): simplify(P(k));

>

>

>

>

e(1/2 I k (2 a+I k ))

P1:=s->(2*Pi)^(-1)*int(exp(I*(s-N*a)*k-k^2*N*beta/2),k=-infinity..inf

inity): P1(s);

(s+N a)2

)

(1/2

N

1e

2

p

2

N

int(s*P1(s),s=-infinity..infinity);

N a

int(s^2*P1(s),s=-infinity..infinity)-N^2*a^2;

N

Problem 4.14

>

>

>

simplify((2*a)^(-1)*int(x^2,x=d-a..d+a));

1

d2 + a2

3

simplify(N*(d^2+1/3*a^2)+N*(N-1)*d^2-N^2*d^2);

1

N a2

3

Problem 5.1

>

>

>

>

>

with(linalg):

Q:=array([[0,1,0],[1/8,1/2,3/8],[0,1/2,1/2]]);

0 1 0

1 1 3

Q :=

8 2 8

1 1

0

2 2

QT:=transpose(Q):

eigenvectors(Q);

1

3

1

[1, 1, {[1, 1, 1]}], [ , 1, { 6,

, 1 }], [ , 1, {[4, 1, 2]}]

4

2

4

eigenvectors(QT);

1

1

[ , 1, {[1, 2, 3]}], [ , 1, {[1, 2, 1]}], [1, 1, {[1, 8, 6]}]

4

4

>

>

-2]);

r1 := [1, 1, 1]

3

r2 := 6,

,1

2

r3 := [4, 1, 2]

>

>

-3]);

l1 := [1, 8, 6]

l2 := [1, 2, 1]

l3 := [1, 2, 3]

>

n1:=15:

n2:=10:

n3:=12:

>

>

l1[2]*r1[2],l1[3]*r1[2]],[l1[1]*r1[3], l1[2]*r1[3],l1[3]*r1[3]]]);

1 8 6

P1 := 1 8 6

1 8 6

>

>

l2[2]*r2[2],l2[3]*r2[2]],[l2[1]*r2[3], l2[2]*r2[3],l2[3]*r2[3]]]);

6 12 6

3

3

3

P2 :=

2

2

1

>

>

>

>

>

l3[2]*r3[2],l3[3]*r3[2]],[l3[1]*r3[3], l3[2]*r3[3],l3[3]*r3[3]]]);

4

8 12

2 3

P3 := 1

2 4

6

P:=s->(1/n1)*P1+(1/n2)*(-1/4)^s*P2+(1/n3)*(1/4)^s*P3;

Question (a)

1 s

1 s

P1 ( 4 ) P2 ( 4 ) P3

P := s

+

+

n1

n2

n3

Pr:=s->evalm(P(s)):

Pr(s); Pr(0);

>

>

1

3 1 s 1 1 s

8

6 1

2 1

( )s + ( )s

15 + 5 ( 4 ) + 3 ( 4 )

15 5 4

3 4

1

3

1

1

1

8

3

1

1 1 s

s

s

s

15 20 ( 4 ) + 12 ( 4 ) 15 + 10 ( 4 ) + 6 ( 4 )

1

1 1

1 1

8

1 1

1 1

+ ( )s ( )s

( )s ( )s

15 10 4

6 4

15 5 4

3 4

1 0 0

0 1 0

0 0 1

p0:=vector([0,1,0]);

p0 := [0, 1, 0]

PS:=s->evalm(p0&*P(s)): PS(s);

2 3 1 s

1

+ ( ) ( )s

5 5 4

4

2

3 1 s 1 1 s

( ) ( )

5 20 4

4 4

2

1 1

1 1

+ ( )s + ( )s

5 10 4

2 4

Question (b)

>

>

>

>

>

>

>

1

3 1 s 1 1 s 8

3 1 s 1 1 s 2

3 1 s 1 1 s

( ) + ( ),

+ ( ) + ( ), ( ) ( )

15 20 4

12 4 15 10 4

6 4 5 20 4

4 4

PS(2); PS(infinity);

Answer: after 2 steps 3/8, after many steps 2/5

1 9 3

, ,

16 16 8

1 8 2

, ,

15 15 5

av:=s->1*PS(s)[1]+4*PS(s)[2]+9*PS(s)[3]: av(s);

Moment

29

3 1

3 1

( )s ( )s

5

10 4

2 4

av:=sum(m^2*PS(s)[m],m=1..3);

29

3 1

3 1

( )s ( )s

5

10 4

2 4

corr:=s->simplify(sum(n^2*sum(m^2*PS(s)[m]*Pr(s)[m,n],

m=1..3),n=1..3)): corr(s);

79

33

81

11

3

(1)(1+s) 4(s) 16(s) +

(1)(1+2 s) 16(s) + (1)(1+s) 16(s) 4(s)

50

4

100

2

2

841

+

25

> corr(0);

16

>

corr(infinity);

841

25

Problem 5.2

>

with(linalg):

Warning, the protected names norm and trace have been redefined and

unprotected

>

Q:=array([[0,1/2,1/2],[0,0,1],[3/4,1/4,0]]);

1 1

0 2 2

Q :=

0 0 1

3 1

0

4 4

QT:=transpose(Q):

>

r:=eigenvectors(Q):

>

l:=eigenvectors(QT):

>

>

1

1 1

+ I 2

2 4

1 1

I 2

2 4

>

1

1 1

+ I 2

2 4

1 1

I 2

2 4

>

>

{[1, 1, 1]}

1 1

1 1

{ I 2, 1, + I 2 }

6 3

2 4

1 1

1 1

{ + I 2, 1, I 2 }

6 3

2 4

l[1][3]; l[2][3]; l[3][3];

6

8

{ , 1, }

5

5

>

>

>

>

>

>

>

1 1

2 1

{ 1, I 2, + I 2 }

3 3

3 3

1 1

2 1

{ 1, + I 2, I 2 }

3 3

3 3

r1:=vector([1, 1, 1]): r2:=vector([-1/6-1/3*I*sqrt(2), 1,

-1/2+1/4*I*sqrt(2)]): r3:=vector([-1/6+1/3*I*sqrt(2), 1,

-1/2-1/4*I*sqrt(2)]): l1:=vector([6/5, 1, 8/5]): l2:=vector([1,

-1/3-1/3*I*sqrt(2), -2/3+1/3*I*sqrt(2)]): l3:=vector([1,

-1/3+1/3*I*sqrt(2), -2/3-1/3*I*sqrt(2)]):

n1:=evalm(l1&*r1): n2:=evalc(evalm(l2&*r2)):

n3:=evalc(evalm(l3&*r3)):

Probability matrices.

> P1:=array([[l1[1]*r1[1], l1[2]*r1[1],l1[3]*r1[1]], [l1[1]*r1[2],

> l1[2]*r1[2],l1[3]*r1[2]],[l1[1]*r1[3], l1[2]*r1[3],l1[3]*r1[3]]]);

8

6

5 1 5

6

8

P1 :=

1

5

5

6

8

1

5

5

> P2:=array([[l2[1]*r2[1], l2[2]*r2[1],l2[3]*r2[1]], [l2[1]*r2[2],

> l2[2]*r2[2],l2[3]*r2[2]],[l2[1]*r2[3], l2[2]*r2[3],l2[3]*r2[3]]]);

1 1

1 1

1 1

2 1

1 1

6 3 I 2 ( 3 3 I 2) ( 6 3 I 2) ( 3 + 3 I 2) ( 6 3 I 2)

2

1

1

1

P2 :=

+ I 2

1

I 2

3 3

3 3

1 1

1 1

1 1

2 1

1 1

+ I 2 ( I 2) ( + I 2) ( + I 2) ( + I 2)

2 4

3 3

2 4

3 3

2 4

> P3:=array([[l3[1]*r3[1], l3[2]*r3[1],l3[3]*r3[1]], [l3[1]*r3[2],

> l3[2]*r3[2],l3[3]*r3[2]],[l3[1]*r3[3], l3[2]*r3[3],l3[3]*r3[3]]]);

1 1

1 1

1 1

2 1

1 1

+

I

2

(

+

I

2)

(

+

I

2)

(

I

2)

(

+

I

2)

6 3

3 3

6 3

3 3

6 3

2 1

1 1

P3 :=

I 2

1

+ I 2

3

3

3

3

1 1

1 1

1 1

2 1

1 1

I 2 ( + I 2) ( I 2) ( I 2) ( I 2)

2 4

3 3

2 4

3 3

2 4

>

>

>

P:=s->(1/n1)*P1+(1/n2)*(r[2][1])^s*P2+(1/n3)*(r[3][1])^s*P3;

Question (a)

P1 r21 s P2 r3 1 s P3

P := s

+

+

n1

n2

n3

Pr:=s->evalm(P(s)):

>

>

>

p0:=vector([1,0,0]);

p0 := [1, 0, 0]

PS:=s->evalm(p0&*P(s)): PS(s)[1];

1 1 s 1 1

1 1 s 1 1

(

+

I

2)

(

I

2)

I 2) ( + I 2)

(

6

2 4

6 3

2 4

6 3

+

+

1

1

19

I 2

+I 2

3

3

evalc(PS(infinity)[1]); evalc(PS(2)[1]);

6

19

3

8

Problem 5.3

>

with(linalg):

Warning, the protected names norm and trace have been redefined and

unprotected

>

>

>

>

>

>

Q:=array([[0,1/2,1/2],[1/3,0,2/3],[1/3,2/3,0]]);

1 1

0 2 2

Q :=

3 0 3

1 2

0

3 3

QT:=transpose(Q):

r:=eigenvectors(Q):

l:=eigenvectors(QT):

r[1][1]; r[2][1]; r[3][1];

1

3

2

3

1

l[1][1]; l[2][1]; l[3][1];

1

3

1

2

3

>

{[1, 1, 1]}

{[3, 1, 1]}

{[0, 1, 1]}

>

3 3

{ 1, , }

2 2

{[2, 1, 1]}

>

>

>

>

>

{[0, 1, 1]}

r1:=vector([1, 1, 1]): r2:=vector([-3, 1, 1]): r3:=vector([0, -1,

1]): l1:=vector([1, 3/2, 3/2]): l2:=vector([-2, 1, 1]): l3:=vector([0,

-1, 1]):

n1:=evalm(l1&*r1): n2:=evalc(evalm(l2&*r2)):

n3:=evalc(evalm(l3&*r3)):

Probability matrices.

> P1:=array([[l1[1]*r1[1], l1[2]*r1[1],l1[3]*r1[1]], [l1[1]*r1[2],

> l1[2]*r1[2],l1[3]*r1[2]],[l1[1]*r1[3], l1[2]*r1[3],l1[3]*r1[3]]]);

3 3

1 2 2

3 3

P1 := 1

2

2

3 3

1

2 2

> P2:=array([[l2[1]*r2[1], l2[2]*r2[1],l2[3]*r2[1]], [l2[1]*r2[2],

> l2[2]*r2[2],l2[3]*r2[2]],[l2[1]*r2[3], l2[2]*r2[3],l2[3]*r2[3]]]);

6 3 3

1

1

P2 := 2

2

1

1

> P3:=array([[l3[1]*r3[1], l3[2]*r3[1],l3[3]*r3[1]], [l3[1]*r3[2],

> l3[2]*r3[2],l3[3]*r3[2]],[l3[1]*r3[3], l3[2]*r3[3],l3[3]*r3[3]]]);

0

0

0

1 1

P3 := 0

0 1

1

>

>

P:=s->(1/n1)*P1+(1/n2)*(r[3][1])^s*P2+(1/n3)*(r[2][1])^s*P3;

Question (a)

P1 r3 1 s P2 r21 s P3

P := s

+

+

n1

n2

n3

>

>

Pr:=s->evalm(P(s)):

Conditional probability

Pr(s);

0

1 1 2 s

+ ( )

2 2 3

1 1 2 s

( )

2 2 3

>

p0:=vector([0,0,1]):

>

PS:=s->evalm(p0&*P(s)):

0

1 1 2 s

( )

2 2 3

1 1 2 s

+ ( )

2 2 3

PS(s);

Probability vector

1 1 2 s 1 1 2 s 7 1 2 s

( ) , + ( ) , + ( )

4 4 3

8 8 3

8 8 3

>

PS(infinity); PS(0);

1 1

0, ,

2 2

[0, 0, 1]

>

>

>

>

moment:=1*PS(s)[1]+2*PS(s)[2]+3*PS(s)[3]: moment;

5 1 2 s

+ ( )

2 2 3

corr:=s->simplify(sum(n*sum(m*PS(s)[m]*Pr(s)[m,n], m=1..3),n=1..3)):

corr(s);

25 5 (2 s)

+ 3

(1)(2 s) 2(2 s) + (1)s 3(1s) 2(1+s)

4

4

corr(0); corr(infinity);

9

25

4

Problem 5.4

>

with(linalg):

Warning, the protected names norm and trace have been redefined and

unprotected

>

>

>

Q0:=s->array([[0,(cos(Pi*s/2))^2,(sin(Pi*s/2))^2],[1/4

+1/2*(sin(Pi*s/2))^2,0,1/4+1/2*(cos(Pi*s/2))^2],[1/2*(cos(Pi*s/2))^2,1

/2+1/2*(sin(Pi*s/2))^2,0]]): Q0(s);

>

1

cos( s)2

2

1

sin( s)2

2

1 1

1

+ cos( s)2

4 2

2

1 1

+ sin( 1 s)2

0

4 2

2

1

1

1 1

1

cos( s)2

+ sin( s)2

0

2

2

2 2

2

simplify(Q0(2*s));

0

cos( s)2

1 cos( s)2

3 1

1 1

cos( s)2

0

+ cos( s)2

4 2

4

2

1

1

cos( s)2

1 cos( s)2

0

2

2

>

Q:=array([[0,1,0],[1/4,0,3/4],[1/2,1/2,0]]);

Q :=

>

>

>

>

>

0

1

4

1

2

1

0

1

2

0

3

4

QT:=transpose(Q):

r:=eigenvectors(Q):

l:=eigenvectors(QT):

r[1][1]; r[2][1]; r[3][1];

1

1 1

+ I 2

2 4

1 1

I 2

2 4

1 1

+ I 2

2 4

1 1

I 2

2 4

1

>

1 1

1 1

{ 1, I 2, + I 2 }

2 4

6 3

{[1, 1, 1]}

1 1

1 1

{ 1, + I 2, I 2 }

2 4

6 3

>

>

>

>

>

>

-1/6-1/3*I*sqrt(2)]): r3:=vector([1, -1/2-1/4*I*sqrt(2),

-1/6+1/3*I*sqrt(2)]): l1:=vector([1, 8/5, 6/5]):

l2:=vector([-1/3-1/3*I*sqrt(2), -2/3+1/3*I*sqrt(2), 1]):

l3:=vector([-1/3+1/3*I*sqrt(2), -2/3-1/3*I*sqrt(2), 1]):

>

>

n1:=evalm(l1&*r1): n2:=evalc(evalm(l2&*r2)):

n3:=evalc(evalm(l3&*r3)):

8 6

{ 1, , }

5 5

2 1

1 1

{ I 2, + I 2, 1 }

3 3

3 3

2 1

1 1

{ + I 2, I 2, 1 }

3 3

3 3

Probability matrices.

>

>

l1[2]*r1[2],l1[3]*r1[2]],[l1[1]*r1[3], l1[2]*r1[3],l1[3]*r1[3]]]);

8 6

1 5 5

8 6

P1 := 1

5 5

8 6

1

5 5

l2[2]*r2[2],l2[3]*r2[2]],[l2[1]*r2[3], l2[2]*r2[3],l2[3]*r2[3]]]);

1 1

2 1

I

2

+

I

2

1

3 3

3 3

1 1

1 1

2 1

1 1

1 1

P2 := ( I 2) ( + I 2) ( + I 2) ( + I 2) + I 2

3 3

2 4

3 3

2 4

2 4

1 1

1 1

2 1

1 1

1 1

( I 2) ( I 2) ( + I 2) ( I 2) I 2

3 3

6 3

3 3

6 3

6 3

>

>

>

>

l3[2]*r3[2],l3[3]*r3[2]],[l3[1]*r3[3], l3[2]*r3[3],l3[3]*r3[3]]]);

P3 :=

>

>

1 1

2 1

I 2

1

+ I 2

3 3

3 3

1 1

1 1

2 1

1 1

1 1

( + I 2) ( I 2) ( I 2) ( I 2) I 2

3 3

2 4

3 3

2 4

2 4

1 1

1 1

2 1

1 1

1 1

( + I 2) ( + I 2) ( I 2) ( + I 2) + I 2

3 3

6 3

3 3

6 3

6 3

P:=s->(1/n1)*P1+(1/n2)*(r[1][1])^(2*s)*P2+(1/n3)*(r[2][1])^(2*s)*P3;

Question (a)

P := s

P1 r11 (2 s) P2 r21 (2 s) P3

+

+

n1

n2

n3

Pr:=s->evalm(P(s)):

Conditional probability

> p01:=vector([1,0,0]): p02:=vector([0,1,0]):

> PS1:=s->evalm(p01&*P(s)): PS2:=s->evalm(p02&*P(s)):

> PS1(s)[1];

1 1

1 1 (2 s) 1 1

I

2

(

+ I 2) ( + I 2)

5

3

3

2

4

3 3

+

+

1

1

19

I 2

+I 2

3

3

> PS1(s)[2];

1 1 (2 s) 2 1

2 1

2

(

+

I

+ I 2) ( I 2)

8

3

3

2

4

3 3

+

+

1

1

19

I 2

+I 2

3

3

> PS2(s)[1];

1 1

1 1

1 1 (2 s) 1 1

1 1

(

I

2)

(

+

I

2)

(

+

I

2)

(

+

I

2)

(

I 2)

5

3 3

2 4

2 4

3 3

2 4

+

+

1

1

19

I 2

+I 2

3

3

> PS2(s)[2];

2 1

1 1

1 1 (2 s) 2 1

1 1

(

+

I

2)

(

+

I

2)

(

+

I

2)

(

I

2)

(

I 2)

8

3 3

2 4

2 4

3 3

2 4

+

+

1

1

19

I 2

+I 2

3

3

>

>

Problem 5.5

> assume(N,natural): assume(k,real): assume(s>0); assume(n,integer):

> P:=(n,s,N)->(1/(2*N+1))*(1+2*sum(cos(2*Pi*k*n/(2*N+1))*exp(-2*s*(sin(

> Pi*k/(2*N+1)))^2),k=1..N)):

>

>

P(n,s,N);

!

k n (2 s sin( k )2 )

2 N+1

1 + 2 cos(2

)e

2

N

+

1

k=1

N

2 N + 1

Pm:=[seq(P(i,2,2),i=-2..2)]: evalf(Pm);

[.1220644066, .2223516301, .3111679263, .2223516301, .1220644066]

Problem 5.8

>

with(linalg):

Warning, the protected names norm and trace have been redefined and

unprotected

>

>

>

>

>

>

w:=matrix(3,3,[0,1/2,1/2,1/3,0,1/3,1/3,1/3,0]);

1 1

0

2 2

1

1

w :=

0

3

3

1 1

0

3 3

M:=matrix(3,3,[-1,1/2,1/2,1/3,-1,1/3,1/3,1/3,-1]);

1

1

1 2

2

M :=

1

3

1

1

3

3

MT:=transpose(M):

eigenvectors(M);

5 1

1 1

5 1

1 1

[ +

13, 1, { +

13, 1, 1 }], [

13, 1, {

13, 1, 1 }],

6 6

2 2

6 6

2 2

4

[ , 1, {[0, 1, 1]}]

3

eigenvectors(MT);

4

5 1

1 1

[ , 1, {[0, 1, 1]}], [ +

13, 1, { +

13, 1, 1 }],

3

6 6

3 3

1 1

5 1

13, 1, {

13, 1, 1 }]

[

6 6

3 3

lambda:=vector([-5/6+1/6*sqrt(13),-5/6-1/6*sqrt(13),-4/3]):

>

>

>

>

>

>

>

>

>

>

>

1, 1]); r3:=vector([0, -1, 1]);

1 1

r1 := +

13, 1, 1

2 2

1 1

r2 :=

13, 1, 1

2 2

r3 := [0, 1, 1]

l1:=vector([-1/3+1/3*sqrt(13), 1, 1]); l2:=vector([-1/3-1/3*sqrt(13),

1, 1]); l3:=vector([0, -1, 1]);

1 1

13, 1, 1

l1 := +

3 3

1 1

l2 :=

13, 1, 1

3 3

n1:=evalm(l1&*r1):

l3 := [0, 1, 1]

1

n2:=evalm(l2&*r2):

n3:=evalm(l3&*r3):

Q1:=-sum((1/n1)*r1[1]*l1[k]/lambda[1],k=1..3):

Q2:=-sum((1/n2)*r1[1]*l1[k]/lambda[2],k=1..3):

Q3:=-sum((1/n3)*r1[1]*l1[k]/lambda[1],k=1..3):

evalf(Q1+Q2+Q3);

First passage time

13.64536110

:

Bibliography

[1] L. E. Reichl A modern course in statistical physics, 1998.

141

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