Stoch Proc Notes PDF

STOCHASTIC PROCESSES AND
APPLICATIONS
G.A. Pavliotis
Department of Mathematics
Imperial College London
London SW7 2AZ, UK
June 9, 2011
2
Contents
Preface vii
1 Introduction 1
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Historical Overview . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.3 The One-Dimensional Random Walk . . . . . . . . . . . . . . . . 3
1.4 Stochastic Modeling of Deterministic Chaos . . . . . . . . . . . . 6
1.5 Why Randomness . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1.6 Discussion and Bibliography . . . . . . . . . . . . . . . . . . . . 7
1.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2 Elements of Probability Theory 9

2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.2 Basic Definitions from Probability Theory . . . . . . . . . . . . . 9
2.2.1 Conditional Probability . . . . . . . . . . . . . . . . . . . 12
2.3 Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . 13
2.3.1 Expectation of Random Variables . . . . . . . . . . . . . 16
2.4 Conditional Expecation . . . . . . . . . . . . . . . . . . . . . . . 18
2.5 The Characteristic Function . . . . . . . . . . . . . . . . . . . . . 19
2.6 Gaussian Random Variables . . . . . . . . . . . . . . . . . . . . 20
2.7 Types of Convergence and Limit Theorems . . . . . . . . . . . . 23
2.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
3 Basics of the Theory of Stochastic Processes 29

3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
3.2 Definition of a Stochastic Process . . . . . . . . . . . . . . . . . 29
i
ii CONTENTS
3.3 Stationary Processes . . . . . . . . . . . . . . . . . . . . . . . . 31

3.3.1 Strictly Stationary Processes . . . . . . . . . . . . . . . . 31
3.3.2 Second Order Stationary Processes . . . . . . . . . . . . 32
3.3.3 Ergodic Properties of Second-Order Stationary Processes . 37
3.4 Brownian Motion . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.5 Other Examples of Stochastic Processes . . . . . . . . . . . . . . 44
3.5.1 Brownian Bridge . . . . . . . . . . . . . . . . . . . . . . 44
3.5.2 Fractional Brownian Motion . . . . . . . . . . . . . . . . 45
3.5.3 The Poisson Process . . . . . . . . . . . . . . . . . . . . 46
3.6 The Karhunen-Loeve Expansion . . . . . . . . . . . . . . . . . . 46
3.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
4 Markov Processes 57
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.2 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
4.3 Definition of a Markov Process . . . . . . . . . . . . . . . . . . . 62
4.4 The Chapman-Kolmogorov Equation . . . . . . . . . . . . . . . . 64
4.5 The Generator of a Markov Processes . . . . . . . . . . . . . . . 67
4.5.1 The Adjoint Semigroup . . . . . . . . . . . . . . . . . . 69
4.6 Ergodic Markov processes . . . . . . . . . . . . . . . . . . . . . 70
4.6.1 Stationary Markov Processes . . . . . . . . . . . . . . . . 72
4.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
5 Diffusion Processes 77
5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
5.2 Definition of a Diffusion Process . . . . . . . . . . . . . . . . . . 77
5.3 The Backward and Forward Kolmogorov Equations . . . . . . . . 79
5.3.1 The Backward Kolmogorov Equation . . . . . . . . . . . 79
5.3.2 The Forward Kolmogorov Equation . . . . . . . . . . . . 82
5.4 Multidimensional Diffusion Processes . . . . . . . . . . . . . . . 84
5.5 Connection with Stochastic Differential Equations . . . . . . . . . 85
5.6 Examples of Diffusion Processes . . . . . . . . . . . . . . . . . . 86
5.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
CONTENTS iii
6 The Fokker-Planck Equation 89

6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
6.2 Basic Properties of the FP Equation . . . . . . . . . . . . . . . . 90
6.2.1 Existence and Uniqueness of Solutions . . . . . . . . . . 90
6.2.2 The FP equation as a conservation law . . . . . . . . . . . 92
6.2.3 Boundary conditions for the FokkerPlanck equation . . . 92
6.3 Examples of Diffusion Processes . . . . . . . . . . . . . . . . . . 94
6.3.1 Brownian Motion . . . . . . . . . . . . . . . . . . . . . . 94
6.3.2 The Ornstein-Uhlenbeck Process . . . . . . . . . . . . . . 98
6.3.3 The Geometric Brownian Motion . . . . . . . . . . . . . 102
6.4 The Ornstein-Uhlenbeck Process and Hermite Polynomials . . . . 103
6.5 Reversible Diffusions . . . . . . . . . . . . . . . . . . . . . . . . 110
6.5.1 Markov Chain Monte Carlo (MCMC) . . . . . . . . . . . 115
6.6 Perturbations of non-Reversible Diffusions . . . . . . . . . . . . . 115
6.7 Eigenfunction Expansions . . . . . . . . . . . . . . . . . . . . . 116
6.7.1 Reduction to a Schrodinger Equation . . . . . . . . . . . 117
6.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
7 Stochastic Differential Equations 123

7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
7.2 The Ito and Stratonovich Stochastic Integral . . . . . . . . . . . . 124
7.2.1 The Stratonovich Stochastic Integral . . . . . . . . . . . . 125
7.3 Stochastic Differential Equations . . . . . . . . . . . . . . . . . . 126
7.3.1 Examples of SDEs . . . . . . . . . . . . . . . . . . . . . 127
7.4 The Generator, Itos formula and the Fokker-Planck Equation . . . 129
7.4.1 The Generator . . . . . . . . . . . . . . . . . . . . . . . 129
7.4.2 Itos Formula . . . . . . . . . . . . . . . . . . . . . . . . 129
7.5 Linear SDEs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131
7.6 Derivation of the Stratonovich SDE . . . . . . . . . . . . . . . . 134
7.6.1 Ito versus Stratonovich . . . . . . . . . . . . . . . . . . . 137
7.7 Numerical Solution of SDEs . . . . . . . . . . . . . . . . . . . . 138
7.8 Parameter Estimation for SDEs . . . . . . . . . . . . . . . . . . . 138
7.9 Noise Induced Transitions . . . . . . . . . . . . . . . . . . . . . 138
7.11 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140
iv CONTENTS
8 The Langevin Equation 141

8.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
8.2 The Fokker-Planck Equation in Phase Space (Klein-Kramers Equa-
tion) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
8.3 The Langevin Equation in a Harmonic Potential . . . . . . . . . . 146
8.4 Asymptotic Limits for the Langevin Equation . . . . . . . . . . . 155
8.4.1 The Overdamped Limit . . . . . . . . . . . . . . . . . . . 157
8.4.2 The Underdamped Limit . . . . . . . . . . . . . . . . . . 163
8.5 Brownian Motion in Periodic Potentials . . . . . . . . . . . . . . 168
8.5.1 The Langevin equation in a periodic potential . . . . . . . 168
8.5.2 Equivalence With the Green-Kubo Formula . . . . . . . . 174
8.6 The Underdamped and Overdamped Limits of the Diffusion Coef-
ficient . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 176
8.6.1 Brownian Motion in a Tilted Periodic Potential . . . . . . 185
8.7 Numerical Solution of the Klein-Kramers Equation . . . . . . . . 188
8.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189
9 The Mean First Passage time and Exit Time Problems 191
9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191
9.2 Brownian Motion in a Bistable Potential . . . . . . . . . . . . . . 191
9.3 The Mean First Passage Time . . . . . . . . . . . . . . . . . . . . 194
9.3.1 The Boundary Value Problem for the MFPT . . . . . . . . 194
9.3.2 Examples . . . . . . . . . . . . . . . . . . . . . . . . . . 197
9.4 Escape from a Potential Barrier . . . . . . . . . . . . . . . . . . . 199
9.4.1 Calculation of the Reaction Rate in the Overdamped Regime200
9.4.2 The Intermediate Regime: = O(1) . . . . . . . . . . . 201
9.4.3 Calculation of the Reaction Rate in the energy-diffusion-
limited regime . . . . . . . . . . . . . . . . . . . . . . . 202
9.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203
10 Stochastic Processes and Statistical Mechanics 205

10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
10.2 The Kac-Zwanzig Model . . . . . . . . . . . . . . . . . . . . . . 206
10.3 The Generalized-Langevin Equation . . . . . . . . . . . . . . . . 213
CONTENTS v
10.4 Open Classical Systems . . . . . . . . . . . . . . . . . . . . . . . 217

10.5 Linear Response Theory . . . . . . . . . . . . . . . . . . . . . . 218
10.6 Projection Operator Techniques . . . . . . . . . . . . . . . . . . 218
10.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 219
vi CONTENTS
Preface
The purpose of these notes is to present various results and techniques from the
theory of stochastic processes and are useful in the study of stochastic problems
in physics, chemistry and other areas. These notes have been used for several
years for a course on applied stochastic processes offered to fourth year and to
MSc students in applied mathematics at the department of mathematics, Imperial
College London.
G.A. Pavliotis
London, December 2010
vii
viii PREFACE
Chapter 1
Introduction
1.1 Introduction
In this chapter we introduce some of the concepts and techniques that we will study
in this book. In Section 1.2 we present a brief historical overview on the develop-
ment of the theory of stochastic processes in the twentieth century. In Section 1.3
we introduce the one-dimensional random walk an we use this example in order to
introduce several concepts such Brownian motion, the Markov property. In Sec-
tion 1.4 we discuss about the stochastic modeling of deterministic chaos. Some
comments on the role of probabilistic modeling in the physical sciences are of-
fered in Section 1.5. Discussion and bibliographical comments are presented in
Section 1.6. Exercises are included in Section 1.7.
1.2 Historical Overview

The theory of stochastic processes, at least in terms of its application to physics,
started with Einsteins work on the theory of Brownian motion: Concerning the
motion, as required by the molecular-kinetic theory of heat, of particles suspended
in liquids at rest (1905) and in a series of additional papers that were published in
the period 1905 1906. In these fundamental works, Einstein presented an expla-
nation of Browns observation (1827) that when suspended in water, small pollen
grains are found to be in a very animated and irregular state of motion. In devel-
oping his theory Einstein introduced several concepts that still play a fundamental
role in the study of stochastic processes and that we will study in this book. Using
modern terminology, Einstein introduced a Markov chain model for the motion of
1
2 CHAPTER 1. INTRODUCTION
the particle (molecule, pollen grain...). Furthermore, he introduced the idea that it
makes more sense to talk about the probability of finding the particle at position x
at time t, rather than about individual trajectories.
In his work many of the main aspects of the modern theory of stochastic pro-
cesses can be found:
The assumption of Markovianity (no memory) expressed through the Chapman-

Kolmogorov equation.
The FokkerPlanck equation (in this case, the diffusion equation).
The derivation of the Fokker-Planck equation from the master (Chapman-

Kolmogorov) equation through a Kramers-Moyal expansion.
The calculation of a transport coefficient (the diffusion equation) using macro-

scopic (kinetic theory-based) considerations:
kB T
D= .
6a
kB is Boltzmanns constant, T is the temperature, is the viscosity of the

fluid and a is the diameter of the particle.
Einsteins theory is based on the Fokker-Planck equation. Langevin (1908) de-

veloped a theory based on a stochastic differential equation. The equation of
motion for a Brownian particle is
d2 x dx
m = 6a + ,
dt2 dt
where is a random force. It can be shown that there is complete agreement be-
tween Einsteins theory and Langevins theory. The theory of Brownian motion
was developed independently by Smoluchowski, who also performed several ex-
periments.
The approaches of Langevin and Einstein represent the two main approaches
in the theory of stochastic processes:
Study individual trajectories of Brownian particles. Their evolution is gov-

erned by a stochastic differential equation:
dX
= F (X) + (X)(t),
dt
1.3. THE ONE-DIMENSIONAL RANDOM WALK 3
where (t) is a random force.
Study the probability (x, t) of finding a particle at position x at time t. This

probability distribution satisfies the Fokker-Planck equation:
1
= (F (x)) + : (A(x)),
t 2
where A(x) = (x)(x)T .
The theory of stochastic processes was developed during the 20th century by sev-
eral mathematicians and physicists including Smoluchowksi, Planck, Kramers,
Chandrasekhar, Wiener, Kolmogorov, Ito, Doob.
1.3 The One-Dimensional Random Walk

We let time be discrete, i.e. t = 0, 1, . . . . Consider the following stochastic
process Sn : S0 = 0; at each time step it moves to 1 with equal probability 21 .
In other words, at each time step we flip a fair coin. If the outcome is heads,
we move one unit to the right. If the outcome is tails, we move one unit to the left.
Alternatively, we can think of the random walk as a sum of independent random
variables:
Xn
Sn = Xj ,
j=1
where Xj {1, 1} with P(Xj = 1) = 21 .

We can simulate the random walk on a computer:
We need a (pseudo)random number generator to generate n independent

random variables which are uniformly distributed in the interval [0,1].
1
If the value of the random variable is > 2 then the particle moves to the left,
otherwise it moves to the right.
We then take the sum of all these random moves.
The sequence {Sn }N n=1 indexed by the discrete time T = {1, 2, . . . N } is

the path of the random walk. We use a linear interpolation (i.e. connect the
points {n, Sn } by straight lines) to generate a continuous path.
50step random walk
0 5 10 15 20 25 30 35 40 45 50
Figure 1.1: Three paths of the random walk of length N = 50.
1000step random walk
20
10
10
20
30
40
50
0 100 200 300 400 500 600 700 800 900 1000
Figure 1.2: Three paths of the random walk of length N = 1000.

1.3. THE ONE-DIMENSIONAL RANDOM WALK 5
2
mean of 1000 paths
5 individual paths
1.5
0.5
U(t)
0
0.5
1.5
0 0.2 0.4 0.6 0.8 1
t
Figure 1.3: Sample Brownian paths.
Every path of the random walk is different: it depends on the outcome of a se-
quence of independent random experiments. We can compute statistics by gen-
erating a large number of paths and computing averages. For example, E(Sn ) =
0, E(Sn2 ) = n. The paths of the random walk (without the linear interpolation) are
not continuous: the random walk has a jump of size 1 at each time step. This is an
example of a discrete time, discrete space stochastic processes. The random walk
is a time-homogeneous Markov process. If we take a large number of steps, the
random walk starts looking like a continuous time process with continuous paths.
We can quantify this observation by introducing an appropriate rescaled pro-
cess and by taking an appropriate limit. Consider the sequence of continuous time
stochastic processes
1
Ztn := Snt .
n
In the limit as n , the sequence {Ztn } converges (in some appropriate sense,
that will be made precise in later chapters) to a Brownian motion with diffusion
2
coefficient D = x 1
2t = 2 . Brownian motion W (t) is a continuous time stochastic
processes with continuous paths that starts at 0 (W (0) = 0) and has indepen-
dent, normally. distributed Gaussian increments. We can simulate the Brownian
motion on a computer using a random number generator that generates normally

distributed, independent random variables. We can write an equation for the evo-
lution of the paths of a Brownian motion Xt with diffusion coefficient D starting
at x:

dXt = 2DdWt , X0 = x.
This is the simplest example of a stochastic differential equation. The probability

of finding Xt at y at time t, given that it was at x at time t = 0, the transition
probability density (y, t) satisfies the PDE
2
= D 2, (y, 0) = (y x).
t y
This is the simplest example of the Fokker-Planck equation. The connection

between Brownian motion and the diffusion equation was made by Einstein in
1905.
1.4 Stochastic Modeling of Deterministic Chaos
1.5 Why Randomness

Why introduce randomness in the description of physical systems?
To describe outcomes of a repeated set of experiments. Think of tossing a

coin repeatedly or of throwing a dice.
To describe a deterministic system for which we have incomplete informa-

tion: we have imprecise knowledge of initial and boundary conditions or of
model parameters.
ODEs with random initial conditions are equivalent to stochastic pro-

cesses that can be described using stochastic differential equations.
To describe systems for which we are not confident about the validity of our
mathematical model.
To describe a dynamical system exhibiting very complicated behavior (chaotic

dynamical systems). Determinism versus predictability.
1.6. DISCUSSION AND BIBLIOGRAPHY 7
To describe a high dimensional deterministic system using a simpler, low

dimensional stochastic system. Think of the physical model for Brownian
motion (a heavy particle colliding with many small particles).
To describe a system that is inherently random. Think of quantum mechan-

ics.
Stochastic modeling is currently used in many different areas ranging from

biology to climate modeling to economics.
1.6 Discussion and Bibliography

The fundamental papers of Einstein on the theory of Brownian motion have been
reprinted by Dover [11]. The readers of this book are strongly encouraged to study
these papers. Other fundamental papers from the early period of the development
of the theory of stochastic processes include the papers by Langevin, Ornstein and
Uhlenbeck, Doob, Kramers and Chandrashekhars famous review article [7]. Many
of these early papers on the theory of stochastic processes have been reprinted
in [10]. Very useful historical comments can be founds in the books by Nelson [54]
and Mazo [52].
1.7 Exercises
1. Read the papers by Einstein, Ornstein-Uhlenbeck, Doob etc.
2. Write a computer program for generating the random walk in one and two di-
mensions. Study numerically the Brownian limit and compute the statistics of
the random walk.
Chapter 2
Elements of Probability Theory
2.1 Introduction
In this chapter we put together some basic definitions and results from probability
theory that will be used later on. In Section 2.2 we give some basic definitions
from the theory of probability. In Section 2.3 we present some properties of ran-
dom variables. In Section 2.4 we introduce the concept of conditional expectation
and in Section 2.5 we define the characteristic function, one of the most useful
tools in the study of (sums of) random variables. Some explicit calculations for
the multivariate Gaussian distribution are presented in Section 2.6. Different types
of convergence and the basic limit theorems of the theory of probability are dis-
cussed in Section 2.7. Discussion and bibliographical comments are presented in
Section 2.8. Exercises are included in Section 2.9.
2.2 Basic Definitions from Probability Theory

In Chapter 1 we defined a stochastic process as a dynamical system whose law of
evolution is probabilistic. In order to study stochastic processes we need to be able
to describe the outcome of a random experiment and to calculate functions of this
outcome. First we need to describe the set of all possible experiments.
Definition 2.2.1. The set of all possible outcomes of an experiment is called the
sample space and is denoted by .
Example 2.2.2. The possible outcomes of the experiment of tossing a coin

are H and T . The sample space is = H, T .
9
10 CHAPTER 2. ELEMENTS OF PROBABILITY THEORY
The possible outcomes of the experiment of throwing a die are 1, 2, 3, 4, 5

and 6. The sample space is = 1, 2, 3, 4, 5, 6 .
We define events to be subsets of the sample space. Of course, we would like

the unions, intersections and complements of events to also be events. When the
sample space is uncountable, then technical difficulties arise. In particular, not
all subsets of the sample space need to be events. A definition of the collection of
subsets of events which is appropriate for finite additive probability is the follow-
ing.
Definition 2.2.3. A collection F of is called a field on if
i. F;
ii. if A F then Ac F;
iii. If A, B F then A B F.
From the definition of a field we immediately deduce that F is closed under

finite unions and finite intersections:
A1 , . . . An F ni=1 Ai F, ni=1 Ai F.
When is infinite dimensional then the above definition is not appropriate

since we need to consider countable unions of events.
Definition 2.2.4. A collection F of is called a -field or -algebra on if
i. F;
ii. if A F then Ac F;
iii. If A1 , A2 , F then
i=1 Ai F.
A -algebra is closed under the operation of taking countable intersections.

Example 2.2.5. F = , .

F = , A, Ac , where A is a subset of .
The power set of , denoted by {0, 1} which contains all subsets of .

2.2. BASIC DEFINITIONS FROM PROBABILITY THEORY 11
Let F be a collection of subsets of . It can be extended to a algebra (take

for example the power set of ). Consider all the algebras that contain F and
take their intersection, denoted by (F), i.e. A if and only if it is in every
algebra containing F. (F) is a algebra (see Exercise 1 ). It is the smallest
algebra containing F and it is called the algebra generated by F.
Example 2.2.6. Let = Rn . The -algebra generated by the open subsets of Rn

(or, equivalently, by the open balls of Rn ) is called the Borel -algebra of Rn and
is denoted by B(Rn ).
Let X be a closed subset of Rn . Similarly, we can define the Borel -algebra

of X, denoted by B(X).
A sub-algebra is a collection of subsets of a algebra which satisfies the
axioms of a algebra.
The field F of a sample space contains all possible outcomes of the ex-
periment that we want to study. Intuitively, the field contains all the information
about the random experiment that is available to us.
Now we want to assign probabilities to the possible outcomes of an experiment.
Definition 2.2.7. A probability measure P on the measurable space (, F) is a

function P : F 7 [0, 1] satisfying
i. P() = 0, P() = 1;
ii. For A1 , A2 , . . . with Ai Aj = , i 6= j then

X
P(
i=1 Ai ) = P(Ai ).
i=1

Definition 2.2.8. The triple , F, P comprising a set , a -algebra F of sub-
sets of and a probability measure P on (, F) is a called a probability space.
Example 2.2.9. A biased coin is tossed once: = {H, T }, F = {, H, T, } =

{0, 1}, P : F 7 [0, 1] such that P() = 0, P(H) = p [0, 1], P(T ) =
1 p, P() = 1.
Example 2.2.10. Take = [0, 1], F = B([0, 1]), P = Leb([0, 1]). Then
(, F, P) is a probability space.
2.2.1 Conditional Probability

One of the most important concepts in probability is that of the dependence be-
tween events.
Definition 2.2.11. A family {Ai : i I} of events is called independent if

P jJ Aj = jJ P(Aj )
for all finite subsets J of I.

When two events A, B are dependent it is important to know the probability
that the event A will occur, given that B has already happened. We define this
to be conditional probability, denoted by P(A|B). We know from elementary
probability that
P (A B)
P (A|B) = .
P(B)
A very useful result is that of the total law of probability.
Definition 2.2.12. A family of events {Bi : i I} is called a partition of if
Bi Bj = , i 6= j and iI Bi = .
Proposition 2.2.13. Law of total probability. For any event A and any partition
{Bi : i I} we have
X
P(A) = P(A|Bi )P(Bi ).
iI
The proof of this result is left as an exercise. In many cases the calculation of
the probability of an event is simplified by choosing an appropriate partition of
and using the law of total probability.
Let (, F, P) be a probability space and fix B F. Then P(|B) defines a
probability measure on F. Indeed, we have that
P(|B) = 0, P(|B) = 1
and (since Ai Aj = implies that (Ai B) (Aj B) = )

X
P (
j=1 Ai |B) = P(Ai |B),
j=1
for a countable family of pairwise disjoint sets {Aj }+

j=1 . Consequently, (, F, P(|B))
is a probability space for every B cF .
2.3. RANDOM VARIABLES 13
2.3 Random Variables

We are usually interested in the consequences of the outcome of an experiment,
rather than the experiment itself. The function of the outcome of an experiment is
a random variable, that is, a map from to R.
Definition 2.3.1. A sample space equipped with a field of subsets F is called
a measurable space.
Definition 2.3.2. Let (, F) and (E, G) be two measurable spaces. A function
X : E such that the event
{ : X() A} =: {X A} (2.1)
belongs to F for arbitrary A G is called a measurable function or random

variable.
When E is R equipped with its Borel -algebra, then (2.1) can by replaced
with
{X 6 x} F x R.
Let X be a random variable (measurable function) from (, F, ) to (E, G). If E
is a metric space then we may define expectation with respect to the measure by
Z
E[X] = X() d().

More generally, let f : E 7 R be Gmeasurable. Then,

Z
E[f (X)] = f (X()) d().

Let U be a topological space. We will use the notation B(U ) to denote the Borel
algebra of U : the smallest algebra containing all open sets of U . Every ran-
dom variable from a probability space (, F, ) to a measurable space (E, B(E))
induces a probability measure on E:
X (B) = PX 1 (B) = ( ; X() B), B B(E). (2.2)
The measure X is called the distribution (or sometimes the law) of X.
Example 2.3.3. Let I denote a subset of the positive integers. A vector 0 =

{0,i , i I} is a distribution on I if it has nonnegative entries and its total mass
P
equals 1: iI 0,i = 1.
Consider the case where E = R equipped with the Borel algebra. In this
case a random variable is defined to be a function X : R such that
{ : X() 6 x} F x R.
We can now define the probability distribution function of X, FX : R [0, 1] as

FX (x) = P X() 6 x =: P(X 6 x). (2.3)
In this case, (R, B(R), FX ) becomes a probability space.

The distribution function FX (x) of a random variable has the properties that
limx FX (x) = 0, limx+ F (x) = 1 and is right continuous.
Definition 2.3.4. A random variable X with values on R is called discrete if it
takes values in some countable subset {x0 , x1 , x2 , . . . } of R. i.e.: P(X = x) 6= x
only for x = x0 , x1 , . . . .
With a random variable we can associate the probability mass function pk =
P(X = xk ). We will consider nonnegative integer valued discrete random vari-
ables. In this case pk = P(X = k), k = 0, 1, 2, . . . .
Example 2.3.5. The Poisson random variable is the nonnegative integer valued
random variable with probability mass function
k
pk = P(X = k) = e , k = 0, 1, 2, . . . ,
k!
where > 0.
Example 2.3.6. The binomial random variable is the nonnegative integer valued
random variable with probability mass function
N!
pk = P(X = k) = pn q N n k = 0, 1, 2, . . . N,
n!(N n)!
where p (0, 1), q = 1 p.
Definition 2.3.7. A random variable X with values on R is called continuous if
P(X = x) = 0 x R.
Let (, F, P) be a probability space and let X : R be a random variable
with distribution FX . This is a probability measure on B(R). We will assume
that it is absolutely continuous with respect to the Lebesgue measure with density
X : FX (dx) = (x) dx. We will call the density (x) the probability density
function (PDF) of the random variable X.
Example 2.3.8. i. The exponential random variable has PDF

ex x > 0,
f (x) =
0 x < 0,
with > 0.
ii. The uniform random variable has PDF

1
ba a < x < b,
f (x) =
0 x/ (a, b),
with a < b.
Definition 2.3.9. Two random variables X and Y are independent if the events
{ | X() 6 x} and { | Y () 6 y} are independent for all x, y R.
Let X, Y be two continuous random variables. We can view them as a ran-

dom vector, i.e. a random variable from to R2 . We can then define the joint
distribution function
F (x, y) = P(X 6 x, Y 6 y).
2F
The mixed derivative of the distribution function fX,Y (x, y) := xy (x, y), if it
exists, is called the joint PDF of the random vector {X, Y }:
Z x Z y
FX,Y (x, y) = fX,Y (x, y) dxdy.

If the random variables X and Y are independent, then
FX,Y (x, y) = FX (x)FY (y)
and
fX,Y (x, y) = fX (x)fY (y).
The joint distribution function has the properties
FX,Y (x, y) = FY,X (y, x),

Z +
FX,Y (+, y) = FY (y), fY (y) = fX,Y (x, y) dx.

We can extend the above definition to random vectors of arbitrary finite dimen-
sions. Let X be a random variable from (, F, ) to (Rd , B(Rd )). The (joint)
distribution function FX Rd [0, 1] is defined as
FX (x) = P(X 6 x).
Let X be a random variable in Rd with distribution function f (xN ) where xN =

{x1 , . . . xN }. We define the marginal or reduced distribution function f N 1 (xN 1 )
by Z
f N 1 (xN 1 ) = f N (xN ) dxN .
R
We can define other reduced distribution functions:
Z Z Z
N 2 N 1
f (xN 2 ) = f (xN 1 ) dxN 1 = f (xN ) dxN 1 dxN .
R R R
2.3.1 Expectation of Random Variables

We can use the distribution of a random variable to compute expectations and prob-
abilities: Z
E[f (X)] = f (x) dFX (x) (2.4)
R
and Z
P[X G] = dFX (x), G B(E). (2.5)
G
The above formulas apply to both discrete and continuous random variables, pro-
vided that we define the integrals in (2.4) and (2.5) appropriately.
When E = Rd and a PDF exists, dFX (x) = fX (x) dx, we have
Z x1 Z xd
FX (x) := P(X 6 x) = ... fX (x) dx..

When E = Rd then by Lp (; Rd ), or sometimes Lp (; ) or even simply Lp (),

we mean the Banach space of measurable functions on with norm
1/p
kXkLp = E|X|p .
Let X be a nonnegative integer valued random variable with probability mass

function pk . We can compute the expectation of an arbitrary function of X using
the formula
X
E(f (X)) = f (k)pk .
k=0
Let X, Y be random variables we want to know whether they are correlated

and, if they are, to calculate how correlated they are. We define the covariance of
the two random variables as

cov(X, Y ) = E (X EX)(Y EY ) = E(XY ) EXEY.
The correlation coefficient is

cov(X, Y )
(X, Y ) = p p (2.6)
var(X) var(X)
The Cauchy-Schwarz inequality yields that (X, Y ) [1, 1]. We will say
that two random variables X and Y are uncorrelated provided that (X, Y ) = 0.
It is not true in general that two uncorrelated random variables are independent.
This is true, however, for Gaussian random variables (see Exercise 5).
Example 2.3.10. Consider the random variable X : 7 R with pdf

12 (x b)2
,b (x) := (2) exp .
2
Such an X is termed a Gaussian or normal random variable. The mean is
Z
EX = x,b (x) dx = b
R
and the variance is

Z
2
E(X b) = (x b)2 ,b (x) dx = .
R
Let b Rd and Rdd be symmetric and positive definite. The random

variable X : 7 Rd with pdf
1
d 2 1 1
,b (x) := (2) det exp h (x b), (x b)i
2
is termed a multivariate Gaussian or normal random variable. The mean
is
E(X) = b (2.7)
and the covariance matrix is

E (X b) (X b) = . (2.8)
Since the mean and variance specify completely a Gaussian random variable on
R, the Gaussian is commonly denoted by N (m, ). The standard normal random
variable is N (0, 1). Similarly, since the mean and covariance matrix completely
specify a Gaussian random variable on Rd , the Gaussian is commonly denoted by
N (m, ).
Some analytical calculations for Gaussian random variables will be presented
in Section 2.6.
2.4 Conditional Expecation

Assume that X L1 (, F, ) and let G be a subalgebra of F. The conditional
expectation of X with respect to G is defined to be the function (random variable)
E[X|G] : 7 E which is Gmeasurable and satisfies
Z Z
E[X|G] d = X d G G.
G G
We can define E[f (X)|G] and the conditional probability P[X F |G] = E[IF (X)|G],
where IF is the indicator function of F , in a similar manner.
We list some of the most important properties of conditional expectation.
Theorem 2.4.1. [Properties of Conditional Expectation]. Let (, F, ) be a prob-

ability space and let G be a subalgebra of F.
(a) If X is Gmeasurable and integrable then E(X|G) = X.
(b) (Linearity) If X1 , X2 are integrable and c1 , c2 constants, then
E(c1 X1 + c2 X2 |G) = c1 E(X1 |G) + c2 E(X2 |G).
(c) (Order) If X1 , X2 are integrable and X1 6 X2 a.s., then E(X1 |G) 6 E(X2 |G)
a.s.
(d) If Y and XY are integrable, and X is Gmeasurable then E(XY |G) =

XE(Y |G).
(e) (Successive smoothing) If D is a subalgebra of F, D G and X is inte-

grable, then E(X|D) = E[E(X|G)|D] = E[E(X|D)|G].
2.5. THE CHARACTERISTIC FUNCTION 19
(f) (Convergence) Let {Xn }n=1 be a sequence of random variables such that, for
all n, |Xn | 6 Z where Z is integrable. If Xn X a.s., then E(Xn |G)
E(X|G) a.s. and in L1 .
Proof. See Exercise 10.
2.5 The Characteristic Function

Many of the properties of (sums of) random variables can be studied using the
Fourier transform of the distribution function. Let F () be the distribution function
of a (discrete or continuous) random variable X. The characteristic function of
X is defined to be the Fourier transform of the distribution function
Z
(t) = eit dF () = E(eitX ). (2.9)
R
For a continuous random variable for which the distribution function F has a den-
sity, dF () = p()d, (2.9) gives
Z
(t) = eit p() d.
R
For a discrete random variable for which P(X = k ) = k , (2.9) gives

X
(t) = eitk ak .
k=0
From the properties of the Fourier transform we conclude that the characteristic
function determines uniquely the distribution function of the random variable, in
the sense that there is a one-to-one correspondance between F () and (t). Fur-
thermore, in the exercises at the end of the chapter the reader is asked to prove the
following two results.
Lemma 2.5.1. Let {X1 , X2 , . . . Xn } be independent random variables with char-
P
acteristic functions j (t), j = 1, . . . n and let Y = nj=1 Xj with characteristic
function Y (t). Then
Y (t) = nj=1 j (t).
Lemma 2.5.2. Let X be a random variable with characteristic function (t) and
assume that it has finite moments. Then
1 (k)
E(X k ) = (0).
ik
2.6 Gaussian Random Variables

In this section we present some useful calculations for Gaussian random variables.
In particular, we calculate the normalization constant, the mean and variance and
the characteristic function of multidimensional Gaussian random variables.
Theorem 2.6.1. Let b Rd and Rdd a symmetric and positive definite ma-
trix. Let X be the multivariate Gaussian random variable with probability density
function
1 1 1
,b (x) = exp h (x b), x bi .
Z 2
Then
i. The normalization constant is

p
Z = (2)d/2 det().
ii. The mean vector and covariance matrix of X are given by
EX = b
and
E((X EX) (X EX)) = .
iii. The characteristic function of X is

1
(t) = eihb,ti 2 ht,ti .
Proof. i. From the spectral theorem for symmetric positive definite matrices
we have that there exists a diagonal matrix with positive entries and an
orthogonal matrix B such that
1 = B T 1 B.
Let z = x b and y = Bz. We have
h1 z, zi = hB T 1 Bz, zi
= h1 Bz, Bzi = h1 y, yi
d
X
= 1 2
i yi .
i=1
2.6. GAUSSIAN RANDOM VARIABLES 21
Furthermore, we have that det(1 ) = di=1 1 d

i , that det() = i=1 i
and that the Jacobian of an orthogonal transformation is J = det(B) = 1.
Hence,
Z Z
1 1
exp h1 (x b), x bi dx = exp h1 z, zi dz
Rd 2 Rd 2
Z d
!
1 X 1 2
= exp i yi |J| dy
Rd 2
i=1
Y d Z
1 1 2
= exp i yi dyi
2
i=1 R
1/2
p
= (2)d/2 ni=1 i = (2)d/2 det(),
from which we get that

p
Z = (2)d/2 det().
In the above calculation we have used the elementary calculus identity

Z r
x2
2 2
e dx = .
R
ii. From the above calculation we have that
,b (x) dx = ,b (B T y + b) dy
d
Y
1 1
= p exp i yi2 dyi .
(2)d/2 det() i=1 2
Consequently
Z
EX = x,b (x) dx
d
ZR
= (B T y + b),b (B T y + b) dy
RZd
= b ,b (B T y + b) dy = b.
Rd
We note that, since 1 = B T 1 B, we have that = B T B. Further-

more, z = B T y. We calculate
Z
E((Xi bi )(Xj bj )) = zi zj ,b (z + b) dz
Rd
Z X X
1 1 X 1 2
= p Bki yk
y Bmi ym exp
(2)d/2 det() Rd k m
2

Z !
1 X 1 X 1 2
= p Bki Bmj yk ym exp y d
(2)d/2 det() k,m Rd 2

X
= Bki Bmj k km
k,m
= ij .
iii. Let y be a multivariate Gaussian random variable with mean 0 and covari-

ance I. Let also C = B . We have that = CC T = C T C. We have
that
X = CY + b.
To see this, we first note that X is Gaussian since it is given through a linear
transformation of a Gaussian random variable. Furthermore,
EX = b and E((Xi bi )(Xj bj )) = ij .
Now we have:
(t) = EeihX,ti = eihb,ti EeihCY,ti

T ti
= eihb,ti EeihY,C
P P
= eihb,ti Eei j ( k Cjk tk )yj
2
= eihb,ti e 2
1
| Cjk tk |
P P
j k
1
= eihb,ti e 2 hCt,Cti
1 T Cti
= eihb,ti e 2 ht,C
1
= eihb,ti e 2 ht,ti .
Consequently,
1
(t) = eihb,ti 2 ht,ti .
2.7. TYPES OF CONVERGENCE AND LIMIT THEOREMS 23
2.7 Types of Convergence and Limit Theorems

One of the most important aspects of the theory of random variables is the study of
limit theorems for sums of random variables. The most well known limit theorems
in probability theory are the law of large numbers and the central limit theorem.
There are various different types of convergence for sequences or random variables.
We list the most important types of convergence below.
Definition 2.7.1. Let {Zn }
n=1 be a sequence of random variables. We will say
that
(a) Zn converges to Z with probability one if

P lim Zn = Z = 1.
n+
(b) Zn converges to Z in probability if for every > 0

lim P |Zn Z| > = 0.
n+
(c) Zn converges to Z in Lp if
p
lim E Zn Z = 0.
n+
(d) Let Fn (), n = 1, + , F () be the distribution functions of Zn n =

1, + and Z, respectively. Then Zn converges to Z in distribution if
lim Fn () = F ()
n+
for all R at which F is continuous.

Recall that the distribution function FX of a random variable from a probability
space (, F, P) to R induces a probability measure on R and that (R, B(R), FX ) is
a probability space. We can show that the convergence in distribution is equivalent
to the weak convergence of the probability measures induced by the distribution
functions.
Definition 2.7.2. Let (E, d) be a metric space, B(E) the algebra of its Borel
sets, Pn a sequence of probability measures on (E, B(E)) and let Cb (E) denote
the space of bounded continuous functions on E. We will say that the sequence of
Pn converges weakly to the probability measure P if, for each f Cb (E),
Z Z
lim f (x) dPn (x) = f (x) dP (x).
n+ E E
Theorem 2.7.3. Let Fn (), n = 1, + , F () be the distribution functions of

Zn n = 1, + and Z, respectively. Then Zn converges to Z in distribution if
and only if, for all g Cb (R)
Z Z
lim g(x) dFn (x) = g(x) dF (x). (2.10)
n+ X X
Notice that (2.10) is equivalent to
lim En g(Xn ) = Eg(X),

n+
where En and E denote the expectations with respect to Fn and F , respectively.

When the sequence of random variables whose convergence we are interested
in takes values in Rd or, more generally, a metric space space (E, d) then we can
use weak convergence of the sequence of probability measures induced by the
sequence of random variables to define convergence in distribution.
Definition 2.7.4. A sequence of real valued random variables Xn defined on a

probability spaces (n , Fn , Pn ) and taking values on a metric space (E, d) is said
to converge in distribution if the indued measures Fn (B) = Pn (Xn B) for
B B(E) converge weakly to a probability measure P .
Let {Xn }n=1 be iid random variables with EXn = V . Then, the strong law
of large numbers states that average of the sum of the iid converges to V with
probability one:
N
1 X
P lim Xn = V = 1.
N + N
n=1
The strong law of large numbers provides us with information about the behav-
ior of a sum of random variables (or, a large number or repetitions of the same
experiment) on average. We can also study fluctuations around the average be-
havior. Indeed, let E(Xn V )2 = 2 . Define the centered iid random variables
P
Yn = Xn V . Then, the sequence of random variables 1N N n=1 Yn converges
in distribution to a N (0, 1) random variable:
N
! Z
1 X a
1 1 2
lim P Yn 6 a = e 2 x dx.
n+ N n=1 2
This is the central limit theorem.


The material of this chapter is very standard and can be found in many books on
probability theory. Well known textbooks on probability theory are [4, 14, 15, 44,
45, 37, 71].
The connection between conditional expectation and orthogonal projections is
discussed in [8].
The reduced distribution functions defined in Section 2.3 are used extensively
in statistical mechanics. A different normalization is usually used in physics text-
books. See for instance [2, Sec. 4.2].
The calculations presented in Section 2.6 are essentially an exercise in linear
algebra. See [42, Sec. 10.2].
Random variables and probability measures can also be defined in infinite di-
mensions. More information can be found in [?, Ch. 2].
The study of limit theorems is one of the cornerstones of probability theory and
of the theory of stochastic processes. A comprehensive study of limit theorems can
be found in [33].
2.9 Exercises
1. Show that the intersection of a family of -algebras is a -algebra.
2. Prove the law of total probability, Proposition 2.2.13.
3. Calculate the mean, variance and characteristic function of the following prob-
ability density functions.
(a) The exponential distribution with density

ex x > 0,
f (x) =
0 x < 0,
with > 0.
(b) The uniform distribution with density
1
f (x) = ba a < x < b,
0 x
/ (a, b),
with a < b.
(c) The Gamma distribution with density

(
1 ex x > 0,
f (x) = () (x)
0 x < 0,
with > 0, > 0 and () is the Gamma function

Z
() = 1 e d, > 0.
0
4. Le X and Y be independent random variables with distribution functions FX

and FY . Show that the distribution function of the sum Z = X + Y is the
convolution of FX and FY :
Z
FZ (x) = FX (x y) dFY (y).
5. Let X and Y be Gaussian random variables. Show that they are uncorrelated if
and only if they are independent.
6. (a) Let X be a continuous random variable with characteristic function (t).

Show that
1
EX k = k (k) (0),
i
where (k) (t) denotes the k-th derivative of evaluated at t.
(b) Let X be a nonnegative random variable with distribution function F (x).
Show that Z +
E(X) = (1 F (x)) dx.
0
(c) Let X be a continuous random variable with probability density function
f (x) and characteristic function (t). Find the probability density and
characteristic function of the random variable Y = aX + b with a, b R.
(d) Let X be a random variable with uniform distribution on [0, 2]. Find the
probability density of the random variable Y = sin(X).
7. Let X be a discrete random variable taking vales on the set of nonnegative inte-
P
gers with probability mass function pk = P(X = k) with pk > 0, + k=0 pk =
1. The generating function is defined as
+
X
X
g(s) = E(s ) = pk s k .
k=0
2.9. EXERCISES 27
(a) Show that
EX = g (1) and EX 2 = g (1) + g (1),
where the prime denotes differentiation.

(b) Calculate the generating function of the Poisson random variable with
e k
pk = P(X = k) = , k = 0, 1, 2, . . . and > 0.
k!
(c) Prove that the generating function of a sum of independent nonnegative
integer valued random variables is the product of their generating func-
tions.
8. Write a computer program for studying the law of large numbers and the central
limit theorem. Investigate numerically the rate of convergence of these two
theorems.
9. Study the properties of Gaussian measures on separable Hilbert spaces from [?,
Ch. 2].
10. . Prove Theorem 2.4.1.

Chapter 3
Basics of the Theory of Stochastic

Processes
3.1 Introduction
In this chapter we present some basic results form the theory of stochastic pro-
cesses and we investigate the properties of some of the standard stochastic pro-
cesses in continuous time. In Section 3.2 we give the definition of a stochastic pro-
cess. In Section 3.3 we present some properties of stationary stochastic processes.
In Section 3.4 we introduce Brownian motion and study some of its properties.
Various examples of stochastic processes in continuous time are presented in Sec-
tion 3.5. The Karhunen-Loeve expansion, one of the most useful tools for repre-
senting stochastic processes and random fields, is presented in Section 3.6. Further
discussion and bibliographical comments are presented in Section 3.7. Section 3.8
contains exercises.
3.2 Definition of a Stochastic Process

Stochastic processes describe dynamical systems whose evolution law is of proba-
bilistic nature. The precise definition is given below.
Definition 3.2.1. Let T be an ordered set, (, F, P) a probability space and (E, G)
a measurable space. A stochastic process is a collection of random variables
X = {Xt ; t T } where, for each fixed t T , Xt is a random variable from
(, F, P) to (E, G). is called the sample space. and E is the state space of the
stochastic process Xt .
29
30 CHAPTER 3. BASICS OF THE THEORY OF STOCHASTIC PROCESSES
The set T can be either discrete, for example the set of positive integers Z+ , or
continuous, T = [0, +). The state space E will usually be Rd equipped with the
algebra of Borel sets.
A stochastic process X may be viewed as a function of both t T and .
We will sometimes write X(t), X(t, ) or Xt () instead of Xt . For a fixed sample
point , the function Xt () : T 7 E is called a sample path (realization,
trajectory) of the process X.
Definition 3.2.2. The finite dimensional distributions (fdd) of a stochastic pro-

cess are the distributions of the E k valued random variables (X(t1 ), X(t2 ), . . . , X(tk ))
for arbitrary positive integer k and arbitrary times ti T, i {1, . . . , k}:
F (x) = P(X(ti ) 6 xi , i = 1, . . . , k)
with x = (x1 , . . . , xk ).
From experiments or numerical simulations we can only obtain information

about the finite dimensional distributions of a process. A natural question arises:
are the finite dimensional distributions of a stochastic process sufficient to deter-
mine a stochastic process uniquely? This is true for processes with continuous
paths 1 . This is the class of stochastic processes that we will study in these notes.
Definition 3.2.3. We will say that two processes Xt and Yt are equivalent if they
have same finite dimensional distributions.
Definition 3.2.4. A one dimensional Gaussian process is a continuous time stochas-

tic process for which E = R and all the finite dimensional distributions are Gaus-
sian, i.e. every finite dimensional vector (Xt1 , Xt2 , . . . , Xtk ) is a N (k , Kk ) ran-
dom variable for some vector k and a symmetric nonnegative definite matrix Kk
for all k = 1, 2, . . . and for all t1 , t2 , . . . , tk .
From the above definition we conclude that the Finite dimensional distributions
of a Gaussian continuous time stochastic process are Gaussian with PFG

n/2 1/2 1 1
k ,Kk (x) = (2) (detKk ) exp hKk (x k ), x k i ,
2
where x = (x1 , x2 , . . . xk ).
1
In fact, what we need is the stochastic process to be separable. See the discussion in Section 3.7
3.3. STATIONARY PROCESSES 31
It is straightforward to extend the above definition to arbitrary dimensions. A

Gaussian process x(t) is characterized by its mean
m(t) := Ex(t)
and the covariance (or autocorrelation) matrix

C(t, s) = E x(t) m(t) x(s) m(s) .
Thus, the first two moments of a Gaussian process are sufficient for a complete
characterization of the process.
3.3 Stationary Processes

3.3.1 Strictly Stationary Processes
In many stochastic processes that appear in applications their statistics remain in-
variant under time translations. Such stochastic processes are called stationary. It
is possible to develop a quite general theory for stochastic processes that enjoy this
symmetry property.
Definition 3.3.1. A stochastic process is called (strictly) stationary if all finite
dimensional distributions are invariant under time translation: for any integer k
and times ti T , the distribution of (X(t1 ), X(t2 ), . . . , X(tk )) is equal to that
of (X(s + t1 ), X(s + t2 ), . . . , X(s + tk )) for any s such that s + ti T for all
i {1, . . . , k}. In other words,
P(Xt1 +t A1 , Xt2 +t A2 . . . Xtk +t Ak ) = P(Xt1 A1 , Xt2 A2 . . . Xtk Ak ), t T.
Example 3.3.2. Let Y0 , Y1 , . . . be a sequence of independent, identically dis-
tributed random variables and consider the stochastic process Xn = Yn . Then
Xn is a strictly stationary process (see Exercise 1). Assume furthermore that
EY0 = < +. Then, by the strong law of large numbers, we have that
N 1 N 1
1 X 1 X
Xj = Yj EY0 = ,
N N
j=0 j=0
almost surely. In fact, Birkhoffs ergodic theorem states that, for any function f
such that Ef (Y0 ) < +, we have that
N 1
1 X
lim f (Xj ) = Ef (Y0 ), (3.1)
N + N
j=0
almost surely. The sequence of iid random variables is an example of an ergodic

strictly stationary processes.
Ergodic strictly stationary processes satisfy (3.1) Hence, we can calculate the
statistics of a sequence stochastic process Xn using a single sample path, provided
that it is long enough (N 1).
Example 3.3.3. Let Z be a random variable and define the stochastic process
Xn = Z, n = 0, 1, 2, . . . . Then Xn is a strictly stationary process (see Exercise 2).
We can calculate the long time average of this stochastic process:
N 1 N 1
1 X 1 X
Xj = Z = Z,
N N
j=0 j=0
which is independent of N and does not converge to the mean of the stochastic pro-
cesses EXn = EZ (assuming that it is finite), or any other deterministic number.
This is an example of a non-ergodic processes.
3.3.2 Second Order Stationary Processes

Let , F, P be a probability space. Let Xt , t T (with T = R or Z) be a
real-valued random process on this probability space with finite second moment,
E|Xt |2 < + (i.e. Xt L2 (, P) for all t T ). Assume that it is strictly
stationary. Then,
E(Xt+s ) = EXt , s T (3.2)
from which we conclude that EXt is constant. and
E((Xt1 +s )(Xt2 +s )) = E((Xt1 )(Xt2 )), sT (3.3)
from which we conclude that the covariance or autocorrelation or correlation

function C(t, s) = E((Xt )(Xs )) depends on the difference between the
two times, t and s, i.e. C(t, s) = C(t s). This motivates the following definition.
Definition 3.3.4. A stochastic process Xt L2 is called second-order station-

ary or wide-sense stationary or weakly stationary if the first moment EXt is a
constant and the covariance function E(Xt )(Xs ) depends only on the
difference t s:
EXt = , E((Xt )(Xs )) = C(t s).

The constant is the expectation of the process Xt . Without loss of generality,

we can set = 0, since if EXt = then the process Yt = Xt is mean
zero. A mean zero process with be called a centered process. The function C(t)
is the covariance (sometimes also called autocovariance) or the autocorrelation
function of the Xt . Notice that C(t) = E(Xt X0 ), whereas C(0) = E(Xt2 ), which
is finite, by assumption. Since we have assumed that Xt is a real valued process,
we have that C(t) = C(t), t R.
Remark 3.3.5. Let Xt be a strictly stationary stochastic process with finite second
moment (i.e. Xt L2 ). The definition of strict stationarity implies that EXt = , a
constant, and E((Xt )(Xs )) = C(ts). Hence, a strictly stationary process
with finite second moment is also stationary in the wide sense. The converse is not
true.
Example 3.3.6.
Let Y0 , Y1 , . . . be a sequence of independent, identically distributed random vari-
ables and consider the stochastic process Xn = Yn . From Example 3.3.2 we
know that this is a strictly stationary process, irrespective of whether Y0 is such
that EY02 < +. Assume now that EY0 = 0 and EY02 = 2 < +. Then
Xn is a second order stationary process with mean zero and correlation function
R(k) = 2 k0 . Notice that in this case we have no correlation between the values
of the stochastic process at different times n and k.
Example 3.3.7. Let Z be a single random variable and consider the stochastic
process Xn = Z, n = 0, 1, 2, . . . . From Example 3.3.3 we know that this is a
strictly stationary process irrespective of whether E|Z|2 < + or not. Assume
now that EZ = 0, EZ 2 = 2 . Then Xn becomes a second order stationary
process with R(k) = 2 . Notice that in this case the values of our stochastic
process at different times are strongly correlated.
We will see in Section 3.3.3 that for second order stationary processes, ergod-
icity is related to fast decay of correlations. In the first of the examples above,
there was no correlation between our stochastic processes at different times and
the stochastic process is ergodic. On the contrary, in our second example there is
very strong correlation between the stochastic process at different times and this
process is not ergodic.
Remark 3.3.8. The first two moments of a Gaussian process are sufficient for a
complete characterization of the process. Consequently, a Gaussian stochastic

process is strictly stationary if and only if it is weakly stationary.
Continuity properties of the covariance function are equivalent to continuity

properties of the paths of Xt in the L2 sense, i.e.
lim E|Xt+h Xt |2 = 0.
h0
Lemma 3.3.9. Assume that the covariance function C(t) of a second order sta-
tionary process is continuous at t = 0. Then it is continuous for all t R. Fur-
thermore, the continuity of C(t) is equivalent to the continuity of the process Xt in
the L2 -sense.
Proof. Fix t R and (without loss of generality) set EXt = 0. We calculate:
|C(t + h) C(t)|2 = |E(Xt+h X0 ) E(Xt X0 )|2 = E|((Xt+h Xt )X0 )|2

6 E(X0 )2 E(Xt+h Xt )2
2
= C(0)(EXt+h + EXt2 2EXt Xt+h )
= 2C(0)(C(0) C(h)) 0,
as h 0. Thus, continuity of C() at 0 implies continuity for all t.

Assume now that C(t) is continuous. From the above calculation we have
E|Xt+h Xt |2 = 2(C(0) C(h)), (3.4)
which converges to 0 as h 0. Conversely, assume that Xt is L2 -continuous.

Then, from the above equation we get limh0 C(h) = C(0).
Notice that form (3.4) we immediately conclude that C(0) > C(h), h R.
The Fourier transform of the covariance function of a second order stationary
process always exists. This enables us to study second order stationary processes
using tools from Fourier analysis. To make the link between second order station-
ary processes and Fourier analysis we will use Bochners theorem, which applies
to all nonnegative functions.
Definition 3.3.10. A function f (x) : R 7 R is called nonnegative definite if

n
X
f (ti tj )ci cj > 0 (3.5)
i,j=1
for all n N, t1 , . . . tn R, c1 , . . . cn C.
Lemma 3.3.11. The covariance function of second order stationary process is a

nonnegative definite function.
Pn
Proof. We will use the notation Xtc := i=1 Xti ci . We have.
n
X n
X
C(ti tj )ci cj = EXti Xtj ci cj
i,j=1 i,j=1

n
X n
X
= E Xti ci c
Xtj cj = E Xtc Xt
i=1 j=1
= E|Xtc |2 > 0.
Theorem 3.3.12. (Bochner) Let C(t) be a continuous positive definite function.

Then there exists a unique nonnegative measure on R such that (R) = C(0)
and Z
C(t) = eixt (dx) t R. (3.6)
R
Definition 3.3.13. Let Xt be a second order stationary process with autocorrela-

tion function C(t) whose Fourier transform is the measure (dx). The measure
(dx) is called the spectral measure of the process Xt .
In the following we will assume that the spectral measure is absolutely contin-
uous with respect to the Lebesgue measure on R with density f (x), i.e. (dx) =
f (x)dx. The Fourier transform f (x) of the covariance function is called the spec-
tral density of the process:
Z
1
f (x) = eitx C(t) dt.
2
From (3.6) it follows that that the autocorrelation function of a mean zero, second
order stationary process is given by the inverse Fourier transform of the spectral
density: Z
C(t) = eitx f (x) dx. (3.7)

There are various cases where the experimentally measured quantity is the spec-
tral density (or power spectrum) of a stationary stochastic process. Conversely,
from a time series of observations of a stationary processes we can calculate the

autocorrelation function and, using (3.7) the spectral density.
The autocorrelation function of a second order stationary process enables us to
associate a time scale to Xt , the correlation time cor :
Z Z
1
cor = C( ) d = E(X X0 )/E(X02 ) d.
C(0) 0 0
The slower the decay of the correlation function, the larger the correlation time
is. Notice that when the correlations do not decay sufficiently fast so that C(t) is
integrable, then the correlation time will be infinite.
Example 3.3.14. Consider a mean zero, second order stationary process with cor-
relation function
R(t) = R(0)e|t| (3.8)
D
where > 0. We will write R(0) = where D > 0. The spectral density of this
process is:
Z +
1 D
f (x) = eixt e|t| dt
2
Z0 Z +
1 D
= eixt et dt + eixt et dt
2
0
1 D 1 1
= +
2 ix + ix +
D 1
= .
x2 + 2
This function is called the Cauchy or the Lorentz distribution. The correlation
time is (we have that R(0) = D/)
Z
cor = et dt = 1 .
0
A Gaussian process with an exponential correlation function is of particular

importance in the theory and applications of stochastic processes.
Definition 3.3.15. A real-valued Gaussian stationary process defined on R with

correlation function given by (3.8) is called the (stationary) Ornstein-Uhlenbeck
process.
The Ornstein Uhlenbeck process is used as a model for the velocity of a Brown-
ian particle. It is of interest to calculate the statistics of the position of the Brownian
particle, i.e. of the integral
Z t
X(t) = Y (s) ds, (3.9)
0
where Y (t) denotes the stationary OU process.

Lemma 3.3.16. Let Y (t) denote the stationary OU process with covariance func-
tion (3.8) and set = D = 1. Then the position process (3.9) is a mean zero
Gaussian process with covariance function
E(X(t)X(s)) = 2 min(t, s) + e min(t,s) + emax(t,s) e|ts| 1. (3.10)
3.3.3 Ergodic Properties of Second-Order Stationary Processes

Second order stationary processes have nice ergodic properties, provided that the
correlation between values of the process at different times decays sufficiently fast.
In this case, it is possible to show that we can calculate expectations by calculating
time averages. An example of such a result is the following.
Theorem 3.3.17. Let {Xt }t>0 be a second order stationary process on a proba-
bility space , F, P with mean and covariance R(t), and assume that R(t)
L1 (0, +). Then
Z T 2
1

lim E X(s) ds = 0. (3.11)
T + T 0
For the proof of this result we will first need an elementary lemma.
Lemma 3.3.18. Let R(t) be an integrable symmetric function. Then
Z TZ T Z T
R(t s) dtds = 2 (T s)R(s) ds. (3.12)
0 0 0
Proof. We make the change of variables u = t s, v = t + s. The domain of

integration in the t, s variables is [0, T ] [0, T ]. In the u, v variables it becomes
[T, T ] [0, 2(T |u|)]. The Jacobian of the transformation is
(t, s) 1
J= = .
(u, v) 2
The integral becomes

Z TZ T Z T Z 2(T |u|)
R(t s) dtds = R(u)J dvdu
0 0 T 0
Z T
= (T |u|)R(u) du
T
Z T
= 2 (T u)R(u) du,
0
where the symmetry of the function R(u) was used in the last step.
Proof of Theorem 3.3.17. We use Lemma (3.3.18) to calculate:

Z T 2 Z 2
1

1 T

E Xs ds = E (X s ) ds
T 0 T2 0
Z TZ T
1
= E (X(t) )(X(s) ) dtds
T2 0 0
Z TZ T
1
= R(t s) dtds
T2 0 0
Z T
2
= (T u)R(u) du
T2 0
Z Z
2 + u
2 +
6 1 R(u) du 6 R(u) du 0,
T 0 T T 0
using the dominated convergence theorem and the assumption R() L1 .

Assume that = 0 and define
Z +
D= R(t) dt, (3.13)
0
which, from our assumption on R(t), is a finite quantity. 2 The above calculation
suggests that, for T 1, we have that
Z t 2
E X(t) dt 2DT.
0
This implies that, at sufficiently long times, the mean square displacement of the
integral of the ergodic second order stationary process Xt scales linearly in time,
with proportionality coefficient 2D.
2
Notice however that we do not know whether it is nonzero. This requires a separate argument.
3.4. BROWNIAN MOTION 39
Assume that Xt is the velocity of a (Brownian) particle. In this case, the inte-
gral of Xt
Z t
Zt = Xs ds,
0
represents the particle position. From our calculation above we conclude that
EZt2 = 2Dt.
where Z Z

D= R(t) dt = E(Xt X0 ) dt (3.14)
0 0
is the diffusion coefficient. Thus, one expects that at sufficiently long times and
under appropriate assumptions on the correlation function, the time integral of a
stationary process will approximate a Brownian motion with diffusion coefficient
D. The diffusion coefficient is an example of a transport coefficient and (3.14) is
an example of the Green-Kubo formula: a transport coefficient can be calculated
in terms of the time integral of an appropriate autocorrelation function. In the
case of the diffusion coefficient we need to calculate the integral of the velocity
autocorrelation function.
Example 3.3.19. Consider the stochastic processes with an exponential correla-

tion function from Example 3.3.14, and assume that this stochastic process de-
scribes the velocity of a Brownian particle. Since R(t) L1 (0, +) Theo-
rem 3.3.17 applies. Furthermore, the diffusion coefficient of the Brownian particle
is given by
Z +
D
R(t) dt = R(0)c1 = 2 .
0
3.4 Brownian Motion

The most important continuous time stochastic process is Brownian motion. Brow-
nian motion is a mean zero, continuous (i.e. it has continuous sample paths: for
a.e the function Xt is a continuous function of time) process with indepen-
dent Gaussian increments. A process Xt has independent increments if for every
sequence t0 < t1 < . . . tn the random variables
Xt1 Xt0 , Xt2 Xt1 , . . . , Xtn Xtn1

are independent. If, furthermore, for any t1 , t2 , s T and Borel set B R
P(Xt2 +s Xt1 +s B) = P(Xt2 Xt1 B)
then the process Xt has stationary independent increments.
Definition 3.4.1. A one dimensional standard Brownian motion W (t) : R+

R is a real valued stochastic process such that
i. W (0) = 0.
ii. W (t) has independent increments.
iii. For every t > s > 0 W (t) W (s) has a Gaussian distribution with
mean 0 and variance t s. That is, the density of the random variable
W (t) W (s) is
1
2 x2
g(x; t, s) = 2(t s) exp ; (3.15)
2(t s)
A ddimensional standard Brownian motion W (t) : R+ Rd is a collec-

tion of d independent one dimensional Brownian motions:
W (t) = (W1 (t), . . . , Wd (t)),
where Wi (t), i = 1, . . . , d are independent one dimensional Brownian mo-

tions. The density of the Gaussian random vector W (t) W (s) is thus
d/2
kxk2
g(x; t, s) = 2(t s) exp .
2(t s)
Brownian motion is sometimes referred to as the Wiener process .

Brownian motion has continuous paths. More precisely, it has a continuous
modification.
Definition 3.4.2. Let Xt and Yt , t T , be two stochastic processes defined on the

same probability space (, F, P). The process Yt is said to be a modification of
Xt if P(Xt = Yt ) = 1 t T .
Lemma 3.4.3. There is a continuous modification of Brownian motion.
This follows from a theorem due to Kolmogorov.

2
mean of 1000 paths
5 individual paths
1.5
0.5
U(t)
0
0.5
1.5
0 0.2 0.4 0.6 0.8 1
t
Figure 3.1: Brownian sample paths
Theorem 3.4.4. (Kolmogorov) Let Xt , t [0, ) be a stochastic process on a

probability space {, F, P}. Suppose that there are positive constants and ,
and for each T > 0 there is a constant C(T ) such that
E|Xt Xs | 6 C(T )|t s|1+ , 0 6 s, t 6 T. (3.16)
Then there exists a continuous modification Yt of the process Xt .
The proof of Lemma 3.4.3 is left as an exercise.
Remark 3.4.5. Equivalently, we could have defined the one dimensional standard

Brownian motion as a stochastic process on a probability space , F, P with
continuous paths for almost all , and Gaussian finite dimensional distri-
butions with zero mean and covariance E(Wti Wtj ) = min(ti , tj ). One can then
show that Definition 3.4.1 follows from the above definition.
It is possible to prove rigorously the existence of the Wiener process (Brownian

motion):
Theorem 3.4.6. (Wiener) There exists an almost-surely continuous process Wt

with independent increments such and W0 = 0, such that for each t > 0 the
random variable Wt is N (0, t). Furthermore, Wt is almost surely locally Holder
continuous with exponent for any (0, 21 ).
Notice that Brownian paths are not differentiable.

We can also construct Brownian motion through the limit of an appropriately
rescaled random walk: let X1 , X2 , . . . be iid random variables on a probability
space (, F, P) with mean 0 and variance 1. Define the discrete time stochastic
P
process Sn with S0 = 0, Sn = j=1 Xj , n > 1. Define now a continuous time
stochastic process with continuous paths as the linearly interpolated, appropriately
rescaled random walk:
1 1
Wtn = S[nt] + (nt [nt]) X[nt]+1 ,
n n
where [] denotes the integer part of a number. Then Wtn converges weakly, as
n + to a one dimensional standard Brownian motion.
Brownian motion is a Gaussian process. For the ddimensional Brownian mo-
tion, and for I the d d dimensional identity, we have (see (2.7) and (2.8))
EW (t) = 0 t > 0
and
E (W (t) W (s)) (W (t) W (s)) = (t s)I. (3.17)
Moreover,
E W (t) W (s) = min(t, s)I. (3.18)
From the formula for the Gaussian density g(x, t s), eqn. (3.15), we immedi-
ately conclude that W (t) W (s) and W (t + u) W (s + u) have the same pdf.
Consequently, Brownian motion has stationary increments. Notice, however, that
Brownian motion itself is not a stationary process. Since W (t) = W (t) W (0),
the pdf of W (t) is
1 x2 /2t
g(x, t) = e .
2t
We can easily calculate all moments of the Brownian motion:
Z +
1 2
E(xn (t)) = xn ex /2t dx
2t
n
1.3 . . . (n 1)tn/2 , n even,
=
0, n odd.
Brownian motion is invariant under various transformations in time.

Theorem 3.4.7. . Let Wt denote a standard Brownian motion in R. Then, Wt has

the following properties:
i. (Rescaling). For each c > 0 define Xt = 1 W (ct). Then (Xt , t > 0) =

c
(Wt , t > 0) in law.
ii. (Shifting). For each c > 0 Wc+t Wc , t > 0 is a Brownian motion which is
independent of Wu , u [0, c].
iii. (Time reversal). Define Xt = W1t W1 , t [0, 1]. Then (Xt , t [0, 1]) =
(Wt , t [0, 1]) in law.
iv. (Inversion). Let Xt , t > 0 defined by X0 = 0, Xt = tW (1/t). Then

(Xt , t > 0) = (Wt , t > 0) in law.
We emphasize that the equivalence in the above theorem holds in law and not
in a pathwise sense.
We can also add a drift and change the diffusion coefficient of the Brownian
motion: we will define a Brownian motion with drift and variance 2 as the
process
Xt = t + Wt .
The mean and variance of Xt are
EXt = t, E(Xt EXt )2 = 2 t.
Notice that Xt satisfies the equation
dXt = dt + dWt .
This is the simplest example of a stochastic differential equation.

We can define the OU process through the Brownian motion via a time change.
Lemma 3.4.8. Let W (t) be a standard Brownian motion and consider the process
V (t) = et W (e2t ).
Then V (t) is a Gaussian stationary process with mean 0 and correlation function
R(t) = e|t| . (3.19)

For the proof of this result we first need to show that time changed Gaussian
processes are also Gaussian.
Lemma 3.4.9. Let X(t) be a Gaussian stochastic process and let Y (t) = X(f (t))
where f (t) is a strictly increasing function. Then Y (t) is also a Gaussian process.
Proof. We need to show that, for all positive integers N and all sequences of times
{t1 , t2 , . . . tN } the random vector
{Y (t1 ), Y (t2 ), . . . Y (tN )} (3.20)
is a multivariate Gaussian random variable. Since f (t) is strictly increasing, it is

invertible and hence, there exist si , i = 1, . . . N such that si = f 1 (ti ). Thus, the
random vector (3.20) can be rewritten as
{X(s1 ), X(s2 ), . . . X(sN )},
which is Gaussian for all N and all choices of times s1 , s2 , . . . sN . Hence Y (t) is
also Gaussian.
Proof of Lemma 3.4.8. The fact that V (t) is mean zero follows immediately
from the fact that W (t) is mean zero. To show that the correlation function of V (t)
is given by (3.19), we calculate
E(V (t)V (s)) = ets E(W (e2t )W (e2s )) = ets min(e2t , e2s )
= e|ts| .
The Gaussianity of the process V (t) follows from Lemma 3.4.9 (notice that the
transformation that gives V (t) in terms of W (t) is invertible and we can write
W (s) = s1/2 V ( 12 ln(s))).
3.5 Other Examples of Stochastic Processes

3.5.1 Brownian Bridge
Let W (t) be a standard one dimensional Brownian motion. We define the Brown-
ian bridge (from 0 to 0) to be the process
Bt = Wt tW1 , t [0, 1]. (3.21)

3.5. OTHER EXAMPLES OF STOCHASTIC PROCESSES 45
Notice that B0 = B1 = 0. Equivalently, we can define the Brownian bridge to be

the continuous Gaussian process {Bt : 0 6 t 6 1} such that
EBt = 0, E(Bt Bs ) = min(s, t) st, s, t [0, 1]. (3.22)
Another, equivalent definition of the Brownian bridge is through an appropriate

time change of the Brownian motion:

t
Bt = (1 t)W , t [0, 1). (3.23)
1t
Conversely, we can write the Brownian motion as a time change of the Brownian
bridge:

t
Wt = (t + 1)B , t > 0.
1+t
3.5.2 Fractional Brownian Motion

Definition 3.5.1. A (normalized) fractional Brownian motion WtH , t > 0 with
Hurst parameter H (0, 1) is a centered Gaussian process with continuous sam-
ple paths whose covariance is given by
1 2H
E(WtH WsH ) = s + t2H |t s|2H . (3.24)
2
Proposition 3.5.2. Fractional Brownian motion has the following properties.

1
i. When H = 21 , Wt2 becomes the standard Brownian motion.
ii. W0H = 0, EWtH = 0, E(WtH )2 = |t|2H , t > 0.
iii. It has stationary increments, E(WtH WsH )2 = |t s|2H .
iv. It has the following self similarity property
H
(Wt , t > 0) = (H WtH , t > 0), > 0, (3.25)
where the equivalence is in law.
Proof. See Exercise 19

3.5.3 The Poisson Process

Another fundamental continuous time process is the Poisson process :
Definition 3.5.3. The Poisson process with intensity , denoted by N (t), is an

integer-valued, continuous time, stochastic process with independent increments
satisfying
k
e(ts) (t s)
P[(N (t) N (s)) = k] = , t > s > 0, k N.
k!
The Poisson process does not have a continuous modification. See Exercise 20.
3.6 The Karhunen-Loeve Expansion

Let f L2 () where is a subset of Rd and let {en }
n=1 be an orthonormal basis
2
in L (). Then, it is well known that f can be written as a series expansion:

X
f= fn en ,
n=1
where Z
fn = f (x)en (x) dx.

The convergence is in L2 ():

N
X

lim f (x) fn en (x) = 0.
N
n=1 L2 ()
It turns out that we can obtain a similar expansion for an L2 mean zero process
which is continuous in the L2 sense:
EXt2 < +, EXt = 0, lim E|Xt+h Xt |2 = 0. (3.26)

h0
For simplicity we will take T = [0, 1]. Let R(t, s) = E(Xt Xs ) be the autocorrela-
tion function. Notice that from (3.26) it follows that R(t, s) is continuous in both t
and s (exercise 21).
Let us assume an expansion of the form

X
Xt () = n ()en (t), t [0, 1] (3.27)
n=1

3.6. THE KARHUNEN-LOEVE EXPANSION 47
where {en } 2
n=1 is an orthonormal basis in L (0, 1). The random variables n are
calculated as
Z 1 Z 1X
Xt ek (t) dt = n en (t)ek (t) dt
0 0 n=1

X
= n nk = k ,
n=1
where we assumed that we can interchange the summation and integration. We

will assume that these random variables are orthogonal:
E(n m ) = n nm ,
where {n }
n=1 are positive numbers that will be determined later.
Assuming that an expansion of the form (3.27) exists, we can calculate
X
!
X
R(t, s) = E(Xt Xs ) = E k ek (t) e (s)
k=1 =1
X
X
= E (k ) ek (t)e (s)
k=1 =1
X
= k ek (t)ek (s).
k=1
Consequently, in order to the expansion (3.27) to be valid we need

X
R(t, s) = k ek (t)ek (s). (3.28)
k=1
From equation (3.28) it follows that

Z 1 Z
1X
R(t, s)en (s) ds = k ek (t)ek (s)en (s) ds
0 0 k=1

X Z 1
= k ek (t) ek (s)en (s) ds
k=1 0

X
= k ek (t)kn
k=1
= n en (t).
Hence, in order for the expansion (3.27) to be valid, {n , en (t)}

n=1 have to be
the eigenvalues and eigenfunctions of the integral operator whose kernel is the
correlation function of Xt :
Z 1
R(t, s)en (s) ds = n en (t). (3.29)
0
Hence, in order to prove the expansion (3.27) we need to study the eigenvalue
problem for the integral operator R : L2 [0, 1] 7 L2 [0, 1]. It easy to check that
this operator is self-adjoint ((Rf, h) = (f, Rh) for all f, h L2 (0, 1)) and non-
negative (Rf, f > 0 for all f L2 (0, 1)). Hence, all its eigenvalues are real
and nonnegative. Furthermore, it is a compact operator (if {n } n=1 is a bounded
2
sequence in L (0, 1), then {Rn }n=1 has a convergent subsequence). The spec-
tral theorem for compact, self-adjoint operators implies that R has a countable
sequence of eigenvalues tending to 0. Furthermore, for every f L2 (0, 1) we can
write

X
f = f0 + fn en (t),
n=1
where Rf0 = 0, {en (t)} are the eigenfunctions of R corresponding to nonzero

eigenvalues and the convergence is in L2 . Finally, Mercers Theorem states that
for R(t, s) continuous on [0, 1] [0, 1], the expansion (3.28) is valid, where the
series converges absolutely and uniformly.
Now we are ready to prove (3.27).
Theorem 3.6.1. (Karhunen-Loeve). Let {Xt , t [0, 1]} be an L2 process with

zero mean and continuous correlation function R(t, s). Let {n , en (t)}
n=1 be the
eigenvalues and eigenfunctions of the operator R defined in (3.35). Then

X
Xt = n en (t), t [0, 1], (3.30)
n=1
where Z 1
n = Xt en (t) dt, En = 0, E(n m ) = nm . (3.31)
0
The series converges in L2 to X(t), uniformly in t.
Proof. The fact that En = 0 follows from the fact that Xt is mean zero. The
orthogonality of the random variables {n }
n=1 follows from the orthogonality of

3.6. THE KARHUNEN-LOEVE EXPANSION 49
the eigenfunctions of R:
Z 1Z 1
E(n m ) = E Xt Xs en (t)em (s) dtds
0 0
Z 1Z 1
= R(t, s)en (t)em (s) dsdt
0 0
Z 1
= n en (s)em (s) ds
0
= n nm .
P
Consider now the partial sum SN = N n=1 n en (t).
E|Xt SN |2 = EXt2 + ESN

2
2E(Xt SN )
N N
!
X X
= R(t, t) + E k ek (t)e (t) 2E Xt n en (t)
k,=1 n=1
N
X N Z
X 1
2
= R(t, t) + k |ek (t)| 2E Xt Xs ek (s)ek (t) ds
k=1 k=1 0
XN
= R(t, t) k |ek (t)|2 0,
k=1
by Mercers theorem.
Remark 3.6.2. Let Xt be a Gaussian second order process with continuous co-
variance R(t, s). Then the random variables {k } k=1 are Gaussian, since they
are defined through the time integral of a Gaussian processes. Furthermore, since
they are Gaussian and orthogonal, they are also independent. Hence, for Gaussian
processes the Karhunen-Loeve expansion becomes:
+ p
X
Xt = k k ek (t), (3.32)
k=1
where {k }
k=1 are independent N (0, 1) random variables.
Example 3.6.3. The Karhunen-Loeve Expansion for Brownian Motion. The

correlation function of Brownian motion is R(t, s) = min(t, s). The eigenvalue
problem Rn = n n becomes
Z 1
min(t, s)n (s) ds = n n (t).
0
Let us assume that n > 0 (it is easy to check that 0 is not an eigenvalue). Upon
setting t = 0 we obtain n (0) = 0. The eigenvalue problem can be rewritten in
the form
Z t Z 1
sn (s) ds + t n (s) ds = n n (t).
0 t
We differentiate this equation once:

Z 1
n (s) ds = n n (t).
t
We set t = 1 in this equation to obtain the second boundary condition n (1) = 0.

A second differentiation yields;
n (t) = n n (t),
where primes denote differentiation with respect to t. Thus, in order to calcu-

late the eigenvalues and eigenfunctions of the integral operator whose kernel is
the covariance function of Brownian motion, we need to solve the Sturm-Liouville
problem
n (t) = n n (t), (0) = (1) = 0.
It is easy to check that the eigenvalues and (normalized) eigenfunctions are

2
1 2
n (t) = 2 sin (2n 1)t , n = .
2 (2n 1)
Thus, the Karhunen-Loeve expansion of Brownian motion on [0, 1] is

X 2 1
Wt = 2 n sin (2n 1)t . (3.33)
(2n 1) 2
n=1
We can use the KL expansion in order to study the L2 -regularity of stochas-

tic processes. First, let R be a compact, symmetric positive definite operator on
L2 (0, 1) with eigenvalues and normalized eigenfunctions {k , ek (x)}+
k=1 and con-
R1
sider a function f L2 (0, 1) with 0 f (s) ds = 0. We can define the one parame-
ter family of Hilbert spaces H through the norm
X
kf k2 = kR f k2L2 = |fk |2 .
k
The inner product can be obtained through polarization. This norm enables us to
measure the regularity of the function f (t).3 Let Xt be a mean zero second order
(i.e. with finite second moment) process with continuous autocorrelation function.
Define the space H := L2 ((, P ), H (0, 1)) with (semi)norm
X
kXt k2 = EkXt k2H = |k |1 . (3.34)
k
Notice that the regularity of the stochastic process Xt depends on the decay of the
R1
eigenvalues of the integral operator R := 0 R(t, s) ds.
As an example, consider the L2 -regularity of Brownian motion. From Exam-
ple 3.6.3 we know that k k2 . Consequently, from (3.34) we get that, in order
for Wt to be an element of the space H , we need that
X
|k |2(1) < +,
k
from which we obtain that < 1/2. This is consistent with the Holder continuity
of Brownian motion from Theorem 3.4.6. 4

The Ornstein-Uhlenbeck process was introduced by Ornstein and Uhlenbeck in
1930 as a model for the velocity of a Brownian particle [73].
The kind of analysis presented in Section 3.3.3 was initiated by G.I. Taylor
in [72]. The proof of Bochners theorem 3.3.12 can be found in [39], where addi-
tional material on stationary processes can be found. See also [36].
The spectral theorem for compact, self-adjoint operators which was needed
in the proof of the Karhunen-Loeve theorem can be found in [63]. The Karhunen-
Loeve expansion is also valid for random fields. See [69] and the reference therein.
3.8 Exercises
1. Let Y0 , Y1 , . . . be a sequence of independent, identically distributed random
variables and consider the stochastic process Xn = Yn .
3
Think of R as being the inverse of the Laplacian with periodic boundary conditions. In this case

H coincides with the standard fractional Sobolev space.
4
Notice, however, that Wieners theorem refers to a.s. Holder continuity, whereas the calculation
presented in this section is about L2 -continuity.
(a) Show that Xn is a strictly stationary process.

(b) Assume that EY0 = < + and EY02 = sigma2 < +. Show that

N 1
1 X

lim E Xj = 0.
N + N
j=0
(c) Let f be such that Ef 2 (Y0 ) < +. Show that

NX
1 1
lim E f (Xj ) f (Y0 ) = 0.
N + N
j=0
2. Let Z be a random variable and define the stochastic process Xn = Z, n =

0, 1, 2, . . . . Show that Xn is a strictly stationary process.
3. Let A0 , A1 , . . . Am and B0 , B1 , . . . Bm be uncorrelated random variables with

mean zero and variances EA2i = i2 , EBi2 = i2 , i = 1, . . . m. Let 0 , 1 , . . . m
[0, ] be distinct frequencies and define, for n = 0, 1, 2, . . . , the stochastic
process
Xm
Xn = Ak cos(nk ) + Bk sin(nk ) .
k=0
Calculate the mean and the covariance of Xn . Show that it is a weakly stationary
process.
4. Let {n : n = 0, 1, 2, . . . } be uncorrelated random variables with En =

, E(n )2 = 2 , n = 0, 1, 2, . . . . Let a1 , a2 , . . . be arbitrary real
numbers and consider the stochastic process
Xn = a1 n + a2 n1 + . . . am nm+1 .
(a) Calculate the mean, variance and the covariance function of Xn . Show
that it is a weakly stationary process.

(b) Set ak = 1/ m for k = 1, . . . m. Calculate the covariance function and
study the cases m = 1 and m +.
5. Let W (t) be a standard one dimensional Brownian motion. Calculate the fol-
lowing expectations.
(a) EeiW (t) .

3.8. EXERCISES 53
(b) Eei(W (t)+W (s)) , t, s, (0, +).

P
(c) E( ni=1 ci W (ti ))2 , where ci R, i = 1, . . . n and ti (0, +), i =
1, . . . n.
Pn
(d) Ee i i=1 ci W (ti ) , where ci R, i = 1, . . . n and ti (0, +), i =
1, . . . n.
6. Let Wt be a standard one dimensional Brownian motion and define
Bt = Wt tW1 , t [0, 1].
(a) Show that Bt is a Gaussian process with
EBt = 0, E(Bt Bs ) = min(t, s) ts.
(b) Show that, for t [0, 1) an equivalent definition of Bt is through the

formula
t
Bt = (1 t)W .
1t
(c) Calculate the distribution function of Bt .
7. Let Xt be a mean-zero second order stationary process with autocorrelation

function
N
X 2j |t|
R(t) = e j ,
j
j=1
where {j , j }N
j=1 are positive real numbers.
(a) Calculate the spectral density and the correlaction time of this process.
(b) Show that the assumptions of Theorem 3.3.17 are satisfied and use the
argument presented in Section 3.3.3 (i.e. the Green-Kubo formula) to cal-
Rt
culate the diffusion coefficient of the process Zt = 0 Xs ds.
(c) Under what assumptions on the coefficients {j , j }N
j=1 can you study
the above questions in the limit N +?
8. Prove Lemma 3.10.
9. Let a1 , . . . an and s1 , . . . sn be positive real numbers. Calculate the mean and

variance of the random variable
Xn
X= ai W (si ).
i=1
10. Let W (t) be the standard one-dimensional Brownian motion and let , s1 , s2 >
0. Calculate
(a) EeW (t) .

(b) E sin(W (s1 )) sin(W (s2 )) .
11. Let Wt be a one dimensional Brownian motion and let , > 0 and define
St = et+Wt .
(a) Calculate the mean and the variance of St .

(b) Calculate the probability density function of St .
12. Use Theorem 3.4.4 to prove Lemma 3.4.3.
13. Prove Theorem 3.4.7.
14. Use Lemma 3.4.8 to calculate the distribution function of the stationary Ornstein-
Uhlenbeck process.
15. Calculate the mean and the correlation function of the integral of a standard
Brownian motion Z t
Yt = Ws ds.
0
16. Show that the process

Z t+1
Yt = (Ws Wt ) ds, t R,
t
is second order stationary.
17. Let Vt = et W (e2t ) be the stationary Ornstein-Uhlenbeck process. Give the

definition and study the main properties of the Ornstein-Uhlenbeck bridge.
18. The autocorrelation function of the velocity Y (t) a Brownian particle moving
in a harmonic potential V (x) = 12 02 x2 is
1
R(t) = e|t| cos(|t|) sin(|t|) ,

p
where is the friction coefficient and = 02 2 .
3.8. EXERCISES 55
(a) Calculate the spectral density of Y (t).

(b) Calculate the mean square displacement E(X(t))2 of the position of the
Rt
Brownian particle X(t) = 0 Y (s) ds. Study the limit t +.
19. Show the scaling property (3.25) of the fractional Brownian motion.
20. Use Theorem (3.4.4) to show that there does not exist a continuous modification
of the Poisson process.
21. Show that the correlation function of a process Xt satisfying (3.26) is continu-
ous in both t and s.
22. Let Xt be a stochastic process satisfying (3.26) and R(t, s) its correlation func-
tion. Show that the integral operator R : L2 [0, 1] 7 L2 [0, 1]
Z 1
Rf := R(t, s)f (s) ds (3.35)
0
is self-adjoint and nonnegative. Show that all of its eigenvalues are real and
nonnegative. Show that eigenfunctions corresponding to different eigenvalues
are orthogonal.
23. Let H be a Hilbert space. An operator R : H H is said to be Hilbert-

Schmidt if there exists a complete orthonormal sequence {n }
n=1 in H such
that
X
kRen k2 < .
n=1
Let R : L2 [0, 1] 7 L2 [0, 1] be the operator defined in (3.35) with R(t, s) being
continuous both in t and s. Show that it is a Hilbert-Schmidt operator.
24. Let Xt a mean zero second order stationary process defined in the interval [0, T ]
with continuous covariance R(t) and let {n }+n=1 be the eigenvalues of the
covariance operator. Show that

X
n = T R(0).
n=1
25. Calculate the Karhunen-Loeve expansion for a second order stochastic process
with correlation function R(t, s) = ts.
26. Calculate the Karhunen-Loeve expansion of the Brownian bridge on [0, 1].
27. Let Xt , t [0, T ] be a second order process with continuous covariance and
Karhunen-Loeve expansion

X
Xt = k ek (t).
k=1
Define the process

Y (t) = f (t)X (t) , t [0, S],
where f (t) is a continuous function and (t) a continuous, nondecreasing func-
tion with (0) = 0, (S) = T . Find the Karhunen-Loeve expansion of Y (t),
in an appropriate weighted L2 space, in terms of the KL expansion of Xt . Use
this in order to calculate the KL expansion of the Ornstein-Uhlenbeck process.
28. Calculate the Karhunen-Loeve expansion of a centered Gaussian stochastic pro-

cess with covariance function R(s, t) = cos(2(t s)).
29. Use the Karhunen-Loeve expansion to generate paths of the
(a) Brownian motion on [0, 1].

(b) Brownian bridge on [0, 1].
(c) Ornstein-Uhlenbeck on [0, 1].
Study computationally the convergence of the KL expansion for these pro-

cesses. How many terms do you need to keep in the KL expansion in order
to calculate accurate statistics of these processes?
Chapter 4
Markov Processes
4.1 Introduction
In this chapter we will study some of the basic properties of Markov stochastic
processes. In Section 4.2 we present various examples of Markov processes, in
discrete and continuous time. In Section 4.3 we give the precise definition of a
Markov process. In Section 4.4 we derive the Chapman-Kolmogorov equation,
the fundamental equation in the theory of Markov processes. In Section 4.5 we
introduce the concept of the generator of a Markov process. In Section 4.6 we study
ergodic Markov processes. Discussion and bibliographical remarks are presented
in Section 4.7 and exercises can be found in Section 4.8.
4.2 Examples
Roughly speaking, a Markov process is a stochastic process that retains no mem-
ory of where it has been in the past: only the current state of a Markov process
can influence where it will go next. A bit more precisely: a Markov process is
a stochastic process for which, given the present, past and future are statistically
independent.
Perhaps the simplest example of a Markov process is that of a random walk
in one dimension. We defined the one dimensional random walk as the sum of
independent, mean zero and variance 1 random variables i , i = 1, . . . :
N
X
XN = n , X0 = 0.
n=1
57
58 CHAPTER 4. MARKOV PROCESSES
Let i1 , . . . i2 , . . . be a sequence of integers. Then, for all integers n and m we have

that
P(Xn+m = in+m |X1 = i1 , . . . Xn = in ) = P(Xn+m = in+m |Xn = in ). (4.1)
1 In
words, the probability that the random walk will be at in+m at time n + m
depends only on its current value (at time n) and not on how it got there.
The random walk is an example of a discrete time Markov chain:
Definition 4.2.1. A stochastic process {Sn ; n N} and state space is S = Z is

called a discrete time Markov chain provided that the Markov property (4.1) is
satisfied.
Consider now a continuous-time stochastic process Xt with state space S = Z

and denote by {Xs , s 6 t} the collection of values of the stochastic process up to
time t. We will say that Xt is a Markov processes provided that
P(Xt+h = it+h |{Xs , s 6 t}) = P(Xt+h = it+h |Xt = it ), (4.2)
for all h > 0. A continuous-time, discrete state space Markov process is called a
continuous-time Markov chain.
Example 4.2.2. The Poisson process is a continuous-time Markov chain with

n 0 if j < i,
P(Nt+h = j|Nt = i) = es (s)ji
(ji)! , if j > i.
Similarly, we can define a continuous-time Markov process whose state space

is R. In this case, the above definitions become
P(Xt+h |{Xs , s 6 t}) = P(Xt+h |Xt = x) (4.3)
for all Borel sets .
Example 4.2.3. The Brownian motion is a Markov process with conditional prob-
ability density

1 |x y|2
p(y, t|x, s) := p(Wt = y|Ws = x) = p exp . (4.4)
2(t s) 2(t s)
1
In fact, it is sufficient to take m = 1 in (4.1). See Exercise 1.
4.2. EXAMPLES 59
Example 4.2.4. The Ornstein-Uhlenbeck process Vt = et W (e2t ) is a Markov

process with conditional probability density
!
1 |y xe(ts) |2
p(y, t|x, s) := p(Vt = y|Vs = x) = p exp .
2(1 e2(ts) ) 2(1 e2(ts) )
(4.5)
To prove (4.5) we use the formula for the distribution function of the Brownian
motion to calculate, for t > s,
P(Vt 6 y|Vs = x) = P(et W (e2t ) 6 y|es W (e2s ) = x)

= P(W (e2t ) 6 et y|W (e2s ) = es x)
Z et y |zxes |2
1 2t 2s
= p e 2(e e ) dz
2(e2t e2s )
Z y |et xes |2
1
= p e 2(e2t (1e2(ts) ) d
2e2t (1 e2(ts) )
Z y |x|2
1 2(ts) )
= p e 2(1e d.
2(1 e2(ts) )
Consequently, the transition probability density for the OU process is given by the
formula

p(y, t|x, s) = P(Vt 6 y|Vs = x)
y
!
1 |y xe(ts) |2
= p exp .
2(1 e2(ts) ) 2(1 e2(ts) )
Markov stochastic processes appear in a variety of applications in physics,

chemistry, biology and finance. In this and the next chapter we will develop vari-
ous analytical tools for studying them. In particular, we will see that we can obtain
an equation for the transition probability
P(Xn+1 = in+1 |Xn = in ), P(Xt+h = it+h |Xt = it ), p(Xt+h = y|Xt = x),

(4.6)
which will enable us to study the evolution of a Markov process. This equation
will be called the Chapman-Kolmogorov equation.
We will be mostly concerned with time-homogeneous Markov processes, i.e.
processes for which the conditional probabilities are invariant under time shifts.
For time-homogeneous discrete-time Markov chains we have
P(Xn+1 = j|Xn = i) = P(X1 = j|X0 = i) =: pij .
We will refer to the matrix P = {pij } as the transition matrix. It is each to check
that the transition matrix is a stochastic matrix, i.e. it has nonnegative entries and
P
j pij = 1. Similarly, we can define the n-step transition matrix Pn = {pij (n)}
as
pij (n) = P(Xm+n = j|Xm = i).
We can study the evolution of a Markov chain through the Chapman-Kolmogorov
equation: X
pij (m + n) = pik (m)pkj (n). (4.7)
k
(n)
Indeed, let i := P(Xn = i). The (possibly infinite dimensional) vector n
determines the state of the Markov chain at time n. A simple consequence of the
Chapman-Kolmogorov equation is that we can write an evolution equation for the
vector (n)
(n) = (0) P n , (4.8)
where P n denotes the nth power of the matrix P . Hence in order to calculate the
state of the Markov chain at time n all we need is the initial distribution 0 and the
transition matrix P . Componentwise, the above equation can be written as
(n)
X (0)
j = i ij (n).
i
Consider now a continuous time Markov chain with transition probability
pij (s, t) = P(Xt = j|Xs = i), s 6 t.
If the chain is homogeneous, then
pij (s, t) = pij (0, t s) for all i, j, s, t.
In particular,
pij (t) = P(Xt = j|X0 = i).
The Chapman-Kolmogorov equation for a continuous time Markov chain is
dpij X
= pik (t)gkj , (4.9)
dt
k
4.2. EXAMPLES 61
where the matrix G is called the generator of the Markov chain. Equation (4.9)
can also be written in matrix notation:
dP
= Pt G.
dt
The generator of the Markov chain is defined as
1
G = lim (Ph I).
h0 h
Let now it = P(Xt = i). The vector t is the distribution of the Markov chain at
time t. We can study its evolution using the equation
t = 0 Pt .
Thus, as in the case if discrete time Markov chains, the evolution of a continuous
time Markov chain is completely determined by the initial distribution and and
transition matrix.
Consider now the case a continuous time Markov process with continuous state
space and with continuous paths. As we have seen in Example 4.2.3 the Brownian
motion is an example of such a process. It is a standard result in the theory of par-
tial differential equations that the conditional probability density of the Brownian
motion (4.4) is the fundamental solution of the diffusion equation:
p 1 2p
= , lim p(y, t|x, s) = (y x). (4.10)
t 2 y 2 ts
Similarly, the conditional distribution of the OU process satisfies the initial value
problem
p (yp) 1 2 p
= + , lim p(y, t|x, s) = (y x). (4.11)
t y 2 y 2 ts
The Brownian motion and the OU process are examples of a diffusion process.
A diffusion process is a continuous time Markov process with continuous paths.
We will see in Chapter 5, that the conditional probability density p(y, t|x, s) of a
diffusion process satisfies the forward Kolmogorov or Fokker-Planck equation
p 1 2
= (a(y, t)p) + (b(y, t)p), lim p(y, t|x, s) = (y x). (4.12)
t y 2 y 2 ts
as well as the backward Kolmogorov equation

p p 1 2p
= a(x, s) + b(x, s) 2 , lim p(y, t|x, s) = (y x). (4.13)
s x 2 x ts
for appropriate functions a(y, t), b(y, t). Hence, a diffusion process is determined
uniquely from these two functions.
4.3 Definition of a Markov Process

In Section 4.1 we gave the definition of Markov process whose time is either dis-
crete or continuous, and whose state space is the set of integers. We also gave
several examples of Markov chains as well as of processes whose state space is the
real line. In this section we give the precise definition of a Markov process with
t T , a general index set and S = E, an arbitrary metric space. We will use this
formulation in the next section to derive the Chapman-Kolmogorov equation.
In order to state the definition of a continuous-time Markov process that takes
values in a metric space we need to introduce various new concepts. For the defini-
tion of a Markov process we need to use the conditional expectation of the stochas-
tic process conditioned on all past values. We can encode all past information
about a stochastic process into an appropriate collection of -algebras. Our set-
ting will be that we have a probability space (, F, P) and an ordered set T . Let
X = Xt () be a stochastic process from the sample space (, F) to the state space
(E, G), where E is a metric space (we will usually take E to be either R or Rd ).
Remember that the stochastic process is a function of two variables, t T and
.
We start with the definition of a algebra generated by a collection of sets.
Definition 4.3.1. Let K be a collection of subsets of . The smallest algebra on

which contains K is denoted by (K) and is called the algebra generated by
K.
Definition 4.3.2. Let Xt : 7 E, t T . The smallest algebra (Xt , t

T ), such that the family of mappings {Xt , t T } is a stochastic process with
sample space (, (Xt , t T )) and state space (E, G), is called the algebra
generated by {Xt , t T }.
In other words, the algebra generated by Xt is the smallest algebra such

that Xt is a measurable function (random variable) with respect to it: the set

: Xt () 6 x (Xt , t T )
for all x R (we have assumed that E = R).
Definition 4.3.3. A filtration on (, F) is a nondecreasing family {Ft , t T } of

subalgebras of F: Fs Ft F for s 6 t.
4.3. DEFINITION OF A MARKOV PROCESS 63
We set F = (tT Ft ). The filtration generated by Xt , where Xt is a

stochastic process, is
FtX := (Xs ; s 6 t) .
Definition 4.3.4. A stochastic process {Xt ; t T } is adapted to the filtration

Ft := {Ft , t T } if for all t T , Xt is an Ft measurable random variable.
Definition 4.3.5. Let {Xt } be a stochastic process defined on a probability space

(, F, ) with values in E and let FtX be the filtration generated by {Xt ; t T }.
Then {Xt ; t T } is a Markov process if
P(Xt |FsX ) = P(Xt |Xs ) (4.14)
for all t, s T with t > s, and B(E).
Remark 4.3.6. The filtration FtX is generated by events of the form {|Xs1
B1 , Xs2 B2 , . . . Xsn Bn , } with 0 6 s1 < s2 < < sn 6 s and Bi
B(E). The definition of a Markov process is thus equivalent to the hierarchy of
equations
P(Xt |Xt1 , Xt2 , . . . Xtn ) = P(Xt |Xtn ) a.s.
for n > 1, 0 6 t1 < t2 < < tn 6 t and B(E).
Roughly speaking, the statistics of Xt for t > s are completely determined

once Xs is known; information about Xt for t < s is superfluous. In other words:
a Markov process has no memory. More precisely: when a Markov process is
conditioned on the present state, then there is no memory of the past. The past and
future of a Markov process are statistically independent when the present is known.
Remark 4.3.7. A non-Markovian process Xt can be described through a Marko-

vian one Yt by enlarging the state space: the additional variables that we introduce
account for the memory in the Xt . This Markovianization trick is very useful
since there exist many analytical tools for analyzing Markovian processes.
Example 4.3.8. The velocity of a Brownian particle is modeled by the stationary

Ornstein-Uhlenbeck process Yt = et W (e2t ). The particle position is given by the
integral of the OU process (we take X0 = 0)
Z t
Xt = Ys ds.
0
The particle position depends on the past of the OU process and, consequently,
is not a Markov process. However, the joint position-velocity process {Xt , Yt } is.
Its transition probability density p(x, y, t|x0 , y0 ) satisfies the forward Kolmogorov
equation
p p 1 2p
= p + (yp) + .
t x y 2 y 2
4.4 The Chapman-Kolmogorov Equation

With a Markov process {Xt } we can associate a function P : T T E B(E)
R+ defined through the relation

P Xt |FsX = P (s, t, Xs , ),
for all t, s T with t > s and all B(E). Assume that Xs = x. Since

P Xt |FsX = P [Xt |Xs ] we can write
P (, t|x, s) = P [Xt |Xs = x] .
The transition function P (t, |x, s) is (for fixed t, x s) a probability measure on

E with P (t, E|x, s) = 1; it is B(E)measurable in x (for fixed t, s, ) and satis-
fies the ChapmanKolmogorov equation
Z
P (, t|x, s) = P (, t|y, u)P (dy, u|x, s). (4.15)
E
for all x E, B(E) and s, u, t T with s 6 u 6 t. The derivation of the

Chapman-Kolmogorov equation is based on the assumption of Markovianity and
on properties of the conditional probability. Let (, F, ) be a probability space,
X a random variable from (, F, ) to (E, G) and let F1 F2 F. Then (see
Theorem 2.4.1)
E(E(X|F2 )|F1 ) = E(E(X|F1 )|F2 ) = E(X|F1 ). (4.16)
Given G F we define the function PX (B|G) = P (X B|G) for B F.

Assume that f is such that E(f (X)) < . Then
Z
E(f (X)|G) = f (x)PX (dx|G). (4.17)
R
4.4. THE CHAPMAN-KOLMOGOROV EQUATION 65
Now we use the Markov property, together with equations (4.16) and (4.17) and
the fact that s < u FsX FuX to calculate:
P (, t|x, s) := P(Xt |Xs = x) = P(Xt |FsX )

= E(I (Xt )|FsX ) = E(E(I (Xt )|FsX )|FuX )
= E(E(I (Xt )|FuX )|FsX ) = E(P(Xt |Xu )|FsX )
= E(P(Xt |Xu = y)|Xs = x)
Z
= P (, t|Xu = y)P (dy, u|Xs = x)
ZR
=: P (, t|y, u)P (dy, u|x, s).

R
I () denotes the indicator function of the set . We have also set E = R. The
CK equation is an integral equation and is the fundamental equation in the theory
of Markov processes. Under additional assumptions we will derive from it the
Fokker-Planck PDE, which is the fundamental equation in the theory of diffusion
processes, and will be the main object of study in this course.
Definition 4.4.1. A Markov process is homogeneous if
P (t, |Xs = x) := P (s, t, x, ) = P (0, t s, x, ).
We set P (0, t, , ) = P (t, , ). The ChapmanKolmogorov (CK) equation becomes

Z
P (t + s, x, ) = P (s, x, dz)P (t, z, ). (4.18)
E
Let Xt be a homogeneous Markov process and assume that the initial distri-
bution of Xt is given by the probability measure () = P (X0 ) (for deter-
ministic initial conditionsX0 = x we have that () = I (x) ). The transition
function P (x, t, ) and the initial distribution determine the finite dimensional
distributions of X by
P(X0 1 , X(t1 ) 1 , . . . , Xtn n )

Z Z Z
= ... P (tn tn1 , yn1 , n )P (tn1 tn2 , yn2 , dyn1 )
0 1 n1
P (t1 , y0 , dy1 )(dy0 ). (4.19)
Theorem 4.4.2. ([12, Sec. 4.1]) Let P (t, x, ) satisfy (4.18) and assume that
(E, ) is a complete separable metric space. Then there exists a Markov process
X in E whose finite-dimensional distributions are uniquely determined by (4.19).
Let Xt be a homogeneous Markov process with initial distribution () =

P (X0 ) and transition function P (x, t, ). We can calculate the probability of
finding Xt in a set at time t:
Z
P(Xt ) = P (x, t, )(dx).
E
Thus, the initial distribution and the transition function are sufficient to character-
ize a homogeneous Markov process. Notice that they do not provide us with any
information about the actual paths of the Markov process. The transition proba-
bility P (, t|x, s) is a probability measure. Assume that it has a density for all
t > s: Z
P (, t|x, s) = p(y, t|x, s) dy.

Clearly, for t = s we have P (, s|x, s) = I (x). The Chapman-Kolmogorov
equation becomes:
Z Z Z
p(y, t|x, s) dy = p(y, t|z, u)p(z, u|x, s) dzdy,
R
and, since B(R) is arbitrary, we obtain the equation

Z
p(y, t|x, s) = p(y, t|z, u)p(z, u|x, s) dz. (4.20)
R
The transition probability density is a function of 4 arguments: the initial position

and time x, s and the final position and time y, t.
In words, the CK equation tells us that, for a Markov process, the transition
from x, s to y, t can be done in two steps: first the system moves from x to z at
some intermediate time u. Then it moves from z to y at time t. In order to calculate
the probability for the transition from (x, s) to (y, t) we need to sum (integrate) the
transitions from all possible intermediary states z. The above description suggests
that a Markov process can be described through a semigroup of operators, i.e. a
one-parameter family of linear operators with the properties
P0 = I, Pt+s = Pt Ps t, s > 0.
Indeed, let P (t, x, dy) be the transition function of a homogeneous Markov

process. It satisfies the CK equation (4.18):
Z
P (t + s, x, ) = P (s, x, dz)P (t, z, ).
E
4.5. THE GENERATOR OF A MARKOV PROCESSES 67
Let X := Cb (E) and define the operator

Z
(Pt f )(x) := E(f (Xt )|X0 = x) = f (y)P (t, x, dy).
E
This is a linear operator with
(P0 f )(x) = E(f (X0 )|X0 = x) = f (x) P0 = I.
Furthermore:
Z
(Pt+s f )(x) = f (y)P (t + s, x, dy)
Z Z
= f (y)P (s, z, dy)P (t, x, dz)
Z Z
= f (y)P (s, z, dy) P (t, x, dz)
Z
= (Ps f )(z)P (t, x, dz)
= (Pt Ps f )(x).
Consequently:
Pt+s = Pt Ps .
4.5 The Generator of a Markov Processes

Let (E, ) be a metric space and let {Xt } be an E-valued homogeneous Markov
process. Define the one parameter family of operators Pt through
Z
Pt f (x) = f (y)P (t, x, dy) = E[f (Xt )|X0 = x]
for all f (x) Cb (E) (continuous bounded functions on E). Assume for simplicity
that Pt : Cb (E) Cb (E). Then the one-parameter family of operators Pt forms
a semigroup of operators on Cb (E). We define by D(L) the set of all f Cb (E)
such that the strong limit
Pt f f
Lf = lim ,
t0 t
exists.
Definition 4.5.1. The operator L : D(L) Cb (E) is called the infinitesimal

generator of the operator semigroup Pt .
Definition 4.5.2. The operator L : Cb (E) Cb (E) defined above is called the
generator of the Markov process {Xt ; t > 0}.
The semigroup property and the definition of the generator of a semigroup
imply that, formally at least, we can write:
Pt = exp(Lt).
Consider the function u(x, t) := (Pt f )(x). We calculate its time derivative:
u d d Lt
= (Pt f ) = e f
t dt dt
= L eLt f = LPt f = Lu.
Furthermore, u(x, 0) = P0 f (x) = f (x). Consequently, u(x, t) satisfies the initial

value problem
u
= Lu, u(x, 0) = f (x). (4.21)
t
When the semigroup Pt is the transition semigroup of a Markov process Xt ,
then equation (4.21) is called the backward Kolmogorov equation. It governs the
evolution of an observable
u(x, t) = E(f (Xt )|X0 = x).
Thus, given the generator of a Markov process L, we can calculate all the statistics
of our process by solving the backward Kolmogorov equation. In the case where
the Markov process is the solution of a stochastic differential equation, then the
generator is a second order elliptic operator and the backward Kolmogorov equa-
tion becomes an initial value problem for a parabolic PDE.
The space Cb (E) is natural in a probabilistic context, but other Banach spaces
often arise in applications; in particular when there is a measure on E, the spaces
Lp (E; ) sometimes arise. We will quite often use the space L2 (E; ), where
will is the invariant measure of our Markov process. The generator is fre-
quently taken as the starting point for the definition of a homogeneous Markov
process. Conversely, let Pt be a contraction semigroup (Let X be a Banach space
and T : X X a bounded operator. Then T is a contraction provided that
kT f kX 6 kf kX f X), with D(Pt ) Cb (E), closed. Then, under mild
technical hypotheses, there is an Evalued homogeneous Markov process {Xt }
associated with Pt defined through
E[f (X(t)|FsX )] = Pts f (X(s))

4.5. THE GENERATOR OF A MARKOV PROCESSES 69
for all t, s T with t > s and f D(Pt ).
Example 4.5.3. The Poisson process is a homogeneous Markov process.
Example 4.5.4. The one dimensional Brownian motion is a homogeneous Markov

process. The transition function is the Gaussian defined in the example in Lecture
2:
1 |x y|2
P (t, x, dy) = t,x (y)dy, t,x (y) = exp .
2t 2t
The semigroup associated to the standard Brownian motion is the heat semigroup
t d2
1 d2
Pt = e 2 dx2 . The generator of this Markov process is 2 dx2 .
Notice that the transition probability density t,x of the one dimensional
Brownian motion is the fundamental solution (Greens function) of the heat (diffu-
sion) PDE
u 1 2u
= .
t 2 x2
4.5.1 The Adjoint Semigroup

The semigroup Pt acts on bounded measurable functions. We can also define the
adjoint semigroup Pt which acts on probability measures:
Z Z
Pt () = P(Xt |X0 = x) d(x) = p(t, x, ) d(x).
R R
The image of a probability measure under Pt

is again a probability measure.
2
The operators Pt and Pt are adjoint in the L -sense:
Z Z
Pt f (x) d(x) = f (x) d(Pt )(x). (4.22)
R R
We can, formally at least, write
Pt = exp(L t),
where L is the L2 -adjoint of the generator of the process:

Z Z
Lf h dx = f L h dx.
Let t := Pt . This is the law of the Markov process and is the initial dis-
tribution. An argument similar to the one used in the derivation of the backward
Kolmogorov equation (4.21) enables us to obtain an equation for the evolution of

t :
t
= L t , 0 = .
t
Assuming that t = (y, t) dy, = 0 (y) dy this equation becomes:

= L , (y, 0) = 0 (y). (4.23)
t
This is the forward Kolmogorov or Fokker-Planck equation. When the initial
conditions are deterministic, X0 = x, the initial condition becomes 0 = (y x).
Given the initial distribution and the generator of the Markov process Xt , we can
calculate the transition probability density by solving the Forward Kolmogorov
equation. We can then calculate all statistical quantities of this process through the
formula Z
E(f (Xt )|X0 = x) = f (y)(t, y; x) dy.
We will derive rigorously the backward and forward Kolmogorov equations for
Markov processes that are defined as solutions of stochastic differential equations
later on.
We can study the evolution of a Markov process in two different ways: Either
through the evolution of observables (Heisenberg/Koopman)
(Pt f )
= L(Pt f ),
t
or through the evolution of states (Schrodinger/Frobenious-Perron)
(Pt )
= L (Pt ).
t
We can also study Markov processes at the level of trajectories. We will do this
after we define the concept of a stochastic differential equation.
4.6 Ergodic Markov processes

A very important concept in the study of limit theorems for stochastic processes is
that of ergodicity. This concept, in the context of Markov processes, provides us
with information on the longtime behavior of a Markov semigroup.
4.6. ERGODIC MARKOV PROCESSES 71
Definition 4.6.1. A Markov process is called ergodic if the equation
Pt g = g, g Cb (E) t > 0
has only constant solutions.
Roughly speaking, ergodicity corresponds to the case where the semigroup Pt

is such that Pt I has only constants in its null space, or, equivalently, to the case
where the generator L has only constants in its null space. This follows from the
definition of the generator of a Markov process.
Under some additional compactness assumptions, an ergodic Markov process
has an invariant measure with the property that, in the case T = R+ ,
Z t
1
lim g(Xs ) ds = Eg(x),
t+ t 0
where E denotes the expectation with respect to . This is a physicists definition

of an ergodic process: time averages equal phase space averages.
Using the adjoint semigroup we can define an invariant measure as the solution
of the equation
Pt = .
If this measure is unique, then the Markov process is ergodic. Using this, we can
obtain an equation for the invariant measure in terms of the adjoint of the generator
L , which is the generator of the semigroup Pt . Indeed, from the definition of the
generator of a semigroup and the definition of an invariant measure, we conclude
that a measure is invariant if and only if
L = 0
in some appropriate generalized sense ((L , f ) = 0 for every bounded measur-

able function). Assume that (dx) = (x) dx. Then the invariant density satisfies
the stationary Fokker-Planck equation
L = 0.
The invariant measure (distribution) governs the long-time dynamics of the Markov
process.
4.6.1 Stationary Markov Processes

If X0 is distributed according to , then so is Xt for all t > 0. The resulting
stochastic process, with X0 distributed in this way, is stationary . In this case
the transition probability density (the solution of the Fokker-Planck equation) is
independent of time: (x, t) = (x). Consequently, the statistics of the Markov
process is independent of time.
Example 4.6.2. Consider the one-dimensional Brownian motion. The generator
of this Markov process is
1 d2
L= .
2 dx2
The stationary Fokker-Planck equation becomes
d2
= 0, (4.24)
dx2
together with the normalization and non-negativity conditions
Z
> 0, (x) dx = 1. (4.25)
R
There are no solutions to Equation (4.24), subject to the constraints (4.25). 2 Thus,
the one dimensional Brownian motion is not an ergodic process.
Example 4.6.3. Consider a one-dimensional Brownian motion on [0, 1], with pe-
riodic boundary conditions. The generator of this Markov process L is the differ-
d2
ential operator L = 12 dx 2 , equipped with periodic boundary conditions on [0, 1].
This operator is self-adjoint. The null space of both L and L comprises constant
functions on [0, 1]. Both the backward Kolmogorov and the Fokker-Planck equation
reduce to the heat equation
1 2
=
t 2 x2
with periodic boundary conditions in [0, 1]. Fourier analysis shows that the solu-
tion converges to a constant at an exponential rate. See Exercise 6.
Example 4.6.4. The one dimensional Ornstein-Uhlenbeck (OU) process is a
Markov process with generator
d d2
L = x + D 2.
dx dx
2
The general solution to Equation (4.25) is (x) = Ax + B for arbitrary constants
R A and B. This
function is not normalizable, i.e. there do not exist constants A and B so that R rho(x) dx = 1.
The null space of L comprises constants in x. Hence, it is an ergodic Markov

process. In order to calculate the invariant measure we need to solve the stationary
FokkerPlanck equation:
L = 0, > 0, kkL1 (R) = 1. (4.26)
Let us calculate the L2 -adjoint of L. Assuming that f, h decay sufficiently fast at
infinity, we have:
Z Z

Lf h dx = (xx f )h + (Dx2 f )h dx
R ZR Z

= f x (xh) + f (Dx2 h) dx =: f L h dx,
R R
where
d d2 h
L h := (axh) + D 2 .
dx dx
We can calculate the invariant distribution by solving equation (4.26). The invari-
ant measure of this process is the Gaussian measure
r

(dx) = exp x2 dx.
2D 2D
If the initial condition of the OU process is distributed according to the invariant
measure, then the OU process is a stationary Gaussian process.
Let Xt be the 1d OU process and let X0 N (0, D/). Then Xt is a mean
zero, Gaussian second order stationary process on [0, ) with correlation function
D
R(t) = e|t|

and spectral density
D 1
f (x) = .
x2 + 2
Furthermore, the OU process is the only real-valued mean zero Gaussian second-
order stationary Markov process defined on R.

The study of operator semigroups started in the late 40s independently by Hille and
Yosida. Semigroup theory was developed in the 50s and 60s by Feller, Dynkin
and others, mostly in connection to the theory of Markov processes. Necessary
and sufficient conditions for an operator L to be the generator of a (contraction)
semigroup are given by the Hille-Yosida theorem [13, Ch. 7].
4.8 Exercises
1. Let {Xn } be a stochastic process with state space S = Z. Show that it is a
Markov process if and only if for all n
P(Xn+1 = in+1 |X1 = i1 , . . . Xn = in ) = P(Xn+1 = in+1 |Xn = in ).
2. Show that (4.4) is the solution of initial value problem (4.10) as well as of the
final value problem
p 1 2p
= , lim p(y, t|x, s) = (y x).
s 2 x2 st
3. Use (4.5) to show that the forward and backward Kolmogorov equations for the
OU process are
p 1 2p
= (yp) +
t y 2 y 2
and
p p 1 2 p
= x + .
s x 2 x2
4. Let W (t) be a standard one dimensional Brownian motion, let Y (t) = W (t)
with > 0 and consider the process
Z t
X(t) = Y (s) ds.
0
Show that the joint process {X(t), Y (t)} is Markovian and write down the
generator of the process.
5. Let Y (t) = et W (e2t ) be the stationary Ornstein-Uhlenbeck process and con-

sider the process Z t
X(t) = Y (s) ds.
0
Show that the joint process {X(t), Y (t)} is Markovian and write down the
generator of the process.
6. Consider a one-dimensional Brownian motion on [0, 1], with periodic boundary

conditions. The generator of this Markov process L is the differential operator
d2
L = 12 dx 2 , equipped with periodic boundary conditions on [0, 1]. Show that this
4.8. EXERCISES 75
operator is self-adjoint. Show that the null space of both L and L comprises
constant functions on [0, 1]. Conclude that this process is ergodic. Solve the
corresponding Fokker-Planck equation for arbitrary initial conditions 0 (x) .
Show that the solution converges to a constant at an exponential rate. .
7. (a) Let X, Y be mean zero Gaussian random variables with EX 2 = X 2 , EY 2 =

)
Y2 and correlation coefficient (the correlation coefficient is = E(XY
X Y ).
Show that
X
E(X|Y ) = Y.
Y
(b) Let Xt be a mean zero stationary Gaussian process with autocorrelation
function R(t). Use the previous result to show that
R(t)
E[Xt+s |Xs ] = X(s), s, t > 0.
R(0)
(c) Use the previous result to show that the only stationary Gaussian Markov
process with continuous autocorrelation function is the stationary OU pro-
cess.
8. Show that a Gaussian process Xt is a Markov process if and only if
E(Xtn |Xt1 = x1 , . . . Xtn1 = xn1 ) = E(Xtn |Xtn1 = xn1 ).

Chapter 5
Diffusion Processes
5.1 Introduction
In this chapter we study a particular class of Markov processes, namely Markov

processes with continuous paths. These processes are called diffusion processes
and they appear in many applications in physics, chemistry, biology and finance.
In Section 5.2 we give the definition of a diffusion process. In section 5.3 we
derive the forward and backward Kolmogorov equations for one-dimensional diffu-
sion processes. In Section 5.4 we present the forward and backward Kolmogorov
equations in arbitrary dimensions. The connection between diffusion processes
and stochastic differential equations is presented in Section 5.5. Discussion and
bibliographical remarks are included in Section 5.7. Exercises can be found in
Section 5.8.
5.2 Definition of a Diffusion Process
A Markov process consists of three parts: a drift (deterministic), a random process

and a jump process. A diffusion process is a Markov process that has continuous
sample paths (trajectories). Thus, it is a Markov process with no jumps. A diffusion
process can be defined by specifying its first two moments:
Definition 5.2.1. A Markov process Xt with transition function P (, t|x, s) is

called a diffusion process if the following conditions are satisfied.
77
78 CHAPTER 5. DIFFUSION PROCESSES
i. (Continuity). For every x and every > 0

Z
P (dy, t|x, s) = o(t s) (5.1)
|xy|>
uniformly over s < t.
ii. (Definition of drift coefficient). There exists a function a(x, s) such that for
every x and every > 0
Z
(y x)P (dy, t|x, s) = a(x, s)(t s) + o(t s). (5.2)
|yx|6
iii. (Definition of diffusion coefficient). There exists a function b(x, s) such that
for every x and every > 0
Z
(y x)2 P (dy, t|x, s) = b(x, s)(t s) + o(t s). (5.3)
|yx|6
Remark 5.2.2. In Definition 5.2.1 we had to truncate the domain of integration

since we didnt know whether the first and second moments exist. If we assume
that there exists a > 0 such that
Z
1
lim |y x|2+ P (dy, t|x, s) = 0, (5.4)
ts t s Rd
then we can extend the integration over the whole Rd and use expectations in the
definition of the drift and the diffusion coefficient. Indeed, ,let k = 0, 1, 2 and
notice that
Z
|y x|k P (dy, t|x, s)
|yx|>
Z
= |y x|2+ |y x|k(2+) P (dy, t|x, s)
|yx|>
Z
1
6 2+k |y x|2+ P (dy, t|x, s)
|yx|>
Z
1
6 2+k |y x|2+ P (dy, t|x, s).
R d
5.3. THE BACKWARD AND FORWARD KOLMOGOROV EQUATIONS 79
Using this estimate together with (5.4) we conclude that:

Z
1
lim |y x|k P (dy, t|x, s) = 0, k = 0, 1, 2.
ts t s |yx|>
This implies that assumption (5.4) is sufficient for the sample paths to be continuous
(k = 0) and for the replacement of the truncated integrals in (8.73) and (5.3) by
integrals over R (k = 1 and k = 2, respectively). The definitions of the drift and
diffusion coefficients become:

Xt Xs
lim E Xs = x = a(x, s) (5.5)
ts ts
and
|Xt Xs |2
lim E Xs = x = b(x, s) (5.6)
ts ts
5.3 The Backward and Forward Kolmogorov Equations

In this section we show that a diffusion process is completely determined by its first
two moments. In particular, we will obtain partial differential equations that govern
the evolution of the conditional expectation of an arbitrary function of a diffusion
process Xt , u(x, s) = E(f (Xt )|Xs = x), as well as of the transition probability
density p(y, t|x, s). These are the backward and forward Kolmogorov equations.
In this section we shall derive the backward and forward Kolmogorov equa-
tions for one-dimensional diffusion processes. The extension to multidimensional
diffusion processes is presented in Section 5.4.
5.3.1 The Backward Kolmogorov Equation

Theorem 5.3.1. (Kolmogorov) Let f (x) Cb (R) and let
Z
u(x, s) := E(f (Xt )|Xs = x) = f (y)P (dy, t|x, s).
Assume furthermore that the functions a(x, s), b(x, s) are continuous in both x
and s. Then u(x, s) C 2,1 (R R+ ) and it solves the final value problem
u u 1 2u
= a(x, s) + b(x, s) 2 , lim u(s, x) = f (x). (5.7)
s x 2 x st
Proof. First we notice that, the continuity assumption (5.1), together with the fact
that the function f (x) is bounded imply that
Z
u(x, s) = f (y) P (dy, t|x, s)
ZR Z
= f (y)P (dy, t|x, s) + f (y)P (dy, t|x, s)
|yx|6 |yx|>
Z Z
6 f (y)P (dy, t|x, s) + kf kL P (dy, t|x, s)
|yx|6 |yx|>
Z
= f (y)P (dy, t|x, s) + o(t s).
|yx|6
We add and subtract the final condition f (x) and use the previous calculation to
obtain:
Z Z
u(x, s) = f (y)P (dy, t|x, s) = f (x) + (f (y) f (x))P (dy, t|x, s)
R Z R Z
= f (x) + (f (y) f (x))P (dy, t|x, s) + (f (y) f (x))P (dy, t|x, s)
|yx|6 |yx|>
Z
= f (x) + (f (y) f (x))P (dy, t|x, s) + o(t s).
|yx|6
Now the final condition follows from the fact that f (x) Cb (R) and the arbitrari-
ness of .
Now we show that u(s, x) solves the backward Kolmogorov equation. We use
the Chapman-Kolmogorov equation (4.15) to obtain
Z
u(x, ) = f (z)P (dz, t|x, ) (5.8)
R
Z Z
= f (z)P (dz, t|y, )P (dy, |x, )
ZR R
= u(y, )P (dy, |x, ). (5.9)

R
The Taylor series expansion of the function u(x, s) gives

u(x, ) 1 2 u(x, )
u(z, )u(x, ) = (z x)+ (z x)2 (1+ ), |z x| 6 ,
x 2 x2
(5.10)
where 2
u(x, ) 2 u(z, )
= sup .
,|zx|6 x2 x2
Notice that, since u(x, s) is twice continuously differentiable in x, lim0 = 0.

We combine now (5.9) with (5.10) to calculate
Z
u(x, s) u(x, s + h) 1
= P (dy, s + h|x, s)u(y, s + h) u(x, s + h)
h h
Z R
1
= P (dy, s + h|x, s)(u(y, s + h) u(x, s + h))
h R
Z
1
= P (dy, s + h|x, s)(u(y, s + h) u(x, s)) + o(1)
h |xy|<
Z
u 1
= (x, s + h) (y x)P (dy, s + h|x, s)
x h |xy|<
Z
1 2u 1
+ (x, s + h) (y x)2 P (dy, s + h|x, s)(1 + ) + o(1)
2 x2 h |xy|<
u 1 2u
= a(x, s) (x, s + h) + b(x, s) 2 (x, s + h)(1 + ) + o(1).
x 2 x
Equation (5.7) follows by taking the limits 0, h 0.
Assume now that the transition function has a density p(y, t|x, s). In this case
the formula for u(x, s) becomes
Z
u(x, s) = f (y)p(y, t|x, s) dy.
R
Substituting this in the backward Kolmogorov equation we obtain

Z
p(y, t|x, s)
f (y) + As,xp(y, t|x, s) = 0 (5.11)
R s
where
1 2
As,x := a(x, s) + b(x, s) 2 .
x 2 x
Since (5.11) is valid for arbitrary functions f (y), we obtain a partial differential
equations for the transition probability density:
p(y, t|x, s) p(y, t|x, s) 1 2 p(y, t|x, s)

= a(x, s) + b(x, s) . (5.12)
s x 2 x2
Notice that the variation is with respect to the backward variables x, s. We will
obtain an equation with respect to the forward variables y, t in the next section.
5.3.2 The Forward Kolmogorov Equation

In this section we will obtain the forward Kolmogorov equation. In the physics
literature is called the Fokker-Planck equation. We assume that the transition
function has a density with respect to Lebesgue measure.
Z
P (, t|x, s) = p(y, t|x, s) dy.

Theorem 5.3.2. (Kolmogorov) Assume that conditions (5.1), (8.73), (5.3) are sat-
isfied and that p(y, t|, ), a(y, t), b(y, t) C 2,1 (R R+ ). Then the transition
probability density satisfies the equation
p 1 2
= (a(t, y)p) + (b(t, y)p) , lim p(t, y|x, s) = (x y). (5.13)
t y 2 y 2 ts
Proof. Fix a function f (y) C02 (R). An argument similar to the one used in the
proof of the backward Kolmogorov equation gives
Z
1 1
lim f (y)p(y, s + h|x, s) ds f (x) = a(x, s)fx (x) + b(x, s)fxx (x),
h0 h 2
(5.14)
where subscripts denote differentiation with respect to x. On the other hand
Z Z

f (y) p(y, t|x, s) dy = f (y)p(y, t|x, s) dy
t t
Z
1
= lim (p(y, t + h|x, s) p(y, t|x, s)) f (y) dy
h0 h
Z Z
1
= lim p(y, t + h|x, s)f (y) dy p(z, t|s, x)f (z) dz
h0 h
Z Z Z
1
= lim p(y, t + s|z, t)p(z, t|x, s)f (y) dydz p(z, t|s, x)f (z
h0 h
Z Z
1
= lim p(z, t|x, s) p(y, t + h|z, t)f (y) dy f (z) dz
h0 h
Z
1
= p(z, t|x, s) a(z, t)fz (z) + b(z)fzz (z) dz
2
Z
1 2
= (a(z)p(z, t|x, s)) + (b(z)p(z, t|x, s) f (z) dz.
z 2 z 2
In the above calculation used the Chapman-Kolmogorov equation. We have also
performed two integrations by parts and used the fact that, since the test function f
has compact support, the boundary terms vanish.
Since the above equation is valid for every test function f (y), the forward
Kolmogorov equation follows.
Assume now that initial distribution of Xt is 0 (x) and set s = 0 (the initial
time) in (5.13). Define
Z
p(y, t) := p(y, t|x, 0)0 (x) dx. (5.15)
We multiply the forward Kolmogorov equation (5.13) by 0 (x) and integrate with
respect to x to obtain the equation
p(y, t) 1 2
= (a(y, t)p(y, t)) + (b(y, t)p(t, y)) , (5.16)
t y 2 y 2
together with the initial condition
p(y, 0) = 0 (y). (5.17)
The solution of equation (5.16), provides us with the probability that the diffusion
process Xt , which initially was distributed according to the probability density
0 (x), is equal to y at time t. Alternatively, we can think of the solution to (5.13)
as the Greens function for the PDE (5.16). Using (5.16) we can calculate the
expectation of an arbitrary function of the diffusion process Xt :
Z Z
E(f (Xt )) = f (y)p(y, t|x, 0)p(x, 0) dxdy
Z
= f (y)p(y, t) dy,
where p(y, t) is the solution of (5.16). Quite often we need to calculate joint prob-
ability densities. For, example the probability that Xt1 = x1 and Xt2 = x2 . From
the properties of conditional expectation we have that
p(x1 , t1 , x2 , t2 ) = P(Xt1 = x1 , Xt2 = x2 )

= P(Xt1 = x1 |Xt2 = x2 )P(Xt2 = x2 )
= p(x1 , t1 |x2 t2 )p(x2 , t2 ).
Using the joint probability density we can calculate the statistics of a function of
the diffusion process Xt at times t and s:
Z Z
E(f (Xt , Xs )) = f (y, x)p(y, t|x, s)p(x, s) dxdy. (5.18)
The autocorrelation function at time t and s is given by

Z Z
E(Xt Xs ) = yxp(y, t|x, s)p(x, s) dxdy.
In particular, Z Z
E(Xt X0 ) = yxp(y, t|x, 0)p(x, 0) dxdy.
5.4 Multidimensional Diffusion Processes

Let Xt be a diffusion process in Rd . The drift and diffusion coefficients of a diffu-
sion process in Rd are defined as:
Z
1
lim (y x)P (dy, t|x, s) = a(x, s)
ts t s |yx|<
and Z
1
lim (y x) (y x)P (dy, t|x, s) = b(x, s).
ts t s |yx|<
The drift coefficient a(x, s) is a d-dimensional vector field and the diffusion coef-
ficient b(x, s) is a d d symmetric matrix (second order tensor). The generator of
a d dimensional diffusion process is
1
L = a(x, s) + b(x, s) :
2
Xd d
1 X 2
= aj (x, s) + bij (x, s) 2 .
xj 2 xj
j=1 i,j=1
Exercise 5.4.1. Derive rigorously the forward and backward Kolmogorov equa-
tions in arbitrary dimensions.
Assuming that the first and second moments of the multidimensional diffusion
process exist, we can write the formulas for the drift vector and diffusion matrix as

Xt Xs
lim E Xs = x = a(x, s) (5.19)
ts ts
and
(Xt Xs ) (Xt Xs )
lim E Xs = x = b(x, s) (5.20)
ts ts
Notice that from the above definition it follows that the diffusion matrix is sym-
metric and nonnegative definite.
5.5. CONNECTION WITH STOCHASTIC DIFFERENTIAL EQUATIONS 85
5.5 Connection with Stochastic Differential Equations

Notice also that the continuity condition can be written in the form
P (|Xt Xs | > |Xs = x) = o(t s).
Now it becomes clear that this condition implies that the probability of large changes
in Xt over short time intervals is small. Notice, on the other hand, that the above
condition implies that the sample paths of a diffusion process are not differen-
tiable: if they where, then the right hand side of the above equation would have to
be 0 when t s 1. The sample paths of a diffusion process have the regularity
of Brownian paths. A Markovian process cannot be differentiable: we can define
the derivative of a sample paths only with processes for which the past and future
are not statistically independent when conditioned on the present.
Let us denote the expectation conditioned on Xs = x by Es,x . Notice that the
definitions of the drift and diffusion coefficients (5.5) and (5.6) can be written in
the form
Es,x (Xt Xs ) = a(x, s)(t s) + o(t s).
and
Es,x (Xt Xs ) (Xt Xs ) = b(x, s)(t s) + o(t s).
Consequently, the drift coefficient defines the mean velocity vector for the stochas-
tic process Xt , whereas the diffusion coefficient (tensor) is a measure of the local
magnitude of fluctuations of Xt Xs about the mean value. hence, we can write
locally:
Xt Xs a(s, Xs )(t s) + (s, Xs ) t ,
where b = T and t is a mean zero Gaussian process with
E s,x (t s ) = (t s)I.
Since we have that
Wt Ws N (0, (t s)I),
we conclude that we can write locally:
Xt a(s, Xs )t + (s, Xs )Wt .
Or, replacing the differences by differentials:
dXt = a(t, Xt )dt + (t, Xt )dWt .
Hence, the sample paths of a diffusion process are governed by a stochastic dif-
ferential equation (SDE).
5.6 Examples of Diffusion Processes
i. The 1-dimensional Brownian motion starting at x is a diffusion process with

generator
1 d2
L= .
2 dx2
The drift and diffusion coefficients are, respectively a(x) = 0 and b(x) = 1.
The corresponding stochastic differential equation is
dXt = dWt , X0 = x.
The solution of this SDE is
Xt = x + Wt .
ii. The 1-dimensional Ornstein-Uhlenbeck process is a diffusion process with

drift and diffusion coefficients, respectively, a(x) = x and b(x) = D.
The generator of this process is
d D d2
L = x + .
dx 2 dx2
The corresponding SDE is

dXt = Xt dt + D dWt .
The solution to this equation is
Z t (ts)
Xt = et X0 + D e dWs .
0
The argument used in the derivation of the forward and backward Kolmogorov
equations goes back to Kolmogorovs original work. More material on diffusion
processes can be found in [26], [32].
5.8. EXERCISES 87
5.8 Exercises
1. Prove equation (5.14).
2. Derive the initial value problem (5.16), (5.17).
3. Derive rigorously the backward and forward Kolmogorov equations in arbitrary

dimensions.
Chapter 6
The Fokker-Planck Equation
6.1 Introduction
In the previous chapter we derived the backward and forward (Fokker-Planck) Kol-
mogorov equations and we showed that all statistical properties of a diffusion pro-
cess can be calculated from the solution of the Fokker-Planck equation. 1 In this
long chapter we study various properties of this equation such as existence and
uniqueness of solutions, long time asymptotics, boundary conditions and spectral
properties of the Fokker-Planck operator. We also study in some detail various ex-
amples of diffusion processes and of the associated Fokker-Palnck equation. We
will restrict attention to time-homogeneous diffusion processes, for which the drift
and diffusion coefficients do not depend on time.
In Section 6.2 we study various basic properties of the Fokker-Planck equa-
tion, including existence and uniqueness of solutions, writing the equation as a
conservation law and boundary conditions. In Section 6.3 we present some exam-
ples of diffusion processes and use the corresponding Fokker-Planck equation in
order to calculate various quantities of interest such as moments. In Section 6.4 we
study the multidimensional Onrstein-Uhlenbeck process and we study the spectral
properties of the corresponding Fokker-Planck operator. In Section 6.5 we study
stochastic processes whose drift is given by the gradient of a scalar function, gra-
dient flows. In Section 6.7 we solve the Fokker-Planck equation for a gradient
SDE using eigenfunction expansions and we show how the eigenvalue problem
for the Fokker-Planck operator can be reduced to the eigenfunction expansion for
1
In this chapter we will call the equation Fokker-Planck, which is more customary in the physics
literature. rather forward Kolmogorov, which is more customary in the mathematics literature.
89
90 CHAPTER 6. THE FOKKER-PLANCK EQUATION
a Schrodinger operator. In Section 8.2 we study the Langevin equation and the
associated Fokker-Planck equation. In Section 8.3 we calculate the eigenvalues
and eigenfunctions of the Fokker-Planck operator for the Langevin equation in a
harmonic potential. Discussion and bibliographical remarks are included in Sec-
tion 6.8. Exercises can be found in Section 6.9.
6.2 Basic Properties of the FP Equation

6.2.1 Existence and Uniqueness of Solutions
Consider a homogeneous diffusion process on Rd with drift vector and diffusion
matrix a(x) and b(x). The Fokker-Planck equation is
d
X d
p 1 X 2
= (ai (x)p) + (bij (x)p), t > 0, x Rd , (6.1a)
t xj 2 xi xj
j=1 i,j=1
p(x, 0) = f (x), x Rd . (6.1b)

Since f (x) is the probability density of the initial condition (which is a random
variable), we have that
Z
f (x) > 0, and f (x) dx = 1.
Rd
We can also write the equation in non-divergence form:

d d
p X p 1 X 2p
= a
j (x) + bij(x) + c(x)u, t > 0, x Rd , (6.2a)
t xj 2 xi xj
j=1 i,j=1
p(x, 0) = f (x), x Rd , (6.2b)

where
d
X d d
bij 1 X 2 bij X ai
i (x) = ai (x) +
a , ci (x) = .
xj 2 xi xj xi
j=1 i,j=1 i=1
By definition (see equation (5.20)), the diffusion matrix is always symmetric and
nonnegative. We will assume that it is actually uniformly positive definite, i.e. we
will impose the uniform ellipticity condition:
d
X
bij (x)i j > kk2 , Rd , (6.3)
i,j=1
6.2. BASIC PROPERTIES OF THE FP EQUATION 91
Furthermore, we will assume that the coefficients a

, b, c are smooth and that they
satisfy the growth conditions
kb(x)k 6 M, k c(x)k 6 M (1 + kxk2 ).

a(x)k 6 M (1 + kxk), k (6.4)
Definition 6.2.1. We will call a solution to the Cauchy problem for the Fokker
Planck equation (6.2) a classical solution if:
i. u C 2,1 (Rd , R+ ).
ii. T > 0 there exists a c > 0 such that
2
ku(t, x)kL (0,T ) 6 cekxk
iii. limt0 u(t, x) = f (x).
It is a standard result in the theory of parabolic partial differential equations

that, under the regularity and uniform ellipticity assumptions, the Fokker-Planck
equation has a unique smooth solution. Furthermore, the solution can be estimated
in terms of an appropriate heat kernel (i.e. the solution of the heat equation on Rd ).
Theorem 6.2.2. Assume that conditions (6.3) and (6.4) are satisfied, and assume
2
that |f | 6 cekxk . Then there exists a unique classical solution to the Cauchy
problem for the FokkerPlanck equation. Furthermore, there exist positive con-
stants K, so that

1
|p|, |pt |, kpk, kD 2 pk 6 Kt(n+2)/2 exp kxk2 . (6.5)
2t
Notice that from estimates (6.5) it follows that all moments of a uniformly
elliptic diffusion process exist. In particular, we can multiply the Fokker-Planck
equation by monomials xn and then to integrate over Rd and to integrate by parts.
No boundary terms will appear, in view of the estimate (6.5).
Remark 6.2.3. The solution of the Fokker-Planck equation is nonnegative for all
times, provided that the initial distribution is nonnegative. This is follows from the
maximum principle for parabolic PDEs.
6.2.2 The FP equation as a conservation law
The Fokker-Planck equation is in fact a conservation law: it expresses the law of

conservation of probability. To see this we define the probability current to be
the vector whose ith component is
d
1X
Ji := ai (x)p bij (x)p . (6.6)
2 xj
j=1
We use the probability current to write the FokkerPlanck equation as a continuity

equation:
p
+ J = 0.
t
Integrating the FP equation over Rd and integrating by parts on the right hand side
of the equation we obtain
Z
d
p(x, t) dx = 0.
dt Rd
Consequently:
kp(, t)kL1 (Rd ) = kp(, 0)kL1 (Rd ) = 1. (6.7)
Hence, the total probability is conserved, as expected. Equation (6.7) simply means
that
E(Xt Rd ) = 1, t > 0.
6.2.3 Boundary conditions for the FokkerPlanck equation
When studying a diffusion process that can take values on the whole of Rd , then
we study the pure initial value (Cauchy) problem for the Fokker-Planck equation,
equation (6.1). The boundary condition was that the solution decays sufficiently
fast at infinity. For ergodic diffusion processes this is equivalent to requiring that
the solution of the backward Kolmogorov equation is an element of L2 () where
is the invariant measure of the process. There are many applications where it is
important to study stochastic process in bounded domains. In this case it is neces-
sary to specify the value of the stochastic process (or equivalently of the solution
to the Fokker-Planck equation) on the boundary.
6.2. BASIC PROPERTIES OF THE FP EQUATION 93
To understand the type of boundary conditions that we can impose on the

Fokker-Planck equation, let us consider the example of a random walk on the do-
main {0, 1, . . . N }.2 When the random walker reaches either the left or the right
boundary we can either set
i. X0 = 0 or XN = 0, which means that the particle gets absorbed at the

boundary;
ii. X0 = X1 or XN = XN 1 , which means that the particle is reflected at the

boundary;
iii. X0 = XN , which means that the particle is moving on a circle (i.e., we

identify the left and right boundaries).
Hence, we can have absorbing, reflecting or periodic boundary conditions.

Consider the Fokker-Planck equation posed in Rd where is a bounded
domain with smooth boundary. Let J denote the probability current and let n be the
unit outward pointing normal vector to the surface. The above boundary conditions
become:
i. The transition probability density vanishes on an absorbing boundary:
p(x, t) = 0, on .
ii. There is no net flow of probability on a reflecting boundary:
n J(x, t) = 0, on .
iii. The transition probability density is a periodic function in the case of peri-
odic boundary conditions.
Notice that, using the terminology customary to PDEs theory, absorbing boundary
conditions correspond to Dirichlet boundary conditions and reflecting boundary
conditions correspond to Neumann. Of course, on consider more complicated,
mixed boundary conditions.
2
Of course, the random walk is not a diffusion process. However, as we have already seen the
Brownian motion can be defined as the limit of an appropriately rescaled random walk. A similar
construction exists for more general diffusion processes.
Consider now a diffusion process in one dimension on the interval [0, L]. The
boundary conditions are
p(0, t) = p(L, t) = 0 absorbing,
J(0, t)) = J(L, t) = 0 reflecting,
p(0, t) = p(L, t) periodic,
where the probability current is defined in (6.6). An example of mixed boundary

conditions would be absorbing boundary conditions at the left end and reflecting
boundary conditions at the right end:
p(0, t) = J(L, t) = 0.
There is a complete classification of boundary conditions in one dimension, the

Feller classification: the BC can be regular, exit, entrance and natural.
6.3 Examples of Diffusion Processes

6.3.1 Brownian Motion
Brownian Motion on R
Set a(y, t) 0, b(y, t) 2D > 0. This diffusion process is the Brownian motion
with diffusion coefficient D. Let us calculate the transition probability density of
this process assuming that the Brownian particle is at y at time s. The Fokker-
Planck equation for the transition probability density p(x, t|y, s) is:
p 2p
= D 2, p(x, s|y, s) = (x y). (6.8)
t x
The solution to this equation is the Greens function (fundamental solution) of the
heat equation:

1 (x y)2
p(x, t|y, s) = p exp . (6.9)
4D(t s) 4D(t s)
Notice that using the Fokker-Planck equation for the Brownian motion we can
immediately show that the mean squared displacement grows linearly in time. As-
6.3. EXAMPLES OF DIFFUSION PROCESSES 95
suming that the Brownian particle is at the origin at time t = 0 we get

Z
d 2 d
EWt = x2 p(x, t|0, 0) dx
dt dt R
Z
2 p(x, t)
= D x2 dx
R x2
Z
= D p(x, t|0, 0) dx = 2D,
R
where we performed two integrations by parts and we used the fact that, in view
of (6.9), no boundary terms remain. From this calculation we conclude that
EWt2 = 2Dt.
Assume now that the initial condition W0 of the Brownian particle is a random
variable with distribution 0 (x). To calculate the probability density function (dis-
tribution function) of the Brownian particle we need to solve the Fokker-Planck
equation with initial condition 0 (x). In other words, we need to take the aver-
age of the probability density function p(x, t|y, 0) over all initial realizations of
the Brownian particle. The solution of the Fokker-Planck equation, the distribution
function, is Z
p(x, t) = p(x, t|y, 0)0 (y) dy. (6.10)
Notice that only the transition probability density depends on x and y only through
their difference. Thus, we can write p(x, t|y, 0) = p(x y, t). From (6.10) we see
that the distribution function is given by the convolution between the transition
probability density and the initial condition, as we know from the theory of partial
differential equations.
Z
p(x, t) = p(x y, t)0 (y) dy =: p 0 .
Brownian motion with absorbing boundary conditions
We can also consider Brownian motion in a bounded domain, with either absorb-
ing, reflecting or periodic boundary conditions. Set D = 1 and consider the
Fokker-Planck equation (6.8) on [0, 1] with absorbing boundary conditions:
p 1 2p
= , p(0, t) = p(1, t) = 0. (6.11)
t 2 x2
We look for a solution to this equation in a sine Fourier series:

X
p(x, t) = pn (t) sin(nx). (6.12)
k=1
Notice that the boundary conditions are automatically satisfied. The initial condi-
tion is
p(x, 0) = (x x0 ),
where we have assumed that W0 = x0 . The Fourier coefficients of the initial

conditions are
Z 1
pn (0) = 2 (x x0 ) sin(nx) dx = 2 sin(nx0 ).
0
We substitute the expansion (6.12) into (6.11) and use the orthogonality properties
of the Fourier basis to obtain the equations
n2 2
pn = pn n = 1, 2, . . .
2
The solution of this equation is
n2 2
pn (t) = pn (0)e 2
t
.
Consequently, the transition probability density for the Brownian motion on [0, 1]
with absorbing boundary conditions is

X n2 2
p(x, t|x0 , 0) = 2 e 2
t
sin nx0 sin(nx).
n=1
Notice that
lim p(x, t|x0 , 0) = 0.
t
This is not surprising, since all Brownian particles will eventually get absorbed at
the boundary.
Brownian Motion with Reflecting Boundary Condition
Consider now Brownian motion on the interval [0, 1] with reflecting boundary con-
ditions and set D = 1 for simplicity. In order to calculate the transition probability
density we have to solve the Fokker-Planck equation which is the heat equation on
[0, 1] with Neumann boundary conditions:
p 1 2p
= , x p(0, t) = x p(1, t) = 0, p(x, 0) = (x x0 ).
t 2 x2
The boundary conditions are satisfied by functions of the form cos(nx). We look
for a solution in the form of a cosine Fourier series
X
1
p(x, t) = a0 + an (t) cos(nx).
2 n=1
From the initial conditions we obtain

Z 1
an (0) = 2 cos(nx)(x x0 ) dx = 2 cos(nx0 ).
0
We substitute the expansion into the PDE and use the orthonormality of the Fourier
basis to obtain the equations for the Fourier coefficients:
n2 2
a n = an
2
from which we deduce that
n2 2
an (t) = an (0)e 2
t
.
Consequently

X n2 2
p(x, t|x0 , 0) = 1 + 2 cos(nx0 ) cos(nx)e 2
t
.
n=1
Notice that Brownian motion with reflecting boundary conditions is an ergodic

Markov process. To see this, let us consider the stationary Fokker-Planck equation
2 ps
= 0, x ps (0) = x ps (1) = 0.
x2
The unique normalized solution to this boundary value problem is ps (x) = 1.
Indeed, we multiply the equation by ps , integrate by parts and use the boundary
conditions to obtain Z 1
dps 2

dx dx = 0,
0
from which it follows that ps (x) = 1. Alternatively, by taking the limit of p(x, t|x0 , 0)
as t we obtain the invariant distribution:
lim p(x, t|x0 , 0) = 1.

t
Now we can calculate the stationary autocorrelation function:

Z 1Z 1
E(W (t)W (0)) = xx0 p(x, t|x0 , 0)ps (x0 ) dxdx0
0 0
Z !
1Z 1
X 2 2
n 2 t
= xx0 1 + 2 cos(nx0 ) cos(nx)e dxdx0
0 0 n=1
+
1 8 X 1 (2n+1)
2 2
t
= + 4 e 2 .
4 (2n + 1)4
n=0
6.3.2 The Ornstein-Uhlenbeck Process

We set now a(x, t) = x, b(x, t) = 2D > 0. With this drift and diffusion
coefficients the Fokker-Planck equation becomes
p (xp) 2p
= +D 2. (6.13)
t x x
This is the Fokker-Planck equation for the Ornstein-Uhlenbeck process. The cor-
responding stochastic differential equation is

dXt = Xt + 2DdWt .
So, in addition to Brownian motion there is a linear force pulling the particle to-
wards the origin. We know that Brownian motion is not a stationary process, since
the variance grows linearly in time. By adding a linear damping term, it is rea-
sonable to expect that the resulting process can be stationary. As we have already
seen, this is indeed the case.
The transition probability density pOU (x, t|y, s) for an OU particle that is lo-
cated at y at time s is
r !
(x e(ts) y)2
pOU (y, t|x, s) = exp . (6.14)
2D(1 e2(ts) ) 2D(1 e2(ts) )
We obtained this formula in Example (4.2.4) (for = D = 1) by using the fact that
the OU process can be defined through the a time change of the Brownian motion.
We can also derive it by solving equation (6.13). To obtain (6.14), we first take
the Fourier transform of the transition probability density with respect to x, solve
the resulting first order PDE using the method of characteristics and then take the
inverse Fourier transform3
Notice that from formula (6.14) it immediately follows that in the limit as the
friction coefficient goes to 0, the transition probability of the OU processes con-
verges to the transition probability of Brownian motion. Furthermore, by taking
the long time limit in (6.14) we obtain (we have set s = 0)
r
x2
lim pOU (x, t|y, 0) = exp ,
t+ 2D 2D
irrespective of the initial position y of the OU particle. This is to be expected, since
as we have already seen the Ornstein-Uhlenbeck process is an ergodic Markov
process, with a Gaussian invariant distribution
r
x2
ps (x) = exp . (6.15)
2D 2D
Using now (6.14) and (6.15) we obtain the stationary joint probability density
p2 (x, t|y, 0) = p(x, t|y, 0)ps (y)

(x2 + y 2 2xyet )
= exp .
2D 1 e2t 2D(1 e2t )
More generally, we have
!
(x2 + y 2 2xye|ts| )
p2 (x, t|y, s) = p exp (.6.16)
2D 1 e2|ts| 2D(1 e2|ts| )
Now we can calculate the stationary autocorrelation function of the OU process

Z Z
E(X(t)X(s)) = xyp2 (x, t|y, s) dxdy (6.17)
D |ts|
= e . (6.18)

In order to calculate the double integral we need to perform an appropriate change
of variables. The calculation is similar to the one presented in Section 2.6. See
Exercise 2.
3
This calculation will be presented in Section ?? for the Fokker-Planck equation of a linear SDE
in arbitrary dimensions.
Assume that initial position of the OU particle is a random variable distributed

according to a distribution 0 (x). As in the case of a Brownian particle, the proba-
bility density function (distribution function) is given by the convolution integral
Z
p(x, t) = p(x y, t)0 (y) dy, (6.19)
where p(x y, t) := p(x, t|y, 0). When the OU process is distributed initially
according to its invariant distribution, 0 (x) = ps (x) given by (6.15), then the
Ornstein-Uhlenbeck process becomes stationary. The distribution function is given
by ps (x) at all times and the joint probability density is given by (6.16).
Knowledge of the distribution function enables us to calculate all moments of
the OU process using the formula
Z
n
E((Xt ) ) = xn p(x, t) dx,
We will calculate the moments by using the Fokker-Planck equation, rather than
the explicit formula for the transition probability density. Let Mn (t) denote the nth
moment of the OU process,
Z
Mn := xn p(x, t) dx, n = 0, 1, 2, . . . ,
R
Let n = 0. We integrate the FP equation over R to obtain:

Z Z Z 2
p (yp) p
= +D = 0,
t y y 2
after an integration by parts and using the fact that p(x, t) decays sufficiently fast
at infinity. Consequently:
d
M0 = 0 M0 (t) = M0 (0) = 1.
dt
In other words, since
d
kpkL1 (R) = 0,
dt
we deduce that Z Z
p(x, t) dx = p(x, t = 0) dy = 1,
R R
which means that the total probability is conserved, as we have already shown
for the general Fokker-Planck equation in arbitrary dimensions. Let n = 1. We
multiply the FP equation for the OU process by x, integrate over R and perform
and integration by parts to obtain:
d
M1 = M1 .
dt
Consequently, the first moment converges exponentially fast to 0:
M1 (t) = et M1 (0).
Let now n > 2. We multiply the FP equation for the OU process by xn and
integrate by parts (once on the first term on the RHS and twice on the second) to
obtain: Z Z Z
d
y p = n y p + Dn(n 1) y n2 p.
n n
dt
Or, equivalently:
d
Mn = nMn + Dn(n 1)Mn2 , n > 2.
dt
This is a first order linear inhomogeneous differential equation. We can solve it
using the variation of constants formula:
Z t
nt
Mn (t) = e Mn (0) + Dn(n 1) en(ts) Mn2 (s) ds. (6.20)
0
We can use this formula, together with the formulas for the first two moments in
order to calculate all higher order moments in an iterative way. For example, for
n = 2 we have
Z t
M2 (t) = e2t M2 (0) + 2D e2(ts) M0 (s) ds
0
2t D
= e M2 (0) + e2t (e2t 1)

D D
= + e2t M2 (0) .

Consequently, the second moment converges exponentially fast to its stationary
D
value 2 . The stationary moments of the OU process are:
r Z
n y 2
hy iOU := y n e 2D dx
2D R
n
D n/2
= 1.3 . . . (n 1) , n even,
0, n odd.
It is not hard to check that (see Exercise 3)
lim Mn (t) = hy n iOU (6.21)

t
exponentially fast4 . Since we have already shown that the distribution function of
the OU process converges to the Gaussian distribution in the limit as t +, it
is not surprising that the moments also converge to the moments of the invariant
Gaussian measure. What is not so obvious is that the convergence is exponentially
fast. In the next section we will prove that the Ornstein-Uhlenbeck process does,
indeed, converge to equilibrium exponentially fast. Of course, if the initial condi-
tions of the OU process are stationary, then the moments of the OU process become
independent of time and given by their equilibrium values
Mn (t) = Mn (0) = hxn iOU . (6.22)
6.3.3 The Geometric Brownian Motion

We set a(x) = x, b(x) = 12 2 x2 . This is the geometric Brownian motion. The
corresponding stochastic differential equation is
dXt = Xt dt + Xt dWt .
This equation is one of the basic models in mathematical finance. The coefficient
is called the volatility. The generator of this process is
x2 2
L = x + .
x 2 x2
Notice that this operator is not uniformly elliptic. The Fokker-Planck equation of
the geometric Brownian motion is:

p 2 2 x2
= (x) + 2 p .
t x x 2
We can easily obtain an equation for the nth moment of the geometric Brownian
motion:
d 2
Mn = n + n(n 1) Mn , n > 2.
dt 2
4
Of course, we need to assume that the initial distribution has finite moments of all orders in order
to justify the above calculations.
6.4. THE ORNSTEIN-UHLENBECK PROCESS AND HERMITE POLYNOMIALS103
2
Mn (t) = e(+(n1) 2
)nt
Mn (0), n>2
and
M1 (t) = et M1 (0).
Notice that the nth moment might diverge as t , depending on the values of
and . Consider for example the second moment and assume that < 0. We have
2 )t
Mn (t) = e(2+ M2 (0),
which diverges when 2 + 2 > 0.
6.4 The Ornstein-Uhlenbeck Process and Hermite Poly-

nomials
The Ornstein-Uhlenbeck process is one of the few stochastic processes for which
we can calculate explicitly the solution of the corresponding SDE, the solution of
the Fokker-Planck equation as well as the eigenfunctions of the generator of the
process. In this section we will show that the eigenfunctions of the OU process are
the Hermite polynomials. We will also study various properties of the generator
of the OU process. In the next section we will show that many of the properties
of the OU process (ergodicity, self-adjointness of the generator, exponentially fast
convergence to equilibrium, real, discrete spectrum) are shared by a large class of
diffusion processes, namely those for which the drift term can be written in terms
of the gradient of a smooth functions.
The generator of the d-dimensional OU process is (we set the drift coefficient
equal to 1)
L = p p + 1 p (6.23)
where denotes the inverse temperature. We have already seen that the OU pro-
cess is an ergodic Markov process whose unique invariant measure is absolutely
continuous with respect to the Lebesgue measure on Rd with Gaussian density
C (Rd )
1 |p|2
2
(p) = e .
(2 1 )d/2
The natural function space for studying the generator of the OU process is the L2 -
space weighted by the invariant measure of the process. This is a separable Hilbert
space with norm Z
kf k2 := f 2 dp.
Rd
and corresponding inner product
Z
(f, h) = f h dp.
R
Similarly, we can define weighted L2 -spaced involving derivatives, i.e. weighted

Sobolev spaces. See Exercise .
The reason why this is the right function space in which to study questions
related to convergence to equilibrium is that the generator of the OU process be-
comes a self-adjoint operator in this space. In fact, L defined in (6.23) has many
nice properties that are summarized in the following proposition.
Proposition 6.4.1. The operator L has the following properties:
i. For every f, h C02 (Rd ) L2 (Rd ),

Z
1
(Lf, h) = (f, Lh) = f h dp. (6.24)
Rd
ii. L is a non-positive operator on L2 .
iii. Lf = 0 iff f const.

R
iv. For every f C02 (Rd ) L2 (Rd ) with f = 0,
(Lf, f ) > kf k2 (6.25)
Proof. Equation (6.24) follows from an integration by parts:

Z Z
1
(Lf, h) = p f h dp + f h dp
Z Z Z
1
= p f h dp f h dp + p f h dp
= 1 (f, h) .
Non-positivity of L follows from (6.24) upon setting h = f :
(Lf, f ) = 1 kf k2 6 0.
Similarly, multiplying the equation Lf = 0 by f , integrating over Rd and us-

ing (6.24) gives
kf k = 0,
from which we deduce that f const. The spectral gap follows from (6.24),
together with Poincares inequality for Gaussian measures:
Z Z
2 1
f dp 6 |f |2 dp (6.26)
Rd Rd
R
for every f H 1 (Rd ; ) with f = 0. Indeed, upon combining (6.24)
with (6.26) we obtain:
(Lf, f ) = 1 kf k2
6 kf k2
The spectral gap of the generator of the OU process, which is equivalent to

the compactness of its resolvent, implies that L has discrete spectrum. Further-
more, since it is also a self-adjoint operator, we have that its eigenfunctions form
a countable orthonormal basis for the separable Hilbert space L2 . In fact, we can
calculate the eigenvalues and eigenfunctions of the generator of the OU process in
one dimension.5
Theorem 6.4.2. Consider the eigenvalue problem for the generator of the OU
process in one dimension
Lfn = n fn . (6.27)
Then the eigenvalues of L are the nonnegative integers:
n = n, n = 0, 1, 2, . . . .
The corresponding eigenfunctions are the normalized Hermite polynomials:

1 p
fn (p) = Hn p , (6.28)
n!
where
n p2 dn p2
2
Hn (p) = (1) e 2 e . (6.29)
dpn
5
The multidimensional problem can be treated similarly by taking tensor products of the eigen-
functions of the one dimensional problem.
For the subsequent calculations we will need some additional properties of

Hermite polynomials which we state here without proof (we use the notation 1 =
).
Proposition 6.4.3. For each C, set
2
H(p; ) = ep 2 , p R.
Then

X n
H(p; ) = Hn (p), p R, (6.30)
n!
n=0
where the convergence is both uniform on compact subsets of R C, and for s in

compact subsets of C, uniform in L2 (C; ). In particular, {fn (p) := 1n! Hn ( p) :
n N} is an orthonormal basis in L2 (C; ).
From (6.29) it is clear that Hn is a polynomial of degree n. Furthermore, only

odd (even) powers appear in Hn (p) when n is odd (even). Furthermore, the coef-
ficient multiplying pn in Hn (p) is always 1. The orthonormality of the modified
Hermite polynomials fn (p) defined in (6.28) implies that
Z
fn (p)fm (p) (p) dp = nm .
R
The first few Hermite polynomials and the corresponding rescaled/normalized eigen-
functions of the generator of the OU process are:
H0 (p) = 1, f0 (p) = 1,
p
H1 (p) = p, f1 (p) = p,
1
H2 (p) = p2 1, f2 (p) = p2 ,
2 2
3/2

3
H3 (p) = p3 3p, f3 (p) = 3
p p
6 6
1
H4 (p) = p4 3p2 + 3, f4 (p) = 2 p4 3p2 + 3
24
1 5/2 5
H5 (p) = p5 10p3 + 15p, f5 (p) = p 10 3/2 p3 + 15 1/2 p .
120
The proof of Theorem 6.4.2 follows essentially from the properties of the Hermite
polynomials. First, notice that by combining (6.28) and (6.30) we obtain
p +
X n
H( p, ) = fn (p)
n=0 n!
We differentiate this formula with respect to p to obtain
p p +
X n
H( p, ) = p fn (p),
n=1
n!
since f0 = 1. From this equation we obtain

+
X
p n1
H( p, ) = p fn (p)
n=1 n!
+
X n
= p p fn+1 (p)
n=0 (n + 1)!
from which we deduce that

1
p fk = kfk1 . (6.31)

Similarly, if we differentiate (6.30) with respect to we obtain

+ k
X +
X +
X k
k
(p )H(p; ) = pHk (p) Hk1 (p) Hk+1 (p)
k! (k 1)! k!
k=0 k=1 k=0
from which we obtain the recurrence relation
pHk = Hk+1 + kHk1 .
Upon rescaling, we deduce that

p p
pfk = 1 (k + 1)fk+1 + 1 kfk1 . (6.32)
We combine now equations (6.31) and (6.32) to obtain

p 1
p p fk = k + 1fk+1 . (6.33)

Now we observe that

p 1 1
Lfn = p p p fn

p 1
= p p nfn1 = nfn .

The operators p 1 p and 1 p play the role of creation and anni-
hilation operators. In fact, we can generate all eigenfunctions of the OU operator
from the ground state f0 = 0 through a repeated application of the creation oper-
ator.
Proposition 6.4.4. Set = 1 and let a = p . Then the L2 -adjoint of a+ is
a+ = p + p.
Then the generator of the OU process can be written in the form
L = a+ a .
Furthermore, a+ and a satisfy the following commutation relation
[a+ , a ] = 1
Define now the creation and annihilation operators on C 1 (R) by
1
S+ = p a+
(n + 1)
and
1
S = a .
n
Then
S + fn = fn+1 and S fn = fn1 . (6.34)
In particular,
1
fn = (a+ )n 1 (6.35)
n!
and
1
1 = (a )n fn . (6.36)
n!
Proof. let f, h C 1 (R) L2 . We calculate

Z Z
p f h = f p (h) (6.37)
Z

= f p + p h. (6.38)
Now,
a+ a = (p + p)p = p pp = L.
Similarly,
a a+ = p2 + pp + 1.
and
[a+ , a ] = 1
Forumlas (6.34) follow from (6.31) and (6.33). Finally, formulas (6.35) and (6.36)
are a consequence of (6.31) and (6.33), together with a simple induction argument.
Notice that upon using (6.35) and (6.36) and the fact that a+ is the adjoint of
a we can easily check the orthonormality of the eigenfunctions:
Z Z
1
fn fm = fn (a )m 1
m! Z
1
= (a )m fn
Z m!
= fnm = nm .
From the eigenfunctions and eigenvalues of L we can easily obtain the eigenvalues
and eigenfunctions of L , the Fokker-Planck operator.
Lemma 6.4.5. The eigenvalues and eigenfunctions of the Fokker-Planck operator
L = p2 +p (p)
are
n = n, n = 0, 1, 2, . . . and fn = fn .
Proof. We have
L (fn ) = fn L + Lfn
= nfn .
An immediate corollary of the above calculation is that we can the nth eigen-
function of the Fokker-Planck operator is given by
1 + n
fn = (p) (a ) 1.
n!
6.5 Reversible Diffusions

The stationary Ornstein-Uhlenbeck process is an example of a reversible Markov
process:
Definition 6.5.1. A stationary stochastic process Xt is time reversible if for ev-

ery m N and every t1 , t2 , . . . , tm R+ , the joint probability distribution is
invariant under time reversals:
p(Xt1 , Xt2 , . . . , Xtm ) = p(Xt1 , Xt2 , . . . , Xtm ). (6.39)
In this section we study a more general class (in fact, as we will see later the
most general class) of reversible Markov processes, namely stochastic perturba-
tions of ODEs with a gradient structure.
Let V (x) = 21 x2 . The generator of the OU process can be written as:
L = x V x + 1 x2 .
Consider diffusion processes with a potential V (x), not necessarily quadratic:
L = V (x) + 1 (6.40)
In applications of (6.40) to statistical mechanics the diffusion coefficient 1 =

kB T where kB is Boltzmanns constant and T the absolute temperature. The cor-
responding stochastic differential equation is
p
dXt = V (Xt ) dt + 2 1 dWt . (6.41)
6.5. REVERSIBLE DIFFUSIONS 111
Hence, we have a gradient ODE X t = V (Xt ) perturbed by noise due to ther-

mal fluctuations. The corresponding FP equation is:
p
= (V p) + 1 p. (6.42)
t
It is not possible to calculate the time dependent solution of this equation for an
arbitrary potential. We can, however, always calculate the stationary solution, if it
exists.
Definition 6.5.2. A potential V will be called confining if lim|x|+ V (x) = +

and
eV (x) L1 (Rd ). (6.43)
for all R+ .
Gradient SDEs in a confining potential are ergodic:
Proposition 6.5.3. Let V (x) be a smooth confining potential. Then the Markov
process with generator (6.40) is ergodic. The unique invariant distribution is the
Gibbs distribution
1
p(x) = eV (x) (6.44)
Z
where the normalization factor Z is the partition function
Z
Z= eV (x) dx.
Rd
The fact that the Gibbs distribution is an invariant distribution follows by direct
substitution. Uniqueness follows from a PDEs argument (see discussion below). It
is more convenient to normalize the solution of the Fokker-Planck equation with
respect to the invariant distribution.
Theorem 6.5.4. Let p(x, t) be the solution of the Fokker-Planck equation (6.42),
assume that (6.43) holds and let (x) be the Gibbs distribution (10.11). Define
h(x, t) through
p(x, t) = h(x, t)(x).
Then the function h satisfies the backward Kolmogorov equation:
h
= V h + 1 h, h(x, 0) = p(x, 0)1 (x). (6.45)
t
Proof. The initial condition follows from the definition of h. We calculate the
gradient and Laplacian of p:
p = h hV
and
p = h 2V h + hV + h|V |2 2 .
We substitute these formulas into the FP equation to obtain
h
= V h + 1 h ,
t
from which the claim follows.
Consequently, in order to study properties of solutions to the FP equation, it is

sufficient to study the backward equation (6.45). The generator L is self-adjoint,
in the right function space. We define the weighted L2 space L2 :
Z
2

L = f | |f |2 (x) dx < ,
Rd
where (x) is the Gibbs distribution. This is a Hilbert space with inner product
Z
(f, h) = f h(x) dx.
Rd
Theorem 6.5.5. Assume that V (x) is a smooth potential and assume that condi-
tion (6.43) holds. Then the operator
L = V (x) + 1
is self-adjoint in L2 . Furthermore, it is non-positive, its kernel consists of con-

stants.
Proof. Let f, C02 (Rd ). We calculate

Z
(Lf, h) = (V + 1 )f h dx
d
ZR Z Z
= (V f )h dx 1 f h dx 1 f h dx
Rd Z R d R d
= 1 f h dx,
Rd
from which self-adjointness follows.

6.5. REVERSIBLE DIFFUSIONS 113
If we set f = h in the above equation we get
(Lf, f ) = 1 kf k2 ,
which shows that L is non-positive.

Clearly, constants are in the null space of L. Assume that f N (L). Then,
from the above equation we get
0 = 1 kf k2 ,
and, consequently, f is a constant.
Remark 6.5.6. The expression (Lf, f ) is called the Dirichlet form of the op-
erator L. In the case of a gradient flow, it takes the form
(Lf, f ) = 1 kf k2 . (6.46)
Using the properties of the generator L we can show that the solution of the
Fokker-Planck equation converges to the Gibbs distribution exponentially fast. For
this we need to use the fact that, under appropriate assumptions on the potential V ,
the Gibbs measure (dx) = Z 1 eV (x) satisfies Poincarès inequality:
Theorem 6.5.7. Assume that the potential V satisfies the convexity condition
D 2 V > I.
Then the corresponding Gibbs measure satisfies the Poincare inequality with con-
stant : Z
f = 0 kf k > kf k . (6.47)
Rd
Theorem 6.5.8. Assume that p(x, 0) L2 (eV ). Then the solution p(x, t) of the
Fokker-Planck equation (6.42) converges to the Gibbs distribution exponentially
fast:
kp(, t) Z 1 eV k1 6 eDt kp(, 0) Z 1 eV k1 . (6.48)
Proof. We Use (6.45), (6.46) and (6.47) to calculate

d 2 h
k(h 1)k = 2 , h 1 = 2 (Lh, h 1)
dt t
= (L(h 1), h 1) = 2Dk(h 1)k
> 2 1 kh 1k2 .
Our assumption on p(, 0) implies that h(, 0) L2 . Consequently, the above

calculation shows that
1 t
kh(, t) 1k 6 e kh(, 0) 1k .
This, and the definition of h, p = h, lead to (6.48).
Remark 6.5.9. The assumption

Z
|p(x, 0)|2 Z 1 eV <
Rd
is very restrictive (think of the case where V = x2 ). The function space L2 (1 ) =

L2 (eV ) in which we prove convergence is not the right space to use. Since
p(, t) L1 , ideally we would like to prove exponentially fast convergence in L1 .
We can prove convergence in L1 using the theory of logarithmic Sobolev inequal-
ities. In fact, we can also prove convergence in relative entropy:
Z
p
H(p|V ) := p ln dx.
Rd V
The relative entropy norm controls the L1 norm:
k1 2 k2L1 6 CH(1 |2 )
Using a logarithmic Sobolev inequality, we can prove exponentially fast conver-

gence to equilibrium, assuming only that the relative entropy of the initial condi-
tions is finite.
A much sharper version of the theorem of exponentially fast convergence to

equilibrium is the following:
Theorem 6.5.10. Let p denote the solution of the FokkerPlanck equation (6.42)
where the potential is smooth and uniformly convex. Assume that the the initial
conditions satisfy
H(p(, 0)|V ) < .
Then p converges to the Gibbs distribution exponentially fast in relative entropy:
1 t
H(p(, t)|V ) 6 e H(p(, 0)|V ).
Self-adjointness of the generator of a diffusion process is equivalent to time-

reversibility.
6.6. PERTURBATIONS OF NON-REVERSIBLE DIFFUSIONS 115
Theorem 6.5.11. Let Xt be a stationary Markov process in Rd with generator
L = b(x) + 1
and invariant measure . Then the following three statements are equivalent.
i. The process it time-reversible.
ii. Its generator of the process is symmetric in L2 (Rd ; (dx)).
iii. There exists a scalar function V (x) such that
b(x) = V (x).
6.5.1 Markov Chain Monte Carlo (MCMC)

The Smoluchowski SDE (6.41) has a very interesting application in statistics. Sup-
pose we want to sample from a probability distribution (x). One method for
doing this is by generating the dynamics whose invariant distribution is precisely
(x). In particular, we consider the Smolochuwoski equation

dXt = ln((Xt )) dt + 2dWt . (6.49)
Assuming that ln((x)) is a confining potential, then Xt is an ergodic Markov

process with invariant distribution (x). Furthermore, the law of Xt converges to
(x) exponentially fast:
kt kL1 6 et k0 kL1 .
1
The exponent is related to the spectral gap of the generator L = (x) (x)
+ . This technique for sampling from a given distribution is an example of the
Markov Chain Monte Carlo (MCMC) methodology.
6.6 Perturbations of non-Reversible Diffusions

We can add a perturbation to a non-reversible diffusion without changing the in-
variant distribution Z 1 eV .
Proposition 6.6.1. Let V (x) be a confining potential, (x) a smooth vector field
and consider the diffusion process
p
dXt = (V (Xt ) + (x)) dt + 2 1 dWt . (6.50)
Then the invariant measure of the process Xt is the Gibbs measure (dx) =
1 V (x)
Ze dx if and only if (x) is divergence-free with respect to the density of
this measure:
(x)eV (x)) = 0. (6.51)
6.7 Eigenfunction Expansions

Consider the generator of a gradient stochastic flow with a uniformly convex po-
tential
L = V + D. (6.52)
We know that L is a non-positive self-adjoint operator on L2 and that it has a

spectral gap:
(Lf, f ) 6 Dkf k2
where is the Poincare constant of the potential V (i.e. for the Gibbs measure
Z 1 eV (x) dx). The above imply that we can study the spectral problem for L:
Lfn = n fn , n = 0, 1, . . .
The operator L has real, discrete spectrum with
0 = 0 < 1 < 2 < . . .
Furthermore, the eigenfunctions {fj } 2

j=1 form an orthonormal basis in L : we can
2
express every element of L in the form of a generalized Fourier series:

X
= n fn , n = (, fn ) (6.53)
n=0
with (fn , fm ) = nm . This enables us to solve the time dependent FokkerPlanck

equation in terms of an eigenfunction expansion. Consider the backward Kol-
mogorov equation (6.45). We assume that the initial conditions h0 (x) = (x)
L2 and consequently we can expand it in the form (6.53). We look for a solution
of (6.45) in the form
X
h(x, t) = hn (t)fn (x).
n=0
6.7. EIGENFUNCTION EXPANSIONS 117
We substitute this expansion into the backward Kolmogorov equation:

!
h X X
= h n fn = L hn fn (6.54)
t
n=0 n=0
X
= n hn fn . (6.55)
n=0
We multiply this equation by fm , integrate wrt the Gibbs measure and use the
orthonormality of the eigenfunctions to obtain the sequence of equations
h n = n hn , n = 0, 1,
The solution is
h0 (t) = 0 , hn (t) = en t n , n = 1, 2, . . .
Notice that
Z Z
1 = p(x, 0) dx = p(x, t) dx
d Rd
ZR
= h(x, t)Z 1 eV dx = (h, 1) = (, 1)
Rd
= 0 .
Consequently, the solution of the backward Kolmogorov equation is

X
h(x, t) = 1 + en t n fn .
n=1
This expansion, together with the fact that all eigenvalues are positive (n > 1),
shows that the solution of the backward Kolmogorov equation converges to 1 ex-
ponentially fast. The solution of the FokkerPlanck equation is

!
X
1 V (x) n t
p(x, t) = Z e 1+ e n fn .
n=1
6.7.1 Reduction to a Schrodinger Equation

Lemma 6.7.1. The FokkerPlanck operator for a gradient flow can be written in
the self-adjoint form
p
= D eV /D eV /D p . (6.56)
t
Define now (x, t) = eV /2D p(x, t). Then solves the PDE
|V |2 V
= D U (x), U (x) := . (6.57)
t 4D 2
Let H := D + U . Then L and H have the same eigenvalues. The nth eigen-
function n of L and the nth eigenfunction n of H are associated through the
transformation
V (x)
n (x) = n (x) exp .
2D
Remarks 6.7.2. i. From equation (6.56) shows that the FP operator can be
written in the form

L = D eV /D eV /D .
ii. The operator that appears on the right hand side of eqn. (6.57) has the form
of a Schrodinger operator:
H = D + U (x).
iii. The spectral problem for the FP operator can be transformed into the spec-
tral problem for a Schrodinger operator. We can thus use all the available
results from quantum mechanics to study the FP equation and the associated
SDE.
iv. In particular, the weak noise asymptotics D 1 is equivalent to the semi-

classical approximation from quantum mechanics.
Proof. We calculate

D eV /D eV /D f = D eV /D D 1 V f + f eV /D
= (V f + Df ) = L f.
Consider now the eigenvalue problem for the FP operator:
L n = n n .
1

Set n = n exp 2D V . We calculate L n :

L n = D eV /D eV /D n eV /2D

V
= D eV /D n + n eV /2D
2D
2
|V | V
= Dn + + n eV /2D = eV /2D Hn .
4D 2D
From this we conclude that eV /2D Hn = n n eV /2D from which the equiva-
lence between the two eigenvalue problems follows.
Remarks 6.7.3. i. We can rewrite the Schrodinger operator in the form
U U
H = DA A, A=+ , A = + .
2D 2D
ii. These are creation and annihilation operators. They can also be written in
the form

A = eU/2D eU/2D , A = eU/2D eU/2D
iii. The forward the backward Kolmogorov operators have the same eigenvalues.
Their eigenfunctions are related through
B F
n = n exp (V /D) ,
where B F
n and n denote the eigenfunctions of the backward and forward
operators, respectively.

The proof of existence and uniqueness of classical solutions for the Fokker-Planck
equation of a uniformly elliptic diffusion process with smooth drift and diffusion
coefficients, Theorem 6.2.2, can be found in [21]. A standard textbook on PDEs,
with a lot of material on parabolic PDEs is [13], particularly Chapters 2 and 7 in
this book.
It is important to emphasize that the condition that solutions to the Fokker-
Planck equation do not grow too fast, see Definition 6.2.1, is necessary to ensure
uniqueness. In fact, there are infinitely many solutions of
p
= p in Rd (0, T )
t
p(x, 0) = 0.
Each of these solutions besides the trivial solution p = 0 grows very rapidly as
x +. More details can be found in [34, Ch. 7].
The Fokker-Planck equation is studied extensively in Riskens monograph [64].

See also [25] and [32]. The connection between the Fokker-Planck equation and
stochastic differential equations is presented in Chapter 7. See also [1, 22, 23].
Hermite polynomials appear very frequently in applications and they also play
a fundamental role in analysis. It is possible to prove that the Hermite polynomials
form an orthonormal basis for L2 (Rd , ) without using the fact that they are the
eigenfunctions of a symmetric operator with compact resolvent.6 The proof of
Proposition 6.4.1 can be found in [71], Lemma 2.3.4 in particular.
Diffusion processes in one dimension are studied in [48]. The Feller classifica-
tion for one dimensional diffusion processes can be also found in [35, 15].
Convergence to equilibrium for kinetic equations (such as the Fokker-Planck
equation) both linear and non-linear (e.g., the Boltzmann equation) has been stud-
ied extensively. It has been recognized that the relative entropy and logarithmic
Sobolev inequalities play an important role in the analysis of the problem of con-
vergence to equilibrium. For more information see [49].
6.9 Exercises
1. Solve equation (6.13) by taking the Fourier transform, using the method of char-
acteristics for first order PDEs and taking the inverse Fourier transform.
2. Use the formula for the stationary joint probability density of the Ornstein-
Uhlenbeck process, eqn. (6.17) to obtain the stationary autocorrelation function
of the OU process.
3. Use (6.20) to obtain formulas for the moments of the OU process. Prove, using
these formulas, that the moments of the OU process converge to their equilib-
rium values exponentially fast.
4. Show that the autocorrelation function of the stationary Ornstein-Uhlenbeck is

Z Z
E(Xt X0 ) = xx0 pOU (x, t|x0 , 0)ps (x0 ) dxdx0
R R
D |t|
= e ,
2
where ps (x) denotes the invariant Gaussian distribution.
6
In fact, Poincares inequality for Gaussian measures can be proved using the fact that that the
Hermite polynomials form an orthonormal basis for L2 (Rd , ).
6.9. EXERCISES 121
5. Let Xt be a one-dimensional diffusion process with drift and diffusion coeffi-

cients a(y, t) = a0 a1 y and b(y, t) = b0 + b1 y + b2 y 2 where ai , bi > 0, i =
0, 1, 2.
(a) Write down the generator and the forward and backward Kolmogorov
equations for Xt .
(b) Assume that X0 is a random variable with probability density 0 (x) that
has finite moments. Use the forward Kolmogorov equation to derive a
system of differential equations for the moments of Xt .
(c) Find the first three moments M0 , M1 , M2 in terms of the moments of the
initial distribution 0 (x).
(d) Under what conditions on the coefficients ai , bi > 0, i = 0, 1, 2 is M2
finite for all times?
6. Let V be a confining potential in Rd , > 0 and let (x) = Z 1 eV (x) .

Give the definition of the Sobolev space H k (Rd ; ) for k a positive integer
and study some of its basic properties.
7. Let Xt be a multidimensional diffusion process on [0, 1]d with periodic bound-

ary conditions. The drift vector is a periodic function a(x) and the diffusion
matrix is 2DI, where D > 0 and I is the identity matrix.
(a) Write down the generator and the forward and backward Kolmogorov
equations for Xt .
(b) Assume that a(x) is divergence-free ( a(x) = 0). Show that Xt is
ergodic and find the invariant distribution.
(c) Show that the probability density p(x, t) (the solution of the forward Kol-
mogorov equation) converges to the invariant distribution exponentially
fast in L2 ([0, 1]d ). (Hint: Use Poincares inequality on [0, 1]d ).
8. The Rayleigh process Xt is a diffusion process that takes values on (0, +)

with drift and diffusion coefficients a(x) = ax + D
x and b(x) = 2D, respec-
tively, where a, D > 0.
(a) Write down the generator the forward and backward Kolmogorov equa-
tions for Xt .
(b) Show that this process is ergodic and find its invariant distribution.
(c) Solve the forward Kolmogorov (Fokker-Planck) equation using separation

of variables. (Hint: Use Laguerre polynomials).
9. Let x(t) = {x(t), y(t)} be the two-dimensional diffusion process on [0, 2]2
with periodic boundary conditions with drift vector a(x, y) = (sin(y), sin(x))
and diffusion matrix b(x, y) with b11 = b22 = 1, b12 = b21 = 0.
(a) Write down the generator of the process {x(t), y(t)} and the forward and
backward Kolmogorov equations.
(b) Show that the constant function
s (x, y) = C
is the unique stationary distribution of the process {x(t), y(t)} and calcu-
late the normalization constant.
(c) Let E denote the expectation with respect to the invariant distribution
s (x, y). Calculate

E cos(x) + cos(y) and E(sin(x) sin(y)).
10. Let a, D be positive constants and let X(t) be the diffusion process on [0, 1]
with periodic boundary conditions and with drift and diffusion coefficients a(x) =
a and b(x) = 2D, respectively. Assume that the process starts at x0 , X(0) =
x0 .
(a) Write down the generator of the process X(t) and the forward and back-
ward Kolmogorov equations.
(b) Solve the initial/boundary value problem for the forward Kolmogorov
equation to calculate the transition probability density p(x, t|x0 , 0).
(c) Show that the process is ergodic and calculate the invariant distribution
ps (x).
(d) Calculate the stationary autocorrelation function
Z 1Z 1
E(X(t)X(0)) = xx0 p(x, t|x0 , 0)ps (x0 ) dxdx0 .
0 0
Chapter 7
Stochastic Differential Equations
7.1 Introduction
In this part of the course we will study stochastic differential equation (SDEs):
ODEs driven by Gaussian white noise.
Let W (t) denote a standard mdimensional Brownian motion, h : Z Rd
a smooth vector-valued function and : Z Rdm a smooth matrix valued
function (in this course we will take Z = Td , Rd or Rl Tdl . Consider the SDE
dz dW
= h(z) + (z) , z(0) = z0 . (7.1)
dt dt
We think of the term dW dt as representing Gaussian white noise: a mean-zero Gaus-

sian process with correlation (t s)I. The function h in (7.1) is sometimes
referred to as the drift and as the diffusion coefficient. Such a process exists only
as a distribution. The precise interpretation of (7.1) is as an integral equation for
z(t) C(R+ , Z):
Z t Z t
z(t) = z0 + h(z(s))ds + (z(s))dW (s). (7.2)
0 0
In order to make sense of this equation we need to define the stochastic integral
against W (s).
123
124 CHAPTER 7. STOCHASTIC DIFFERENTIAL EQUATIONS
7.2 The Ito and Stratonovich Stochastic Integral

For the rigorous analysis of stochastic differential equations it is necessary to define
stochastic integrals of the form
Z t
I(t) = f (s) dW (s), (7.3)
0
where W (t) is a standard one dimensional Brownian motion. This is not straight-
forward because W (t) does not have bounded variation. In order to define the
stochastic integral we assume that f (t) is a random process, adapted to the filtra-
tion Ft generated by the process W (t), and such that
Z T
E f (s)2 ds < .
0
The Ito stochastic integral I(t) is defined as the L2 limit of the Riemann sum
approximation of (7.3):
K1
X
I(t) := lim f (tk1 ) (W (tk ) W (tk1 )) , (7.4)
K
k=1
where tk = kt and Kt = t. Notice that the function f (t) is evaluated at the

left end of each interval [tn1 , tn ] in (7.4). The resulting Ito stochastic integral I(t)
is a.s. continuous in t. These ideas are readily generalized to the case where W (s)
is a standard d dimensional Brownian motion and f (s) Rmd for each s.
The resulting integral satisfies the Ito isometry
Z t
2
E|I(t)| = E|f (s)|2F ds, (7.5)
0
p
where | |F denotes the Frobenius norm |A|F = tr(AT A). The Ito stochastic
integral is a martingale:
EI(t) = 0
and
E[I(t)|Fs ] = I(s) t > s,
where Fs denotes the filtration generated by W (s).

7.2. THE ITO AND STRATONOVICH STOCHASTIC INTEGRAL 125
Example 7.2.1. Consider the Ito stochastic integral

Z t
I(t) = f (s) dW (s),
0
where f, W are scalarvalued. This is a martingale with quadratic variation

Z t
hIit = (f (s))2 ds.
0
More generally, for f, W in arbitrary finite dimensions, the integral I(t) is

a martingale with quadratic variation
Z t
hIit = (f (s) f (s)) ds.
0
7.2.1 The Stratonovich Stochastic Integral

In addition to the Ito stochastic integral, we can also define the Stratonovich stochas-
tic integral. It is defined as the L2 limit of a different Riemann sum approximation
of (7.3), namely
K1
X 1
Istrat (t) := lim f (tk1 ) + f (tk ) (W (tk ) W (tk1 )) , (7.6)
K 2
k=1
where tk = kt and Kt = t. Notice that the function f (t) is evaluated at both

endpoints of each interval [tn1 , tn ] in (7.6). The multidimensional Stratonovich
integral is defined in a similar way. The resulting integral is written as
Z t
Istrat (t) = f (s) dW (s).
0
The limit in (7.6) gives rise to an integral which differs from the Ito integral. The
situation is more complex than that arising in the standard theory of Riemann in-
tegration for functions of bounded variation: in that case the points in [tk1 , tk ]
where the integrand is evaluated do not effect the definition of the integral, via a
limiting process. In the case of integration against Brownian motion, which does
not have bounded variation, the limits differ. When f and W are correlated through
an SDE, then a formula exists to convert between them.
7.3 Stochastic Differential Equations

Definition 7.3.1. By a solution of (7.1) we mean a Z-valued stochastic process
{z(t)} on t [0, T ] with the properties:
i. z(t) is continuous and Ft adapted, where the filtration is generated by the

Brownian motion W (t);
ii. h(z(t)) L1 ((0, T )), (z(t)) L2 ((0, T ));
iii. equation (7.1) holds for every t [0, T ] with probability 1.
The solution is called unique if any two solutions xi (t), i = 1, 2 satisfy
P(x1 (t) = x2 (t), t [0.T ]) = 1.
It is well known that existence and uniqueness of solutions for ODEs (i.e. when
0 in (7.1)) holds for globally Lipschitz vector fields h(x). A very similar
theorem holds when 6= 0. As for ODEs the conditions can be weakened, when a
priori bounds on the solution can be found.
Theorem 7.3.2. Assume that both h() and () are globally Lipschitz on Z and
that z0 is a random variable independent of the Brownian motion W (t) with
E|z0 |2 < .
Then the SDE (7.1) has a unique solution z(t) C(R+ ; Z) with
Z T
2
E |z(t)| dt < T < .
0
Furthermore, the solution of the SDE is a Markov process.
The Stratonovich analogue of (7.1) is
dz dW
= h(z) + (z) , z(0) = z0 . (7.7)
dt dt
By this we mean that z C(R+ , Z) satisfies the integral equation
Z t Z t
z(t) = z(0) + h(z(s))ds + (z(s)) dW (s). (7.8)
0 0
7.3. STOCHASTIC DIFFERENTIAL EQUATIONS 127
By using definitions (7.4) and (7.6) it can be shown that z satisfying the Stratonovich
SDE (7.7) also satisfies the Ito SDE
dz 1 1 dW
= h(z) + (z)(z)T (z) (z)T + (z) , (7.9a)
dt 2 2 dt
z(0) = z0 , (7.9b)
provided that (z) is differentiable. White noise is, in most applications, an ideal-
ization of a stationary random process with short correlation time. In this context
the Stratonovich interpretation of an SDE is particularly important because it often
arises as the limit obtained by using smooth approximations to white noise. On
the other hand the martingale machinery which comes with the Ito integral makes
it more important as a mathematical object. It is very useful that we can convert
from the Ito to the Stratonovich interpretation of the stochastic integral. There are
other interpretations of the stochastic integral, e.g. the Klimontovich stochastic
integral.
The Definition of Brownian motion implies the scaling property

W (ct) = cW (t),
where the above should be interpreted as holding in law. From this it follows that,
if s = ct, then
dW 1 dW
= ,
ds c dt
again in law. Hence, if we scale time to s = ct in (7.1), then we get the equation
dz 1 1 dW
= h(z) + (z) , z(0) = z0 .
ds c c ds
7.3.1 Examples of SDEs

The SDE for Brownian motion is:

dX = 2dW, X(0) = x.
The Solution is:

X(t) = x + W (t).
The SDE for the Ornstein-Uhlenbeck process is

dX = X dt + 2 dW, X(0) = x.
We can solve this equation using the variation of constants formula:
Z t
t
X(t) = e x+ 2 e(ts) dW (s).
0
We can use Itos formula to obtain equations for the moments of the OU process.
The generator is:
L = xx + x2 .
We apply Itos formula to the function f (x) = xn to obtain:

dX(t)n = LX(t)n dt + 2X(t)n dW

= nX(t)n dt + n(n 1)X(t)n2 dt + n 2X(t)n1 dW.
Consequently:
Z t
n n

X(t) = x + nX(t)n + n(n 1)X(t)n2 dt
0
Z t
+n 2 X(t)n1 dW.
0
By taking the expectation in the above equation we obtain the equation for the mo-
ments of the OU process that we derived earlier using the Fokker-Planck equation:
Z t
Mn (t) = xn + (nMn (s) + n(n 1)Mn2 (s)) ds.
0
Consider the geometric Brownian motion
dX(t) = X(t) dt + X(t) dW (t), (7.10)
where we use the Ito interpretation of the stochastic differential. The generator of
this process is
2 x2 2
L = xx + .
2 x
The solution to this equation is

2
X(t) = X(0) exp ( )t + W (t) . (7.11)
2
FORMULA AND THE FOKKER-PLANCK EQUATION129
7.4. THE GENERATOR, ITOS
To derive this formula, we apply Itos formula to the function f (x) = log(x):

d log(X(t)) = L log(X(t)) dt + xx log(X(t)) dW (t)

1 2 x2 1
= x + 2 dt + dW (t)
x 2 x

2
= dt + dW (t).
2
Consequently:
X(t) 2
log = t + W (t)
X(0) 2
from which (7.11) follows. Notice that the Stratonovich interpretation of this equa-
tion leads to the solution
X(t) = X(0) exp(t + W (t))
7.4 The Generator, Itos formula and the Fokker-Planck

Equation
7.4.1 The Generator
Given the function (z) in the SDE (7.1) we define
(z) = (z)(z)T . (7.12)
The generator L is then defined as

1
Lv = h v + : v. (7.13)
2
This operator, equipped with a suitable domain of definition, is the generator of the
Markov process given by (7.1). The formal L2 adjoint operator L
1
L v = (hv) + (v).
2
7.4.2 Itos Formula

The Ito formula enables us to calculate the rate of change in time of functions
V : Z Rn evaluated at the solution of a Z-valued SDE. Formally, we can write:

d dW
V (z(t)) = LV (z(t)) + V (z(t)), (z(t)) .
dt dt
Note that if W were a smooth time-dependent function this formula would not be
correct: there is an additional term in LV , proportional to , which arises from the
lack of smoothness of Brownian motion. The precise interpretation of the expres-
sion for the rate of change of V is in integrated form:
Lemma 7.4.1. (Itos Formula) Assume that the conditions of Theorem 7.3.2 hold.
Let x(t) solve (7.1) and let V C 2 (Z, Rn ). Then the process V (z(t)) satisfies
Z t Z t
V (z(t)) = V (z(0)) + LV (z(s))ds + hV (z(s)), (z(s)) dW (s)i .
0 0
Let : Z 7 R and consider the function

v(z, t) = E (z(t))|z(0) = z , (7.14)
where the expectation is with respect to all Brownian driving paths. By averaging
in the Ito formula, which removes the stochastic integral, and using the Markov
property, it is possible to obtain the Backward Kolmogorov equation.
Theorem 7.4.2. Assume that is chosen sufficiently smooth so that the backward
Kolmogorov equation
v
= Lv for (z, t) Z (0, ),
t
v = for (z, t) Z {0} , (7.15)
has a unique classical solution v(x, t) C 2,1 (Z (0, ), ). Then v is given by

(7.14) where z(t) solves (7.2).
For a Stratonovich SDE the rules of standard calculus apply: Consider the
Stratonovich SDE (7.29) and let V (x) C 2 (R). Then
dV
dV (X(t)) = (X(t)) (f (X(t)) dt + (X(t)) dW (t)) .
dx
Consider the Stratonovich SDE (7.29) on Rd (i.e. f Rd , : Rn 7 Rd , W (t) is

standard Brownian motion on Rn ). The corresponding Fokker-Planck equation is:
1
= (f ) + ( ())). (7.16)
t 2
Now we can derive rigorously the Fokker-Planck equation.
7.5. LINEAR SDES 131
Theorem 7.4.3. Consider equation (7.2) with z(0) a random variable with density
0 (z). Assume that the law of z(t) has a density (z, t) C 2,1 (Z (0, )). Then
satisfies the Fokker-Planck equation

= L for (z, t) Z (0, ), (7.17a)
t
= 0 for z Z {0}. (7.17b)
Proof. Let E denote averaging with respect to the product measure induced by the
measure with density 0 on z(0) and the independent driving Wiener measure
on the SDE itself. Averaging over random z(0) distributed with density 0 (z), we
find
Z

E ((z(t))) = v(z, t)0 (z) dz
Z
Z
= (eLt )(z)0 (z) dz
ZZ

= (eL t 0 )(z)(z) dz.
Z
But since (z, t) is the density of z(t) we also have

Z
E ((z(t))) = (z, t)(z)dz.
Z
Equating these two expressions for the expectation at time t we obtain
Z Z
L t
(e 0 )(z)(z) dz = (z, t)(z) dz.
Z Z
We use a density argument so that the identity can be extended to all L2 (Z).
Hence, from the above equation we deduce that

(z, t) = eL t 0 (z).
Differentiation of the above equation gives (7.17a). Setting t = 0 gives the initial
condition (7.17b).
7.5 Linear SDEs

In this section we study linear SDEs in arbitrary finite dimensions. Let A Rnn
be a positive definite matrix and let D > 0 be a positive constant. We will consider
the SDE
dX(t) = AX(t) dt + 2D dW (t)
or, componentwise,
d
X
dXi (t) = Aij Xj (t) + 2D dWi (t), i = 1, . . . d.
j=1
The corresponding Fokker-Planck equation is
p
= (Axp) + Dp
t
or
d d
p X X 2p
= (Aij xj p) + D .
t xi
i,j
x2j j=1
Let us now solve the Fokker-Planck equation with initial conditions p(x, t|x0 , 0) =
(x x0 ). We take the Fourier transform of the Fokker-Planck equation to obtain
p
= Ak k p D|k|2 p (7.18)
t
with Z
d
p(x, t|x0 , 0) = (2) eikx p(k, t|x0 , t) dk.
Rd
The initial condition is
p(k, 0|x0 , 0) = eikx0 (7.19)
We know that the transition probability density of a linear SDE is Gaussian. Since
the Fourier transform of a Gaussian function is also Gaussian, we look for a solu-
tion to (7.18) which is of the form
1
p(k, t|x0 , 0) = exp(ik M (t) kT (t)k).
2
We substitute this into (7.18) and use the symmetry of A to obtain the equations
dM d
= AM and = 2A + 2DI,
dt dt
with initial conditions (which follow from (10.13)) M (0) = x0 and (0) = 0
where 0 denotes the zero d d matrix. We can solve these equations using the
spectral resolution of A = B T B. The solutions are
M (t) = eAt M (0)

7.5. LINEAR SDES 133
and
(t) = DA1 DA1 e2At .
We calculate now the inverse Fourier transform of p to obtain the fundamental

solution (Greens function) of the Fokker-Planck equation

d/2 1/2 1 At
T 1 At

p(x, t|x0 , 0) = (2) (det((t))) exp x e x0 (t) x e x0 .
2
(7.20)
We note that generator of the Markov processes Xt is of the form
L = V (x) + D
P
with V (x) = 21 xT Ax = 21 di,j=1 Aij xi xj . This is a confining potential and from
the theory presented in Section 6.5 we know that the process Xt is ergodic. The
invariant distribution is
1 1 T
ps (x) = e 2 x Ax (7.21)
Z
R 1 T dp
with Z = Rd e 2 x Ax dx = (2) 2 det(A1 ). Using the above calculations, we
can calculate the stationary autocorrelation matrix is given by the formula
Z Z
E(X0T Xt ) = xT0 xp(x, t|x0 , 0)ps (x0 ) dxdx0 .
We substitute the formulas for the transitions probability density and the station-
ary distribution, equations (7.21) and (7.20) into the above equations and do the
Gaussian integration to obtain
E(X0T Xt ) = DA1 eAt .
We use now the the variation of constants formula to obtain
Z t
At
Xt = e X0 + 2D eA(ts) dW (s).
0
The matrix exponential can be calculated using the spectral resolution of A:
eAt = B T et B.
7.6 Derivation of the Stratonovich SDE

When white noise is approximated by a smooth process this often leads to Stratonovich
interpretations of stochastic integrals, at least in one dimension. We use multiscale
analysis (singular perturbation theory for Markov processes) to illustrate this phe-
nomenon in a one-dimensional example.
Consider the equations
dx 1
= h(x) + f (x)y, (7.22a)
dt
r
dy y 2D dV
= 2 + , (7.22b)
dt 2 dt
with V being a standard one-dimensional Brownian motion. We say that the pro-
cess x(t) is driven by colored noise: the noise that appears in (7.22a) has non-zero
correlation time. The correlation function of the colored noise (t) := y(t)/ is
(we take y(0) = 0)
1 D 2 |ts|
R(t) = E ((t)(s)) = e .
2
The power spectrum of the colored noise (t) is:
1 D2 1
f (x) = 2
x + (2 )2
2
D 1 D
=
4 x2 + 2 2
and, consequently,

y(t) y(s) 2D
lim E = (t s),
0 2
which implies the heuristic

r
y(t) 2D dV
lim = . (7.23)
0 2 dt
Another way of seeing this is by solving (7.22b) for y/:
r
y 2D dV dy
= . (7.24)
2 dt dt
7.6. DERIVATION OF THE STRATONOVICH SDE 135
If we neglect the O() term on the right hand side then we arrive, again, at the
heuristic (7.23). Both of these arguments lead us to conjecture the limiting Ito
SDE: r
dX 2D dV
= h(X) + f (X) . (7.25)
dt dt
In fact, as applied, the heuristic gives the incorrect limit. Whenever white noise is
approximated by a smooth process, the limiting equation should be interpreted in
the Stratonovich sense, giving
r
dX 2D dV
= h(X) + f (X) . (7.26)
dt dt
This is usually called the Wong-Zakai theorem. A similar result is true in arbitrary
finite and even infinite dimensions. We will show this using singular perturbation
theory.
Theorem 7.6.1. Assume that the initial conditions for y(t) are stationary and that
the function f is smooth. Then the solution of eqn (7.22a) converges, in the limit
as 0 to the solution of the Stratonovich SDE (7.26).
Remarks 7.6.2. i. It is possible to prove pathwise convergence under very

mild assumptions.
ii. The generator of a Stratonovich SDE has the from

D
Lstrat = h(x)x + f (x)x (f (x)x ) .

iii. Consequently, the Fokker-Planck operator of the Stratonovich SDE can be

written in divergence form:
D
Lstrat = x (h(x)) + x f 2 (x)x .

iv. In most applications in physics the white noise is an approximation of a

more complicated noise processes with non-zero correlation time. Hence, the
physically correct interpretation of the stochastic integral is the Stratonovich
one.
v. In higher dimensions an additional drift term might appear due to the non-
commutativity of the row vectors of the diffusion matrix. This is related to
the Levy area correction in the theory of rough paths.
Proof of Proposition 7.6.1 The generator of the process (x(t), y(t)) is
1 1
L = 2
yy + Dy2 + f (x)yx + h(x)x

1 1
=: L0 + L1 + L2 .
2
The fast process is an stationary Markov process with invariant density
r
y2
(y) = e 2D . (7.27)
2D
The backward Kolmogorov equation is

u 1 1
= L 0 + L 1 + L 2 u . (7.28)
t 2
We look for a solution to this equation in the form of a power series expansion in
:
u (x, y, t) = u0 + u1 + 2 u2 + . . .
We substitute this into (7.28) and equate terms of the same power in to obtain the
following hierarchy of equations:
L0 u0 = 0,
L0 u1 = L1 u0 ,
u0
L0 u2 = L1 u1 + L2 u0 .
t
The ergodicity of the fast process implies that the null space of the generator L0
consists only of constant in y. Hence:
u0 = u(x, t).
The second equation in the hierarchy becomes
L0 u1 = f (x)yx u.
This equation is solvable since the right hand side is orthogonal to the null space of
the adjoint of L0 (this is the Fredholm alterantive). We solve it using separation
of variables:
1
u1 (x, y, t) = f (x)x uy + 1 (x, t).

7.6. DERIVATION OF THE STRATONOVICH SDE 137
In order for the third equation to have a solution we need to require that the right
hand side is orthogonal to the null space of L0 :
Z
u0
L1 u1 + L2 u0 (y) dy = 0.
R t
We calculate: Z
u0 u
(y) dy = .
R t t
Furthermore: Z
L2 u0 (y) dy = h(x)x u.
R
Finally
Z Z
1
L1 u1 (y) dy = f (x)yx f (x)x uy + 1 (x, t) (y) dy
R R
1
= f (x)x (f (x)x u) hy 2 i + f (x)x 1 (x, t)hyi

D
= f (x)x (f (x)x u)
2
D D
= f (x)x f (x)x u + 2 f (x)2 x2 u.
2
Putting everything together we obtain the limiting backward Kolmogorov equation

u D D
= h(x) + 2 f (x)x f (x) x u + 2 f (x)2 x2 u,
t
from which we read off the limiting Stratonovich SDE

r
dX 2D dV
= h(X) + f (X) .
dt dt
7.6.1 Ito versus Stratonovich

A Stratonovich SDE
dX(t) = f (X(t)) dt + (X(t)) dW (t) (7.29)
can be written as an Ito SDE

1 d
dX(t) = f (X(t)) + (X(t)) dt + (X(t)) dW (t).
2 dx
Conversely, and Ito SDE
dX(t) = f (X(t)) dt + (X(t))dW (t) (7.30)
can be written as a Statonovich SDE

1 d
dX(t) = f (X(t)) (X(t)) dt + (X(t)) dW (t).
2 dx
The Ito and Stratonovich interpretation of an SDE can lead to equations with very
different properties!
When the diffusion coefficient depends on the solution of the SDE X(t), we
will say that we have an equation with multiplicative noise .
7.7 Numerical Solution of SDEs
7.8 Parameter Estimation for SDEs
7.9 Noise Induced Transitions

Consider the Landau equation:
dXt
= Xt (c Xt2 ), X0 = x. (7.31)
dt
This is a gradient flow for the potential V (x) = 21 cx2 41 x4 . When c < 0 all
solutions are attracted to the single steady state X = 0. When c > 0 the steady

state X = 0 becomes unstable and Xt c if x > 0 and Xt c if x < 0.
Consider additive random perturbations to the Landau equation:
dXt dWt
= Xt (c Xt2 ) + 2 , X0 = x. (7.32)
dt dt
This equation defines an ergodic Markov process on R: There exists a unique
invariant distribution:
Z
1 1
(x) = Z 1 eV (x)/ , Z = eV (x)/ dx, V (x) = cx2 x4 .
R 2 4
(x) is a probability density for all values of c R. The presence of additive noise
in some sense trivializes the dynamics. The dependence of various averaged
quantities on c resembles the physical situation of a second order phase transition.
7.9. NOISE INDUCED TRANSITIONS 139
Consider now multiplicative perturbations of the Landau equation.

dXt dWt
= Xt (c Xt2 ) + 2Xt , X0 = x. (7.33)
dt dt
Where the stochastic differential is interpreted in the Ito sense. The generator of
this process is
L = x(c x2 )x + x2 x2 .
Notice that Xt = 0 is always a solution of (7.33). Thus, if we start with x > 0
(x < 0) the solution will remain positive (negative). We will assume that x > 0.
Consider the function Yt = log(Xt ). We apply Itos formula to this function:
dYt = L log(Xt ) dt + Xt x log(Xt ) dWt

2 1 2 1 1
= Xt (c Xt ) Xt 2 dt + Xt dWt
Xt Xt Xt
= (c ) dt Xt2 dt + dWt .
Thus, we have been able to transform (7.33) into an SDE with additive noise:
h i
dYt = (c ) e2Yt dt + dWt . (7.34)
This is a gradient flow with potential

h 1 i
V (y) = (c )y e2y .
2
The invariant measure, if it exists, is of the form
(y) dy = Z 1 eV (y)/ dy.
Going back to the variable x we obtain:

x2
(x) dx = Z 1 x(c/2) e 2 dx.
We need to make sure that this distribution is integrable:

Z +
x2 c
Z= x e 2 < , = 2.
0
For this it is necessary that
> 1 c > .
Not all multiplicative random perturbations lead to ergodic behavior. The depen-
dence of the invariant distribution on c is similar to the physical situation of first
order phase transitions.

Colored Noise When the noise which drives an SDE has non-zero correlation time
we will say that we have colored noise. The properties of the SDE (stability,
ergodicity etc.) are quite robust under coloring of the noise. See
G. Blankenship and G.C. Papanicolaou, Stability and control of stochastic sys-
tems with wide-band noise disturbances. I, SIAM J. Appl. Math., 34(3), 1978, pp.
437476. Colored noise appears in many applications in physics and chemistry.
For a review see P. Hanggi and P. Jung Colored noise in dynamical systems. Adv.
Chem. Phys. 89 239 (1995).
In the case where there is an additional small time scale in the problem, in
addition to the correlation time of the colored noise, it is not clear what the right
interpretation of the stochastic integral (in the limit as both small time scales go
to 0). This is usually called the Ito versus Stratonovich problem. Consider, for
example, the SDE
X = X + v(X) (t),
where (t) is colored noise with correlation time 2 . In the limit where both small
time scales go to 0 we can get either Ito or Stratonovich or neither. See [40, 56].
Noise induced transitions are studied extensively in [32]. The material in Sec-
tion 7.9 is based on [47]. See also [46].
7.11 Exercises
1. Calculate all moments of the geometric Brownian motion for the Ito and Stratonovich
interpretations of the stochastic integral.
2. Study additive and multiplicative random perturbations of the ODE
dx
= x(c + 2x2 x4 ).
dt
3. Analyze equation (7.33) for the Stratonovich interpretation of the stochastic

integral.
Chapter 8
The Langevin Equation
8.1 Introduction
8.2 The Fokker-Planck Equation in Phase Space (Klein-

Kramers Equation)
Consider a diffusion process in two dimensions for the variables q (position) and
momentum p. The generator of this Markov process is
L = p q q V p + (pp + Dp ). (8.1)
The L2 (dpdq)-adjoint is
L = p q q V p + (p (p) + Dp ) .
The corresponding FP equation is:

p
= L p.
t
The corresponding stochastic differential equations is the Langevin equation
p
t = V (Xt ) X t + 2DW
X t. (8.2)
This is Newtons equation perturbed by dissipation and noise. The Fokker-Planck

equation for the Langevin equation, which is sometimes called the Klein-Kramers-
Chandrasekhar equation was first derived by Kramers in 1923 and was studied
by Kramers in his famous paper [?]. Notice that L is not a uniformly elliptic op-
erator: there are second order derivatives only with respect to p and not q. This is
141
142 CHAPTER 8. THE LANGEVIN EQUATION
an example of a degenerate elliptic operator. It is, however, hypoelliptic. We can

still prove existence, uniqueness and regularity of solutions for the Fokker-Planck
equation, and obtain estimates on the solution. It is not possible to obtain the so-
lution of the FP equation for an arbitrary potential. We can, however, calculate the
(unique normalized) solution of the stationary Fokker-Planck equation.
Theorem 8.2.1. Let V (x) be a smooth confining potential. Then the Markov pro-
cess with generator (8.45) is ergodic. The unique invariant distribution is the
Maxwell-Boltzmann distribution
1 H(p,q)
(p, q) = e (8.3)
Z
where
1
H(p, q) = kpk2 + V (q)
2
1
is the Hamiltonian, = (kB T ) is the inverse temperature and the normaliza-
tion factor Z is the partition function
Z
Z= eH(p,q) dpdq.
R2d
It is possible to obtain rates of convergence in either a weighted L2 -norm or

the relative entropy norm.
H(p(, t)|) 6 Cet .
The proof of this result is very complicated, since the generator L is degenerate
and non-selfadjoint. See for example and the references therein.
Let (q, p, t) be the solution of the Kramers equation and let (q, p) be the
Maxwell-Boltzmann distribution. We can write
(q, p, t) = h(q, p, t) (q, p),
where h(q, p, t) solves the equation

h
= Ah + Sh (8.4)
t
where
A = p q q V p , S = p p + 1 p .
The operator A is antisymmetric in L2 := L2 (R2d ; (q, p)), whereas S is sym-
metric.
8.2. THE FOKKER-PLANCK EQUATION IN PHASE SPACE (KLEIN-KRAMERS EQUATION)143

Let Xi := p i
. The L2 -adjoint of Xi is

Xi = pi + .
pi
We have that
d
X
1
S= Xi Xi .
i=1
Consequently, the generator of the Markov process {q(t), p(t)} can be written in
Hormanders sum of squares form:
d
X
1
L = A + Xi Xi . (8.5)
i=1
We calculate the commutators between the vector fields in (8.5):

[A, Xi ] = , [Xi , Xj ] = 0, [Xi , Xj ] = ij .
qi
Consequently,
Lie(X1 , . . . Xd , [A, X1 ], . . . [A, Xd ]) = Lie(p , q )
which spans Tp,q R2d for all p, q Rd . This shows that the generator L is a
hypoelliptic operator.

Let now Yi = p i
with L2 -adjoint Yi = q i q
V
i
. We have that

V
Xi Yi Yi Xi = pi .
qi qi pi
Consequently, the generator can be written in the form
d
X
1
L= (Xi Yi Yi Xi + Xi Xi ) . (8.6)
i=1
Notice also that

d
X
LV := q V q + 1 q = 1 Yi Yi .
i=1
The phase-space Fokker-Planck equation can be written in the form

+ p q q V p = Q(, fB )
t
where the collision operator has the form

Q(, fB ) = D fB fB1 .
The Fokker-Planck equation has a similar structure to the Boltzmann equation (the
basic equation in the kinetic theory of gases), with the difference that the collision
operator for the FP equation is linear. Convergence of solutions of the Boltzmann
equation to the Maxwell-Boltzmann distribution has also been proved. See ??.
We can study the backward and forward Kolmogorov equations for (9.13) by
expanding the solution with respect to the Hermite basis. We consider the problem
in 1d. We set D = 1. The generator of the process is:

L = pq V (q)p + pp + p2 .
=: L1 + L0 ,
where
L0 := pp + p2 and L1 := pq V (q)p .
The backward Kolmogorov equation is
h
= Lh. (8.7)
t
The solution should be an element of the weighted L2 -space
Z
2 2 1 H(p,q)
L = f | |f | Z e dpdq < .
R2
We notice that the invariant measure of our Markov process is a product measure:
1 2
eH(p,q) = e 2 |p| eV (q) .
1 2
The space L2 (e 2 |p| dp) is spanned by the Hermite polynomials. Consequently,
we can expand the solution of (8.7) into the basis of Hermite basis:

X
h(p, q, t) = hn (q, t)fn (p), (8.8)
n=0

where fn (p) = 1/ n!Hn (p). Our plan is to substitute (8.8) into (8.7) and obtain a
sequence of equations for the coefficients hn (q, t). We have:

X
X
L0 h = L0 hn fn = nhn fn
n=0 n=0
8.2. THE FOKKER-PLANCK EQUATION IN PHASE SPACE (KLEIN-KRAMERS EQUATION)145
Furthermore
L1 h = q V p h + pq h.
We calculate each term on the right hand side of the above equation separately. For
this we will need the formulas

p fn = nfn1 and pfn = nfn1 + n + 1fn+1 .

X
X
pq h = pq hn fn = pp h0 + q hn pfn
n=0 n=1

X
= q h0 f1 + q hn nfn1 + n + 1fn+1
n=1

X
= ( n + 1q hn+1 + nq hn1 )fn
n=0
with h1 0. Furthermore

X
X
q V p h = q V hn p fn = q V hn nfn1
n=0 n=0
X

= q V hn+1 n + 1fn .
n=0
Consequently:
Lh = L1 + L1 h

X
= nhn + n + 1q hn+1
n=0

+ nq hn1 + n + 1q V hn+1 fn
Using the orthonormality of the eigenfunctions of L0 we obtain the following set

of equations which determine {hn (q, t)}
n=0 .

h n = nhn + n + 1q hn+1

+ nq hn1 + n + 1q V hn+1 , n = 0, 1, . . .
This is set of equations is usually called the Brinkman hierarchy (1956). We can
use this approach to develop a numerical method for solving the Klein-Kramers
equation. For this we need to expand each coefficient hn in an appropriate basis

with respect to q. Obvious choices are other the Hermite basis (polynomial po-
tentials) or the standard Fourier basis (periodic potentials). We will do this for the
case of periodic potentials. The resulting method is usually called the continued
fraction expansion. See [64]. The Hermite expansion of the distribution func-
tion wrt to the velocity is used in the study of various kinetic equations (including
the Boltzmann equation). It was initiated by Grad in the late 40s. It quite often
used in the approximate calculation of transport coefficients (e.g. diffusion coeffi-
cient). This expansion can be justified rigorously for the Fokker-Planck equation.
See [53]. This expansion can also be used in order to solve the Poisson equation
L = f (p, q). See [58].
8.3 The Langevin Equation in a Harmonic Potential

There are very few potentials for which we can solve the Langevin equation or
to calculate the eigenvalues and eigenfunctions of the generator of the Markov
process {q(t), p(t)}. One case where we can calculate everything explicitly is that
of a Brownian particle in a quadratic (harmonic) potential
1
V (q) = 02 q 2 . (8.9)
2
The Langevin equation is
p
q = 02 q q +
2 1 W (8.10)
or p
q = p, p = 02 q p + .
2 1 W (8.11)
This is a linear equation that can be solved explicitly. Rather than doing this, we
will calculate the eigenvalues and eigenfunctions of the generator, which takes the
form
L = pq 02 qp + (pp + 1 p2 ). (8.12)
The Fokker-Planck operator is
L = pq 02 qp + (pp + 1 p2 ). (8.13)
The process {q(t), p(t)} is an ergodic Markov process with Gaussian invariant
measure 2
0 2 p2 2
0
(q, p) dqdp = e q . (8.14)
2
8.3. THE LANGEVIN EQUATION IN A HARMONIC POTENTIAL 147
For the calculation of the eigenvalues and eigenfunctions of the operator L it is

convenient to introduce creation and annihilation operator in both the position and
momentum variables. We set
a = 1/2 p , a+ = 1/2 p + 1/2 p (8.15)
and
b = 01 1/2 q , b+ = 01 1/2 q + 0 1/2 p. (8.16)
We have that
a+ a = 1 p2 + pp
and
b+ b = 1 q2 + qq
Consequently, the operator
Lb = a+ a b+ b (8.17)
is the generator of the OU process in two dimensions.

The operators a , b satisfy the commutation relations
[a+ , a ] = 1, (8.18a)
[b+ , b ] = 1, (8.18b)
[a , b ] = 0. (8.18c)
See Exercise 3. Using now the operators a and b we can write the generator L
in the form
L = a+ a 0 (b+ a a+ b ), (8.19)
which is a particular case of (8.6). In order to calculate the eigenvalues and eigen-
functions of (8.19) we need to make an appropriate change of variables in order
to bring the operator L into the decoupled form (8.17). Clearly, this is a linear
transformation and can be written in the form
Y = AX
where X = (q, p) for some 2 2 matrix A. It is somewhat easier to make this

change of variables at the level of the creation and annihilation operators. In par-
ticular, our goal is to find first order differential operators c and d so that the
operator (8.19) becomes
L = Cc+ c Dd+ d (8.20)

for some appropriate constants C and D. Since our goal is, essentially, to map L
to the two-dimensional OU process, we require that that the operators c and d
satisfy the canonical commutation relations
[c+ , c ] = 1, (8.21a)
[d+ , d ] = 1, (8.21b)
[c , d ] = 0. (8.21c)
The operators c and d should be given as linear combinations of the old op-
erators a and b . From the structure of the generator L (8.19), the decoupled
form (8.20) and the commutation relations (8.21) and (8.18) we conclude that c
and d should be of the form
c+ = 11 a+ + 12 b+ , (8.22a)
c = 21 a + 22 b , (8.22b)
d+ = 11 a+ + 12 b+ , (8.22c)
d = 21 a + 22 b . (8.22d)
Notice that the c and d are not the adjoints of c+ and d+ . If we substitute now
these equations into (8.20) and equate it with (8.19) and into the commutation re-
lations (8.21) we obtain a system of equations for the coefficients {ij }, {ij }. In
order to write down the formulas for these coefficients it is convenient to introduce
the eigenvalues of the deterministic problem
q = q 02 q.
q(t) = C1 e1 t + C2 e2 t
with q

1,2 = , = 2 402 . (8.23)
2
The eigenvalues satisfy the relations
1 + 2 = , 1 2 = , 1 2 = 02 . (8.24)
Proposition 8.3.1. Let L be the generator (8.19) and let c , dpm be the operators
1 p p
c+ = 1 a+ + 2 b+ , (8.25a)

1 p p
c = 1 a 2 b , (8.25b)

1 p p
d+ = 2 a+ + 1 b+ , (8.25c)

1 p p
d = 2 a + 1 b . (8.25d)

Then c , d satisfy the canonical commutation relations (8.21) as well as
[L, c ] = 1 c , [L, d ] = 2 d . (8.26)
Furthermore, the operator L can be written in the form
L = 1 c+ c 2 d+ d . (8.27)
Proof. first we check the commutation relations:
1
[c+ , c ] = 1 [a+ , a ] 2 [b+ , b ]

1
= (1 + 2 ) = 1.

Similarly,
1
[d+ , d ] = 2 [a+ , a ] + 1 [b+ , b ]

1
= (2 1 ) = 1.

Clearly, we have that
[c+ , d+ ] = [c , d ] = 0.
Furthermore,
1 p p
[c+ , d ] = 1 2 [a+ , a ] + 1 2 [b+ , b ]

1 p p
= ( 1 2 + 1 2 ) = 0.

Finally:
[L, c+ ] = 1 c+ c c+ + 1 c+ c+ c
= 1 c+ (1 + c+ c ) + 1 c+ c+ c
= 1 c+ (1 + c+ c ) + 1 c+ c+ c
= 1 c+ ,
and similarly for the other equations in (8.26). Now we calculate
L = 1 c+ c 2 d+ d

22 21 + + 1 2 1p
= a a + 0b b + (1 2 )a+ b + 1 2 (1 + 2 )b+ a

= a+ a 0 (b+ a a+ b ),
which is precisely (8.19). In the above calculation we used (8.24).
Using now (8.27) we can readily obtain the eigenvalues and eigenfunctions of
L. From our experience with the two-dimensional OU processes (or, the Schrodinger
operator for the two-dimensional quantum harmonic oscillator), we expect that the
eigenfunctions should be tensor products of Hermite polynomials. Indeed, we have
the following, which is the main result of this section.
Theorem 8.3.2. The eigenvalues and eigenfunctions of the generator of the Markov
process {q, p} (8.11) are
1 1
nm = 1 n + 2 m = (n + m) + (n m), n, m = 0, 1, . . . (8.28)
2 2
and
1
nm (q, p) = (c+ )n (d+ )m 1, n, m = 0, 1, . . . (8.29)
n!m!
Proof. We have
[L, (c+ )2 ] = L(c+ )2 (c+ )2 L

= (c+ L 1 c+ )c+ c+ (Lc+ + 1 c+ )
= 21 (c+ )2
and similarly [L, (d+ )2 ] = 21 (c+ )2 . A simple induction argument now shows
that (see Exercise 8.3.3)
[L, (c+ )n ] = n1 (c+ )n and [L, (d+ )m ] = m1 (d+ )m . (8.30)

We use (8.30) to calculate
L(c+ )n (d+ )n 1
= (c+ )n L(d+ )m 1 n1 (c+ )n (d+ m)1
= (c+ )n (d+ )m L1 m2 (c+ )n (d+ m)1 n1 (c+ )n (d+ m)1
= n1 (c+ )n (d+ m)1 m2 (c+ )n (d+ m)1
from which (8.28) and (8.29) follow.
Exercise 8.3.3. Show that
[L, (c )n ] = n1 (c )n , [L, (d )n ] = n1 (d )n , [c , (c+ )n ] = n(c+ )n1 , [d , (d+ )n ] = n(d+ )n1 .

(8.31)
Remark 8.3.4. In terms of the operators a , b the eigenfunctions of L are

n m k
n+m n/2 m/2 X X 1 1 2
nm = n!m! 2 1 2 (a+ )n+mk (b+ )+k 1.
k!(m k)!!(n )! 2
=0 k=0
The first few eigenfunctions are
00 = 1.

1 p + 2 0 q
10 = .

2 p + 1 0 q
01 =

2 1 2 + 1 p2 2 + p1 0 q + 0 q2 p + 2 0 2 q 2 1
11 = .

1 + p2 1 + 2 2 p 1 0 q 2 + 0 2 q 2 2
20 = .
2

2 + p2 2 + 2 2 p 1 0 q 1 + 0 2 q 2 1
02 = .
2
Notice that the eigenfunctions are not orthonormal.

As we already know, the first eigenvalue, corresponding to the constant eigen-
function, is 0:
00 = 0.
Notice that the operator L is not self-adjoint and consequently, we do not expect its
eigenvalues to be real. Indeed, whether the eigenvalues are real or not depends on
the sign of the discriminant = 2 402 . In the underdamped regime, < 20
the eigenvalues are complex:
q
1 1
nm = (n + m) + i 2 + 402 (n m), < 20 .
2 2
This it to be expected, since the underdamped regime the dynamics is dominated
by the deterministic Hamiltonian dynamics that give rise to the antisymmetric Li-
p
ouville operator. We set = (402 2 ), i.e. = 2i. The eigenvalues can be
written as

nm = (n + m) + i(n m).
2
In Figure 8.3 we present the first few eigenvalues of L in the underdamped regime.
The eigenvalues are contained in a cone on the right half of the complex plane. The
cone is determined by

n0 = n + in and 0m = m im.
2 2
The eigenvalues along the diagonal are real:
nn = n.
On the other hand, in the overdamped regime, > 20 all eigenvalues are real:
q
1 1
nm = (n + m) + 2 402 (n m), > 20 .
2 2
In fact, in the overdamped limit + (which we will study in Chapter ??), the
eigenvalues of the generator L converge to the eigenvalues of the generator of the
OU process:
2
nm = n + 0 (n m) + O( 3 ).

This is consistent with the fact that in this limit the solution of the Langevin equa-
tion converges to the solution of the OU SDE. See Chapter ?? for details.
1
)
nm
Im (
3
0 0.5 1 1.5 2 2.5 3
Re (nm)
Figure 8.1: First few eigenvalues of L for = = 1.

The eigenfunctions of L do not form an orthonormal basis in L2 := L2 (R2 , Z 1 eH )

since L is not a selfadjoint operator. Using the eigenfunctions/eigenvalues of L we
can easily calculate the eigenfunctions/eigenvalues of the L2 adjoint of L. From
the calculations presented in Section 8.2 we know that the adjoint operator is
Lb := A + S (8.32)
= 0 (b+ a b a+ ) + a+ a (8.33)
+ +
= 1 (c ) (c ) 2 (d ) (d ), (8.34)
where
1 p p
(c+ ) = 1 a + 2 b , (8.35a)

1 p p
(c ) = 1 a+ 2 b+ , (8.35b)

1 p p
(d+ ) = 2 a + 1 b , (8.35c)

1 p p
(d ) = 2 a+ + 1 b+ . (8.35d)

Lb has the same eigenvalues as L:
b nm = nm nm ,
L
where nm are given by (8.28). The eigenfunctions are
1
nm = ((c ) )n ((d ) )m 1. (8.36)
n!m!
Proposition 8.3.5. The eigenfunctions of L and Lb satisfy the biorthonormality

relation Z Z
nm k dpdq = n mk . (8.37)
Proof. We will use formulas (8.31). Notice that using the third and fourth of these
equations together with the fact that c 1 = d 1 = 0 we can conclude that (for
n > )
(c ) (c+ )n 1 = n(n 1) . . . (n + 1)(c+ )n . (8.38)
8.4. ASYMPTOTIC LIMITS FOR THE LANGEVIN EQUATION 155
We have
Z Z Z Z
1
nm k dpdq = ((c+ ))n ((d+ ))m 1((c ) ) ((d ) )k 1 dpdq
n!m!!k!
Z Z
n(n 1) . . . (n + 1)m(m 1) . . . (m k + 1)
= ((c+ ))n ((d+ ))mk 1 d
n!m!!k!
= n mk ,
since all eigenfunctions average to 0 with respect to .
From the eigenfunctions of Lb we can obtain the eigenfunctions of the Fokker-

Planck operator. Using the formula (see equation (8.4))
L (f ) = Lf
b
we immediately conclude that the the Fokker-Planck operator has the same eigen-
b The eigenfunctions are
values as those of L and L.
1
nm = nm = ((c ) )n ((d ) )m 1. (8.39)
n!m!
8.4 Asymptotic Limits for the Langevin Equation

There are very few SDEs/Fokker-Planck equations that can be solved explicitly. In
most cases we need to study the problem under investigation either approximately
or numerically. In this part of the course we will develop approximate methods for
studying various stochastic systems of practical interest. There are many problems
of physical interest that can be analyzed using techniques from perturbation theory
and asymptotic analysis:
i. Small noise asymptotics at finite time intervals.
ii. Small noise asymptotics/large times (rare events): the theory of large devia-
tions, escape from a potential well, exit time problems.
iii. Small and large friction asymptotics for the Fokker-Planck equation: The
FreidlinWentzell (underdamped) and Smoluchowski (overdamped) limits.
iv. Large time asymptotics for the Langevin equation in a periodic potential:
homogenization and averaging.
v. Stochastic systems with two characteristic time scales: multiscale problems

and methods.
We will study various asymptotic limits for the Langevin equation (we have set
m = 1)
p
q = V (q) q + 2 1 W . (8.40)
There are two parameters in the problem, the friction coefficient and the in-
verse temperature . We want to study the qualitative behavior of solutions to this
equation (and to the corresponding Fokker-Planck equation). There are various
asymptotic limits at which we can eliminate some of the variables of the equa-
tion and obtain a simpler equation for fewer variables. In the large temperature
limit, 1, the dynamics of (9.13) is dominated by diffusion: the Langevin
equation (9.13) can be approximated by free Brownian motion:
p
q = .
2 1 W
The small temperature asymptotics, 1 is much more interesting and more

subtle. It leads to exponential, Arrhenius type asymptotics for the reaction rate (in
the case of a particle escaping from a potential well due to thermal noise) or the
diffusion coefficient (in the case of a particle moving in a periodic potential in the
presence of thermal noise)
= exp (Eb ) , (8.41)
where can be either the reaction rate or the diffusion coefficient. The small
temperature asymptotics will be studied later for the case of a bistable potential
(reaction rate) and for the case of a periodic potential (diffusion coefficient).
Assuming that the temperature is fixed, the only parameter that is left is the
friction coefficient . The large and small friction asymptotics can be expressed in
terms of a slow/fast system of SDEs. In many applications (especially in biology)
the friction coefficient is large: 1. In this case the momentum is the fast
variable which we can eliminate to obtain an equation for the position. This is the
overdamped or Smoluchowski limit. In various problems in physics the friction
coefficient is small: 1. In this case the position is the fast variable whereas the
energy is the slow variable. We can eliminate the position and obtain an equation
for the energy. This is the underdampled or Freidlin-Wentzell limit. In both
cases we have to look at sufficiently long time scales.
We rescale the solution to (9.13):
q (t) = (t/ ).
This rescaled process satisfies the equation

q
1

q = 2 q V (q / ) q + 22 3
W, (8.42)

Different choices for these two parameters lead to the overdamped and under-
damped limits: = 1, = 1 , 1. In this case equation (8.42)
becomes p
.
2 q = q V (q ) q + 2 1 W (8.43)
Under this scaling, the interesting limit is the overdamped limit, 1. We will
see later that in the limit as + the solution to (8.43) can be approximated
by the solution to p
q = q V + 2 1 W .
= 1, = , 1:
p
q = 2 V (q ) q + .
2 2 1 W (8.44)
Under this scaling the interesting limit is the underdamped limit, 1. We will
see later that in the limit as 0 the energy of the solution to (8.44) converges to
a stochastic process on a graph.
8.4.1 The Overdamped Limit

We consider the rescaled Langevin equation (8.43):
p
2 q (t) = V (q (t)) q (t) + (t),
2 1 W (8.45)
where we have set 1 = , since we are interested in the limit , i.e.

0. We will show that, in the limit as 0, q (t), the solution of the Langevin
equation (8.45), converges to q(t), the solution of the Smoluchowski equation
p
q = V + 2 1 W . (8.46)
We write (8.45) as a system of SDEs:

1
q = p, (8.47)
r
1 1 2
p = V (q) 2 p + W. (8.48)
2
This systems of SDEs defined a Markov process in phase space. Its generator is
1 1
L = 2
p p + 1 + p q q V p

1 1
=: L0 + L1 .
2
This is a singularly perturbed differential operator. We will derive the Smolu-
chowski equation (8.46) using a pathwise technique, as well as by analyzing the
corresponding Kolmogorov equations.
We apply Itos formula to p:
1 p 1
dp(t) = L p(t) dt + 2 p p(t) dW

1 1 1 p 1
= 2 p(t) dt q V (q(t)) dt + 2 dW.

Consequently:
Z Z t p
1 t
p(s) ds = q V (q(s)) ds + 2 1 W (t) + O().
0 0
From equation (8.47) we have that

Z t
1
q(t) = q(0) + p(s) ds.
0
Combining the above two equations we deduce

Z t p
q(t) = q(0) q V (q(s)) ds + 2 1 W (t) + O()
0
from which (8.46) follows.

Notice that in this derivation we assumed that
E|p(t)|2 6 C.
This estimate is true, under appropriate assumptions on the potential V (q) and on
the initial conditions. In fact, we can prove a pathwise approximation result:
!1/p
p
E sup |q (t) q(t)| 6 C2 ,
t[0,T ]
where > 0, arbitrary small (it accounts for logarithmic corrections).

The pathwise derivation of the Smoluchowski equation implies that the solu-
tion of the Fokker-Planck equation corresponding to the Langevin equation (8.45)
converges (in some appropriate sense to be explained below) to the solution of the
Fokker-Planck equation corresponding to the Smoluchowski equation (8.46). It is
important in various applications to calculate corrections to the limiting Fokker-
Planck equation. We can accomplish this by analyzing the Fokker-Planck equation
for (8.45) using singular perturbation theory. We will consider the problem in one
dimension. This mainly to simplify the notation. The multidimensional problem
can be treated in a very similar way.
The FokkerPlanck equation associated to equations (8.47) and (8.48) is

= L
t
1 1
= (pq + q V (q)p ) + 2 p (p) + 1 p2

1 1
=: L + L . (8.49)
2 0 1
The invariant distribution of the Markov process {q, p}, if it exists, is
Z
1 H(p,q)
(p, q) = e , Z= eH(p,q) dpdq,
Z R 2
where H(p, q) = 21 p2 + V (q). We define the function f(p,q,t) through
(p, q, t) = f (p, q, t) (p, q). (8.50)
Proposition 8.4.1. The function f (p, q, t) defined in (8.50) satisfies the equation

f 1 1 2
1
= pq + p (pq q V (q)p ) f
t 2

1 1
=: 2
L0 L1 f. (8.51)

Remark 8.4.2. This is almost the backward Kolmogorov equation with the dif-
ference that we have L1 instead of L1 . This is related to the fact that L0 is a
symmetric operator in L2 (R2 ; Z 1 eH(p,q) ), whereas L1 is antisymmetric.
Proof. We note that L0 0 = 0 and L1 0 = 0. We use this to calculate:
L0 = L0 (f 0 ) = p (f 0 ) + 1 p2 (f 0 )
= 0 pp f + 0 1 p2 f + f L0 0 + 2 1 p f p 0

= pp f + 1 p2 f 0 = 0 L0 f.
Similarly,
L1 = L1 (f 0 ) = (pq + q V p ) (f 0 )
= 0 (pq f + q V p f ) = 0 L1 f.
Consequently, the FokkerPlanck equation (8.94b) becomes

f 1 1
0 = 0 L0 f L1 f ,
t 2
from which the claim follows.
We will assume that the initial conditions for (8.51) depend only on q:
f (p, q, 0) = fic (q). (8.52)
Another way for stating this assumption is the following: Let H = L2 (R2d ; (p, q))
and define the projection operator P : H 7 L2 (Rd ; (q)) with (q) = Z1q eV (q) , Zq =
R V (q) dq:
Rd e Z
1 |p|2
P := e 2 dp, (8.53)
Zp Rd
R 2
with Zp := Rd e|p| /2 dp. Then, assumption (10.13) can be written as
P fic = fic .
We look for a solution to (8.51) in the form of a truncated power series in :
N
X
f (p, q, t) = n fn (p, q, t). (8.54)
n=0
We substitute this expansion into eqn. (8.51) to obtain the following system of
equations.
L0 f0 = 0, (8.55a)
L0 f1 = L1 f0 , (8.55b)
f0
L0 f2 = L1 f1 (8.55c)
t
fn2
L0 fn = L1 fn1 , n = 3, 4 . . . N. (8.55d)
t
The null space of L0 consists of constants in p. Consequently, from equation (8.55a)

we conclude that
f0 = f (q, t).
Now we can calculate the right hand side of equation (8.55b):
L1 f0 = pq f.
Equation (8.55b) becomes:

L0 f1 = pq f.
The right hand side of this equation is orthogonal to N (L0 ) and consequently there
exists a unique solution. We obtain this solution using separation of variables:
f1 = pq f + 1 (q, t).
Now we can calculate the RHS of equation (8.55c). We need to calculate L1 f1 :

L1 f1 = pq q V p pq f 1 (q, t)
= p2 q2 f pq 1 q V q f.
The solvability condition for (8.55c) is

Z
f0
L1 f 1 OU (p) dp = 0,
R t
from which we obtain the backward Kolmogorov equation corresponding to the
Smoluchowski SDE:
f
= q V q f + 1 q2 f, (8.56)
t
together with the initial condition (10.13).
Now we solve the equation for f2 . We use (8.56) to write (8.55c) in the form

L0 f2 = 1 p2 q2 f + pq 1 .

1
f2 (p, q, t) = q2 f (p, q, t)p2 q 1 (q, t)p + 2 (q, t).
2
Now we calculate the right hand side of the equation for f3 , equation (8.55d) with
n = 3. First we calculate
1
L1 f2 = p3 q3 f p2 q2 1 + pq 2 q V q2 f p q V q 1 .
2
The solvability condition

Z
1
+ L1 f2 OU (p) dp = 0.
R t
This leads to the equation
1
= q V q 1 + 1 q2 1 ,
t
together with the initial condition 1 (q, 0) = 0. From the calculations presented
in the proof of Theorem 6.5.5, and using Poincareès inequality for the measure
1 V (q)
Zq e , we deduce that
1 d
k1 k2 6 Ck1 k2 .
2 dt
We use Gronwalls inequality now to conclude that
1 0.
Putting everything together we obtain the first two terms in the -expansion of the
FokkerPlanck equation (8.51):

(p, q, t) = Z 1 eH(p,q) f + (pq f ) + O(2 ) ,
where f is the solution of (8.56). Notice that we can rewrite the leading order term
to the expansion in the form
1 2 /2
(p, q, t) = (2 1 ) 2 ep V (q, t) + O(),
where V = Z 1 eV (q) f is the solution of the Smoluchowski Fokker-Planck

equation
V
= q (q V V ) + 1 q2 V .
t
It is possible to expand the n-th term in the expansion (8.54) in terms of Hermite
functions (the eigenfunctions of the generator of the OU process)
n
X
fn (p, q, t) = fnk (q, t)k (p), (8.57)
k=0
where k (p) is the kth eigenfunction of L0 :
L0 k = k k .
We can obtain the following system of equations (Lb = 1 q q V ):
b n1 = 0,
Lf
s
k+1 b p
1
Lfn,k+1 + k 1 q fn,k1 = kfn+1,k , k = 1, 2 . . . , n 1,

p
n 1 q fn,n1 = nfn+1,n ,
p
(n + 1) 1 q fn,n = (n + 1)fn+1,n+1 .
Using this method we can obtain the first three terms in the expansion:
p 1

(x, y, t) = 0 (p, q) f + ( 1 q f 1 ) + 2 q2 f 2 + f20
2
r !!
3 p p
+3 3 f 3 + 1 L b 2 f 1 q f20 1
3! q q
+O(4 ),
8.4.2 The Underdamped Limit

Consider now the rescaling , = 1, , = . The Langevin equation becomes
p
.
q = 2 V (q ) q + 2 2 1 W (8.58)
We write equation (8.58) as system of two equations

p
q = 1 p , p = 1 V (q ) p + .
2 1 W
This is the equation for an O(1/) Hamiltonian system perturbed by O(1) noise.
We expect that, to leading order, the energy is conserved, since it is conserved for
the Hamiltonian system. We apply Itos formula to the Hamiltonian of the system
to obtain
p
H = 1 p2 + 2 1 p2 W
with p2 = p2 (H, q) = 2(H V (q)).

Thus, in order to study the 0 limit we need to analyze the following
fast/slow system of SDEs
p
H = 1 p2 + 2 1 p2 W (8.59a)
p
.
p = 1 V (q ) p + 2 1 W (8.59b)
The Hamiltonian is the slow variable, whereas the momentum (or position) is the
fast variable. Assuming that we can average over the Hamiltonian dynamics, we
obtain the limiting SDE for the Hamiltonian:
p
H = 1 hp2 i + 2 1 hp2 iW . (8.60)
The limiting SDE lives on the graph associated with the Hamiltonian system. The
domain of definition of the limiting Markov process is defined through appropriate
boundary conditions (the gluing conditions) at the interior vertices of the graph.
We identify all points belonging to the same connected component of the a
level curve {x : H(x) = H}, x = (q, p). Each point on the edges of the graph
correspond to a trajectory. Interior vertices correspond to separatrices. Let Ii , i =
1, . . . d be the edges of the graph. Then (i, H) defines a global coordinate system
on the graph.
We will study the small asymptotics by analyzing the corresponding back-
ward Kolmogorov equation using singular perturbation theory. The generator of
the process {q , p } is
L = 1 (pq q V p ) pp + 1 p2
= 1 L0 + L1 .
Let u = E(f (p (p, q; t), q (p, q; t))). It satisfies the backward Kolmogorov equa-
tion associated to the process {q , p }:

u 1
= L 0 + L 1 u . (8.61)
t
We look for a solution in the form of a power series expansion in :
u = u0 + u1 + 2 u2 + . . .
We substitute this ansatz into (8.61) and equate equal powers in to obtain the
following sequence of equations:
L0 u0 = 0, (8.62a)
u0
L0 u1 = L1 u1 + , (8.62b)
t
u1
L0 u2 = L1 u1 + . (8.62c)
t
.........
Notice that the operator L0 is the backward Liouville operator of the Hamiltonian
system with Hamiltonian
1
H = p2 + V (q).
2
We assume that there are no integrals of motion other than the Hamiltonian. This
means that the null space of L0 consists of functions of the Hamiltonian:

N (L0 ) = functions ofH . (8.63)
Let us now analyze equations (8.62). We start with (8.62a); eqn. (8.63) implies that
u0 depends on q, p through the Hamiltonian function H:
u0 = u(H(p, q), t) (8.64)
Now we proceed with (8.62b). For this we need to find the solvability condition
for equations of the form
L0 u = f (8.65)
My multiply it by an arbitrary smooth function of H(p, q), integrate over R2 and

use the skew-symmetry of the Liouville operator L0 to deduce:1
Z Z
L0 uF (H(p, q)) dpdq = uL0 F (H(p, q)) dpdq
R 2 2
ZR
= u(L0 F (H(p, q))) dpdq
R2
= 0, F Cb (R).
This implies that the solvability condition for equation (8.83) is that
Z
f (p, q)F (H(p, q)) dpdq = 0, F Cb (R). (8.66)
R2
We use the solvability condition in (8.62b) to obtain that

Z
u0
L1 u1 F (H(p, q)) dpdq = 0, (8.67)
R2 t
1
We assume that both u1 and F decay to 0 as |p| to justify the integration by parts that
follows.
To proceed, we need to understand how L1 acts to functions of H(p, q). Let =

(H(p, q)). We have that
H
= =p
p p H H
and

2 2
2
= = + p2 .
p p H H H 2
The above calculations imply that, when L1 acts on functions = (H(p, q)), it
becomes h i
L1 = ( 1 p2 )H + 1 p2 H2
, (8.68)
where
p2 = p2 (H, q) = 2(H V (q)).
We want to change variables in the integral (8.67) and go from (p, q) to p, H. The
Jacobian of the transformation is:
p p
(p, q) H q p 1
= q q = = .
(H, q) H q
H p(H, q)
We use this, together with (8.68), to rewrite eqn. (8.67) as

Z Z
u h 1 i
+ ( p2 )H + 1 p2 H 2
u F (H)p1 (H, q) dHdq = 0.
t
We introduce the notation Z
hi := dq.
The integration over q can be performed explicitly:

Z h
u 1 i
hp i + ( 1 hp1 i hpi)H + 1 hpiH
2
u F (H) dH = 0.
t
This equation should be valid for every smooth function F (H), and this require-
ment leads to the differential equation
u
hp1 i = 1 hp1 i hpi H u + hpi 1 H
2
u,
t
or,
u
= 1 hp1 i1 hpi H u + hp1 i1 hpi 1 H
2
u.
t
Thus, we have obtained the limiting backward Kolmogorov equation for the energy,
which is the slow variable. From this equation we can read off the limiting SDE
for the Hamiltonian:
H = b(H) + (H)W (8.69)
where
b(H) = 1 hp1 i1 hpi, (H) = 1 hp1 i1 hpi.
Notice that the noise that appears in the limiting equation (8.69) is multiplica-
tive, contrary to the additive noise in the Langevin equation.
As it well known from classical mechanics, the action and frequency are de-
fined as Z
I(E) = p(q, E) dq
and
dI 1
(E) = 2 ,
dE
respectively. Using the action and the frequency we can write the limiting Fokker
Planck equation for the distribution function of the energy in a very compact form.
Theorem 8.4.3. The limiting FokkerPlanck equation for the energy distribution
function (E, t) is

(E)
= I(E) + 1 . (8.70)
t E E 2
Proof. We notice that
Z Z
dI p
= dq = p1 dq
dE E
and consequently
(E)
hp1 i1 = .
2
Hence, the limiting FokkerPlanck equation can be written as

I(E)(E) 2 I
= 1 + 1
t E 2 E 2 2

1 I 1 dI 1
= + + + I
E E 2 E dE 2 E E 2

I
= + 1 I
E 2 E E 2

1 (E)
= I(E) + ,
E E 2
which is precisely equation (8.70).
Remarks 8.4.4. i. We emphasize that the above formal procedure does not
provide us with the boundary conditions for the limiting FokkerPlanck equa-
tion. We will discuss about this issue in the next section.
ii. If we rescale back to the original time-scale we obtain the equation

1 (E)
= I(E) + . (8.71)
t E E 2
We will use this equation later on to calculate the rate of escape from a
potential barrier in the energy-diffusion-limited regime.
8.5 Brownian Motion in Periodic Potentials

Basic model
p
x = x(t)
m V (x(t), f (t)) + y(t) + 2kB T (t), (8.72)
Goal: Calculate the effective drift and the effective diffusion tensor
hx(t)i
Uef f = lim (8.73)
t t
and
hx(t) hx(t)i) (x(t) hx(t)i)i
Def f = lim . (8.74)
t 2t
8.5.1 The Langevin equation in a periodic potential

We start by studying the underdamped dynamics of a Brownian particle x(t) Rd
moving in a smooth, periodic potential.
p
= V (x(t)) x(t)
x + 2kB T (t), (8.75)
where is the friction coefficient, kB the Boltzmann constant and T denotes the
temperature. (t) stands for the standard ddimensional white noise process, i.e.
hi (t)i = 0 and hi (t)j (s)i = ij (t s), i, j = 1, . . . d.

8.5. BROWNIAN MOTION IN PERIODIC POTENTIALS 169
The potential V (x) is periodic in x and satisfies kV (x)kL = 1 with period 1 in

all spatial directions:
V (x + ei ) = V (x), i = 1, . . . , d,
where { ei }di=1 denotes the standard basis of Rd .

Notice that we have already nondimensionalized eqn. (8.75) in such a way
that the nondimensional particle mass is 1 and the maximum of the (gradient of
the) potential is fixed [41]. Hence, the only parameters in the problem are the
friction coefficient and the temperature. Notice, furthermore, that the parameter
in (8.75) controls the coupling between the Hamiltonian system x = V (x)
and the thermal heat bath: 1 implies that the Hamiltonian system is strongly
coupled to the heat bath, whereas 1 corresponds to weak coupling.
Equation (8.75) defines a Markov process in the phase space Td Rd . Indeed,
let us write (8.75) as a first order system
x(t)
= y(t), (8.76a)
p
= V (x(t)) y(t)
y(t) + 2kB T (t), (8.76b)
The process {x(t), y(t)} is Markovian with generator
L = y x V (x) y + (y y + Dy ) .
In writing the above we have set D = KB T . This process is ergodic. The unique
invariant measure is absolutely continuous with respect to the Lebesgue measure
and its density is the MaxwellBoltzmann distribution
1 1
(y, x) = n e D H(x,y) , (8.77)
(2D) Z
2
R
where Z = Td eV (x)/D dx and H(x, y) is the Hamiltonian of the system
1 2
H(x, y) = y + V (x).
2
The long time behavior of solutions to (8.75) is governed by an effective Brownian
motion. Indeed, the following central limit theorem holds [65, 55, ?]
Theorem 8.5.1. Let V (x) C(Td ). Define the rescaled process

x
(t) := x(t/2 ).

Then x (t) converges weakly, as 0, to a Brownian motion with covariance

Z
Def f = L (dx dy), (8.78)
Td Rd
where (dx dy) = (x, y)dxdy and the vector valued function is the solution of
the Poisson equation
L = y. (8.79)
We are interested in analyzing the dependence of Def f on . We will mostly
focus on the one dimensional case. We start by rescaling the Langevin equa-
tion (9.13) p
x = F (x) x + 2 1 W , (8.80)
where we have set F (x) = V (x). We will assume that the potential is periodic
with period 2 in every direction. Since we expect that at sufficiently long length
and time scales the particle performs a purely diffusive motion, we perform a dif-
fusive rescaling to the equations of motion (9.13): t t/2 , x x . Using the
(c t) = 1 W
fact that W (t) in law we obtain:
c
1 x p
,
2 x
= F x + 2 1 W

Introducing p = x and q = x/ we write this equation as a first order system:
1
x = p,
p = 1
F (q) 1
p ,
+ 12 1 W (8.81)
2 2
1
q = 2
p,
with the understanding that q [, ]d and x, p Rd . Our goal now is to

eliminate the fast variables p, q and to obtain an equation for the slow variable
x. We shall accomplish this by studying the corresponding backward Kolmogorov
equation using singular perturbation theory for partial differential equations.
Let

u (p, q, x, t) = Ef p(t), q(t), x(t)|p(0) = p, q(0) = q, x(0) = x ,
where E denotes the expectation with respect to the Brownian motion W (t) in
the Langevin equation and f is a smooth function.2 The evolution of the func-
tion u (p, q, x, t) is governed by the backward Kolmogorov equation associated to
2
In other words, we have that
Z
u (p, q, x, t) = f (x, v, t; p, q)(x, v, t; p, q)(p, q) dpdqdxdv,
equations (8.81) is [59]3
u 1 1
= p x u + 2 q V (q) p + p q + p p + 1 p u .
t

1 1
:= L 0 + L 1 u , (8.82)
2
where:

L0 = q V (q) p + p q + p p + 1 p ,
L1 = p x

The invariant distribution of the fast process q(t), p(t) in Td Rd is the Maxwell-
Boltzmann distribution
Z
1 H(q,p)
(q, p) = Z e , Z= eH(q,p) dqdp,
Td Rd
where H(q, p) = 12 |p|2 + V (q). Indeed, we can readily check that
L0 (q, p) = 0,
where L0 denotes the Fokker-Planck operator which is the L2 -adjoint of the gen-
erator of the process L0 :

L0 f = q V (q) p f p q f + p (pf ) + 1 p f .
The null space of the generator L0 consists of constants in q, p. Moreover, the

equation
L0 f = g, (8.83)
has a unique (up to constants) solution if and only if

Z
hgi := g(q, p) (q, p) dqdp = 0. (8.84)
Td Rd
where (x, v, t; p, q) is the solution of the Fokker-Planck equation and (p, q) is the initial distribu-
tion.
3
it is more customary in the physics literature to use the forward Kolmogorov equation, i.e. the
Fokker-Planck equation. However, for the calculation presented below, it is more convenient to use
the backward as opposed to the forward Kolmogorov equation. The two formulations are equivalent.
See [57, Ch. 6] for details.
Equation (8.83) is equipped with periodic boundary conditions with respect to z

and is such that Z
|f |2 dqdp < . (8.85)
Td Rd
These two conditions are sufficient to ensure existence and uniqueness of solutions
(up to constants) of equation (8.83) [28, 29, 55].
We assume that the following ansatz for the solution u holds:
u = u0 + u1 + 2 u2 + . . . (8.86)
with ui = ui (p, q, x, t), i = 1, 2, . . . being 2 periodic in q and satisfying condi-

tion (8.85). We substitute (8.86) into (8.82) and equate equal powers in to obtain
the following sequence of equations:
L0 u0 = 0, (8.87a)
L0 u1 = L1 u0 , (8.87b)
u0
L0 u2 = L1 u1 + . (8.87c)
t
From the first equation in (8.87) we deduce that u0 = u0 (x, t), since the null
space of L0 consists of functions which are constants in p and q. Now the second
equation in (8.87) becomes:
L0 u1 = p x u0 .
Since hpi = 0, the right hand side of the above equation is mean-zero with respect
to the Maxwell-Boltzmann distribution. Hence, the above equation is well-posed.
We solve it using separation of variables:
u1 = (p, q) x u0
with
L0 = p. (8.88)
This Poisson equation is posed on Td Rd . The solution is periodic in q and
satisfies condition (8.85). Now we proceed with the third equation in (8.87). We
apply the solvability condition to obtain:
Z
u0
= L1 u1 (p, q) dpdq
t Td Rd
X d Z 2
u0
= pi j (p, q) dpdq .
Td Rd xi xj
i,j=1
This is the Backward Kolmogorov equation which governs the dynamics on large
scales. We write it in the form
d
X
u0 2 u0
= Dij (8.89)
t xi xj
i,j=1
where the effective diffusion tensor is

Z
Dij = pi j (p, q) dpdq, i, j = 1, . . . d. (8.90)
Td Rd
The calculation of the effective diffusion tensor requires the solution of the bound-
ary value problem (8.88) and the calculation of the integral in (8.90). The limiting
backward Kolmogorov equation is well posed since the diffusion tensor is non-
negative. Indeed, let be a unit vector in Rd . We calculate (we use the notation
= and h, i for the Euclidean inner product)
Z Z

h, Di = (p )( ) dpdq = L0 dpdq
Z

= 1 p 2 dpdq > 0, (8.91)
where an integration by parts was used.

Thus, from the multiscale analysis we conclude that at large lenght/time scales
the particle which diffuses in a periodic potential performs and effective Brownian
motion with a nonnegative diffusion tensor which is given by formula (8.90).
We mention in passing that the analysis presented above can also be applied
to the problem of Brownian motion in a tilted periodic potential. The Langevin
equation becomes
p
(t) = V (x(t)) + F x(t)
x + 2 1 W (t), (8.92)
where V (x) is periodic with period 2 and F is a constant force field. The formulas
for the effective drift and the effective diffusion tensor are
Z Z
V = p(q, p) dqdp, D = (p V ) (p, q) dpdq, (8.93)
Rd Td Rd Td
where
L = p V, (8.94a)
Z

L = 0, (p, q) dpdq = 1. (8.94b)
Rd Td
with

L = p q + (q V + F ) p + p p + 1 p . (8.95)
We have used to denote the tensor product between two vectors; L denotes the
L2 -adjoint of the operator L, i.e. the Fokker-Planck operator. Equations (8.94)
are equipped with periodic boundary conditions in q. The solution of the Poisson
equation (8.94) is also taken to be square integrable with respect to the invariant
density (q, p): Z
|(q, p)|2 (p, q) dpdq < +.
Rd Td
The diffusion tensor is nonnegative definite. A calculation similar to the one used
to derive (8.91) shows the positive definiteness of the diffusion tensor:
Z

h, Di = 1 p 2 (p, q) dpdq > 0, (8.96)
for every vector in Rd . The study of diffusion in a tilted periodic potential, in the
underdamped regime and in high dimensions, based on the above formulas for V
and D, will be the subject of a separate publication.
8.5.2 Equivalence With the Green-Kubo Formula

Let us now show that the formula for the diffusion tensor obtained in the pre-
vious section, equation (8.90), is equivalent to the Green-Kubo formula (3.14).
To simplify the notation we will prove the equivalence of the two formulas in
one dimension. The generalization to arbitrary dimensions is immediate. Let
(x(t; q, p), v(t; q, p)) with v = x and initial conditions x(0; q, p) = q, v(0; q, p) =
p be the solution of the Langevin equation
= x V x +
x
where (t) stands for Gaussian white noise in one dimension with correlation func-
tion
h(t)(s)i = 2kB T (t s).
We assume that the (x, v) process is stationary, i.e. that the initial conditions are
distributed according to the Maxwell-Boltzmann distribution
(q, p) = Z 1 eH(p,q) .
The velocity autocorrelation function is [9, eq. 2.10]

Z
hv(t; q, p)v(0; q, p)i = v p(x, v, t; p, q) (p, q) dpdqdxdv, (8.97)
and (x, v, t; p, q) is the solution of the Fokker-Planck equation

= L , (x, v, 0; p, q) = (x q)(v p),
t
where

L = vx + x V (x)v + (v) + 1 v2 .
We rewrite (8.97) in the form
Z Z Z Z
hv(t; q, p)v(0; q, p)i = v(x, v, t; p, q) dvdx p (p, q) dpdq
Z Z
=: v(t; p, q)p (p, q) dpdq. (8.98)
The function v(t) satisfies the backward Kolmogorov equation which governs the
evolution of observables [59, Ch. 6]
v
= Lv, v(0; p, q) = p. (8.99)
t
We can write, formally, the solution of (8.99) as
v = eLt p. (8.100)
We combine now equations (8.98) and (8.100) to obtain the following formula for
the velocity autocorrelation function
Z Z

hv(t; q, p)v(0; q, p)i = p eLt p (p, q) dpdq. (8.101)
We substitute this into the Green-Kubo formula to obtain

Z
D = hv(t; q, p)v(0; q, p)i dt
Z0 Z
Lt
= e dt p p dpdq
0
Z
1
= L p p dpdq
Z Z
= p dpdq,

where is the solution of the Poisson equation (8.88). In the above derivation we
R
have used the formula L1 = 0 eLt dt, whose proof can be found in [59, Ch.
11].
8.6 The Underdamped and Overdamped Limits of the Dif-

fusion Coefficient
In this section we derive approximate formulas for the diffusion coefficient which
are valid in the overdamped 1 and underdampled 1 limits. The deriva-
tion of these formulas is based on the asymptotic analysis of the Poisson equa-
tion (8.88).
The Underdamped Limit
In this subsection we solve the Poisson equation (8.88) in one dimension perturba-
tively for small . We shall use singular perturbation theory for partial differential
equations. The operator L0 that appears in (8.88) can be written in the form
L0 = LH + LOU
where LH stands for the (backward) Liouville operator associated with the Hamil-
tonian H(p, q) and LOU for the generator of the OU process, respectively:
LH = pq q V p , LOU = pp + 1 p2 .
We expect that the solution of the Poisson equation scales like 1 when 1.
Thus, we look for a solution of the form
1
= 0 + 1 + 2 + . . . (8.102)

We substitute this ansatz in (8.88) to obtain the sequence of equations
LH 0 = 0, (8.103a)
LH 1 = p + LOU 0 , (8.103b)
LH 2 = LOU 1 . (8.103c)
From equation (8.103a) we deduce that, since the 0 is in the null space of the
Liouville operator, the first term in the expansion is a function of the Hamiltonian
z(p, q) = 12 p2 + V (q):
0 = 0 (z(p, q)).
Now we want to obtain an equation for 0 by using the solvability condition for
(8.103b). To this end, we multiply this equation by an arbitrary function of z,
8.6. THE UNDERDAMPED AND OVERDAMPED LIMITS OF THE DIFFUSION COEFFICIENT177
g = g(z) and integrate over p and q to obtain

Z + Z
(p + LOU 0 ) g(z(p, q)) dpdq = 0.

We change now from p, q coordinates to z, q, so that the above integral becomes

Z + Z
1
g(z) (p(z, q) + LOU 0 (z)) dzdq = 0,
Emin p(z, q)
where J = p1 (z, q) is the Jacobian of the transformation. Operator L0 , when

applied to functions of the Hamiltonian, becomes:
2
LOU = ( 1 p2 ) + 1 p2 2 .
z z
Hence, the integral equation for 0 (z) becomes
Z + Z 2
1 2 1 2 1
g(z) p(z, q) + ( p ) + p 2
0 (z) dzdq = 0.
Emin z z p(z, q)
Let E0 denote the critical energy, i.e. the energy along the separatrix (homoclinic
orbit). We set
Z x2 (z) Z x2 (z)
1
S(z) = p(z, q) dq, T (z) = dq,
x1 (z) x1 (z) p(z, q)
where Riskens notation [64, p. 301] has been used for x1 (z) and x2 (z).

We need to consider the cases z > E0 , p > 0 , z > E0 , p < 0 and

Emin < z < E0 separately.
We consider first the case E > E0 , p > 0. In this case x1 (x) = , x2 (z) =
. We can perform the integration with respect to q to obtain
Z +
1 1 2
g(z) 2 + ( T (z) S(z)) + S(z) 2 0 (z) dz = 0,
E0 z z
This equation is valid for every test function g(z), from which we obtain the fol-
lowing differential equation for 0 :

1 1 2
L := 1 S(z) + S(z) 1 = , (8.104)
T (z) T (z) T (z)
where primes denote differentiation with respect to z and where the subscript 0 has
been dropped for notational simplicity.
A similar calculation shows that in the regions E > E0 , p < 0 and Emin <
E < E0 the equation for 0 is
2
L = , E > E0 , p < 0 (8.105)
T (z)
and
L = 0, Emin < E < E0 . (8.106)
Equations (8.104), (8.105), (8.106) are augmented with condition (8.85) and a con-
tinuity condition at the critical energy [18]
23 (E0 ) = 1 (E0 ) + 2 (E0 ), (8.107)
where 1 , 2 , 3 are the solutions of equations (8.104), (8.105) and (8.106), re-
spectively.
The average of a function h(q, p) = h(q, p(z, q)) can be written in the form [64,
p. 303]
Z Z
hh(q, p)i := h(q, p) (q, p) dqdp

Z + Z x2 (z)
= Z1 h(q, p(z, q)) + h(q, p(z, q)) (p(q, z))1 ez dzdq,
Emin x1 (z)
where the partition function is

r Z
2
Z = eV (q) dq.

From equation (8.106) we deduce that 3 (z) = 0. Furthermore, we have that

1 (z) = 2 (z). These facts, together with the above formula for the averaging
with respect to the Boltzmann distribution, yield:
D = hp(p, q)i = hp0 i + O(1) (8.108)

Z
2 1 +
Z 0 (z)ez dzO(1)
E0
Z
4 1 +
= Z 0 (z)ez dz, (8.109)
E0
to leading order in , and where 0 (z) is the solution of the two point boundary
value problem (8.104). We remark that if we start with formula D = 1 h|p |2 i
for the diffusion coefficient, we obtain the following formula, which is equivalent
to (8.109): Z
4 1 +
D= Z |z 0 (z)|2 ez dz.
E0
Now we solve the equation for 0 (z) (for notational simplicity, we will drop the
subscript 0 ). Using the fact that S (z) = T (z), we rewrite (8.104) as
1 (S ) + S = 2.
This equation can be rewritten as

1 ez S = ez .
Condition (8.85) implies that the derivative of the unique solution of (8.104) is
(z) = S 1 (z).
We use this in (8.109), together with an integration by parts, to obtain the following
formula for the diffusion coefficient:
Z
1 2 1 1 + ez
D = 8 Z dz. (8.110)
E0 S(z)
We emphasize the fact that this formula is exact in the limit as 0 and is valid
for all periodic potentials and for all values of the temperature.
Consider now the case of the nonlinear pendulum V (q) = cos(q). The
partition function is
(2)3/2
Z = J0 (),
1/2
where J0 () is the modified Bessel function of the first kind. Furthermore, a simple
calculation yields !
r
2
S(z) = 25/2 z + 1E ,
z+1
where E() is the complete elliptic integral of the second kind. The formula for the
diffusion coefficient becomes
Z +
1 ez
D= p dz. (8.111)
2 1/2 J0 () 1 z + 1E( 2/(z + 1))
We use now the asymptotic formula J0 () (2)1/2 e , 1 and the fact

that E(1) = 1 to obtain the small temperature asymptotics for the diffusion coeffi-
cient:
1 2
D= e , 1, (8.112)
2
which is precisely formula (??), obtained by Risken.
Unlike the overdamped limit which is treated in the next section, it is not
straightforward to obtain the next order correction in the formula for the effective
diffusivity. This is because, due to the discontinuity of the solution of the Poisson
equation (8.88) along the separatrix. In particular, the next order correction to
when 1 is of ( 1/2 ), rather than (1) as suggested by ansatz (8.102).
Upon combining the formula for the diffusion coefficient and the formula for
the hopping rate from Kramers theory [31, eqn. 4.48(a)] we can obtain a formula
for the mean square jump length at low friction. For the cosine potential, and for
1, this formula is
2
h2 i = for 1, 1. (8.113)
8 2 2
The Overdamped Limit
In this subsection we study the large asymptotics of the diffusion coefficient. As

in the previous case, we use singular perturbation theory, e.g. [32, Ch. 8]. The
regularity of the solution of (8.88) when 1 will enable us to obtain the first
two terms in the 1 expansion without any difficulty.
We set = 1 . The differential operator L0 becomes
1
L0 = LOU + LH .

We look for a solution of (8.88) in the form of a power series expansion in :
= 0 + 1 + 2 2 + 3 3 + . . . (8.114)
We substitute this into (8.88) and obtain the following sequence of equations:
LOU 0 = 0, (8.115a)
LOU 1 = p + LH 0 , (8.115b)
LOU 2 = LH 1 , (8.115c)
LOU 3 = LH 2 . (8.115d)
The null space of the Ornstein-Uhlenbeck operator L0 consists of constants in p.

Consequently, from the first equation in (8.115) we deduce that the first term in the
expansion in independent of p, 0 = (q). The second equation becomes
LOU 1 = p(1 + q ).
Let
1
2 2 p2
(p) = e 2 ,

be the invariant distribution of the OU process (i.e. LOU (p) = 0). The solvabil-
ity condition for an equation of the form LOU = f requires that the right hand
side averages to 0 with respect to (p), i.e. that the right hand side of the equation
is orthogonal to the null space of the adjoint of LOU . This condition is clearly
satisfied for the equation for 1 . Thus, by Fredholm alternative, this equation has
a solution which is
1 (p, q) = (1 + q )p + 1 (q),
where the function 1 (q) of is to be determined. We substitute this into the right
hand side of the third equation to obtain
LOU 2 = p2 q2 q V (1 + q ) + pq 1 (q).
From the solvability condition for this we obtain an equation for (q):
1 q2 q V (1 + q ) = 0, (8.116)
together with the periodic boundary conditions. The derivative of the solution of
this two-point boundary value problem is
2
q + 1 = R V (q) dq
eV (q) . (8.117)
e
The first two terms in the large expansion of the solution of equation (8.88) are

1 1
(p, q) = (q) + (1 + q ) + O ,
2
where (q) is the solution of (8.116). Substituting this in the formula for the diffu-
sion coefficient and using (8.117) we obtain
Z Z
4 2 1
D = p (p, q) dpdq = +O ,
Z Zb 3
R R
where Z = eV (q) , Zb = eV (q) . This is, of course, the Lifson-Jackson
formula which gives the diffusion coefficient in the overdamped limit [43]. Con-
tinuing in the same fashion, we can also calculate the next two terms in the expan-
sion (8.114), see Exercise 4. From this, we can compute the next order correction
to the diffusion coefficient. The final result is

4 2 4 2 Z1 1
D= +O , (8.118)
Z Z b 3
ZZ b 2 5
R
where Z1 = |V (q)|2 eV (q) dq.
In the case of the nonlinear pendulum, V (q) = cos(q), formula (8.118) gives

1 2 J2 () 2 1
D= J () 3 J0 () + O , (8.119)
0 3
J0 () 5
where Jn () is the modified Bessel function of the first kind.

In the multidimensional case, a similar analysis leads to the large gamma
asymptotics:
1 1
h, Di = h, D0 i + O ,
3
where is an arbitrary unit vector in Rd and D0 is the diffusion coefficient for the
Smoluchowski (overdamped) dynamics:
Z

D0 = Z 1 LV eV (q) dq (8.120)
Rd
where
LV = q V q + 1 q
and (q) is the solution of the PDE LV = q V with periodic boundary condi-
tions.
Now we prove several properties of the effective diffusion tensor in the over-
damped limit. For this we will need the following integration by parts formula
Z Z Z

y dy = y () y dy = ( y ) dy. (8.121)
Td Td Td
The proof of this formula is left as an exercise, see Exercise 5.
Theorem 8.6.1. The effective diffusion tensor D0 (8.120) satisfies the upper and
lower bounds
D
6 h, Ki 6 D||2 Rd , (8.122)
ZZb
where
Z
Zb = eV (y)/D dy.
Td
In particular, diffusion is always depleted when compared to molecular diffusivity.

Furthermore, the effective diffusivity is symmetric.
Proof. The lower bound follows from the general lower bound (??), equation (??)
and the formula for the Gibbs measure. To establish the upper bound, we use
(8.121) and (??) to obtain
Z Z
T
K = DI + 2D () dy + y V dy
d d
ZT ZT
= DI 2D y dy + y V dy
Td Td
Z Z
= DI 2 y V dy + y V dy
Td Td
Z
= DI y V dy
d
ZT

= DI L0 dy
Td
Z

= DI D y y dy. (8.123)
Td
Hence, for = ,
Z
h, Ki = D||2 D |y |2 dy
Td
6 D||2 .
This proves depletion. The symmetry of K follows from (8.123).
The One Dimensional Case
The one dimensional case is always in gradient form: b(y) = y V (y). Further-
more in one dimension we can solve the cell problem (??) in closed form and
calculate the effective diffusion coefficient explicitlyup to quadratures. We start
with the following calculation concerning the structure of the diffusion coefficient.
Z 1 Z 1
K = D + 2D y dy + y V dy
0 0
Z 1 Z 1
= D + 2D y dy + D y dy
0 0
Z 1 Z 1
= D + 2D y dy D y dy
0 0
Z 1

= D 1 + y dy. (8.124)
0
The cell problem (??) in one dimension is
Dyy y V y = y V. (8.125)
We multiply equation (8.125) by eV (y)/D to obtain

y y eV (y)/D = y eV (y)/D .
We integrate this equation from 0 to 1 and multiply by eV (y)/D to obtain
y (y) = 1 + c1 eV (y)/D .
Another integration yields

Z y
(y) = y + c1 eV (y)/D dy + c2 .
0
The periodic boundary conditions imply that (0) = (1), from which we con-
clude that
Z 1
1 + c1 eV (y)/D dy = 0.
0
Hence
Z 1
1
c1 = , b=
Z eV (y)/D dy.
Zb 0
We deduce that
1 V (y)/D
y = 1 + e .
Zb
We substitute this expression into (8.124) to obtain

Z
D 1
K = (1 + y (y)) eV (y)/D dy
Z 0
Z 1
D
= eV (y)/D eV (y)/D dy
ZZ b 0
D
= , (8.126)
ZZ b
with Z Z
1 1
V (y)/D
Z= e dy, b=
Z eV (y)/D dy. (8.127)
0 0
The Cauchy-Schwarz inequality shows that Z Z b > 1. Notice that in the one
dimensional case the formula for the effective diffusivity is precisely the lower
bound in (8.122). This shows that the lower bound is sharp.
Example 8.6.2. Consider the potential

a1 : y [0, 12 ],
V (y) = (8.128)
a2 : y ( 21 , 1],
where a1 , a2 are positive constants.4

It is straightforward to calculate the integrals in (8.127) to obtain the formula
D
K= 2 a1 a2
. (8.129)
cosh D
In Figure 8.2 we plot the effective diffusivity given by (8.129) as a function of the
molecular diffusivity D. We observe that K decays exponentially fast in the limit
as D 0.
8.6.1 Brownian Motion in a Tilted Periodic Potential

In this appendix we use our method to obtain a formula for the effective diffusion
coefficient of an overdamped particle moving in a one dimensional tilted periodic
potential. This formula was first derived and analyzed in [62, 61] without any
appeal to multiscale analysis. The equation of motion is

x = V (x) + F + 2D, (8.130)
4
Of course, this potential is not even continuous, let alone smooth, and the theory as developed
in this chapter does not apply. It is possible, however, to consider a regularized version of this
discontinuous potential and then homogenization theory applies.
0
10
2
10
4
10
K
6
10
8
10
10
10
1 0 1
10 10 10
D
Figure 8.2: Effective diffusivity versus molecular diffusivity for the potential
(8.128).
where V (x) is a smooth periodic function with period L, F and D > 0 constants
and (t) standard white noise in one dimension. To simplify the notation we have
set = 1.
The stationary FokkerPlanck equation corresponding to(8.130) is

x V (x) F (x) + Dx (x) = 0, (8.131)
with periodic boundary conditions. Formula (??) for the effective drift now be-
comes Z L
Uef f = (V (x) + F )(x) dx. (8.132)
0
The solution of eqn. (8.131) is [60, Ch. 9]

Z x+L
1
(x) = dyZ+ (y)Z (x), (8.133)
Z x
with
1
Z (x) := e D (V (x)F x) ,
and Z Z
L x+L
Z= dx dyZ+ (y)Z (x). (8.134)
0 x
Upon using (8.133) in (8.132) we obtain [60, Ch. 9]
DL FL

Uef f = 1 e D . (8.135)
Z
Our goal now is to calculate the effective diffusion coefficient. For this we first
need to solve the Poisson equation (8.94a) which now becomes
L(x) := Dxx (x) + (V (x) + F )x = V (x) F + Uef f , (8.136)
with periodic boundary conditions. Then we need to evaluate the integrals in (??):
Z L Z L

Def f = D + (V (x) + F Uef f )(x) dx + 2D x (x)(x) dx.
0 0
It will be more convenient for the subsequent calculation to rewrite the above for-
mula for the effective diffusion coefficient in a different form. The fact that (x)
solves the stationary FokkerPlanck equation, together with elementary integra-
tions by parts yield that, for all sufficiently smooth periodic functions (x),
Z L Z L
(x)(L(x))(x) dx = D (x (x))2 (x) dx.
0 0
Now we have
Z L Z L

Def f = D+ (V (x) + F Uef f )(x)(x) dx + 2D x (x)(x) dx
0 0
Z L Z L
= D+ (L(x))(x)(x) dx + 2D x (x)(x) dx
0 0
Z L Z L
2
= D+D (x (x)) (x) dx + 2D x (x)(x) dx
0 0
Z L
= D (1 + x (x))2 (x) dx. (8.137)
0
Now we solve the Poisson equation (8.136) with periodic boundary conditions. We
multiply the equation by Z (x) and divide through by D to rewrite it in the form
Uef f
x (x (x)Z (x)) = x Z (x) + Z (x).
D
We integrate this equation from x L to x and use the periodicity of (x) and
V (x) together with formula (8.135) to obtain
FL
FL
L FL
Z x
x (x)Z (x) 1 e D = Z (x) 1 e D + 1 e D Z (y) dy,
Z xL
from which we immediately get

Z x
1
x (x) + 1 = Z (y)Z+ (x) dy.
Z xL
Substituting this into (8.137) and using the formula for the invariant distribution
(8.133) we finally obtain
Z L
D
Def f = 3 (I+ (x))2 I (x) dx, (8.138)
Z 0
with
Z x Z x+L
I+ (x) = Z (y)Z+ (x) dy and I (x) = Z+ (y)Z (x) dy.
xL x
Formula (8.138) for the effective diffusion coefficient (formula (22) in [61]) is the
main result of this section.
8.7 Numerical Solution of the Klein-Kramers Equation

The rigorous study of the overdamped limit can be found in [54]. A similar approx-
imation theorem is also valid in infinite dimensions (i.e. for SPDEs); see [5, 6].
More information about the underdamped limit of the Langevin equation can
be found at [70, 19, 20].
We also mention in passing that the various formulae for the effective diffusion
coefficient that have been derived in the literature [24, 43, 62, 66] can be obtained
from equation (??): they correspond to cases where equations (??) and (??) can be
solved analytically. An examplethe calculation of the effective diffusion coeffi-
cient of an overdamped Brownian particle in a tilted periodic potentialis presented
in appendix. Similar calculations yield analytical expressions for all other exactly
solvable models that have been considered in the literature.
8.9. EXERCISES 189
8.9 Exercises
1. Let Lb be the generator of the two-dimensional Ornstein-Uhlenbeck operator (8.17).
Calculate the eigenvalues and eigenfunctions of L. b Show that there exists a
transformation that transforms Lb into the Schrodinger operator of the two-dimensional
quantum harmonic oscillator.
2. Let Lb be the operator defined in (8.34)
(a) Show by direct substitution that Lb can be written in the form
Lb = 1 (c ) (c+ ) 2 (d ) (d+ ) .
(b) Calculate the commutators
[(c+ ) , (c ) ], [(d+ ) , (d ) ], [(c ) , (d ) ], [L,

b (c ) ], [L,
b (d ) ].
3. Show that the operators a , b defined in (8.15) and (8.16) satisfy the commu-
tation relations
[a+ , a ] = 1, (8.139a)
[b+ , b ] = 1, (8.139b)
[a , b ] = 0. (8.139c)
4. Obtain the second term in the expansion (8.118).
5. Prove formula (8.121).

Chapter 9
The Mean First Passage time and

Exit Time Problems
9.1 Introduction
9.2 Brownian Motion in a Bistable Potential

There are many systems in physics, chemistry and biology that exist in at least two
stable states. Among the many applications we mention the switching and storage
devices in computers. Another example is biological macromolecules that can exist
in many different states. The problems that we would like to solve are:
How stable are the various states relative to each other.
How long does it take for a system to switch spontaneously from one state
to another?
How is the transfer made, i.e. through what path in the relevant state space?
There is a lot of important current work on this problem by E, Vanden Eijn-
den etc.
How does the system relax to an unstable state?
We can separate between the 1d problem, the finite dimensional problem and the
infinite dimensional problem (SPDEs). We we will solve completely the one di-
mensional problem and discuss in some detail about the finite dimensional prob-
lem. The infinite dimensional situation is an extremely hard problem and we will
191
192CHAPTER 9. THE MEAN FIRST PASSAGE TIME AND EXIT TIME PROBLEMS
3
0 50 100 150 200 250 300 350 400 450 500
only make some remarks. The study of bistability and metastability is a very active
research area, in particular the development of numerical methods for the calcula-
tion of various quantities such as reaction rates, transition pathways etc.
We will mostly consider the dynamics of a particle moving in a bistable poten-
tial, under the influence of thermal noise in one dimension:
p
x = V (x) +
2kB T . (9.1)
An example of the class of potentials that we will consider is shown in Figure. It

has to local minima, one local maximum and it increases at least quadratically at
infinity. This ensures that the state space is compact, i.e. that the particle cannot
escape at infinity. The standard potential that satisfies these assumptions is
1 1 1
V (x) = x4 x2 + . (9.2)
4 2 4
It is easily checked that this potential has three local minima, a local maximum at
x = 0 and two local minima at x = 1. The values of the potential at these three
points are:
1
V (1) = 0, V (0) = .
4
We will say that the height of the potential barrier is 14 . The physically (and math-
ematically!) interesting case is when the thermal fluctuations are weak when com-
pared to the potential barrier that the particle has to climb over.
9.2. BROWNIAN MOTION IN A BISTABLE POTENTIAL 193
More generally, we assume that the potential has two local minima at the points
a and c and a local maximum at b. Let us consider the problem of the escape of the
particle from the left local minimum a. The potential barrier is then defined as
E = V (b) V (a).
Our assumption that the thermal fluctuations are weak can be written as
kB T
1.
E
In this limit, it is intuitively clear that the particle is most likely to be found at either
a or c. There it will perform small oscillations around either of the local minima.
This is a result that we can obtain by studying the small temperature limit by using
perturbation theory. The result is that we can describe locally the dynamics of
the particle by appropriate OrnsteinUhlenbeck processes. Of course, this result is
valid only for finite times: at sufficiently long times the particle can escape from
the one local minimum, a say, and surmount the potential barrier to end up at c.
It will then spend a long time in the neighborhood of c until it escapes again the
potential barrier and end at a. This is an example of a rare event. The relevant
time scale, the exit time or the mean first passage time scales exponentially in
:= (kB T )1 :
= 1 exp(E).
It is more customary to calculate the reaction rate := 1 which gives the rate
with which particles escape from a local minimum of the potential:
= exp(E). (9.3)
It is very important to notice that the escape from a local minimum, i.e. a state of
local stability, can happen only at positive temperatures: it is a noise assisted event.
Indeed, consider the case T = 0. The equation of motion becomes
x = V (x), x(0) = x0 .
In this case the potential becomes a Lyapunov function:

dx dx
= V (x) = (V (x))2 < 0.
dt dt
Hence, depending on the initial condition the particle will converge either to a or
c. The particle cannot escape from either state of local stability.
On the other hand, at high temperatures the particle does not see the potential
barrier: it essentially jumps freely from one local minimum to another.
To get a better understanding of the dependence of the dynamics on the depth of
the potential barrier relative to temperature, we solve the equation of motion (9.1)
numerically. In Figure we present the time series of the particle position. We
observe that at small temperatures the particle spends most of its time around x =
1 with rapid transitions from 1 to 1 and back.
9.3 The Mean First Passage Time

The Arrhenius-type factor in the formula for the reaction rate, eqn. (9.3) is intu-
itively and it has been observed experimentally in the late nineteenth century by
Arrhenius and others. What is extremely important both from a theoretical and an
applied point of view is the calculation of the prefactor , the rate coefficient. A
systematic approach for the calculation of the rate coefficient, as well as the jus-
tification of the Arrhenius kinetics, is that of the mean first passage time method
(MFPT). Since this method is of independent interest and is useful in various other
contexts, we will present it in a quite general setting and apply it to the problem
of the escape from a potential barrier in later sections. We will first treat the one
dimensional problem and then extend the theory to arbitrary finite dimensions.
We will restrict ourselves to the case of homogeneous Markov processes. It is
not very easy to extend the method to non-Markovian processes.
9.3.1 The Boundary Value Problem for the MFPT

Let Xt be a continuous time diffusion process on Rd whose evolution is governed
by the SDE
dXtx = b(Xtx ) dt + (Xtx ) dWt , X0x = x. (9.4)
Let D be a bounded subset of Rd with smooth boundary. Given x D, we want to
know how long it takes for the process Xt to leave the domain D for the first time
x
D = inf {t > 0 : Xtx
/ D} .
Clearly, this is a random variable which is called the first passage time. The
average of this random variable is called the mean first passage time MFPT or the
first exit time:

x
(x) := ED = E inf {t > 0 : Xtx / D} X0x = x .
9.3. THE MEAN FIRST PASSAGE TIME 195
We have written the second equality in the above in order to emphasize the fact
that the mean first passage time is defined in terms of a conditional expectation, i.e.
the MFPT is defined as the expectation of the first time the diffusion processes Xt
leaves the domain, conditioned on Xt starting at x . Consequently, the MFPT
is a function of the starting point x. Consider now an ensemble of initial conditions
distributed according to a distribution p0 (x). The confinement time is defined as
Z Z

= (x)p0 (x) dx = E inf {t > 0 : Xtx / D} X0x = x p0 (x) dx.

(9.5)
We can calculate the MFPT by solving an appropriate boundary value problem.
The calculation of the confinement time follows then by calculating the integral
in [?].
Theorem 9.3.1. The MFPT is the solution of the boundary value problem
L = 1, x D, (9.6a)
= 0, x D, (9.6b)
where L is the generator of the SDE 9.6.
The homogeneous Dirichlet boundary conditions correspond to an absorbing
boundary: the particles are removed when they reach the boundary. Other choices
of boundary conditions are also possible. The rigorous proof of Theorem 9.3.1 is
based on Itos formula.
Proof. Let (X, x, t) be the probability distribution of the particles that have not
left the domain D at time t. It solves the FP equation with absorbing boundary
conditions.

= L , (X, x, 0) = (X x), |D = 0. (9.7)
t
We can write the solution to this equation in the form

(X, x, t) = eL t (X x),
where the absorbing boundary conditions are included in the definition of the semi-

group eL t . The homogeneous Dirichlet (absorbing) boundary conditions imply
that
lim (X, x, t) = 0.
t+
That is: all particles will eventually leave the domain. The (normalized) number of
particles that are still inside D at time t is
Z
S(x, t) = (X, x, t) dx.
D
Notice that this is a decreasing function of time. We can write
S
= f (x, t),
t
where f (x, t) is the first passage times distribution. The MFPT is the first mo-
ment of the distribution f (x, t):
Z + Z +
dS
(x) = f (s, x)s ds = s ds
0 0 ds
Z + Z + Z
= S(s, x) ds = (X, x, s) dXds
0 0 D
Z + Z

= eL s (X x) dXds
0 D
Z + Z Z +
= (X x) eLs 1 dXds = eLs 1 ds.
0 D 0
We apply L to the above equation to deduce:

Z + Z
Lt
t
d Lt
L = Le 1 dt = Le 1 dt
0 0 dt
= 1.
In the case where a part of the boundary is absorbing and a part is reflecting,
then we end up with a mixed boundary value problem for the MFPT:
L = 1, x D, (9.8a)
= 0, x DA , (9.8b)
J = 0, x DR . (9.8c)
Here DA DR = D where DA denotes the absorbing and DR denotes the

reflecting part of the boundary and J denotes the probability flux.
9.3. THE MEAN FIRST PASSAGE TIME 197
1.8
1.6
1.4
1.2
(x)
0.8
0.6
0.4
0.2
0
1 0.8 0.6 0.4 0.2 0 0.2 0.4 0.6 0.8 1
x
Figure 9.1: The mean first passage time for Brownian motion with one absorbing
and one reflecting boundary.
9.3.2 Examples
In this section we consider a few simple examples for which we can calculate the
mean first passage time in closed form.
Brownian motion with one absorbing and one reflecting boundary.
We consider the problem of Brownian motion moving in the interval [a, b]. We
assume that the left boundary is absorbing and the right boundary is reflecting.
The boundary value problem for the MFPT time becomes
d2 d
= 1, (a) = 0, (b) = 0. (9.9)
dx2 dx
x2 a
(x) = + bx + a b .
2 2
The MFPT time for Brownian motion with one absorbing and one reflecting bound-
ary in the interval [1, 1] is plotted in Figure 9.3.2.
0.5
0.45
0.4
0.35
0.3
(x)
0.25
0.2
0.15
0.1
0.05
0
1 0.8 0.6 0.4 0.2 0 0.2 0.4 0.6 0.8 1
x
Figure 9.2: The mean first passage time for Brownian motion with two absorbing
boundaries.
Brownian motion with two reflecting boundaries.
Consider again the problem of Brownian motion moving in the interval [a, b], but
now with both boundaries being absorbing. The boundary value problem for the
MFPT time becomes
d2
= 1, (a) = 0, (b) = 0. (9.10)
dx2
x2 a
(x) = + bx + a b .
2 2
The MFPT time for Brownian motion with two absorbing boundaries in the interval
[1, 1] is plotted in Figure 9.3.2.
The Mean First Passage Time for a One-Dimensional Diffusion Process
Consider now the mean exit time problem from an interval [a, b] for a general one-
dimensional diffusion process with generator
d 1 d2
L = a(x) + b(x) 2 ,
dx 2 dx
9.4. ESCAPE FROM A POTENTIAL BARRIER 199
where the drift and diffusion coefficients are smooth functions and where the dif-
fusion coefficient b(x) is a strictly positive function (uniform ellipticity condition).
In order to calculate the mean first passage time we need to solve the differential
equation
d 1 d2
a(x) + b(x) 2 = 1, (9.11)
dx 2 dx
together with appropriate boundary conditions, depending on whether we have one
absorbing and one reflecting boundary or two absorbing boundaries. To solve
this equation we first define the function (x) through (x) = 2a(x)/b(x) to
write (9.11) in the form
2 (x)
e(x) (x) = e
b(x)
The general solution of (9.11) is obtained after two integrations:

Z x Z z Z x
(z) e(y)
(x) = 2 e dz dy + c1 e(y) dy + c2 ,
a a b(y) a
where the constants c1 and c2 are to be determined from the boundary conditions.
When both boundaries are absorbing we get
Z x Z z Z x
(z) e(y) 2Zb
(x) = 2 e dz dy + e(y) dy. (9.12)
a a b(y) Z a
9.4 Escape from a Potential Barrier

In this section we use the theory developed in the previous section to study the
long time/small temperature asymptotics of solutions to the Langevin equation for
a particle moving in a onedimensional potential of the form (9.2):
p
= V (x) x + 2kB T W
x . (9.13)
In particular, we justify the Arrhenius formula for the reaction rate
= () exp(E)
and we calculate the escape rate = (). In particular, we analyze the depen-
dence of the escape rate on the friction coefficient. We will see that the we need to
distinguish between the cases of large and small friction coefficients.
9.4.1 Calculation of the Reaction Rate in the Overdamped Regime

We consider the Langevin equation (9.13) in the limit of large friction. As we
saw in Section 8.4, in the overdamped limit 1, the solution to (9.13) can be
approximated by the solution to the Smoluchowski equation (9.1)
p
.
x = V (x) + 2 1 W
We want to calculate the rate of escape from the potential barrier in this case. We
assume that the particle is initially at x0 which is near a, the left potential mini-
mum. Consider the boundary value problem for the MFPT of the one dimensional
diffusion process (9.1) from the interval (a, b):

1 eV x eV = 1 (9.14)
We choose reflecting BC at x = a and absorbing B.C. at x = b. We can solve (9.14)

with these boundary conditions by quadratures:
Z b Z y
(x) = 1 dyeV (y) dzeV (z) . (9.15)
x 0
Now we can solve the problem of the escape from a potential well: the reflecting
boundary is at x = a, the left local minimum of the potential, and the absorbing
boundary is at x = b, the local maximum. We can replace the B.C. at x = a by a
repelling B.C. at x = :
Z b Z y
1 V (y)
(x) = dye dzeV (z) .
x
When Eb 1 the integral wrt z is dominated by the value of the potential near
a. Furthermore, we can replace the upper limit of integration by :
Z z Z +
02 2
exp(V (z)) dz exp(V (a)) exp (z a) dz
2
s
2
= exp (V (a)) ,
02
where we have used the Taylor series expansion around the minimum:
1
V (z) = V (a) + 02 (z a)2 + . . .
2
9.4. ESCAPE FROM A POTENTIAL BARRIER 201
Similarly, the integral wrt y is dominated by the value of the potential around the
saddle point. We use the Taylor series expansion
1
V (y) = V (b) b2 (y b)2 + . . .
2
Assuming that x is close to a, the minimum of the potential, we can replace the
lower limit of integration by . We finally obtain
Z b Z b
b2 2
exp(V (y)) dy exp(V (b)) exp (y b) dy
x 2
s
1 2
= exp (V (b)) .
2 b2
Putting everything together we obtain a formula for the MFPT:

(x) = exp (Eb ) .
0 b
The rate of arrival at b is 1/ . Only have of the particles escape. Consequently, the
1
escape rate (or reaction rate), is given by 2 :
0 b
= exp (Eb ) .
2
9.4.2 The Intermediate Regime: = O(1)

Consider now the problem of escape from a potential well for the Langevin
equation p
q = q V (q) q + 2 1 W . (9.16)
The reaction rate depends on the fiction coefficient and the temperature. In
the overdamped limit ( 1) we retrieve (??), appropriately rescaled with
:
0 b
= exp (Eb ) . (9.17)
2
We can also obtain a formula for the reaction rate for = O(1):
q
2 2
4 b 2 0
= exp (Eb ) . (9.18)
b 2
Naturally, in the limit as + (9.18) reduces to (9.17)

9.4.3 Calculation of the Reaction Rate in the energy-diffusion-limited

regime
In order to calculate the reaction rate in the underdamped or energy-diffusion-
limited regime 1 we need to study the diffusion process for the energy, (8.69)
or (8.70). The result is
0
= I(Eb ) eEb , (9.19)
2
where I(Eb ) denotes the action evaluated at b.

The calculation of reaction rates and the stochastic modeling of chemical reactions
has been a very active area of research since the 30s. One of the first methods
that were developed was that of transition state theory. Kramers developed his
theory in his celebrated paper [38]. In this chapter we have based our approach
to the calculation of the mean first passage time. Our analysis is based mostly
on [25, Ch. 5, Ch. 9], [75, Ch. 4] and the excellent review article [31]. We highly
recommend this review article for further information on reaction rate theory. See
also [30] and the review article of Melnikov (1991). A formula for the escape
rate which is valid for all values of friction coefficient was obtained by Melnikov
and Meshkov in 1986, J. Chem. Phys 85(2) 1018-1027. This formula requires the
calculation of integrals and it reduced to (9.17) and (9.19) in the overdamped and
underdamped limits, respectively.
There are many applications of interest where it is important to calculate reac-
tion rates for non-Markovian Langevin equations of the form
Z t

= V (x)
x b(t s)x(s)
ds + (t) (9.20a)
0
h(t)(0)i = kB T M 1 (t) (9.20b)
We will derive generalized nonMarkovian equations of the form (9.20a), together

with the fluctuationdissipation theorem (10.16), in Chapter 10. The calculation of
reaction rates for the generalized Langevin equation is presented in [30].
The long time/small temperature asymptotics can be studied rigorously by
means of the theory of Freidlin-Wentzell [20]. See also [3]. A related issue is
that of the small temperature asymptotics for the eigenvalues (in particular, the
9.6. EXERCISES 203
first eigenvalue) of the generator of the Markov process x(t) which is the solution
of p
x = V (x) + 2kB T W .
The theory of Freidlin and Wentzell has also been extended to infinite dimensional
problems. This is a very important problem in many applications such as micro-
magnetics...We refer to CITE... for more details.
A systematic study of the problem of the escape from a potential well was
developed by Matkowsky, Schuss and collaborators [67, 50, 51]. This approach
is based on a systematic use of singular perturbation theory. In particular, the
calculation of the transition rate which is uniformly valid in the friction coefficient
is presented in [51]. This formula is obtained through a careful analysis of the PDE
pq q V p + (pp + kB T p2 ) = 1,
for the mean first passage time . The PDE is equipped, of course, with the appro-
priate boundary conditions. Singular perturbation theory is used to study the small
temperature asymptotics of solutions to the boundary value problem. The formula
derived in this paper reduces to the formulas which are valid at large and small
values of the friction coefficient at the appropriate asymptotic limits.
The study of rare transition events between long lived metastable states is a
key feature in many systems in physics, chemistry and biology. Rare transition
events play an important role, for example, in the analysis of the transition between
different conformation states of biological macromolecules such as DNA [68]. The
study of rare events is one of the most active research areas in the applied stochastic
processes. Recent developments in this area involve the transition path theory of W.
E and Vanden Eijnden. Various simple applications of this theory are presented in
Metzner, Schutte et al 2006. As in the mean first passage time approach, transition
path theory is also based on the solution of an appropriate boundary value problem
for the so-called commitor function.
9.6 Exercises
Chapter 10
Stochastic Processes and

Statistical Mechanics
10.1 Introduction
In this final chapter we study the connection between stochastic processes and
non-equilibrium statistical mechanics. In particular, we derive stochastic equations
of evolution for a particle (or more generally, a low-dimensional deterministic
Hamiltoniandynamical system) that is in contact with a heat bath. This derivation
provides a justification for the use of stochastic differential equations in physics
and chemistry. We also develop some additional tools that are useful in the study
of systems far from equilibrium such linear response theory and projection operator
techniques.
In Section 10.2 we study the Kac-Zwanzig model and we derive the generalized
Langevin equation (GLE), together with the fluctuation-dissipation theorem . The
generalized Langevin equation is studied in Section 10.3. More general classes
of models that describe the dynamics of a particle interacting with a heat bath
are studied in Section 10.4. Linear response theory , one of the most important
techniques that are used in the study of systems far from equilibrium, is developed
in Section 10.5. Projection operator techniques, another extremely useful tool in
non-equilibrium statistical mechanics, are studied in Section 10.6. Discussion and
bibliographical remarks are included in Section 10.7. Exercises can be found in
Section 10.8.
205
206CHAPTER 10. STOCHASTIC PROCESSES AND STATISTICAL MECHANICS
10.2 The Kac-Zwanzig Model

In this section we will study a simple model for the dynamics of a particle (the
distinguished or Brownian particle) that interactsi.e. exchanges energywith its
environment (the heat bath). The dynamics of the particle-heat bath system can be
described through a Hamiltonian of the form
H(Q, P ; q, p) = HBP (Q, P ) + HHB ({q}, {p}) + HI (Q, {q}), (10.1)
{Q, P } are the coordinates of the Brownian particle and {{q}, {p}} the coordi-
nates of particles in the heat bath. The last term in the Hamiltonian function (10.1),
HI (Q, q) describes the interaction between the particle and the heat bath. The heat
bath is assumed to be in equilibrium at temperature 1 . For this, we need to pre-
pare the system appropriately, i.e. we need to assume that the initial conditions for
the particles in the heat bath are random variables that are distributed according to
an appropriate probability distribution, an appropriate Gibbs measure.
For simplicity we will restrict ourselves to the one dimensional case. We will
also consider the simplest possible model for the heat bath as well as the simplest
possible coupling between the particle and the heat bath: the heat bath will taken
to consists of N harmonic oscillators and the coupling will be taken to be linear:
X N
P2 p2n 1
H(QN , PN , q, p) = N + V (QN ) + + mn n2 qn2 n qn QN (10.2)
,
2 2mn 2
n=1
where we have introduced the subscript N in the notation for the position and mo-
mentum of the distinguished particle, QN and PN to emphasize their dependence
on the number N of the harmonic oscillators in the heat bath. V (Q) denotes the
potential experienced by the Brownian particle. For notational simplicity we have
assumed that the Brownian particle has unit mass. Notice also that we have intro-
duced a parameter that measures the strength of the coupling between the particle
and the thermal reservoir and that we have also introduced a family of constants
{n }N
n=1 .
Hamiltons equations of motion are:
N
X
N + V (QN ) =
Q n q n , (10.3a)
n=1

n
qn + n2 qn QN = 0, n = 1, . . . N. (10.3b)
mn
10.2. THE KAC-ZWANZIG MODEL 207
The equations for the particles in the harmonic heat bath are second order linear
inhomogeneous equations with constant coefficients. Our plan is to solve them and
then to substitute the result in the equations of motion for the Brownian particle.
We can solve the equations of motion for the heat bath variables using the variation
of constants formula. Set zn = (qn vn )T , vn = qn . Then equations (10.3b) can be
written as
dzn
= An zn + hN (t), (10.4)
dt
where
0 1 0
An = and F (t) = n
n2 0 mn QN (t)
The solution of (10.4) is
Z t
An t
zn (t) = e zn (0) + eAn (ts) hN (s) ds.
0
It is straightforward to calculate the exponential of the matrix An (See Exercise 1)

1
eAn t = cos(n t)I + sin(n t)An , (10.5)
n
where I stands for the 22 identity matrix. From this we obtain, with pn = mn qn ,
pn (0)
qn (t) = qn (0) cos(n t) + sin(n t)
mn n
Z t
n
+ sin(n (t s))QN (s) ds. (10.6)
mn n 0
Now we can substitute (10.6) into (10.3a) to obtain a closed equation that describes
the dynamics of the distinguished particle. However, it is more customary to per-
form an integration by parts in (10.6) first:

n pn (0)
qn (t) = qn (0) 2
QN (0) cos(n t) + sin(n t)
mn n mn n
Z t
n n
+ Q N (t) cos(n (t s))Q N (s) ds
mn n2 mn n2 0
=: n cos(n t) + n sin(n t)
Z t
+En QN (t) Rn (t s)Q N (s) ds.
0
We substitute this in equation (10.3) to obtain
Z t
2
QN + V (QN ) = EN QN (t) 2
RN (t s)Q N (s) ds + FN (t), (10.7)
0
where
N
X 2n
EN = , (10.8a)
mn n2
n=1
XN
2n
RN (t) = cos(n t), (10.8b)
mn n2
n=1
XN h
2n
FN (t) = n qn (0) QN (0) cos(n t) (10.8c)
n=1
mn n2
n pn (0) i
+ sin(n t) (10.8d)
mn n
It is important to note that equation (10.7) with EN , RN (t) and FN (t) given
by (10.8a) is equivalent to the original Hamiltonian system (10.2): so far no ap-
proximation or particular assumption has been made. Notice also that the above
calculation is valid for any number of harmonic oscillators in the heat bath, even
for N = 1!
Equation (10.7) can be also written in the form
Z t

QN + Veff (QN ) = 2
RN (t s)Q N (s) ds + FN (t), (10.9)
0
where we have defined the effective potential

1
Veff (Q) = V (Q) 2 EN Q2 . (10.10)
2
Consequently, the effect of the interaction between the Brownian particle and the
heat bath is not only to introduce two additional terms to the equations of motion
for the Brownian particle, the two terms on the right hand side of (10.9), but also to
modify the potential. Notice also that all the dependence on the initial conditions
in (10.9) is included in FN (t). When the initial conditions for the heat bath are
random, the case of interest here, FN (t) becomes a stochastic process, a random
forcing term.
The initial conditions of the Brownian particle {QN (0), PN (0)} =: {Q0 , P0 }1
are taken to be deterministic. As it has already been mentioned, the initial condi-
tions for the harmonic heat bath are chosen so that the thermal reservoir is in equi-
librium. Here we can make two choices: we can either assume that the heat bath
1
The initial conditions for the distinguished particle are, of course, independent of the number of
particles in the heat bath
initially in equilibrium in the absence of the Brownian particle or that the heat bath
is initially in equilibrium in the presence of the distinguished particle, i.e. that the
initial positions and momenta of the heat bath particles are distributed according to
a Gibbs distribution, conditional on the knowledge of {Q0 , P0 }:
(dpdq) = Z 1 eHeff (q,p,QN ) dqdp, (10.11)
where
N
" 2 #
X p2n 1 n
Heff(q, p, QN ) = + mn n2 qn QN ,2 (10.12)
n=1
2mn 2 mn n2
is the inverse temperature and Z is the normalization constant. This is a way

of introducing the concept of the temperature in the system: through the average
kinetic energy of the bath particles.
Our assumption that the initial conditions for the heat bath are distributed ac-
cording to (10.11) imply that
q p
n 1 k 1 ,
qn (0) = Q 0 + n n p n (0) = mn 1 n , (10.13)
mn n2
where the n n are mutually independent sequences of i.i.d. N (0, 1) random vari-
ables and we have used the notation kn = mn n2 . We reiterate that we actually
consider the Gibbs measure of an effective Hamiltonian. If we assume that the
p at t = 0 in the absence of the distinguished particle,
heat bath is in equilibrium
then we have qn (0) = 1 kn1 n . Our choice of the initial conditions (10.13)
ensures that the forcing term in the generalized Langevin equation that we will
derive is mean zero (see below).
Now we use (10.13) into (10.8c) to obtain
p N
X q

FN (t) = 1 n kn1 n cos(n t) + n sin(n t) . (10.14)
n=1
Equation (10.9) is called the generalized Langevin equation , FN (t) the noise
and RN (t)
XN
2n
RN (t) = cos(n t) (10.15)
k
n=1 n
2
Notice that if we add the quadratic term in Q to the Hamiltonian (10.2) then no correction to the
potential V (Q) (eqn. (10.10)) appears.
is the memory kernel. The noise and memory kernel are related. This is not sur-
Rt
prising, since the dissipation (i.e. the term 0 RN (t s)Q N (s) ds ) and the noise
FN (t) in (10.9) have the same source, namely the interaction between the Brow-
nian particle and the heat bath. In fact, the memory kernel is the autocorrelation
function of the noise (times a constant, the temperature). The following proposition
summarizes the basic properties of the noise term FN (t).
Proposition 10.2.1. The noise term FN (t) is a mean zero Gaussian stationary
process with autocorrelation function
hFN (t)FN (s)i = 1 RN (t s). (10.16)
In the writing the above equation we have used the notation hi to denote the
average with respect to the random variables {n , n }N
n=1 .
Remark 10.2.2. Equation (10.16) is called the fluctuation-dissipation theorem
Proof. The fact that FN (t) is mean zero follows from (10.13). Gaussianity follows
from the fact that the n n are mutually independent Gaussian random variables.
Stationarity is proved in Exercise 3, Chapter 3. The proof of (10.16) follows from
the formulas hn m i = nm , hn m i = nm , hn m i = 0, n, m = 1, . . . N and a
simple trigonometric identity
N
X
hFN (t)FN (s)i = 1 2n kn1 cos(n t) cos(n s)
n=1

+ sin(n t) sin(n s)
= 1 RN (t s).
By choosing the frequencies n and spring constants kn () of the heat bath

particles appropriately we can pass to the limit as N + and obtain the GLE
with different memory kernels R(t) and noise processes F (t).
Let a (0, 1), 2b = 1 a and set n = N a n where {n }
n=1 are i.i.d. with
1 U(0, 1). Furthermore, we choose the spring constants according to
f 2 (n )
kn = ,
N 2b
where the function f (n ) decays sufficiently fast at infinity. We can rewrite the
dissipation and noise terms in the form
N
X
RN (t) = f 2 (n ) cos(n t)
n=1
and
N
X
FN (t) = f (n ) (n cos(n t) + n sin(n t)) ,
n=1
where = N a /N . Using now properties of Fourier series with random coeffi-

cients/frequencies and of weak convergence of probability measures we can pass
to the limit:
RN (t) R(t) in L1 [0, T ],
for a.a. {n }
n=1 and
FN (t) F (t) weakly in C([0, T ], R).
The time T > 0 if finite but arbitrary. The limiting kernel and noise satisfy the
fluctuation-dissipation theorem (10.16):
hF (t)F (s)i = 1 R(t s). (10.17)
QN (t), the solution of (??) converges weakly to the solution of the limiting GLE
Z t

Q = V (Q) 2
R(t s)Q(s) ds + F (t). (10.18)
0
The properties of the limiting dissipation and noise are determined by the function
f (). As an example, consider the Lorentzian function
2/
f 2 () = (10.19)
2 + 2
with > 0. Then
R(t) = e|t| .
The noise process F (t) is a mean zero stationary Gaussian process with continuous
paths and, from (10.17), exponential correlation function:
hF (t)F (s)i = 1 e|ts| .

Hence, F (t) is the stationary Ornstein-Uhlenbeck process:

dF p dW
= F + 2 1 , (10.20)
dt dt
with F (0) N (0, 1 ). The GLE (10.18) becomes
Z t

Q = V (Q) 2
e|ts| Q(s) ds + 2 F (t), (10.21)
0
where F (t) is the OU process (10.20). Q(t), the solution of the GLE (10.18), is not
a Markov process, i.e. the future is not statistically independent of the past, when
conditioned on the present. The stochastic process Q(t) has memory. We can
turn (10.18) into a Markovian SDE by enlarging the dimension of state space, i.e.
introducing auxiliary variables. We might have to introduce infinitely many vari-
ables! For the case of the exponential memory kernel, when the noise is given
by an OU process, it is sufficient to introduce one auxiliary variable. We can
rewrite (10.21) as a system of SDEs:
dQ
= P,
dt
dP
= V (Q) + Z,
dt
dZ p dW
= Z P + 2 1 ,
dt dt
where Z(0) N (0, 1 ).
The process {Q(t), P (t), Z(t)} R3 is Markovian.
It is a degenerate Markov process: noise acts directly only on one of the 3 degrees
of freedom.
We can eliminate the auxiliary process Z by taking an appropriate distinguished
limit.

Set = 1 , = 2 . Equations (10.23) become
dQ
= P,
dt
dP
= V (Q) + Z,
dt r

dZ 1 2 1 dW
= 2Z P+ .
dt 2 dt
10.3. THE GENERALIZED-LANGEVIN EQUATION 213
We can use tools from singular perturbation theory for Markov processes to show
that, in the limit as 0, we have that
1 p dW
Z 2 1 P.
dt
Thus, in this limit we obtain the Markovian Langevin Equation (R(t) = (t))
p dW
= V (Q) Q +
Q 2 1 . (10.24)
dt
10.3 The Generalized-Langevin Equation

In the previous section we studied the gLE for the case where the memory kernel
decays exponentially fast. We showed that we can represent the gLE as a Marko-
vian processes by adding one additional variable, the solution of a linear SDE. A
natural question which arises is whether it is always possible to turn the gLE into
a Markovian system by adding a finite number of additional variables. This is not
always the case. However, there are many applications where the memory kernel
decays sufficiently fast so that we can approximate the gLE by a finite dimensional
Markovian system.
We introduce the concept of a quasi-Markovian stochastic process.
Definition 10.3.1. We will say that a stochastic process Xt is quasi-Markovian if

it can be represented as a Markovian stochastic process by adding a finite number
of additional variables: There exists a stochastic process Yt so that {Xt , Yt } is a
Markov process.
In many cases the additional variables Yt in terms of solutions to linear SDEs.

This is possible, for example, when the memory kernel consists of a sum of expo-
nential functions, a natural extension of the case considered in the previous section.
Proposition 10.3.2. Consider the generalized Langevin equation

Z t
Q = p, P = V (Q) R(t s)P (s) ds + F (t) (10.25)
0
with a memory kernel of the form

n
X
R(t) = j ej |t| (10.26)
j=1
and F (t) being a mean zero stationary Gaussian process and where R(t) and F (t)
are related through the fluctuation-dissipation theorem,
hF (t)F (s)i = 1 R(t s). (10.27)
Then (10.25) is equivalent to the Markovian SDE
n
X q
Q = P, P = V (Q)+ j uj , u j = j uj j pj + 2j 1 , j = 1, . . . n,
j=1
(10.28)
with uj N (0, 1 ) and where Wj (t) are independent standard one dimensional
Brownian motions.
Proof. We solve the equations for uj :

Z t q Z t
uj = j ej (ts) P (s) ds + ej t uj (0) + 2j 1 ej (ts) dWj
0 0
Z t
=: Rj (t s)P (s) ds + j (t).
0
We substitute this into the equation for P to obtain
n
X
P = V (Q) +
j uj
j=1
Xn Z t

= V (Q) + j Rj (t s)P (s) ds + j (t)
j=1 0
Z t
= V (Q) R(t s)P (s) ds + F (t)
0
where R(t) is given by (10.26) and the noise process F (t) is
n
X
F (t) = j j (t),
j=1
with j (t) being one-dimensional stationary independent OU processes. We read-

10.3. THE GENERALIZED-LANGEVIN EQUATION 215
ily check that the fluctuation-dissipatione theorem is satisfied:

n
X
hF (t)F (s)i = i j hi (s)j (t)i
i,j=1
X n
= i j ij ei |ts|
i,j=1
X n
= i ei |ts| = R(t s).
i=1
These additional variables are solutions of a linear system of SDEs. This fol-
lows from results in approximation theory. Consider now the case where the mem-
ory kernel is a bounded analytic function. Its Laplace transform
Z +
b
R(s) = est R(t) dt
0
can be represented as a continued fraction:
b 21
R(s) = 22
, i > 0, (10.29)
s + 1 + ...
Since R(t) is bounded, we have that
b
lim R(s) = 0.
s
Consider an approximation RN (t) such that the continued fraction representation

terminates after N steps.
RN (t) is bounded which implies that
bN (s) = 0.
lim R
s
The Laplace transform of RN (t) is a rational function:

PN N j
bN (s) = j=1 aj s
R P , aj , bj R. (10.30)
sN + N j=1 bj s
N j
This is the Laplace transform of the autocorrelation function of an appropriate

linear system of SDEs. Indeed, set
dxj dWj
= bj xj + xj+1 + aj , j = 1, . . . , N, (10.31)
dt dt
with xN +1 (t) = 0. The process x1 (t) is a stationary Gaussianpprocess with auto-
correlation function RN (t). For N = 1 and b1 = , a1 = 2 1 we derive
the GLE (10.21) with F (t) being the OU processp(10.20). Consider now the case
N = 2 with bi = i , i = 1, 2 and a1 = 0, a2 = 2 1 2 . The GLE becomes
Z t
Q = V (Q) 2
R(t s)Q(s) ds + F1 (t),
0
F1 = 1 F1 + F2 ,
p
F2 = 2 F2 + 2 1 2 W
2,
with
1 R(t s) = hF1 (t)F1 (s)i.
We can write (10.33) as a Markovian system for the variables {Q, P, Z1 , Z2 }:
Q = P,
P = V (Q) + Z1 (t),
Z 1 = 1 Z1 + Z2 ,
p
Z 2 = 2 Z2 P + 2 1 2 W
2.
Notice that this diffusion process is more degenerate than (10.21): noise acts
on fewer degrees of freedom. It is still, however, hypoelliptic (Hormanders con-
dition is satisfied): there is sufficient interaction between the degrees of freedom
{Q, P, Z1 , Z2 } so that noise (and hence regularity) is transferred from the de-
grees of freedom that are directly forced by noise to the ones that are not. The
corresponding Markov semigroup has nice regularizing properties. There exists a
smooth density. Stochastic processes that can be written as a Markovian process by
adding a finite number of additional variables are called quasimarkovian . Under
appropriate assumptions on the potential V (Q) the solution of the GLE equation
is an ergodic process. It is possible to study the ergodic properties of a quasi-
markovian processes by analyzing the spectral properties of the generator of the
corresponding Markov process. This leads to the analysis of the spectral properties
of hypoelliptic operators.
10.4. OPEN CLASSICAL SYSTEMS 217
10.4 Open Classical Systems

When studying the Kac-Zwanzing model we considered a one dimensional Hamil-
tonian system coupled to a finite dimensional Hamiltonian system with random
initial conditions (the harmonic heat bath) and then passed to the theromdynamic
limit N . We can consider a small Hamiltonian system coupled to its environ-
ment which we model as an infinite dimensional Hamiltonian system with random
initial conditions. We have a coupled particle-field model. The distinguished
particle (Brownian particle) is described through the Hamiltonian
1
HDP = p2 + V (q). (10.34)
2
We will model the environment through a classical linear field theory (i.e. the wave
equation) with infinite energy:
t2 (t, x) = x2 (t, x). (10.35)
The Hamiltonian of this system is

Z

HHB (, ) = |x |2 + |(x)|2 . (10.36)
(x) denotes the conjugate momentum field. The initial conditions are distributed
according to the Gibbs measure (which in this case is a Gaussian measure) at in-
verse temperature , which we formally write as
= Z 1 eH(,) dd. (10.37)
Care has to be taken when defining probability measures in infinite dimensions.

Under this assumption on the initial conditions, typical configurations of the
heat bath have infinite energy. In this way, the environment can pump enough
energy into the system so that non-trivial fluctuations emerge. We will assume
linear coupling between the particle and the field:
Z
HI (q, ) = q q (x)(x) dx. (10.38)
where The function (x) models the coupling between the particle and the field.
This coupling is influenced by the dipole coupling approximation from classical
electrodynamics. The Hamiltonian of the particle-field model is
H(q, p, , ) = HDP (p, q) + H(, ) + HI (q, ). (10.39)

The corresponding Hamiltonian equations of motion are a coupled system of equa-

tions of the coupled particle field model. Now we can proceed as in the case of the
finite dimensional heat bath. We can integrate the equations motion for the heat
bath variables and plug the solution into the equations for the Brownian particle to
obtain the GLE. The final result is
Z t

q = V (q) R(t s)q(s)
+ F (t), (10.40)
0
with appropriate definitions for the memory kernel and the noise, which are related
through the fluctuation-dissipation theorem.
10.5 Linear Response Theory
10.6 Projection Operator Techniques

Consider now the N + 1-dimensional Hamiltonian (particle + heat bath) with ran-
dom initial conditions. The N + 1 probability distribution function fN +1 sat-
isfies the Liouville equation
fN +1
+ {fN +1 , H} = 0, (10.41)
t
where H is the full Hamiltonian and {, } is the Poisson bracket
N
X
A B B A
{A, B} = .
qj pj qj pj
j=0
We introduce the Liouville operator
LN +1 = i{, H}.
The Liouville equation can be written as

fN +1
i = LN +1 fN +1 . (10.42)
t
We want to obtain a closed equation for the distribution function of the Brownian
particle. We introduce a projection operator which projects onto the distribution
function f of the Brownian particle:
P fN +1 = f, P fN +1 = h.
The Liouville equation becomes
f
i = P L(f + h), (10.43a)
t
h
i = (I P )L(f + h). (10.43b)
t
We integrate the second equation and substitute into the first equation. We obtain
Z t
f
i = P Lf i P Lei(IP )Ls (I P )Lf (t s) ds + P Lei(IP )Lt h(0).
t 0
(10.44)
In the Markovian limit (large mass ratio) we obtain the Fokker-Planck equation (??).

.
The original papers by Kac et al and by Zwanzig are [17, 74]. See also [16].
The variant of the Kac-Zwanzig model that we have discussed in this chapter was
studied in [27]. An excellent discussion on the derivation of the Fokker-Planck
equation using projection operator techniques can be found in [52].
Applications of linear response theory to climate modeling can be found in.
10.8 Exercises
1. Prove (10.5). Use this formula to obtain (10.6).
Index
autocorrelation function, 32 Fokker-Planck, 90

Fokker-Planck equation, 131
Banach space, 16 Fokker-Planck equation
Brownian motion classical solution of, 91
scaling and symmetry properties, 43
Gaussian stochastic process, 30
central limit theorem, 24
generalized Langevin equation, 205, 209
conditional expectation, 18
generator, 68, 129
confinement time, 195
Gibbs distribution, 111
correlation coefficient, 17
Gibbs measure, 113, 206
covariance function, 32
Green-Kubo formula, 39
Diffusion process
heat bath, 206
confinement time, 195
mean first passage time, 194 inverse temperature, 103
Diffusion processes Ito formula, 130
reversible, 110
Dirichlet form, 113 Joint probability density, 99
equation Kac-Zwanzig model, 206

Fokker-Planck, 90 Karhunen-Loeve Expansion, 46
kinetic, 120 Karhunen-Loeve Expansion
Klein-Kramers-Chandrasekhar, 141 for Brownian Motion, 49
Langevin, 141 kinetic equation, 120
Equation Kolmogorov equation, 130
Generalized Langevin, 205
equation Langevin equation, 141
generalized Langevin, 209 law, 13
law of large numbers
first passage time, 194 strong, 24
fluctuation-dissipation theorem, 205, 210 linear response theory, 205
221
222 INDEX
Markov Chain Monte Carlo, 115 stochastic processes

MCMC, 115 strictly stationary, 31
Mean first passage time, 194
mean first passage time, MFPT, 194 theorem
Multiplicative noise, 138 fluctuation-dissipation, 205
fluctuations-dissipation, 210
operator transport coefficient, 39
hypoelliptic, 142
Ornstein-Uhlenbeck process Wiener process, 40
Fokker-Planck equation for, 98
partition function, 111

Poincares inequality
for Gaussian measures, 105
Poincarès inequality, 113
Quasimarkovian stochastic process, 216
random variable
Gaussian, 17
uncorrelated, 17
Reversible diffusion, 110
spectral density, 35
stationary process, 31
stationary process
second order stationary, 32
strictly stationary, 31
wide sense stationary, 32
stochastic differential equation, 43
Stochastic Process
quasimarkovian, 216
stochastic process
definition, 29
Gaussian, 30
second-order stationary, 32
stationary, 31
equivalent, 30
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STOCHASTIC PROCESSES AND

2 Elements of Probability Theory 9

3 Basics of the Theory of Stochastic Processes 29

3.3 Stationary Processes . . . . . . . . . . . . . . . . . . . . . . . . 31

6 The Fokker-Planck Equation 89

7 Stochastic Differential Equations 123

8 The Langevin Equation 141

10 Stochastic Processes and Statistical Mechanics 205

10.4 Open Classical Systems . . . . . . . . . . . . . . . . . . . . . . . 217

1.2 Historical Overview

The assumption of Markovianity (no memory) expressed through the Chapman-

The FokkerPlanck equation (in this case, the diffusion equation).

The derivation of the Fokker-Planck equation from the master (Chapman-

The calculation of a transport coefficient (the diffusion equation) using macro-

kB is Boltzmanns constant, T is the temperature, is the viscosity of the

Einsteins theory is based on the Fokker-Planck equation. Langevin (1908) de-

Study individual trajectories of Brownian particles. Their evolution is gov-

where (t) is a random force.

Study the probability (x, t) of finding a particle at position x at time t. This

where A(x) = (x)(x)T .

1.3 The One-Dimensional Random Walk

where Xj {1, 1} with P(Xj = 1) = 21 .

We need a (pseudo)random number generator to generate n independent

We then take the sum of all these random moves.

The sequence {Sn }N n=1 indexed by the discrete time T = {1, 2, . . . N } is

50step random walk

Figure 1.1: Three paths of the random walk of length N = 50.

1000step random walk

Figure 1.2: Three paths of the random walk of length N = 1000.

Figure 1.3: Sample Brownian paths.

motion on a computer using a random number generator that generates normally

This is the simplest example of a stochastic differential equation. The probability

This is the simplest example of the Fokker-Planck equation. The connection

1.4 Stochastic Modeling of Deterministic Chaos

1.5 Why Randomness

To describe outcomes of a repeated set of experiments. Think of tossing a

To describe a deterministic system for which we have incomplete informa-

ODEs with random initial conditions are equivalent to stochastic pro-

To describe a dynamical system exhibiting very complicated behavior (chaotic

To describe a high dimensional deterministic system using a simpler, low

To describe a system that is inherently random. Think of quantum mechan-

Stochastic modeling is currently used in many different areas ranging from

1.6 Discussion and Bibliography

Elements of Probability Theory

2.2 Basic Definitions from Probability Theory

Example 2.2.2. The possible outcomes of the experiment of tossing a coin

The possible outcomes of the experiment of throwing a die are 1, 2, 3, 4, 5

We define events to be subsets of the sample space. Of course, we would like

Definition 2.2.3. A collection F of is called a field on if

From the definition of a field we immediately deduce that F is closed under

When is infinite dimensional then the above definition is not appropriate

Definition 2.2.4. A collection F of is called a -field or -algebra on if

A -algebra is closed under the operation of taking countable intersections.

The power set of , denoted by {0, 1} which contains all subsets of .

Let F be a collection of subsets of . It can be extended to a algebra (take

Example 2.2.6. Let = Rn . The -algebra generated by the open subsets of Rn

Let X be a closed subset of Rn . Similarly, we can define the Borel -algebra

Definition 2.2.7. A probability measure P on the measurable space (, F) is a

ii. For A1 , A2 , . . . with Ai Aj = , i 6= j then

Example 2.2.9. A biased coin is tossed once: = {H, T }, F = {, H, T, } =

2.2.1 Conditional Probability

for all finite subsets J of I.

and (since Ai Aj = implies that (Ai B) (Aj B) = )