PHYSICAL REVIEW E 74, 041117 2006

Fokker-Planck-Kramers equation for a Brownian gas in a magnetic field

J. I. Jimnez-Aquino* and M. Romero-Bastida

Departamento de Fsica, Universidad Autnoma Metropolitana, Iztapalapa, Apartado Postal 55534, C.P. 09340, Mexico, D.F., Mexico
Received 18 July 2006; revised manuscript received 29 August 2006; published 20 October 2006
In this work we give an alternative method to calculate the transition probability densities TPD for the
velocity space, phase space, and Smoluchowsky configuration space of a Brownian gas of charged particles in
the presence of a constant magnetic field. Our proposal consists in transforming, by means of a rotation matrix,
the Langevin equation of a charged particle in the velocity space into another velocity space where the
behavior is quite similar to that of ordinary Brownian motion. A similar strategy is also applied to the
phase-space. In consequence, in the transformed space both the Fokker-Planck and Fokker-Planck-Kramers
equations are solved following Chandrasekhars methodology. Our results are compared with those obtained by
Czopnik and Garbaczewski Phys. Rev. E 63, 021105 2001.

DOI: 10.1103/PhysRevE.74.041117 PACS numbers: 05.40.a, 02.50.r

I. INTRODUCTION construct and solve the associated Fokker-Planck equation.

By returning to the velocity space u, we obtain the same
The stochastic diffusion of a plasma across a magnetic TPD as that calculated by Czopnik and Garbaczewski 4 by
field arising from the fluctuations of the electric field other method. The same strategy is applied to the Langevin
was first solved by Taylor in 1961 using a Langevin theoret- equation in the phase space r , u in such a way that, in the
ical description 1. In the next year, the same problem transformed phase space r , u, the Langevin equation will
was solved by Kurs
unolu 2 by making an extension to
also be very similar to the ordinary Brownian motion and
Chandrasekhars 3 treatment of ordinary Brownian motion
therefore easier to work with. The TPD obtained in the phase
in terms of an auxiliary matrix-valued function, which is not
space r , u can be decomposed in two independent transi-
a genuine transition probability density governing the veloc-
tion probability densities, one describing the diffusion pro-
ity space and the configuration space. Almost forty years
cess on the xy plane and the other along the z axis, which is
later, the problem has again proved to be of interest to other
precisely the TPD for free Brownian motion. The planar
scientists, as shown in Refs. 48. In particular, in Ref. 4
TPD is not exactly the same, but nevertheless very similar, to
the full description of the Brownian motion in the magnetic
that calculated by Czopnik and Garbaczewski.
field is given through the transition probability densities for
The structure of this work is the following: In Sec. II, the
the velocity space, phase space, and the Smoluchowsky con-
Langevin equation and its associated Fokker-Planck equation
figuration space. In this reference, the main results have been
for several variables are introduced in the manner of Risken
obtained both by using some of Chandrasekhars strategies
9. Both equations are also established when a transforma-
as well as correlation matrices. On the other hand, in Ref. 6
tion of variables takes place. Because our proposal is related
the fundamental solution of the Fokker-Planck equation for
to the free Brownian motion, we briefly introduce the solu-
heavy ions in a fluid and under the influence of a time-
tion of both the Fokker-Planck and Fokker-Planck-Kramers
varying electric field has been proposed by using other meth-
equations for this problem following Chandrasekhars pro-
ods of solution. In Ref. 7, a general expression for the
posal. Our contribution starts in Sec. III, where we establish
transition probability densities TPD describing the aniso-
the strategy to solve the Fokker-Planck equation of the
tropic diffusion across the magnetic field, produced by the
Brownian gas in the velocity space u. Similar strategy is
stochastic Langevin force, has been calculated by Holod
applied in Sec. IV to solve the Fokker-Planck-Kramers equa-
et al. 2005, through the Fokker-Planck formalism. In this
tion for the phase space. From the obtained TPD we calcu-
work, the case of isotropic diffusion 4,8 across the external
late the planar TPD in the Smoluchowsky configuration
magnetic field arises as a particular case.
space and in the velocity space. Conclusions are finally given
In this work we give an alternative method of solution for
in Sec. V.
a Brownian gas of charged particles in constant magnetic
field. Our proposal is different and simpler than those pro-
posed in the above references. It consists in making a trans- II. LANGEVIN AND FOKKER-PLANCK EQUATIONS FOR
formation, by means of a rotation matrix, to the Langevin SEVERAL VARIABLES
equation for a charged particle in the velocity space u, to
another velocity space u, in which the resulting Langevin In Ref. 9 it has been well established that for N stochas-
equation is quite similar to that of the ordinary Brownian tic variables = 1 , 2 , . . . , N the general Langevin
motion. Thus, in this transformed velocity space, it is easy to equations have the form i , j = 1 , 2 , . . . , N

= hi,t + gij,t jt, 1

*Electronic address: ines@xanum.uam.mx where hi , t and gij , t are in general nonlinear

Electronic address: rbm@xanum.uam.mx functions of and t. In the following we will use Einsteins

1539-3755/2006/744/04111710 041117-1 2006 The American Physical Society

J. I. JIMNEZ-AQUINO AND M. ROMERO-BASTIDA PHYSICAL REVIEW E 74, 041117 2006

summation convention. The jt are Gaussian random tion is performed. If we introduce new variables in Eq. 1
variables with zero mean value and correlation functions such that
it = 0, it jt = 2ijt t. 2 = ,t, 13
The Fokker-Planck or forward Kolmogorov equation for the then the Langevin equation in the new variables is
transition probability density Px , t x , t associated with
the Langevin equation 1, together with the property 2, = hi,t + gij,t jt, 14
reads as t t
where
P
t
=
xi
Dix,t +
2
xi x j
Dijx,t P, 3
hi =
i i
+
t k
hk ; gij =
i
k
gkj . 15
where Dix , t is the drift coefficient and Dijx , t the
diffusion coefficient defined, respectively, as Hence, the transformed drift and diffusion coefficients
writing xi instead of in the argument are given by

Dix,t = hix,t + gkjx,t gijx,t, 4 xi xi 2xi
xk Di = + Dk + Drk , 16
t x xk xr xk
Dijx,t = gikx,tg jkx,t, 5
xi xj
with initial condition Dij = Drk , 17
xr xk
Px,tx,t = x x. 6
where Di and Dij are given, respectively, by Eqs. 4 and 5.
Here kt = xk for k = 1 , 2 , . . . , N, represents the sharp value The Fokker-Planck equation 7 is also transformed in such a
of the variable t at time t. If we multiply Eq. 3 by way that, for the new variables, it can be written as

Wx , t and integrate over x we obtain the Fokker-Planck
equation for the probability density Wx , t, i.e., W 2
= Di + Dij W , 18

t x xi xi xj
2
W= Dix,t + Dijx,t W. 7
t xi xi x j where the transformed drift Di and diffusion Dij coefficients
agree with Eqs. 16 and 17. The probability density W is
The complete information of a Markov process is con- transformed as W = JW = W / J, where J is the Jacobian of
tained in the joint probability distribution W2x , t ; x , t the transformation defined by
which can be expressed as
J dNx/dNx = Det xi/ xj = 1/J = 1/Det xi/ x j,
W2x,t;x,t = Px,tx,tWx,t. 8
19
If the drift and diffusion coefficients do not depend on time,
a stationary solution may exist. In this case, P can depend and dNx and dNx are the volume elements.
only on the time difference t t, and we may write for
t t the joint probability distribution in the stationary state B. The Fokker-Planck equation for free Brownian motion in
W2x,t;x,t = Px,t tx,0Wstx. 9 the velocity space

A particular case of Eq. 1 is the Ornstein-Uhlenbeck The three-dimensional Brownian motion for the velocity
10,11 process, which is described by ut in the absence of external force is the simplest form of
Eq. 10 and it is given by
i = ij j + jt, 10
u = u + At, 20
with -correlated Gaussian distributed forces
where u is the systematic force representing the dynami-
jt = 0, it jt = qijt t, 11 cal friction. The components of vector At satisfy the same
where the coefficients qij = q ji describing the strength of the properties as that of Eq. 11, but
noise do not depend on the variables k and ij is a constant AitA jt = 2qijt t, 21
matrix. For this type of process, the drift coefficient is linear
and the diffusion coefficient constant, that is, q being the noise intensity given by q = kBT / m. If this pa-
rameter is absorbed in the function gij, then it can be shown
Di = ijx j, Dij = D ji , 12 that drift and diffusion coefficient read as
where the matrix Dij is also constant. D i = u i, Dij = qij . 22
A. Transformation of variables The Fokker-Planck equation for the transition probability
The Langevin equations are very convenient to calculate density of the velocity conditioned by initial data u0 at time
the drift and diffusion coefficients if the variable transforma- t0 = 0, i.e., Pu , t u0, as required by Eq. 3 is

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FOKKER-PLANCK-KRAMERS EQUATION FOR A PHYSICAL REVIEW E 74, 041117 2006

P 2 0 0 0 1 0 0
= ui P + q 2 P = divu uP + qu2 P, 23
t ui ui 0 0 0 0 1 0
0 0 0 0 0 1
where the operator divu and the Laplace operator u2 act with = , 31
respect to the velocity coordinates. The transition probability 0 0 0 0 0
satisfies the initial condition 0 0 0 0 0
0 0 0 0 0
lim Pu,tu0 3u u0

t0
0 0 0 0 0 0
= u1 u01u2 u02u3 u03. 24 0 0 0 0 0 0
Following Chandrasekhars proposal 3, the general so- 0 0 0 0 0 0
lution of Eq. 23 is connected with its associated first-order D=
0 0 0 q 0 0
.
equation, i.e.,
0 0 0 0 q 0
P 0 0 0 0 0 q
divu uP = 0. 25
t In this case we have the vector x = x1 , x2 , x3 , x4 , x5 , x6
= x , y , z , ux , uy , uz. From Eq. 3 we construct the Fokker-
The general solution of this first-order equation involves the Planck-Kramers equation in the absence of a external force
first three integrals of the Lagrangian subsidiary system for the transition probability Pr , u , t u0 , r0 governing
the probability of the simultaneous occurrence of the veloc-
u = u. 26 ity u and the position r at time t given that u = u0 and
r = r0 at t = 0, which can be written as
The required integrals are therefore
P 2
= ui P + ui P + q 2 P, 32
uet = u0 = I1 = const. 27 t xi ui ui

So, the solution of Eq. 23 is then given by or

P
Pu,tu0 =
1
2t
2q1 e / 3/2 exp
u u0et2
2q1 e2t
. t
+ u r P = divuuP + qu2 P.

The initial condition 6 in this case will be

33

28
lim Pr,u,tu0,r0 3u u03r r0. 34
t0
As the time t this probability density becomes the
Maxwellian distribution, i.e., Again, following Chandrasekhars proposal, the
solution of Eq. 33 is connected with the solution of the

Pu = m
2 k BT

3/2
exp
mu2
2kBT
, 29
first-order equation
P
+ u r P divuuP = 0. 35
t
which corresponds to the stationary distribution.
The general solution of this equation can expressed in terms
of six independents integrals of the Lagrangian subsidiary
C. The Fokker-Planck-Kramers equation for free Brownian system
motion
u = u, r = u, 36
The stochastic differential equation for free Brownian
motion taking into account the position r = x , y , z and the namely
velocity u = ux , uy , uz is uet = I1, r + 1u = I2 , 37
where the constants I1 and I2 are defined as I1 = u0 and
r = u,
I2 = r0 + 1u0. If we define PR , S Pr , u , t u0 , r0, where
u0
u = u + At, 30 R = r r0 1 et,

where At satisfies the same properties given in Sec. II A.
S = u u 0e t , 38
This set of six stochastic differential equations can be written
as the Ornstein-Uhlenbeck process 10, in such a way that then the general solution of Eq. 33 can be expressed in the
the drift matrix and the diffusion matrix D are given by form

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J. I. JIMNEZ-AQUINO AND M. ROMERO-BASTIDA PHYSICAL REVIEW E 74, 041117 2006

1 We assume for simplicity that the constant magnetic field B

PR,S = is directed along the z axis of a Cartesian reference frame,
8 FG H23/2
3
that is B = 0 , 0 , B with B a constant. In this case the above
exp FS2 2HR S + GR2
2FG H2
, 39 equation can also be written as

u = u + Wu + At, 46
where
where W is a real antisymmetric matrix given by
q
F = 3 2t 3 + 4et e2t,

0 0
W= 0 0 , 47
q
G= 1 e2t, 0 0 0

= eB / mc being the Larmor frequency. To establish the
q Fokker-Planck equation associated to Eq. 46, this last one
H = 2 1 et2 , must be written as

u = u + At, 48
FG H2 = ab h2e2t , 40
together with the parameters where now reads as

q q 2t 2q 0
a=2 t, b= e 1, h= 1 et. 41
2 2 = 0 . 49
The transition probability PR Pr , t r0 , u0 governing 0 0
the probability of the position r at time t, given that the
particle is at r0 with a velocity u0 at t = 0, can be calculated Equation 48 is a coupled system of equations in the plane
through the integral ux , uy and independent from the coordinate uz, for which
the corresponding evolution equation is the Langevin equa-
PR Pr,tr0,u0 = PR,SdS. 42
tion of the ordinary Brownian motion. The drift and diffusion
coefficients are

After some algebra the result is Di = iju j ,

Pr,tr0,u0 = 3
2q2t 3 + 4et e2t
3/2

Dij = qij , 50

exp 3r r0 1u01 et2

2q2t 3 + 4et e2t
. and therefore the associated Fokker-Planck equation is

P
43 = divuuP + qu2 P. 51
t
For large times such that t  1, it reduces to

To solve this equation by following Chandrasekhars idea we
1 r r02 require to solve the first-order equation of Eq. 51
Pr,tr0,u0 exp , 44
4Dt3/2 4Dt without the Laplacian term, which involves the Lagrangian
subsidiary system
D being the Einstein diffusion constant given by
D = q / 2 = k BT / m . u = u, 52
III. THE FOKKER-PLANCK EQUATION FOR A together with the required first integrals
CHARGED PARTICLE IN A MAGNETIC FIELD
The Langevin equation 20 can be adapted to the case uet = u0 = I1 = const. 53
of diffusion of charged particles Brownian gas in the
However, such a solution is not easy to calculate because the
presence of a constant magnetic field that acts upon particles
resulting equations are also a coupled system. To solve this
via the Lorentz force. In this case the corresponding
problem we propose the following strategy. If we make the
Langevin equation is 2,4
change of variables u = eWtu, then the Langevin equation
e 46, in the new velocity space, takes the very simple form
u = u + u B + At, 45
mc
u = u + R1tAt, 54
where e denotes the charge of the particle of mass m and
At satisfies the same properties as that given in Eq. 21. where Rt = eWt is an orthogonal rotation matrix given by

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FOKKER-PLANCK-KRAMERS EQUATION FOR A PHYSICAL REVIEW E 74, 041117 2006

cos t sin t 0 1
Pu,tu0 =
Rt = sin t cos t 0 . 55 2q1 e2t/3/2
0 0 1

in such a way that RTt = R1t, i.e., the transposed is its

exp u u0et2
2q1 e2t
. 61

inverse and therefore R1t = eWt. As we can see, the Lange- Returning to the variables u, we first notice that
vin equation 54 is the same as that of the free Brownian
motion except by the factor R1t multiplying the noise u u0et2 u u0et u u0et = u etu02 ,
At, which amounts to a rotation of the noise At. We can 62
observe immediately from Eq. 54 that the drift and the
where is the same as in Eq. 49. Therefore, in the u
diffusion coefficients are
velocity space the transition probability density is given by
Di = ui , 1
Pu,tu0 =
2q1 e2t/3/2
Dij = qR1tikR1t jk = qij .

As we can see, the diffusion coefficient Dij gives the same

56
exp u etu02
2q1 e2t
, 63

result as that given in Eq. 50 because (R1t)ik(R1t) jk which is exactly the same as that calculated by Czopnik and
= ij. The interesting point that we can remark from this re- Garbaczewski 4 by other method. Also, in the long-time
sult is the following: the term R1tAt, which represents a limit, it reduces to the Maxwellian distribution

rotation of the noise At, has the same statistical properties
m 3/2
mu2
as At if this last one satisfies the property 21, being the Pu = exp . 64
reason why Dij is the same as Dij. This fact physically means 2 k BT 2kBT
that the rotation matrix with elements sin t and cos t has Since the process is Markovian, then Eq. 63 can be easily
been absorbed by the noise At and therefore such oscillat- extended to the case of arbitrary t0 = t 0. For this case
ing functions will not appear any more in the diffusion con- Pu , t u , t can be derived by substituting anywhere t t
stant of the associated Fokker-Planck equation. On the other instead of t and u instead of u0, where u = ut here we
hand, the drift and diffusion coefficients given in Eq. 50 must not confuse this u with the transformation of variables
can also be derived from the transformations 16 and 17. defined earlier. In the stationary state the joint probability
The Fokker-Planck equation for the transition probability density W2u , t ; u , t may be expressed by the product of
density of the velocity conditioned by initial data u0 at time
the aforementioned transition probability and Eq. 64. So,
t0 = 0, i.e., Pu , t u0, is then for both t t and t t, it can be written as
P
t
2
= divuu P + qu P . 57 W2u,t;u,t =
2q
3
1
1 e2tt3/2

Because P = JP, in this case it can be shown that the Jaco-

bian is J = 1. Then the initial condition for P also satisfies
exp u2 2u uett + u2
2q1 e2tt
.

65
lim Pu,tu0 3u u0
t0
This joint probability density uniquely determines a station-
= u1 u01
u2 u02
u3 u03
, ary Markovian stochastic process for which we can calculate
58 various mean values. For instance, the mean values of the
velocity components uit for i = 1 , 2 , 3 are equal to zero, that
the same as in the ordinary Brownian motion. The solution is,
of Eq. 57 is connected with the solution of the associated
first-order equation, which involves the first three integrals of
the Lagrangian subsidiary system
uit =

ui Pudu = 0. 66

The matrix of the second moments velocity autocorrelation

u = u , 59 functions reads
which are

t
uitu jt =

uiuj W2u,t;u,tdudu , 67
ue = u0 = I1 = const. 60
with i , j = 1 , 2 , 3. For instance, the autocorrelation function of
Finally, the solution of Eq. 57 reads as the x component of the velocity yields

041117-5
J. I. JIMNEZ-AQUINO AND M. ROMERO-BASTIDA PHYSICAL REVIEW E 74, 041117 2006

q tt P
u1tu1t = e cos t t, 68 + u r P = divuuP + qu2 P. 75
t
with the same expression for the y component. On the other Proceeding as in the previous section, the first-order solution
hand, the z component satisfies the usual expression for free may be expressed in terms of six integrals of the Lagrangian
Brownian motion, i.e., u3tu3t = q / ett. subsidiary system
From these autocorrelation functions, the mean square u = u, r = u. 76
displacement MSD for the position components
r r1 , r2 , r3 x , y , z can easily be calculated if the par- These integrals are
ticle starts at time t = 0 at r = r0 with the velocity u = u0. The uet = I1, r + 1u = I2 , 77
x component is
where now I1 = u0, I2 = r0 + u0, and
1 1

is the inverse of
2 q q matrix given by
x2 = 2D 2 2 t 2 1 e
1t
1 e2t,

+ 1 22
0
69 2 + 2 2 + 2
where D = q / 2 = kBT / m, which is consistent with the
1 = 2 0 . 78
value of the Einsteins diffusion constant, 1 = i, and + + 2
2 2

2 = + i. The same result is obtained for the y component. 1

The z component reads 0 0

2q However, as before, the integrals 77 lead to a set of coupled
z2 = 2Dt 1 et. 70
3 equations which are not immediate to solve. To proceed fur-
ther, we propose to transform the Langevin equations 73,
An analysis of large times t  1 shows that the MSD given in the phase space r , u to another phase space
across the magnetic field is r , u in which the resulting Langevin equations are very

similar to those of ordinary Brownian motion. This can be
2 achieved if we define r = u in such a way that
x2 = y2 = 2D t, 71
2 + 2
u = eWtu, r = eWtr . 79
and along the magnetic field
In this case Eq. 73 is transformed into
z = 2Dt,
2
72 r = u ,
where D = q / = kBT / m is the Einsteins diffusion constant.
2

Equations 71 and 72 agree with those calculated by Kur u = u + Rt1At, 80

s
unolu.
IV. THE FOKKER-PLANCK-KRAMERS EQUATION FOR
A CHARGED PARTICLE IN A MAGNETIC FIELD
A. General TPD through the Fokker-Planck formalism
In phase space the diffusion of charged particles in the
absence of external force can be described by the following
set of stochastic differential equations
r = u,
u = u + Wu + At,
or
which correspond to a set of decoupled stochastic differential
equations in the transformed phase space and are very simi-
lar to those of free Brownian motion. Then, as in Sec. II, the
drift matrix and the diffusion matrix D associated with
Eq. 80 are exactly the same as that given in Eq. 31. So,
the Fokker-Planck-Kramers equation is
P 2
+ u r P = divuu P + qu P . 81
t
Again, as in the ordinary Brownian motion, the Lagrangian
subsidiary system associated with the first-order equation
without the Laplacian term of Eq. 81 is
73 u = u, r = u , 82
and their corresponding six integrals are

r = u, uet = I1, r + 1u = I2 , 83
where I1 = u0 and I2 = r0 + 1u0.
u = u + At. 74 Before proceeding, we must establish the transformation
which makes the connection between the representations
The Fokker-Planck-Kramers equation associated with the r , u and r , u and which is also consistent with the trans-
system 74 is then formation 80. The desired transformation can be obtained

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FOKKER-PLANCK-KRAMERS EQUATION FOR A PHYSICAL REVIEW E 74, 041117 2006

with the aid of Eqs. 77 and 83, together with the trans- 2 + 2
formation u = eWtu, such that JS = 1, JR = , 95
2
r = 1eWtr I2 + I2 . 84 and therefore P = JR P. On the other hand, if we define the
If we use this result together with the transformation for u vectors on the xy plane as S = S1 , S2 and R = R , R , then
1 2
in Eqs. 16 and 17 we obtain the same drift and diffu-
S = S , S3 and R = R , R3, where S3 and R3 are the z compo-
sion D matrices as those given in Eq. 31. Under these nents of the vectors S and R, such that S3 = uz u0zet and
circumstances, if we define PR , S Pr , u , t u0 , r0, R3 = z z0 1u0z1 et, with u0z = uz0 and z0 = z0.
then the solution of Eq. 81, with the initial condition
From these definitions, the vectors S and R can be written as
lim Pr,u,tu0,r0 3u u03r r0, 85
t0 S = u e t u , = r r
R u , 96
0 0 0
can be written in the same form as Eq. 39, i.e.,
11 e t
where
, with the matrices

1
PR,S =

8 FG H23/2
3

= , 2 + 2 2 + 2
exp
FS2 2HR S + GR2
2FG H2
,

1 =

2

+ + 2
2 2
. 97

86
Under these circumstances, it can be shown that
where now
2 + S2 ,
S2 = S2 = S 98
u 3
R = r r0 0 1 et,

R2 = R
2 + R2 ,
3 99
t
S = u u0e , 87
+ S
S R = S R R
+S R , 100
and the parameters F, G, and H are the same as in Eqs. 40 z 3 3
and 41.
Returning to the transition probability density P we use where S R = S R S R is the z component
z 1 2 2 1
the fact that PdSdR = PdSdR, where the volume element of the cross product and = 2 + 2 / 2. Substituting
transforms as Eqs. 98100 into Eq. 86 we can verify that the
dSdR = JdSdR , 88 TPD for P can be written as the product of two
independent transition probability densities, that is
J being the Jacobian of the transformation and therefore PR , S PR
, SP z , u , t u , z , where
z z 0z 0
JP = P. It can be shown that J = JSJR, where
JR
JS Det Si/ Sj = 1/JS = 1/Det Si/ S j. 89 PR
,S
=
4 FG H2
2

Similarly
JR Det Ri/ Rj = 1/JR = 1/Det Ri/ R j.
Then, J = JSJR = 1 / JSJR = 1 / J. The explicit form of these
transformations can be calculated if we first observe from
90
exp
FS S + 2 HS
2 2HR

2FG H2
R
z
+ GR
2

Eq. 87 that 101
t
S = u u0e =e Wt
S, 91 corresponds to the planar TPD which describes the diffusion
process on the xy plane and
where we define
1
S = u etu0 . 92 Pzz,uz,tu0z,z0 =
42FG H21/2
For R we use Eq. 84 to show that

R = r r0
u0

1 et = eWtR, 93 exp FS23 2HR3S3 + GR23
2FG H2
, 102

with is the TPD which describes the diffusion process along the z
axis and is the same as that of the ordinary Brownian motion,
R = r r0 u0 , 94 as expected. From Eq. 101, we can calculate the spatial
and 1 e
1 t
. It can be shown, from Eqs. 91 and transition probability density PR Pr
, t r0 , u0 through
93 that the integral

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J. I. JIMNEZ-AQUINO AND M. ROMERO-BASTIDA PHYSICAL REVIEW E 74, 041117 2006

PR
= PS
,R
dS
. 103
the planar JPD PR , S, where now the vectors R
are defined on the xy plane, that is R
and S
= R , R and S
1 2

After a long but straightforward algebra it reduces to = S1 , S2, and have the same expressions as that given by Eq.
87, i.e.,
Pr 1
= r r u0 1 et,
,tr 0 =
0,u
2De/2t 3 + 4et e2t R

0

u 2
r0
r 0
exp ,
2De/2t 3 + 4et e2t S = u uet .
0 110
104 We can easily see from Eq. 80 that

where De = D / + , which corresponds to a normaliza-
2 2 2
t
tion of the diffusion constant D. For large times such that S = et e sA
sds, 111
t  1, it immediately reduces to 0

Pr
,tr 0
0,u
1
4Det
exp
r02
r
4Det
. 105 = 1et
R t

0
e sA
sds + 1
0
t
sds, 112
A

The MSD for the x and y components can also be calculated

t = R
1tA
t, which corresponds to the rotation
from Eq. 105, with a result identical to the expression where A
given by Eq. 71, that is, of the noise A t, and R 1t is a 2 2 rotation matrix with-

x2 = y2 = 2D 2
2 + 2

t. 106
out the third row and the third column of matrix given in Eq.
55. Both vectors S and R correspond to Gaussian distri-
butions, each one with zero mean value. Therefore the planar
Evidently, PS
Pu
, t u0 can also be obtained from the JPD is given by
integral
PR
,S
= 1 1

1/2 exp cij xix j ,
1

4 det C
2
2 i,j
PS
= PS
,R
dR
, 107
113
with the result where C = cij = xix j is the matrix of variances and covari-
ances, such that the variable x = x1 , x2 , x3 , x4
1
Pu 0 =
,tu R1 , R2 , S1 , S2 presents a vector in the four-dimensional
2q1 e2t/ phase space and c1

ij represents the components of the inverse

etu02
u matrix C1. From Eq. 111 it can be shown that
exp , 108
2q1 e2t/ q
G = S1S1 = S2S2 = 1 e2t, 114
which corresponds to the planar TPD for the velocity space.
Clearly, Eq. 63 can also be written as the product of two while S1S2 = S2S1 = 0. From Eq. 112 we have
independent TPD; one is the TPD 108 and the other is
q
1 F = R1R1 = R2R2 = 2t 3 + 4et e2t
Pzuz,tu0z = 3
2q1 e2t/1/2
115
exp
uz u0zet2
2q1 e2t/
, 109 and R1R2 = R2R1 = 0. We also show that
q
corresponding to the ordinary Brownian motion. H = R1S1 = R2S2 = 1 et2 116
In the following section we will show that the general 2
TPD 101 is equivalent to the joint probability distribution
and R1S2 = R2S1 = 0. Thus, the covariance matrix C = cij
JPD PR
, S of the vectors R
and S defined above.
reads as

B. General planar JPD through the correlation matrix G 0 H 0
formalism 0 G 0 H
C= , 117
The interesting point of the general expression 101 is H 0 F 0
that, although very similar, it is not the same to the calculated 0 H 0 F
by Czopnik and Garbaczewski. To show this argument, we
will use the same strategy used by these authors to calculate and its inverse matrix will be

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FOKKER-PLANCK-KRAMERS EQUATION FOR A PHYSICAL REVIEW E 74, 041117 2006

F 0 H 0 such periodic functions, but it does not appear in our pro-
2 0 0 H posal because of the absorption of such periodic functions by
FG H F
C1 = , 118 the noise. Thus, k is an independent parameter in our pro-
det C H 0 G 0 R appearing
posal which multiplies the cross product S z
0 H 0 G in the JPD of Ref. 4. From the above arguments we can
where det C = FG H . Therefore, the planar JPD of Eq.
2 2 point out the following: when we make = 0, it can be
113 can be written as checked that both TPDs reduce to the planar TPD of ordi-
nary Brownian motion, as expected. In this case the param-
PR
,S
= 1 eters f, g, and h will be the same as those given in Eq. 40
42FG H2 together with k = 0.

exp 2 2HR
FS S + GR
FG H
2

, V. CONCLUSIONS

In this work we have shown that, with the change of

which is exactly the same as that of ordinary Brownian mo-
tion with parameters F, G, and H the same as those given by
Eq. 40, as expected. To return to the planar JPD PR
, S we
follow the same algebra given before. So, according to Eqs.
91 and 93, the vectors S and R can also be written as
t not change the statistical properties of the original results, as
S = eW S ,
t
= eW
R R
, 121
where S and R are the same as those given in Eq. 96 and W
is the 2 2 antisymmetric matrix, i.e., without the third row
and the third column of matrix given in Eq. 47. In this case
2, R
it can easily shown that S 2, and R
S are, respec-
tively, the same as those given by Eqs. 98100 without
the components S3 and R3. Also P = JR P and therefore, Eq.
119, is transformed exactly to the same planar JPD PR , S
given by Eq. 101. This TPD is very similar, but not equal,
to that calculated by Czopnik and Garbaczewski. The main
difference between both probability densities is the expres-
sion of the determinant of matrix C, which accounts for the
variance of those TPDs. In our proposal det C = FG H22,
which is exactly the same as that of the ordinary Brownian
motion, and therefore the parameters F, G, and H do not
contain the periodic functions sin t and cos t because they
have been absorbed by the noise term A t, as it is effec-
tively corroborated in Eqs. 114116. Furthermore, in Eq.
101, the factor H / multiplies the cross product S
R . On the other hand, in Ref. 4, det C = fg h2 k22,
z
where g = G, but the parameters f and h are not respectively
equal to our parameters F and H due to the periodic func-
tions appearing in f and h. The k parameter also contains
119 variable u = eWtu, we can transform the Langevin equation
46 into a set of independent equations for u, as shown in
Eq. 54. This last equation is practically the same as that of
ordinary Brownian motion except by the term R1tAt,
which is nothing but a rotation of the noise At. However,
as we have shown, this rotating noise has the same statistical
properties as that of At and therefore such a rotation does
120 can be seen by comparing the expressions 50 and 56.
Because of this fact, the TPD for the velocity space u is
easily calculated through the Fokker-Planck equation, as
shown in Sec. III. Following the strategy of this last section,
we calculate the TPD for the phase space r , u, which is
decomposed into the product of two TPDs, one given by Eq.
101 which describes the diffusion process across the mag-
netic field, and that given by Eq. 102 which describes the
diffusion process along the magnetic field. The planar TPD
given in Eq. 101 has also been calculated by the method
used by Czopnik and Garbaczewski, in order to compare
with that calculated by these authors. Thus, our conclusion in
this case is that both TPDs are similar, but not equal. Our
proposal, as well as that in Ref. 4, are two different
methodologies to describe the same physical problem.
Finally, our proposal can be extended to the study of the
influence of a time-varying electric field and thus compared
with the results of Refs. 5,6. It also seems to be possible to
apply our method to study the anisotropic diffusion across
the magnetic field as studied in Ref. 7.
ACKNOWLEDGMENTS
The authors wish to thank R. M. Velasco for her valuable
comments. Financial support from Consejo Nacional de
Ciencia y Tecnologa CONACYT Mxico is also
acknowledged. One of the authors J.I.J.A. wishes to thank
Coloma, Colomita, and Cheney for their valuable support.

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J. I. JIMNEZ-AQUINO AND M. ROMERO-BASTIDA PHYSICAL REVIEW E 74, 041117 2006

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