- About this Journal ·
- Abstracting and Indexing ·
- Aims and Scope ·
- Article Processing Charges ·
- Articles in Press ·
- Author Guidelines ·
- Bibliographic Information ·
- Citations to this Journal ·
- Contact Information ·
- Editorial Board ·
- Editorial Workflow ·
- Free eTOC Alerts ·
- Publication Ethics ·
- Reviewers Acknowledgment ·
- Submit a Manuscript ·
- Subscription Information ·
- Table of Contents

Advances in Mathematical Physics

Volume 2010 (2010), Article ID 504267, 12 pages

http://dx.doi.org/10.1155/2010/504267

## On the Exact Solution of a Generalized Polya Process

Department of Risk Engineering, Faculty of Systems and Information Engineering, University of Tsukuba, Tsukuba, Ibaraki 305-8573, Japan

Received 1 August 2010; Accepted 10 October 2010

Academic Editor: Pierluigi Contucci

Copyright © 2010 Hidetoshi Konno. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

#### Abstract

There are two types of master equations in describing nonequilibrium phenomena with memory effect: (i) the memory function type and (ii) the nonstationary type. A generalized Polya process is studied within the framework of a non-stationary type master equation approach. For a transition-rate with an arbitrary time-dependent relaxation function, the exact solution of a generalized Polya process is obtained. The characteristic features of temporal variation of the solution are displayed for some typical time-dependent relaxation functions reflecting memory in the systems.

#### 1. Introduction

The generalized master equation of memory function type [1] is a useful basis for analyzing non-equilibrium phenomena in open systems as where the kernel is conventionally assumed to have the product of a memory function with a transition rate as . The transition rate has the constraint with . This generalized master equation approach corresponds to the generalized Langevin equation of the memory function type [2, 3]. One can see many successful applications with long memory along the line of traditional formulation [1].

Looking around recent studies in complex open systems, there is an alternative approach based on a generalized non-stationary master equation [4] as The master equation in this form corresponds to the generalized Langevin equation of the convolutionless type, which is derived with the aid of projection operator method by Tokuyama and Mori [5]. The time-dependent coefficient may be written in the following form: . It is expected from the projection operator method [5] that the time-dependent function reflects the memory effect from varying environment in a different way associated with the memory function (cf. also Hänggi and Talkner [6]). The memory function (MF) formalism has been utilized in anomalous diffusion like Lévy type diffusion in atmospheric pollution, diffusion impurities in amorphous materials, and so on. The alternative convolution-less, non-stationary (NS) formalism gives only a small number of applications. The paper intends to exhibit a potential ability of the NS formalism by taking an arbitrary time-dependent function which is representing memory effect.

The paper is organized as follows. Section 2 reviews the non-stationary Poisson process. Section 3 shows a generalized Polya process wherein it is involved a generalized non-stationary transition rate with an arbitrary function of time. The exact solution and the expression mean and variance are displayed as a function of . Some important remarks are given for a generalized non-stationary Yule-Furrey process with . Section 4 discusses (i) the solvability condition of the generalized Polya model and (ii) the relation to the memory function approach. The last section is devoted to concluding remarks.

#### 2. Nonstationary Poisson Process

The simplest example of the generalized master equation in the form of (1.2) is a non-stationary Poisson process (an inhomogeneous Poisson process) described by where is the time-dependent rate of occurrence of an event . The function is an arbitrary function of time. The solution is readily obtained, with the aid of the generating function, in the following form: where . It is easy to show that the mean and the variance take the same value . Namely, the Fano factor takes 1 for any time-dependent function . The process gives rise to only the Poissonian (P) statistics at any time.

Three typical examples of are shown in Table 1. All of them are relaxation functions as the time goes to infinity. It is shown in the same table that is the increasing function as the time goes to infinity. The temporal development of the probability density in (2.2) for these three examples is depicted in Figure 1.

In seismology, (Ohmori formula) [7] is frequently used in analyzing and predicting aftershocks. Many applications are also found in environmental, insurance, and financial problems [8]. Further, various engineering problems involve many potential applications especially in the probabilistic risk analysis [9]. However, the applicability of the non-stationary Poisson process is quite limited since .

#### 3. Generalized Polya Process

##### 3.1. Model Equation

Now let us consider a generalized Polya process within the class of generalized birth processes where takes into account the -dependence up to the first order and a memory effect with an arbitrary relaxation function as When and , the model reduces to a Polya process [10]. When , the model reduces to an extended Polya process [11].

##### 3.2. Exact Solution

The method of characteristic curves is used to get the exact solution under the initial condition (cf., the recursion method with variable transformations [11]). The generating function is defined by . The equation for corresponding to (3.1) becomes From the initial condition, one obtains . To eliminate the second term in the right hand side of (3.4), let us assume that when , one obtains . Without the loss of generality, . So the equation for becomes

Then, a variable transformation, leads (3.6) to the simple wave equation, The solution of the wave equation in (3.8) is given by where . From the initial condition , one obtains Therefore, is expressed as Thus, we have where and . When , the exact analytic expression of the probability density function is given by

##### 3.3. Mean and Variance

The probability density function in (3.15) is the Pascal distribution (the negative binomial distribution) with the parameters with and . Thus, the mean and the variance are obtained in the following form: The variance is generally greater than the mean, that is, the Fano factor is larger than 1 as follows: It is shown that the generalized Polya process with and is subjected to the super-Poissonian (SUPP) statistics ().

Three examples of the relaxation function are given in Table 2. They are decreasing function (i.e., ) as the time goes infinity. In the case of an exponential relaxation (i), the Fano factor becomes a double exponential function as shown in the table. In the case of inverse power function (ii), the Fano factor takes the form in the time region : (a) subdiffusion for and (b) superdiffusion for . On the other hand, in the case of the power relaxation (iii), the Fano factor becomes the fractional power exponential function of time. To understand the feature of temporal variation, numerical examples are depicted in Figures 2(a) and 2(b) as well as Figures 3(a) and 3(b).

##### 3.4. Nonstationary Yule-Furrey Process

When , in (3.3). So one must omit (3.2) (i.e., one must redefine the range of variation) for the case of a generalized non-stationary Yule-Furrey process as follows: The solution of under the initial condition becomes The corresponding probability density is obtained as This is the geometric distribution with the parameter , which is a special case of the Pascal (the negative binomial) distribution in (3.16). The mean and the variance are obtained as The Fano factor becomes This means that the nature of statistics (Sub-Poissonian (SUBP, ), Poissonian (P, ), and Super-Poissonian (SUPP, )) changes depending on the functional form of and its parameter values involved. It is important to make notice of the fact that the variability of changes in the two cases for and . They are summarized in Table 3.

In Table 3, , , and are defined by

The temporal development of the probability density for the generalized Polya process in (3.15) and the generalized Yule-Furry process in (3.21) for these three examples is depicted in Figures 4 and 5.

#### 4. Discussions

##### 4.1. Solvability Condition

We have studied the generalized Polya process with the transition rate in (3.3). How is the solvability if the transition rate is a more general one than that of (3.3) as with and being arbitrary functions with time, how is the solvability. In this case, the exact analytic solution is not obtained. The solvability condition is equivalent to the fact that is written in the form of (3.5); . For the transition rate in (4.1), the time-independent function reduces to This means that and must have the same time-dependent scaling function with and (i.e., in (3.3)) to get the exact analytic solution.

##### 4.2. Master Equation in Memory Function Formalism

An alternative master equation in the memory function (MF) formalism for the generalized Polya process in (3.1) and (3.2) may be written as where and are constants ( and ). The Laplace transform of the memory function is defined by . For , the recursion relation is obtained for the Laplace transform of as The general formal solution is given under the initial condition in terms of the inverse Laplace transform as When the memory function or the pausing time distribution is given (i.e., the Laplace transform of is related to as ), the probability density in (4.5) can be evaluated numerically. The explicit analytic expressions are obtained only for a few special cases [1] with . The two formalisms have different features complement with each other (cf. Montroll and Shlesinger [1], Tokuyama and Mori [5], and Hänggi and Talkner [6]).

#### 5. Concluding Remarks

In this paper, it is shown that there are two types of generalized master equation: (i) the memory function (MF) formalism in (1.1) and (ii) the convolution-less, non-stationary (NS) formalism in (1.2). Then, we propose a new model in the NS formalism: a generalized Polya process in (3.1) and (3.2) with the transition rate having an arbitrary time-varying function in (3.3). Further, we exhibit the exact analytic solutions of the probability density and the mean and variance for an arbitrary function of time. For some typical examples of , the temporal variations of the mean and the variance are numerically exhibited.

There are many potential applications of the master equation in the NS formalism to non-equilibrium phenomena. In biological systems, the human EEG response to light flashes [12] (i.e., microscopic molecular transport associated with transient visual evoked potential (VEP)) and the transition phenomenon from spiral wave to spiral turbulence in human heart [13] can be formulated by the master equation in the NS formalism. In considering a stochastic model of infectious disease like a stochastic SIR model [14], the introduction of temporal variation of infection rate on account of various environmental changes leads to the master equation in the NS formalism.

In auditory-nerve spike trains, there are interesting observations [15, 16] that (i) the Fano factor exhibits temporal variation in the intermediate time region and (ii) also shows fractional power dependence in the time region ( = noninteger number). In the generalized Polya process, time variation of the Fano factor (i.e., SUBP(), P (), and SUPP ()) changes depending on the choice of the relaxation function and the values of and (cf. Tables 2 and 3). The related discussions in detail will be reported elsewhere.

#### Acknowledgment

This work is partially supported by the JSPS, no. 16500169 and no. 20500251.

#### References

- “On the wonderful world of random walks,” in
*Nonequilibrium Phenomena II: From Stochastic to Hydrodynamics*, E. W. Montroll and M. F. Shlesinger, Eds.J. L. Lebowitz and E. W. Montroll, Eds., chapter 1, pp. 1–121, North-Holland, Amsterdam, The Netherlands, 1984. View at Zentralblatt MATH - R. Kubo, “The fluctuation-dissipation theorem,”
*Reports on Progress in Physics*, vol. 29, no. 1, pp. 255–284, 1966. View at Publisher · View at Google Scholar · View at Zentralblatt MATH - H. Mori, “A continued-fraction representation of the time-correlation functions,”
*Progress of Theoretical Physics*, vol. 34, pp. 399–416, 1965. View at Publisher · View at Google Scholar - R. Kubo, “Stochastic Liouville equations,”
*Journal of Mathematical Physics*, vol. 4, pp. 174–183, 1963. View at Publisher · View at Google Scholar · View at Zentralblatt MATH - M. Tokuyama and H. Mori, “Statistical-mechanical theory of random frequency modulations and generalized Brownian motions,”
*Progress of Theoretical Physics*, vol. 55, no. 2, pp. 411–429, 1976. View at Publisher · View at Google Scholar · View at Zentralblatt MATH - P. Hänggi and P. Talkner, “On the equivalence of time-convolutionless master equations and generalized Langevin equations,”
*Physics Letters A*, vol. 68, no. 1, pp. 9–11, 1978. View at Publisher · View at Google Scholar - Y. Ogata, “Statistical models for earthquake occurrences and residual analysis for point processes,”
*Journal of the American Statistical Association*, vol. 83, pp. 9–27, 1988. View at Publisher · View at Google Scholar - R. L. Smith, “Statistics of extremes, with applications in environment, insurance and finance, in extremevalue in finance,” in
*Telecommunications and the Environment*, B. Finkenstadt and H. Rootzen, Eds., Chapman & Hall/CRC, London, UK, 2003. - T. Bedford and R. Cooke,
*Probabilistic Risk Analysis*, Cambridge University Press, New York, NY, USA, 2001. - W. Feller,
*Introduction to Probability Theory and Its Applications*, vol. 1&2, John Wiley & Sons, New York, NY, USA, 1967. - H. Konno, “The stochastic process of non-linear random vibration. Reactor-noise analysis of hump phenomena in a time domain,”
*Annals of Nuclear Energy*, vol. 13, no. 4, pp. 185–201, 1986. View at Publisher · View at Google Scholar - D. Regan,
*Human Brain Electrophysiology*, Elsevier, New York, NY, USA, 1989. - K. H. W. J. ten Tusscher and A. V. Panfilov, “Alternans and spiral breakup in a human ventricular tissue model,”
*American Journal of Physiology*, vol. 291, no. 3, pp. H1088–H1100, 2006. View at Publisher · View at Google Scholar - O. Diekmann and J. A. P. Heesterbeek,
*Mathematical Epidemiology of Infectious Diseases*, Wiley Series in Mathematical and Computational Biology, John Wiley & Sons, Chichester, UK, 2000. - S. B. Lowen and M. C. Teich, “The periodogram and Allan variance reveal fractal exponents greater than unity in auditory-nerve spike trains,”
*Journal of the Acoustical Society of America*, vol. 99, no. 6, pp. 3585–3591, 1996. View at Publisher · View at Google Scholar - G. Buzsáki,
*Rhythms of the Brain*, Oxford University Press, Oxford, UK, 2006. View at Publisher · View at Google Scholar