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# Finite-Size Effects on Nucleation in a First-Order Phase Transition

## I Introduction

First-order phase transitions and the kinetic phenomena associated with the process of phase conversion through the nucleation of bubbles or spinodal decomposition are present in almost all realms of physics . Usually, the interesting physical quantities are the time scales related to the transient regime, since they determine its relative importance. However, one cannot often disentangle those scales from other scales of the problem, such as the different length scales and, in particular, the finite size of the system under consideration.

Despite the success of finite-size scaling in the study of equilibrium critical phenomena , a systematic study of finite size effects has rarely been conducted in the case of metastable decays and other nonequilibrium processes (see Ref.  and references therein). In particular, a careful analysis of possible modifications of the usual picture of nucleation in a thermally-driven first-order phase transition due to the finite size of the system seems to be lacking.

In this paper, we discuss finite size effects on the dynamics of homogeneous nucleation in a first-order temperature-driven transition. In particular, we consider the case of cosmological phase transitions in the early universe , and that of a quark-gluon plasma (QGP) decay into hadronic matter in a high-energy heavy ion collision . The former might provide sensible mechanisms to explain the baryon number asymmetry in the universe and primordial nucleosynthesis , whereas the latter is expected to be observed  at BNL Relativistic Heavy Ion Collider (RHIC). The length and time scales involved in each of these cases differ by several orders of magnitude. We will argue that, despite statements to the contrary in the literature, the finite size of the early universe plays no important role in the process of homogeneous nucleation during the quark-hadron and the electroweak cosmological phase transitions. For an expanding QGP plasma, finite size effects might prove to be relevant if the plasma is formed in relativistic heavy ion collisions.

In the usual description of homogeneous nucleation , there are two ways in which the finite size of the system can affect the formation and evolution of bubbles and, consequently, the dynamics of phase conversion. Firstly, one has to consider the effects on the nucleation rate and the early stage growth of the bubbles. As will be shown below, this correction comes about through an intrinsic uncertainty in the determination of the supercooling undergone by the system. For the cases considered here, it brings only minor modifications to a description which assumes an infinite system. The second and, in general, most important finite-size effect is its influence on the domain coarsening process, or late-stage growth of the bubbles. The relevant length scales here are given by the typical size of the system, the radius of the critical bubble and the correlation length. One has to compare these scales, in each case of interest, to measure the relevance of possible corrections due to the finite size of the system.

The arguments presented in this paper are based solely on analytic considerations and simple estimates. To obtain precise results, one should perform numerical simulations. Lattice methods have been successfully applied to the study of homogeneous nucleation in different contexts . A systematic lattice investigation of bubble nucleation and spinodal decomposition, including finite-size effects, in the case of high-energy heavy ion collisions is certainly important and will be reported in a future publication .

The paper is organized as follows. In Section II, we present a short review of relevant aspects of homogeneous nucleation that are important for our analysis. In section III, we discuss the effects of the finite size of the system in general, and apply the results to the cases mentioned above. Section IV contains our conclusions and outlook.

## II Homogeneous nucleation in a first-order phase transition

In a continuum description of a first-order phase transition, it is convenient to make use of a coarse-grained free energy, $`F`$, which is expected to have the familiar Landau-Ginzburg form with temperature-dependent coefficients . (In the case of QCD, such a free energy can be obtained, for instance, from the one-loop effective potential of a linear sigma model coupled to quarks .) For temperatures between the critical temperature, $`T_c`$, and a temperature that characterizes the spinodal region, $`T_{sp}`$, the minimum corresponding to the symmetric phase is metastable, and gradually disappears as the system approaches $`T_{sp}`$, where the symmetric phase becomes unstable. In other words, at $`T=T_{sp}`$, the barrier that separates the metastable symmetric phase minimum from the true vacuum, within this temperature range, vanishes. The driving mechanism for the phase transition above the spinodal temperature is the nucleation of large localized domains, or bubbles, of the true vacuum phase, inside the so-called false vacuum or metastable phase, via thermal activation. Below $`T_{sp}`$, one has the phenomenon of spinodal decomposition, where the transition is driven by long-wavelength small fluctuations . An expanding system will probe these two regions at a pace given by its rate of expansion. The investigation of the time scale for thermal nucleation relative to that for the expansion, to evaluate the role played by nucleation in the phase conversion, is therefore an interesting issue (see, for instance, Ref. ). However, for a more complete and consistent analysis, one also has to incorporate the effects due to the finite size of the system under investigation.

The nucleation rate, namely, the probability per unit volume, per unit time, to form a critical bubble, can be expressed as $`\mathrm{\Gamma }=𝒫e^{F_b/T}`$, where $`F_b`$ is the free energy of a critical bubble. The prefactor $`𝒫`$, discussed further below, measures statistical and dynamical fluctuations about the saddle point of the Euclidean action in functional space. The critical bubble, with radius $`R=R_c`$, is a field configuration given by a radially symmetric, static solution of the Euler-Lagrange field equations corresponding to an exact balance between competing volume and surface energy contributions. The critical bubble is unstable with respect to small changes of its radius; for subcritical bubbles, $`R<R_c`$, the surface energy dominates, and the bubble shrinks and vanishes, while for supercritical bubbles, $`R>R_c`$, the volume energy dominates, and the bubble grows driving the decay process.

It is convenient to write the prefactor $`𝒫`$ as a product of the bubble’s growth rate and a factor proportional to the ratio of the determinant of the fluctuation operator around the bubble configuration relative to that around the homogeneous metastable state . For the relativistic case, in the thin-wall limit, we have :

$$𝒫=\frac{16}{3\pi }\left(\frac{\sigma }{3T}\right)^{3/2}\frac{\sigma \eta R_c}{\xi ^4(\mathrm{\Delta }\omega )^2}.$$
(1)
Here, $`\eta `$ and $`\xi `$ are respectively the shear viscosity and the correlation length in the symmetric phase and $`\mathrm{\Delta }\omega `$ is the enthalpy density difference between the two phases. $`\sigma `$ is the surface tension of the interface, which is related to the critical radius and the difference in pressure between the mestastable phase and the true vacuum, $`\mathrm{\Delta }p`$, as $`R_c=2\sigma /\mathrm{\Delta }p`$. The thin-wall limit is a good approximation in the limit of small supercooling, $`\theta =1T/T_c1`$. In this limit, the decay rate can be written as

$$\mathrm{\Gamma }=𝒫exp\left(\frac{4\pi \sigma }{3T}R_c^2\right)=𝒫exp\left(\frac{16\pi }{3}\frac{\sigma ^3}{T_c\mathrm{}^2\theta ^2}\right),$$
(2)
where $`\mathrm{}`$ is the latent heat density. For increasing values of the supercooling, $`\theta `$, the argument of the exponential decreases and the decay rate increases. Equivalently, the critical radius becomes smaller, so that it is easier to nucleate supercritical bubbles. The only way in which the finite size of the system can affect the decay rate is through its influence on the supercooling. (Of course, one has to check whether the size of the system allows for the presence of at least one critical bubble, including the wall that separates the two phases, or not.)

## III Finite-size effects

### A Coarse-grained free energy

Before considering the effects of the finite size of the system on the nucleation process, let us move one step backwards to examine a point that will be relevant for the following, namely, the definition of metastable states in equilibrium statistical mechanics. Since the complete partition function is dominated by configurations that minimize the free energy and correspond to equilibrium states, it does not allow for the existence of metastable branches in the thermodynamic limit. One solution to this difficulty consists in constraining the phase space and computing restricted partition functions. In order to define an optimal cut, one has to resort to physical arguments .

Such a procedure can be implemented as follows . The system of size $`L`$ is divided into cells of linear size $`\lambda _{cg}`$ centered at positions $`\stackrel{}{x}`$. The length scale which defines the coarse-graining of the system, $`\lambda _{cg}`$, should be appreciably larger than the underlying lattice spacing $`a`$. Moreover, within each cell, the relevant order parameter, $`\varphi `$, should vary smoothly in space and the equilibration time of the system should be much faster than the processes under consideration. This allows us to adopt a continuum order parameter, $`\varphi (\stackrel{}{x},t)`$, defined as an average over each cell.

However, by construction, the coarse-grained free energy will depend on the scale $`\lambda _{cg}`$ and, as mentioned previously, one has to appropriately constrain the phase space to allow for metastable states. If $`\lambda _{cg}`$ is small enough as compared to the correlation length, $`\xi `$, phase separation within a cell cannot occur and one can define a coarse-grained free energy, $`F`$, such as the one we considered in the discussion of Section II. The condition $`\lambda _{cg}<<\xi `$ therefore represents the physically motivated restriction to the partition function that allows for a well-defined coarse-grained description of metastable states. As a corollary, increasing the value of the coarse-graining length relative to the correlation length would incorporate more and more fluctuation modes, which were excluded by this ultraviolet cut-off. The free energy $`F`$ would then flatten out completely in the limit $`\lambda _{cg}/\xi \mathrm{}`$, thereby approaching the equilibrium description with no metastable branch . For a system to be characterized by a well-defined Landau-Ginzburg coarse-grained free energy one therefore requires a clean separation of scales: $`a<<\lambda _{cg}<<\xi <<L`$.

### B Nucleation rate

The only effect that might be relevant to the nucleation rate, $`\mathrm{\Gamma }`$, is the rounding of singularities, since they will affect the degree of supercooling. The relevant physical quantity can be calculated in a finite-size scaling framework , resulting in the following expression:

$$\frac{\mathrm{\Delta }T_{round}}{T_c}\frac{2T_c}{\mathrm{}L^d},$$
(3)
where $`L`$ is the typical length scale of the system and $`d`$ is the number of dimensions. The quantity $`\mathrm{\Delta }T_{round}`$ is a measure of the smoothening of singularities due to the finite size of the system . It corresponds to the (now non-vanishing) width in temperature of the region where the energy density of the system suffers an abrupt jump, around $`T=T_c`$ . This phenomenon enters the decay rate as a minimum value for $`\theta `$ which reflects the uncertainity in the supercooling due to the finite size of the system. This conclusion should be contrasted with the arguments presented in Ref. , particularly in the case of cosmological phase transitions .

For phase transitions in the early universe, $`L`$ is given by the radius of the universe at a given time (or temperature). Going back to very early times, $`t10^4`$s and $`T10^{12}`$K$`10^1`$GeV, we can use the elementary particle model  to obtain an approximate equation of state (ideal gas)

$$3pϵ\frac{\pi ^2}{30}N(T)T^4,$$
(4)
where $`N(T)=N_{bosons}(T)+(7/8)N_{fermions}(T)`$ is the total number of degrees of freedom, $`ϵ`$ is the energy density and $`p`$ is the pressure. From Einstein’s field equations, one can derive the relation between time and energy density in the early universe, which links the age of the universe and its temperature in the following way

$$t\left(\frac{3}{32\pi Gϵ}\right)^{1/2}\frac{1}{4\pi }\left(\frac{45}{\pi N(T)}\right)^{1/2}\frac{M_{Pl}}{T^2},$$
(5)
where $`M_{Pl}`$ is the Planck mass and $`G`$ is Newton’s gravitational constant. The radius of the universe, as given by the particle horizon in a Robertson-Walker spacetime , $`d_h(t)=t/(1n)`$, where the scale factor grows as $`a(t)t^{2/3(1+w)}=t^n`$ and $`p=wϵ`$, has the following form:

$$L_{univ}(T)\frac{1}{4\pi }\left(\frac{1}{1n}\right)\left(\frac{45}{\pi N(T)}\right)^{1/2}\frac{M_{Pl}}{T^2}.$$
(6)
For the assumed equation of state, $`w=1/3`$ and $`n=1/2`$. If we enter temperature in GeV, the typical length scale of the early universe is given, in fermi units, by $`L_{univ}(T)𝒜/T^2\sqrt{N(T)}`$, where $`𝒜=1.45\times 10^{18}`$.

It is clear that, due to the large factor $`10^{18}`$ (coming from $`M_{Pl}`$), $`L_{univ}`$ will be of importance for supercooling only for extremely high values of the temperature. Since $`N(T)50`$ for the cases of the QCD and the electroweak phase transitions, one would need $`T10^8`$GeV to be subject to appreciable finite-size effects on the nucleation rate. Therefore, since $`T_c^{QCD}𝒪(10^1)`$GeV and $`T_c^{EW}𝒪(10^2)`$GeV, these effects are negligible in such cases. They might prove to be relevant in the case of GUT’s transitions, where the critical temperature will be much higher.

For the first order transition of a quark-gluon plasma into a hadronic gas in a high-energy heavy ion collision, one can easily estimate the role of finite-size effects on the nucleation rate. The parameters entering Eq. (3) are approximately given by $`T_c150`$ MeV , $`\mathrm{}4B4\times (150`$ MeV$`)^4`$, where $`B`$ is the bag constant, and $`L10`$ fm. The minimal amount of supercooling undergone by the plasma is then negligible, of the order of $`10^3`$. (For more conservative, smaller values of $`L`$, the minimum value of $`\theta `$ is still very small.) The system can in principle probe the entire domain in $`\theta `$, and there are no constraints on homogeneous nucleation from this side. The question of how fast the system probes the nucleation region, before reaching the spinodal regime, as compared to the nucleation rate was discussed in Ref. . Recently, it has been speculated that the RHIC data suggest an explosive hadron production due to a rapid variation of the effective potential for QCD close to $`T_c`$. The theoretical reasoning is based on the results of the Polyakov Loop Model  for the deconfining phase transition, which lead to a very fast spinodal decomposition regime .

### C Late-stage growth

After the nucleation of a given supercritical bubble, it will grow with a certain velocity. The set of all supercritical bubbles created integrated over time will eventually drive the complete phase conversion in a finite system. The scales that determine the importance of finite-size effects are the typical linear size of the system, the radius of the critical bubble and the correlation length. For the reasons discussed in the last subsection, the case of cosmological phase transitions is to an excellent approximation free from finite-size corrections. The enormous numerical value of the Planck mass washes out every other scale. Therefore, throughout this subsection we will address the quark-gluon–hadron phase transition in heavy ion collisions.

For definiteness, let us assume our system is characterized by a coarse-grained free energy of the form

$$F(\varphi ,T)=d^dx\left[\frac{1}{2}(\varphi )^2+U(\varphi ,T)\right],$$
(7)
where $`U(\varphi ,T)`$ is some Landau-Ginzburg potential whose coefficients depend on the temperature, and $`\varphi (\stackrel{}{x},t)`$ is a scalar field . For the cases to be considered in this paper, the order parameter, $`\varphi `$, is not a conserved quantity, and its evolution is given by the time-dependent Landau-Ginzburg equation

$$\frac{\varphi }{t}=\gamma \frac{\delta F}{\delta \varphi }=\gamma \left[^2\varphi U^{}(\varphi ,T)\right],$$
(8)
where $`\gamma `$ is the response coefficient which defines a time scale for the system. Equation (8) is a standard reaction-diffusion equation, and describes the approach to equilibrium .

If $`U(\varphi ,T)`$ is such that it allows for the existence of bubble solutions (taken to be spherical for simplicity), then supercritical (subcritical) bubbles expand (shrink), in the thin-wall limit, with the following velocity:

$$\frac{dR}{dt}=\gamma (d1)\left[\frac{1}{R_c}\frac{1}{R(t)}\right],$$
(9)
where $`R_c=(d1)\sigma /\mathrm{\Delta }F`$ and $`\mathrm{\Delta }F`$ is the difference in free energy between the two phases. Equation (9) is an example of the Allen-Cahn equation , which relates the velocity of a domain wall to the local curvature. The response coefficient, $`\gamma `$, can be related to some characteristic collision time as will be done later.

The description of the late-stage domain coarsening is given by the Kolmogorov-Avrami theory , which contains the following assumptions: (i) bubbles grow without substantial deformation and are uncorrelated; (ii) the nucleation rate is a constant; (iii) the bubble growth velocity is constant, $`v=dR/dt=\gamma (d1)/R_c`$ (limit $`R\mathrm{}`$). The quantity which is usually computed is the volume fraction of the stable phase.

However, one can measure the importance of finite-size effects for the case of heavy-ion collisions by comparing, for instance, the asymptotic growth velocity ($`R>>R_c`$) for nucleated hadronic bubbles to the expansion velocity of the plasma. In the Bjorken picture, one assumes that the central rapidity region exhibits longitudinal expansion, so that $`z(t)=v_zt`$, where $`v_z`$ is the collective fluid velocity. Conservation of total entropy leads to adiabatic expansion and the following cooling behavior: $`(t/t_i)=(T_i/T)^3`$. The typical length scale of the expanding system is then

$$L(T)(v_zt_c)\left(\frac{T_c}{T}\right)^3=L_0\left(\frac{T_c}{T}\right)^3,$$
(10)
where $`L_0L(T_c)`$ is the initial linear scale of the system for the nucleation process which starts at $`TT_c`$.

The relation between time and temperature provided by the cooling law that emerges from the Bjorken picture suggests the comparison between the following “velocities”:

$$v_b\frac{dR}{dT}=\left(\frac{3b\mathrm{}L_0}{2v_z\sigma T_c^2}\right)\left(\frac{T_c}{T}\right)^5\left(1\frac{T}{T_c}\right),$$
(11)
the asymptotic bubble growth “velocity”, and the plasma expansion “velocity”

$$v_L\frac{dL}{dT}=\frac{3L_0}{T_c}\left(\frac{T_c}{T}\right)^4.$$
(12)
The quantity $`b`$ is a number of order one to first approximation, and comes about in the estimate of the phenomenological response coefficient $`\gamma (T)b/2T`$ (see Ref.  for details).

Using the numerical values adopted in the previous section and $`\sigma /T_c^30.1`$, we obtain

$$\frac{v_b}{v_L}\frac{20}{v_z}\left(\frac{T_c}{T}1\right).$$
(13)
One thus observes that the bubble growth velocity becomes larger than the expansion velocity for a supercooling of order $`\theta v_z/205\%`$. A simple estimate points to a critical radius larger than $`1`$fm at such values of supercooling (see also ). Therefore, finite-size effects appear to be an important ingredient in the phase conversion process right from the start in the case of high-energy heavy-ion collisions.

## IV Conclusions and outlook

We have studied the effects of the finite size of the system on the nucleation of bubbles in thermally-driven first-order phase transition. The physical situations we considered were those of the cosmological transitions in the early universe and the hadronization of a quark-gluon plasma after a high-energy heavy ion collision. We have shown, on very general grounds, that during the quark-hadron and the electroweak cosmological transitions the universe is large enough so that one is safe to approximate it by an infinite system. Corrections due to its finite size are negligible. For the case of heavy ions, although the influence on the nucleation rate is also small, effects related to domain coarsening and late-stage growth are important and should be taken into account in a detailed study.

In order to address the question of hadronization after a first-order transition, one should then perform finite-size real-time lattice simulations. One would thereby avoid the drawbacks implied by analytical approximations, such as the thin-wall hypothesis. Moreover, one would be able to control the behavior of domains and study, for instance, scaling properties . It is also interesting to study the hydrodynamics of nuclear matter at chiral limit as a phenomenological description of the chiral transition in an expanding quark-gluon plasma . Results in this direction will be presented elsewhere.

We thank A. Dumitru, R. Gavai, S. Gupta and A. Krasnitz for fruitful discussions. E.S.F. thanks the members of LPT (Orsay), where part of this work has been done, for their kind hospitality. E.S.F. is partially supported by FAPERJ and FUJB/UFRJ. R.V. is supported by the U.S. Department of Energy under Contract No. DE-AC02-98CH10886 and by the RIKEN-BNL Research Center at BNL.


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# Breaking of general rotational symmetries by multi-dimensional classical ratchets

## I Introduction

One of the corner-stones of equilibrium statistical mechanics is the second law of thermodynamics, which precludes extraction of pure work out of a heat source (e.g. a thermal noise) without an accompanying change of state r1 . Fluctuation-dissipation theorem makes it quite impossible for a system to extract work out of a noise source in equilibrium with it, even if the system is in a potential with a built-in directionality. The impossibility of such a thermal noise-induced rectification was lucidly explained by Feynman r2  using the concept of a ‘ratchet’, a device whose static potential is periodic, but with an asymmetry within each period (such as a sawtooth potential). Although motion in a ratchet is easier in one direction than the other, it is impossible to exploit this asymmetry to drive a particle in the potential using a simple thermal environment. This is because the probability of a noise-induced jump over a barrier in a ratchet depends only on the barrier height, and is therefore the same to the right and the left, irrespective of the different slopes in the two directions.

Directed motion in a ratchet potential requires an external source of energy that is out of equilibrium with the system, thus negating the necessity to obey the fluctuation-dissipation theorem r3 ; r4 . A trivial example is a fully correlated noise source such as a deterministic unidirectional force exerted to an axle attached to a ratchet-wheel. Remarkably, the rectification persists even for a non-equilibrium noise with zero time-average. The minimal condition for a ratchet to operate is broken detailed-balance (such as a “colored” or temporally correlated external noise) which in conjunction with the spatial asymmetry within each ratchet period, and broken time-reversal symmetry (dissipation) leads to directed motion.

The successful extraction of work out of a non-equilibrium source of energy has far-reaching implications. Thermal ratchets are not limited by energetic restrictions associated with equilibrium statistical mechanical principles r4 ; r5 ; r6 ; r8 . Massive (underdamped) ratchets exhibit a parametric current reversal that could be useful for continuum mass separation r10  and designing ‘molecular shuttles’ r11 . Furthermore, ratchet motion is considered to be a possible explanation for the long-range cellular transport of motor proteins prot . On the experimental front, Brownian ratchets have been demonstrated in the rectified motion of polystyrene spheres and a drop of mercury r12 , and in current rectification in a DC SQUID r13 .

A ratchet-induced rectification using a two or three dimensional apparatus has been investigated recently, primarily with the aim of separating particles of different diffusion constants or sizes r10 ; rnew . Though the particle motion in such studies r10 ; rnew ; gimkell  is in multi-dimensions the ratchet effect is usually along a single direction. Relatively little investigation has been done of systems where the ratchet effect exists in multiple spatial directions r14 ; gk00 . Extending ratchet motion to higher dimensions involves more than just a simple extension of one-dimensional arguments. One can envisage breaking of higher symmetries such as rotational symmetry, by the broken detailed balance, leading to a rich structure of loops and vortices. Generalizing the concept of a ‘coordinate’, one can map the motion of a stochastic particle in phase-space (semiclassical evolution in a multi-quantum well system for example), or in chemical coordinates, into a n-dimensional motion in real space. The interplay of rectification and dimensionality can lead to very interesting flow patterns. For instance, a judicious combination of one-dimensional ratchets can lead to steady-state rotations, even if the noise sources themselves are restricted only to apply along the orthogonal directions and are uncorrelated with each other. A simple realization in two dimensions (2D) is as follows: Consider Fig. 1 where a two-dimensional rotation due to ratchet motion is shown schematically. In the presence of spatial asymmetry in one-dimension, a time-correlated noise is known to produce a drift r3 ; magnasco93 ; the direction of the drift is determined by the sense of the potential asymmetry. For a potential in multiple dimensions, the sense of the potential asymmetry along one coordinate can be reversed by varying the other coordinates, leading to a change in sign (or reversal of asymmetry) of the potential. As indicated in Fig. 1, the coordinate-dependent reversal of the one-dimensional drifts could then conspire together to generate a steady-state rotation. Contrary to rotation generated by purely potential forces, determined by the initial conditions of the particle, the sense of our rotation is independent of initial conditions and is given by the combination of the potential asymmetry and the noise statistics. Furthermore, removing either the potential asymmetry or the correlation in the noise destroys the rotation. In effect, we have thus produced a rotational motion along a cyclical track using combinations of one-dimensional ratchets, although the x and y noise forces are totally uncorrelated. A generalization of this process can generate rotations for any asymmetric potential in $`x`$ and $`y`$ that is non-separable in the individual coordinates. Rotation then becomes a necessary outcome of motion in such a potential gk00 .

In this paper, we develop a formalism for dealing with classical ratchet motion in n-dimensions. We generate a bona-fide Fokker-Planck equation (FPE) in terms of a systematic expansion in the correlation time for a Gaussian distributed noise. The work is presented as follows. Section II sets up the functional calculus in arbitrary dimensions that allows us to derive a bona-fide FPE in the presence of colored noise. The formalism in itself is non-perturbative in the noise color. In section III we derive the n-dimensional FPE. In section IV we specialize to the case of one-dimension and analyze the ratchet motion. We also discuss the various length and time scales built into the dynamical process of a particle in a potential driven by colored noise. In section V we present a time-dependent solution to the n-dimensional FPE, just before steady state is reached. In section VI we analyze the steady state part of the solution of section V and describe the variety of flow patterns that may arise in two and three dimensions. We conclude in section VII. Appendix A gives some algebraic details of the calculations. Appendix B discusses questions about convergence.

## II Functional calculus for the probability in multiple-dimensions

Consider an overdamped classical particle in a multidimensional potential $`U(\stackrel{}{r})`$ driven by an external time-correlated noise with force $`\gamma \stackrel{}{f}(t)`$, where $`\gamma `$ is the damping constant. The motion of the particle is governed by the Langevin equation, which is essentially Newton’s law without the inertial term:

$$\dot{\stackrel{}{r}}(t)=\stackrel{}{W}(\stackrel{}{r})+\stackrel{}{f}(t)$$
(1)
where $`\stackrel{}{r}`$ is the position vector of the particle, $`\gamma \stackrel{}{W}=\stackrel{}{}U(\stackrel{}{r})`$ is the force exerted by the potential on the particle, and the dot denotes a derivative with respect to time. The stochastic process described above depends crucially on the statistics of the noise $`\stackrel{}{f}`$. We assume that the noise has a Gaussian probability distribution with a correlation time $`\tau _i^c`$ and strength $`D_i`$ along the $`i`$th coordinate direction. Furthermore, we assume that the noise along any two orthogonal coordinate directions are uncorrelated. The probability distribution $`P(\stackrel{}{r},t)`$ ref-c  can be described in terms of a functional integral over different realizations of $`\stackrel{}{f}`$ as follows:

$`P(\stackrel{}{r},t)`$ $`=`$ $`{\displaystyle \stackrel{}{𝒟f}P[\stackrel{}{f}]\delta \left(\stackrel{}{r}\stackrel{}{r}(t)\right)},`$ (2)
$`P[\stackrel{}{f}]`$ $`=`$ $`N\mathrm{exp}\left[{\displaystyle \frac{1}{2}}{\displaystyle 𝑑s𝑑s^{}\underset{ij}{}K_{ij}(ss^{})f_i(s)f_j(s^{})}\right],`$ (3)
$`f_i`$ $`=`$ $`0;f_i(t)f_j(t^{})={\displaystyle \frac{D_i}{\tau _i^c}}C_i\left({\displaystyle \frac{|tt^{}|}{\tau _i^c}}\right)\delta _{ij}.`$ (4)
The Dirac delta function in Eq. (4) equates the arbitrary position variable $`\stackrel{}{r}`$ with the functional form $`\stackrel{}{r}(t)`$ stipulated by Eq. (1). The dimensionless correlation function $`C_i`$ can in principle have multiple time-scales built into it. The formalism we develop can be easily generalized to take such extensions into account.

We generalize the functional calculus outlined by Fox rFox  to develop a bona-fide Fokker-Planck equation for the probability distribution $`P(\stackrel{}{r},t)`$. Using Eqs. (1) and (4) we get

$`{\displaystyle \frac{P(\stackrel{}{r},t)}{t}}={\displaystyle 𝒟\stackrel{}{f}P[\stackrel{}{f}]\underset{i}{}\dot{r}_i\frac{}{r_i}\delta (\stackrel{}{r}\stackrel{}{r}(t))}`$
$`={\displaystyle \underset{i}{}}{\displaystyle \frac{}{r_i}}\left[W_i(\stackrel{}{r}(t))P(\stackrel{}{r},t)+Q_i(\stackrel{}{r})\right]`$ (5)
where $`Q_i(\stackrel{}{r})𝒟\stackrel{}{f}P[\stackrel{}{f}]\delta (\stackrel{}{r}\stackrel{}{r}(t))f_i(t)`$. Using results derived in Appendix A, we can write the product $`P[\stackrel{}{f}]f_i(t)`$ as follows:

$`P[\stackrel{}{f}]f_i(t)={\displaystyle \underset{l}{}}{\displaystyle 𝑑sP[\stackrel{}{f}]f_l(s)\delta _{il}\delta (ts)}`$
$`={\displaystyle \underset{l}{}}{\displaystyle \frac{D_i}{\tau _i^c}}{\displaystyle 𝑑sP[\stackrel{}{f}]f_l(s)𝑑s^{}K_{il}(ss^{})C_i\left(\frac{ts^{}}{\tau _i^c}\right)}`$
$`={\displaystyle \frac{D_i}{\tau _i^c}}{\displaystyle 𝑑s^{}C_i\left(\frac{ts^{}}{\tau _i^c}\right)\frac{\delta P[\stackrel{}{f}]}{\delta f_i(s^{})}}`$ (6)
Substituting in Eq. 5

$$\frac{P(\stackrel{}{r},t)}{t}=\stackrel{}{}(\stackrel{}{W}P)\underset{ij}{}\frac{^2\stackrel{~}{Q}_{ij}}{r_ir_j}$$
(7)
where

$`\stackrel{~}{Q}_{ij}(t)`$ $`=`$ $`{\displaystyle \frac{D_i}{\tau _i^c}}{\displaystyle 𝑑s^{}C_i\left(\frac{[ts^{}]}{\tau _i^c}\right)}`$ (8)
$`\times `$ $`{\displaystyle 𝒟\stackrel{}{f}P[\stackrel{}{f}]\delta (\stackrel{}{r}\stackrel{}{r}(t))\frac{\delta r_j(t)}{\delta f_i(s^{})}}.`$
At this stage, we see that in the presence of color, the stochastic process is non-Markovian, which means that the value of $`P`$ at time $`t`$ depends on earlier instants of time $`s^{}`$ through the kernel $`K(ts^{})`$, or equivalently, through the correlation function $`C`$ which represents the inverse of $`K`$ (Appendix A). To evaluate the role of color, we now need to evaluate the functional derivative in Eq. 8. This is best done with the help of the Langevin Eq. 1 for $`\dot{r}_j`$:

$`{\displaystyle \frac{d}{dt}}\left[{\displaystyle \frac{\delta r_j(t)}{\delta f_i(s^{})}}\right]={\displaystyle \frac{\delta \dot{r}_j(t)}{\delta f_i(s^{})}}`$
$`={\displaystyle \frac{\delta }{\delta f_i(s^{})}}\left[W_j+f_j(t)\right]`$
$`={\displaystyle \underset{k}{}}M_{jk}{\displaystyle \frac{\delta r_k(t)}{\delta f_i(s^{})}}+\delta _{ij}\delta (ts^{})`$
where we define $`M_{ij}W_i(t)/r_j`$. The solution to the above equation is:

$$\frac{\delta r_j(t)}{\delta f_i(s^{})}=H(ts^{})\delta _{ij}𝐓\left(\mathrm{exp}\left[_s^{}^t𝑑sM(\stackrel{}{r}(s))\right]\right)_{ji},$$
(10)
as can be verified by direct substitution. In the above, $`𝐓`$ is the time-ordering operator and $`H(x)`$ is the Heaviside step-function (defined to be unity for positive x and zero otherwise). Substituting this functional derivative in Eq. (7), we manage to reduce the equation for $`P(\stackrel{}{r},t)`$ into the form of a continuity equation:

$`\dot{P}=\stackrel{}{}\stackrel{}{J},\mathrm{with}`$
$`J_iW_iP{\displaystyle \frac{}{r_i}}[\mathrm{\Theta }_iP],`$
$`\mathrm{\Theta }_i{\displaystyle \frac{D_i}{\tau _i^c}}{\displaystyle _0^{\mathrm{}}}𝑑t^{}C_i({\displaystyle \frac{t^{}}{\tau _i^c}})𝐓\left(\mathrm{exp}\left[{\displaystyle _{tt^{}}^t}𝑑sM(\stackrel{}{r}(s))\right]\right)_{i,i}`$
(11)
## III Getting a bona-fide Fokker-Planck equation

To get the steady state ($`t\mathrm{}`$) limit of the above equation, we expand the integral inside the exponential:

$`{\displaystyle _{tt^{}}^t}dsM_{ij}(\stackrel{}{r}(s))t^{}M_{ij}(\stackrel{}{r}(t)){\displaystyle \frac{t^2}{2}}{\displaystyle \underset{k}{}}{\displaystyle \frac{^2W_j}{r_kr_j}}[W_k+`$
$`f_k]+O(t^2)`$ (12)
The expansion does not introduce any singularities, as discussed in the Appendix B. After changing variables $`t^{}x=t^{}/\tau _i^c`$, we can now rewrite $`\mathrm{\Theta }_i`$ as:

$`\mathrm{\Theta }_i=D_i{\displaystyle _0^{\mathrm{}}}dxC_i(x)𝐓(\mathrm{exp}[x\tau _i^cMx^2(\tau _i^c)^2R/2`$
$`+O(x^3(\tau _i^c)^3)])_{i,i}`$ (13)
where the matrix $`R`$ has components $`R_{ij}`$ given by $`R_{ij}=_kW_k^2W_i/r_jr_k`$. The components of $`M`$ and $`R`$ have dimensions of $`1/\tau _i^\gamma U_0/\gamma L_i^2`$ ($`U_0`$ is the maximum height of the potential and $`L_i`$ is the length scale of variation of the potential in the $`i`$-th direction, which equals its period for a periodic potential) while $`x`$ is dimensionless. For small correlation times $`\tau _i^c\tau _i^\gamma `$ (time scales described in detail in the next section), we can further Taylor expand the exponent to give us the effective diffusion constant $`\mathrm{\Theta }_i`$ in terms of the noise statistics defined by $`\{\mu _n^i\}`$, where $`\mu _n^i_0^{\mathrm{}}𝑑xC_i(x)x^n`$ is the $`n`$th moment of the noise correlation function. For well-behaved functions with rapidly vanishing higher moments, terms like $`x^n(\tau _i^c)^n`$ can be ignored for small $`\tau _i^c`$ and large $`n`$ (cf. Appendix B). Then we can truncate the equation of motion for $`P(\stackrel{}{r},t)`$ to second order, leading thereby to a bona-fide Fokker-Planck equation. For small correlation time $`\tau _i^c`$, the equation reads:

$`{\displaystyle \frac{P(\stackrel{}{r},t)}{t}}`$ $`=`$ $`{\displaystyle \underset{i}{}}{\displaystyle \frac{J_i}{r_i}}={\displaystyle \underset{i}{}}{\displaystyle \frac{}{r_i}}\left(W_iP{\displaystyle \frac{}{r_i}}\left[\mathrm{\Theta }_iP\right]\right)`$
$`\mathrm{\Theta }_i`$ $`=`$ $`D_i\left[1+\mu _1^i\tau _i^cM_{ii}{\displaystyle \frac{(\tau _i^c)^2}{2}}\mu _2^i(RM^2)_{ii}\right]`$
$`M_{ij}`$ $``$ $`{\displaystyle \frac{W_i(t)}{r_j}}`$
$`R_{ij}`$ $``$ $`{\displaystyle \underset{k}{}}W_k{\displaystyle \frac{^2W_i}{r_jr_k}}`$ (14)
The above set of equations are the central equations for all our analyses. The effect of the noise correlation shows up in the effective diffusion constant $`\mathrm{\Theta }_i`$, which picks up a position dependence ghosh  in a well-defined manner through the potential gradient terms $`M`$ and $`R`$. The statistics of the noise shows up through the moments $`\{\mu _n^i\}`$ of the temporal correlation function.

## IV Application: 1-D ratchet

Having established an approximate though bona-fide Fokker-Planck equation for arbitrary correlation functions $`C_i`$ and arbitrary dimensions at small correlation times, we now use our results to obtain the dynamics of a classical particle in various kinds of ratchet potentials. As a first step, we calculate the steady-state current density in a one-dimensional periodic potential using our Fokker-Planck formalism for exponential correlation ($`\mu _1=1`$, $`\mu _2=2`$). In one-dimension, $`\mathrm{\Theta }`$ can be written as:

$$\mathrm{\Theta }=D\left[1+\tau ^cW^{}(\tau ^c)^2\{WW^{\prime \prime }W^2\}\right]$$
(15)
to second order in $`\tau ^c`$ and where prime denotes a derivative. The expression for $`\mathrm{\Theta }`$ to first order in $`\tau ^c`$ is well known in the literature rFox . However, we need to retain the second order corrections in $`\tau ^c`$ to get any nontrivial current density out of the noise, as we shall shortly see.

At steady state ($`\dot{P}=0`$), the Fokker-Planck equation reads:

$`{\displaystyle \frac{dJ}{dx}}`$ $`=`$ $`0`$
$`J`$ $`=`$ $`WP{\displaystyle \frac{d}{dx}}\left[\mathrm{\Theta }P\right]`$ (16)
The continuity equation dictates a constant ($`x`$-independent) current. Using an integrating factor $`\mathrm{exp}(\varphi )`$ where $`\varphi (x)=_0^x𝑑yW(y)/\mathrm{\Theta }(y)`$, ‘0’ being an arbitrary point on the $`x`$ axis, we solve the above first order ordinary differential equation for $`P`$:

$$P(x)\mathrm{\Theta }(x)e^{\varphi (x)}=P(0)\mathrm{\Theta }(0)J_0^x𝑑ye^{\varphi (y)}$$
(17)
Imposing periodic boundary conditions $`P(0)=P(L)`$, $`\mathrm{\Theta }(0)=\mathrm{\Theta }(L)`$, one then gets the following equation for the drift current $`J`$:

$$J=P(0)\mathrm{\Theta }(0)\left[1e^{\varphi (L)}\right]/_0^L𝑑xe^{\varphi (x)}$$
(18)
We can solve for $`P(0)\mathrm{\Theta }(0)`$ by normalizing $`P(x)`$ within a period with a normalization constant $`N`$ representing the number of particles within a period at steady-state. This yields finally:

$$J=\frac{N\left[1e^{\varphi (L)}\right]}{_0^L𝑑x\frac{e^{\varphi \left(x\right)}}{\mathrm{\Theta }\left(x\right)}\left\{_0^L𝑑ye^{\varphi (y)}\left[1e^{\varphi (L)}\right]_0^x𝑑ye^{\varphi (y)}\right\}}$$
(19)
For small correlation times $`\tau ^c`$, using the expression for $`\mathrm{\Theta }(x)`$ from Eq. (15), one can expand $`\varphi (L)`$ as follows:

$`\varphi (L)={\displaystyle _0^L}[W(x)/\mathrm{\Theta }(x)]𝑑x`$
$`{\displaystyle _0^L}dx{\displaystyle \frac{W(x)}{D}}[1\tau ^cW^{}(x)+(\tau ^c)^2W(x)W^{\prime \prime }(x)`$
$`+O\left((\tau ^c)^3\right)]`$
(20)
The first and second terms in the integrand are proportional to exact derivatives (of $`U`$ and $`W^2/2`$ respectively), and vanish due to periodic boundary conditions, so that $`J(\tau ^c)^2`$. This allows us to replace $`1\mathrm{exp}(\varphi (L))`$ in Eq. (18) by the small quantity $`\varphi (L)`$. The current density is then given, to leading order in $`\tau ^c`$, by:

$$J=(\tau ^c)^2\frac{N_0^L𝑑xW^2(x)W^{\prime \prime }(x)}{_0^L𝑑xe^{U(x)/\gamma D}_0^L𝑑xe^{U(x)/\gamma D}}$$
(21)
A non-zero drift current density in a ratchet is generated because the following two quantities don’t vanish: (a) correlation time ($`\tau ^c0`$), which signifies a non-equilibrium noise that breaks detailed balance, and (b) potential asymmetry , meaning that there exists no $`\mathrm{\Delta }x`$ such that $`U(x+\mathrm{\Delta }x)=U(x)`$. This makes the integral in the numerator of Eq. 21 non-zero although the integrand itself is periodic.

The dynamics of the particle has three time-scales built into it:

(i) Correlation time, $`\tau ^c`$. This is the time governing the rate of loss of ‘memory’ in the noise. A convenient way to view the correlation time (as we establish later in this section) is an effective partitioning of the dynamics such that for times less than the correlation time the motion is ballistic, while for times greater than the correlation time the motion is diffusive.

(ii) Diffusion time, $`\tau ^D=L^2/D`$. $`L`$ is the typical length scale built into the potential. For a periodic potential, for example, $`L`$ denotes the period. $`\tau ^D`$ describes the time taken to diffuse over one unit length scale $`L`$ of the potential.

(iii) Drift time, $`\tau ^\gamma =\gamma L^2/U_0`$. $`U_0`$ is the maximum height of the potential, which serves as a typical energy scale in the problem. The drift time describes the amount of time for an overdamped particle to drift from the maximum to the minimum of the potential over a distance $`L`$, and serves as the time-scale for noise-free motion in the system.

Let us calculate $`J`$ for a 1-D periodic asymmetric potential with period $`L`$ and height $`U_0`$, and impose periodic boundary conditions $`P(0)=P(L)`$. Using Eq. 21 for $`J`$ we get the 1-D drift current as:

$$J=\frac{(\tau ^c\tau ^D)^2}{(\tau ^\gamma )^5}g\left(\frac{\tau ^D}{\tau ^\gamma }\right)$$
(22)
where $`g(x)`$ is a factor that depends on the geometry of the potential $`V(x)`$. Fig. 2 shows the steady-state current density for a specific example of a periodic potential for varying correlation times $`\tau ^c`$. The current density is positive, tending to drive the particle out of the potential well in the direction where the restoring force $`dU(x)/dx`$ is less.

A heuristic argument can illustrate the origin of the directionality of the current. For a correlation function $`f(t)f(0)=(D/\tau ^c)C(|t|/\tau ^c)`$, one can use Langevin’s equation (1) to get:

$`r^2(t)`$ $`=`$ $`2Dt{\displaystyle _0^{t/\tau ^c}}𝑑YC(Y)2D\tau ^c{\displaystyle _0^{t/\tau ^c}}𝑑YYC(Y)`$ (23)
$`=`$ $`2DC(0)t^2/\tau (t\tau ^c),`$
$`=`$ $`2D[t\mu _1\tau ](t\tau ^c)`$
where $`\mu _1`$ is the first moment of the noise. The above scaling of the particle coordinate with time means that the particle motion can be looked upon as ballistic for $`t\tau ^c`$ and diffusive for $`t\tau ^c`$. In absence of correlations ($`\tau ^c=0`$), the particle jumps over the barriers purely due to diffusive transport, and this has equal likelihood in either direction, since the barrier height is the same to the right and the left. However, for a correlated noise, there is a net drift over a time $`\tau ^c`$ that pushes the particle ballistically more to the right than the left, since the restoring force is less to the right (see Fig.2). At the end of the drift process therefore, the particle has reached a higher elevation to the right than the left. Thereafter, the barrier height is smaller to the right, so there is a higher probability of crossing it to the right. Thus the net drift in the positive $`x`$ direction is a consequence of drift assisted thermal activation, produced by the presence of correlation in the noise.

Fig. 2 shows the steady-state probability distribution function for varying values of the correlation time $`\tau ^c`$. For white noise ($`\tau ^c=0`$), the probability distribution is given by the Maxwell-Boltzmann result $`P\mathrm{exp}[U(x)/\gamma D]`$. As the correlation time is cranked up, however, the probability distribution within each well of the potential progressively shifts in weight to the left. This corresponds to a non-vanishing steady-state current density $`J`$ in the positive direction. The direction of the current density can be obtained easily from Eq. (16), whereby the peak ($`dP/dx=0`$) of the probability density is given for small correlation times ($`\mathrm{\Theta }D`$) by the point where $`J=WP`$. Since $`P>0`$, therefore for positive current $`J>0`$, we have $`W=dU/dx<0`$, meaning the peak shifts to the left. Note that the directionality of the ratchet motion depends on the specific nature of the correlation, and can be different depending on whether the time-correlation is incorporated into the driving force, or into a fluctuating version of the periodic asymmetric potential we have been dealing with.

The current density plotted vs. the barrier height shows a maximum, as is seen in Fig. 3. For small barrier heights, there is an equal chance of jumping over the barrier to the right and the left, so the current is small. Similarly at large barrier heights, the chance is equally small, so the current is small once again. Thus the peak in the current arises out of a competition between ratchet motion to the right, and current back-flow to the left.

One dimensional ratchet motion has been observed for polystyrene beads in an aqueous solution driven by a sinusoidal current between lithographically patterned electrodes r12 . In addition, ratchet motion has also been observed for beads in a “flashing potential” generated by a laser system modulated suitably by a chopper r3 . In the flashing geometry, the beads are trapped in deep potentials while the laser is on, and allowed to diffuse symmetrically while the laser is turned off. On subsequently turning on the laser, the beads slide back into the wells of the pieces of the potential whose basin of attraction they are individually in. For an asymmetric potential, the beads distribute asymmetrically. The entire process of turning on, switching off and turning on again leads in effect to a net drift of the particles out of the well in the direction of the steeper slope (opposite to the drift direction for the noise force-driven ratchet). Such drifts were reported by direct visual observation.

Our set-ups can be imagined to be the same, except that the driving force is neither an AC signal nor a switching potential. Instead, we imagine a static asymmetric potential generated as above, but driven by a colored noise generator (the simplest example is a white noise passed through an RC low-pass filter). Imagine a potential with period $`1\mu `$m ($`a=0.7\mu `$m, $`b=0.3\mu `$m) and fluorescent charged polystyrene beads ($``$ 0.07 - 1 $`\mu `$m) diameter in an aqueous solution at room temperature. The energy of the potential $`U_0`$ is set to $`75`$ meV. For this set of parameters, $`\tau ^D3`$ s and $`\tau ^\gamma 1`$ s. For a piecewise linear potential, $`f(\tau ^D/\tau ^\gamma )\tau ^D/\tau ^\gamma `$. Assume a bandwidth of the colored noise of $`40`$ Hz (these parameters satisfy $`\tau ^c\tau ^\gamma \tau ^D`$). Then $`\tau 10`$ hours. Such a slow drift of the fluorescent beads under colored noise should be readily observable with a microscope. Subsequently, measuring the current density for varying values of $`U_0`$ should generate a graph similar to Fig. 3, the position of the peak depending on the shape of the potential, but the tail varying as $`\mathrm{exp}(U_0/\gamma D)`$.

Let us calculate the efficiency of the ratchet process. Essentially, the energy for the directed motion is extracted from the correlated pieces of the noise force. The input power, given by the product of the force of the noise and the velocity obtained in the absence of the potential, is given by:

$`P_{in}`$ $`=`$ $`\gamma f\times f`$ (24)
$`=`$ $`{\displaystyle \frac{\tau ^\gamma U_0}{\tau ^D\tau ^c}}`$
To calculate the output power, we use the generated drift velocity, and the force $`dU/dx(x)`$ required to overcome a potential barrier and get:

$$P_{out}J\times \frac{U_0}{L}$$

This yields an efficiency

$$\eta \frac{P_{out}}{P_{in}}=\frac{(\tau ^c)^3(\tau ^D)^2}{(\tau ^\gamma )^5}\mathrm{exp}(\tau ^D/\tau ^\gamma )$$
(25)
For the typical values cited above for our proposed experiment, this corresponds to $`\eta 10^5`$. The transduction is not very efficient, although there have been proposals for ratchet mechanisms that perform almost with 100 percent Carnot efficiency rCarnot .

## V Time-dependent problem

The steady-state probability distribution obtained in Eq. 14 is in effect the long-term ($`t\mathrm{}`$) solution to the full time-dependent Langevin problem. To solve for the transient response $`P(\stackrel{}{r},t)`$, let us expand the spatially periodic variables $`\stackrel{}{W}`$ and $`\mathrm{\Theta }_i`$ in their Fourier modes: $`\stackrel{}{W}=_\stackrel{}{k}\stackrel{}{W}_\stackrel{}{k}e^{i\stackrel{}{k}\stackrel{}{r}}`$ and $`\mathrm{\Theta }_i=_\stackrel{}{k}\mathrm{\Theta }_{i,\stackrel{}{k}}e^{i\stackrel{}{k}\stackrel{}{r}}`$. Expanding $`P(\stackrel{}{r},t)=_\stackrel{}{k}P_\stackrel{}{k}e^{i\stackrel{}{k}\stackrel{}{r}i\omega _\stackrel{}{k}t}`$, we get from Eq. (14):

$`{\displaystyle \underset{\stackrel{}{k}}{}}i\omega _\stackrel{}{k}P_\stackrel{}{k}e^{i\stackrel{}{k}\stackrel{}{r}i\omega _\stackrel{}{k}t}={\displaystyle \underset{\stackrel{}{k},\stackrel{}{k}^{}}{}}[i(\stackrel{}{k}+\stackrel{}{k}^{})\stackrel{}{W}_\stackrel{}{k}^{}`$
$`(\stackrel{}{k}+\stackrel{}{k}^{})^2\mathrm{\Theta }_\stackrel{}{k}^{}]P_\stackrel{}{k}e^{i\left(\stackrel{}{k}+\stackrel{}{k}^{}\right)\stackrel{}{r}i\omega _\stackrel{}{k}t}`$ (26)
Changing summation variables on the right from $`\stackrel{}{k},\stackrel{}{k}^{}`$ to $`\stackrel{}{k},\stackrel{}{k}+\stackrel{}{k}^{}`$, we have:

$`{\displaystyle \underset{\stackrel{}{k}}{}}P_\stackrel{}{k}e^{i\omega _\stackrel{}{k}t}\times [i\omega _\stackrel{}{k}e^{i\stackrel{}{k}\stackrel{}{r}}.`$
$`.{\displaystyle \underset{\stackrel{}{k}^{}}{}}i\stackrel{}{k}^{}\stackrel{}{W}_{\stackrel{}{k}^{}\stackrel{}{k}}e^{i\stackrel{}{k}^{}\stackrel{}{r}}{\displaystyle \underset{\stackrel{}{k}^{}}{}}\left(k^{}\right)^2\mathrm{\Theta }_{\stackrel{}{k}^{}\stackrel{}{k}}e^{i\stackrel{}{k}^{}\stackrel{}{r}}]=0`$ (27)
Setting the terms in square brackets equal to zero, and performing an inverse Fourier transform, we get the dispersion relation:

$$i\omega _\stackrel{}{k}=k^2\mathrm{\Theta }i\stackrel{}{k}\stackrel{}{W},$$
(28)
where $`\mathrm{}`$ denotes a spatial average over the period $`L`$. Substituting back into the definition of $`P`$, and including the steady-state solution as the $`t\mathrm{}`$, i.e., the long wavelength ($`k=0`$) limit, we get:

$$P(\stackrel{}{r},t)=\underset{\stackrel{}{k}0}{}P_\stackrel{}{k}\mathrm{exp}\left\{i\stackrel{}{k}[\stackrel{}{r}\stackrel{}{W}t]k^2\mathrm{\Theta }t\right\}+P_{\mathrm{st}}(\stackrel{}{r}),$$
(29)
as one expects for a drift-diffusion equation. Since the average effective diffusion constant $`\mathrm{\Theta }`$ is positive, the probability distribution decays with time to the stable steady-state solution.

The “initial conditions” for the Fourier coefficients $`P_\stackrel{}{k}`$ in Eq. 29 are set by the value of $`P(\stackrel{}{r},t_0)`$, where $`t_0\tau ^c`$. We get $`P_\stackrel{}{k}=d^3\stackrel{}{r}P(\stackrel{}{r},t_0)\mathrm{exp}\left[\stackrel{}{k}\stackrel{}{r}+k^2\mathrm{\Theta }t_0\right]/L^3`$. At times less than $`\tau ^c`$, memory effects become important, the temporal evolution is non-Markovian and the corresponding equation for the probability distribution $`P(x,t)`$ cannot be truncated to second derivatives in $`x`$ to construct the bona-fide FPE. This means that for small times the transient equation is not of a drift-diffusion form, but depends in fact on higher correlations. This disallows the use of the FPE structure to start from an initial condition at $`t=0`$ and propagate to steady-state. However using an intermediate distribution at $`t_0`$ (with $`t_0\tau ^c`$) is allowed. In order to obtain this intermediate distribution from an initial condition at $`t=0`$, one actually needs to work with Eq. 11, which has a more complicated time-dependence and associated memory effects built into it. However, for times much larger than the lifetime of the memory effects ($`\tau ^c`$), Eq. 29 should work well. For times larger than the correlation time $`\tau ^c`$, the approach to equilibrium is governed by the diffusion constant averaged over a potential period, $`\mathrm{\Theta }`$ , while the associated drift is governed by the corresponding average potential force, $`W`$, which is zero for a periodic potential.

## VI Multidimensional analysis; rotations and patterns

Let us generalize our results of the previous sections to higher dimensions. We consider a periodic potential so that $`U(\stackrel{}{r})|_{r_i=0}=U(\stackrel{}{r})|_{r_i=L_i}`$, where $`L_i`$ is the period of the potential along the $`i`$th direction. Imposing periodic boundary conditions along the $`i`$th direction and integrating Eq. 14 leads to an integral equation for $`J_i`$:

$`{\displaystyle _0^{L_i}}dr_iJ_i(\stackrel{}{r})e^{\varphi _i\left(\stackrel{}{r}\right)}=[P(\stackrel{}{r})\mathrm{\Theta }_i(\stackrel{}{r})]|_{r_i=0}\times `$
$`\left[1e^{\varphi _i\left(\stackrel{}{r}\right)}\right]_{r_i=L_i}`$ (30)
where

$$\varphi _i(\stackrel{}{r})_0^{r_i}𝑑z_i[W_i(\stackrel{}{z})/\mathrm{\Theta }_i(\stackrel{}{z})],$$
(31)
In one-dimension, steady-state implies constant current density, which allows us to pull $`J`$ out of the integrals (as shown in Eq. 17) and solve for it, with the boundary value of $`P(\stackrel{}{r})`$ at $`r_i=0\mathrm{and}L_i`$ being fixed by normalization. The situation is quite different in multi-dimensions. At steady-state, the current density is not a constant in general. However, we can still make a few observations that lead to nontrivial conclusions: (i) the right hand side of Eq. 30 is in general not identically zero, (ii) the integrand on the left hand side is a product of $`J_i(\stackrel{}{r})`$ and a positive definite quantity, and (iii) definition of steady state ($`\dot{P}(\stackrel{}{r},t)0`$) implies $`\stackrel{}{}\stackrel{}{J}(\stackrel{}{r})0`$. The first two observations imply that $`\stackrel{}{J}`$ cannot be identically zero everywhere. Combining this with the third observation leads to the unavoidable conclusion that $`\stackrel{}{}\times \stackrel{}{J}`$ is not identically zero over one period of the potential (excluding the trivial case where $`\stackrel{}{J}`$ is a constant vector). In other words, there necessarily are local rotational patterns.

The necessity of color and potential asymmetry in our arguments is now easily seen. Analogous to Eq. 20 of the one-dimensional case, for small correlation times $`\tau _i^c`$, we get:

$`\varphi _i(L_i)={\displaystyle _0^{L_i}}dz_i{\displaystyle \frac{W_i(\stackrel{}{z})}{D_i}}[1\mu _1^i\tau _i^cM_{ii}(\stackrel{}{z})+`$
$`{\displaystyle \frac{(\tau _i^c)^2}{2}}\left[\left(\mu _2^iR(\stackrel{}{z})\mu _2^iM^2(\stackrel{}{z})\right)_{ii}+2(\mu _1^iM_{ii}(\stackrel{}{z}))^2\right]`$
$`+O\left((\tau _i^c)^3\right)].`$ (32)
Terms of zeroth and first order in $`\tau _i^c`$ in Eq. 32 are zero since the integrands in them are proportional to exact derivatives (of $`U`$ and $`W_i^2`$ respectively), and vanish due to periodic boundary conditions. Hence, $`\varphi _i(L_i)(\tau _i^c)^2`$. From Eq. 32, we see that $`\varphi _i(L_i)=0`$ either for white noise (i.e. when $`\tau _i^c=0`$) or when the potential is symmetric within a single period (i.e. the net integral multiplying $`(\tau _i^c)^2`$ vanishes). If either of this holds then our observation (i) is invalidated leaving open the possibility that $`J_i(\stackrel{}{r})=0`$ everywhere.

Having established the existence of rotations, we need to solve Eq. 14 numerically in n-dimensions with given boundary conditions to get specific flow patterns for $`\stackrel{}{J}(\stackrel{}{r})`$. For the purpose of illustrations, we specifically adopt the following simplifications: (a) we concentrate on two-dimensions ($`i=x,y`$), where Eq. 32 becomes:

$`\varphi _x(L_x,y)={\displaystyle \frac{(\tau _x^c)^2}{D_x}}{\displaystyle _0^{L_x}}dxW_x(x,y)[{\displaystyle \frac{\mu _2^x}{2}}\left({\displaystyle \frac{W_x}{y}}\right)^2`$ (33)
$`({\displaystyle \frac{3\mu _2^x}{4}}{\displaystyle \frac{\mu _{1}^{x}{}_{}{}^{2}}{2}})W_x{\displaystyle \frac{^2W_x}{x^2}}{\displaystyle \frac{\mu _2^x}{2}}W_y{\displaystyle \frac{^2W_x}{xy}}];`$ (34)
(b) Next we will consider the specific case of exponential correlation function ($`\mu _1^i=1`$, $`\mu _2^i=2`$); (c) finally, we consider a restricted class of potentials and noise such that $`U(x,y)=U(y,x)`$, $`D_x=D_y`$ and $`\tau _x^c=\tau _y^c`$. At steady-state, this implies that $`J_x(x,y)=J_x(y)`$ and $`J_y(x,y)=J_y(x)`$, i.e. the x component of vector $`\stackrel{}{J}(x,y)`$ is only a function of y and its y component is only a function of x. Before proceeding we emphasize that our arguments (following Eq. 30) showing the necessary existence of rotations do not depend on this restricted class of noises and potentials; the class of potentials is adopted just to simplify the algebra for illustrative purposes. The calculation of $`J_x(y)`$ and $`J_y(x)`$ can now proceed smoothly by observing that $`J_x`$ (or $`J_y`$) may be pulled out of the integral in Eq. 30. The total current density $`\stackrel{}{J}(\stackrel{}{r})`$ is then obtained by solving the set of Eqs. (30) - (34). The current density $`J_x(y)`$ depends on the Dirichlet boundary conditions $`P(0,y)`$, which we will set to constant ($`P(0,y)=P(x,0)=constant`$), since it allows us to get simple flow patterns.

Table I shows the three general cases of multi-dimensional flows which may be created by appropriate choice of the potential. Figures 4-7 show contour plots of different potentials and their corresponding current densities $`\stackrel{}{J}`$. The first case is shown in Fig.4 which shows that for non-separable potentials one gets in general rotational vortices. This demonstrates the breaking of rotational symmetry of the system by construction of an appropriate ratchet potential. Notice that the total circulation along the boundary is zero, which means that although there are local circulation patterns, the global average is zero. This is a consequence of periodic boundary conditions that we use. Global rotations will need a net rotation along the boundary, which is a different set of boundary conditions (similar to that in Fig. 1) than we are analyzing here. The absence of any global circulation causes the current circulation patterns to come in vortex-antivortex pairs.

Fig.5 shows how in a separable potential one gets laminar flow. By adjusting the relative magnitude of the potential terms involving the x and y coordinates one can change the angle the laminar flow makes with the X axis. Thus we can obtain the breaking of reflection symmetry about the two axes x and y, with this flow pattern. Notice that although there are local swings in the current density, there are no vortex-antivortex pairs, since only the relative magnitudes (but not the signs) of $`J_x(y)`$ and $`J_y(x)`$ change.

For a combination of separable and non-separable potentials as shown in Fig. 6, one gets equivalent combinations of patterns i.e. one can generate net drifts along with local rotations. Fig. 7, shows a flow pattern for a 3 dimensional potential, shown as a 3-D plot, and as 2-D plots at different $`z`$ slices. Infinitely many combinations of such potentials can be generated to break different kinds of symmetries in higher dimensions as shown in Figs. (4-7). As an example, in 3-D one could have a 1-D ratchet along the z-direction completely decoupled from a rotating 2-D ratchet in the x-y plane. This would give rise to a helix with its axis along the z-direction.

Finally, we note that we have used Dirichlet boundary conditions with specified $`P(x,0)`$ and $`P(0,y)`$ functions (assumed to be constant), in order to get our flow patterns. We could use Neumann boundary conditions as well, by rewriting $`P(0,y)`$ in $`J_x(y)`$ in terms of the normal derivative $`P(x,y)/x|_{x=0}`$. This is done using the definition of $`\stackrel{}{J}`$ from Eq. 11 and in Eq. 30, setting $`r_i=x`$:

$$P(0,y)=\frac{1}{\chi (y)}\mathrm{\Theta }_x(0,y)\frac{P(x,y)}{x}|_{x=0}$$
(35)
where

$`\chi (y)`$ $`=`$ $`\left(W_x(x,y){\displaystyle \frac{\mathrm{\Theta }_x(x,y)}{x}}\right)_{x=0}`$ (36)
$``$ $`\mathrm{\Theta }_x(0,y){\displaystyle \frac{[1e^{\varphi _x(L_x,y)}]}{_0^{L_x}𝑑xe^{\varphi _x(x,y)}}}`$
and an analogous equation for $`P(x,0)`$ in terms of $`P(x,y)/y|_{y=0}`$.

## VII Conclusions

We have shown that a Fokker-Planck Equation may be derived for weak colored noise for a bounded potential in multiple dimensions. Using this we have demonstrated that an asymmetric periodic potential with a colored noise in n dimensions will necessarily lead to breaking of many types of symmetries of the particle motion. Specific examples have been solved for laminar flow and laminar flow combined with rotations in two and three dimensions. Such symmetry-breaking in higher dimensions should also be readily generalizable to other types of noise statistics, such as a non-Gaussian probability distribution, and other types of ratchet potentials. This could include time-dependent (“flashing”) ratchet potentials flash , as well as discrete versions such as multidimensional Parrondo’s games parrondo .

## VIII Acknowledgments

We would like to thank O. Pierre-Louis for suggesting the problem, and C. Jayaprakash, F. Jülicher, J. W. Wilkins, S. Datta, D. Basu and S. S. Khare for useful discussions.

## IX Appendix (A) : Mathematical Details

(i) Lemma: $`\delta N/\delta f_k(t)=0`$
Proof:

$$\frac{\delta N}{\delta f_k(t)}=N^2\frac{\delta (1/N)}{\delta f_k(t)}$$
(37)
From the normalization condition $`P[\stackrel{}{f}]\stackrel{}{𝒟f}=1`$ and Eq. (4) we get

$$\frac{1}{N}=\stackrel{}{𝒟f}\mathrm{exp}\left[\frac{1}{2}𝑑s𝑑s^{}\underset{ij}{}K_{ij}(ss^{})f_i(s)f_j(s^{})\right].$$
(38)
Hence we get

$`{\displaystyle \frac{\delta N}{\delta f_k(t)}}`$ $`=`$ $`N^2{\displaystyle }𝒟\stackrel{}{f}\mathrm{exp}(\mathrm{})[{\displaystyle \frac{1}{2}}{\displaystyle }{\displaystyle }dsds^{}.`$ (39)
$`\times `$ $`{\displaystyle \underset{ij}{}}K_{ij}(ss^{})`$
$`\times `$ $`\{\delta _{ik}\delta (ts)f_j(s^{})+\delta _{jk}\delta (ts^{})f_i(s)\}]`$
$`=`$ $`N^2{\displaystyle 𝒟\stackrel{}{f}\mathrm{exp}(\mathrm{})\underset{i}{}𝑑s(f_i(s)/2)}`$
$`\times `$ $`\left[K_{ki}(ts)+K_{ik}(st)\right]`$
$`=`$ $`(N/2){\displaystyle \underset{i}{}}{\displaystyle 𝑑s\left[K_{ki}(ts)+K_{ik}(st)\right]}`$
$`\times `$ $`{\displaystyle 𝒟\stackrel{}{f}P[\stackrel{}{f}]f_i(s)}`$
where the second integral on the last line can be rewritten as $`f_i`$, which is zero since $`f_i`$ is a noise. This completes the proof.

As a corollary to the above, we obtain the following two equations:

$$\frac{\delta P[\stackrel{}{f}]}{\delta f_k(t)}=\underset{i}{}𝑑sK_{ik}(ts)f_i(s)P[\stackrel{}{f}]$$
(40)
$`{\displaystyle \frac{\delta ^2P[\stackrel{}{f}]}{\delta f_k(t)\delta f_l(t^{})}}=K_{kl}(tt^{})P[\stackrel{}{f}]`$
$`+{\displaystyle \underset{ij}{}}{\displaystyle 𝑑s𝑑s^{}K_{ik}(ts)f_i(s)K_{jl}(t^{}s^{})f_j(s^{})P[\stackrel{}{f}]}`$
(41)
(ii) Lemma: $`𝑑s^{}K_{il}(t^{}s^{})C_i([ss^{}]/\tau _i^c)=\tau _i^c\delta _{il}\delta (ts^{})/D_i=𝑑s^{}K_{il}(ss^{})C_i([t^{}s^{}]/\tau _i^c)`$.

This equation establishes that $`K`$ is a diagonal matrix, whose inverse gives $`C`$. Differentiating the normalization equation $`1=𝒟\stackrel{}{f}P[\stackrel{}{f}]`$, we get:

$`0={\displaystyle \frac{\delta ^2}{\delta f_k(t)\delta f_l(t^{})}}{\displaystyle 𝒟\stackrel{}{f}P[\stackrel{}{f}]}`$
$`={\displaystyle 𝒟\stackrel{}{f}\frac{\delta ^2P[\stackrel{}{f}]}{\delta f_k(t)\delta f_l(t^{})}}`$
$`={\displaystyle \underset{ij}{}}{\displaystyle }{\displaystyle }dsds^{}[K_{ik}(ts)K_{jl}(t^{}s^{})f_i(s)f_j(s^{}).`$
$`.K_{kl}(tt^{})]`$ (42)
Rewriting $`K_{kl}(tt^{})`$ as $`_i𝑑sK_{ik}(ts)\delta _{il}\delta (st^{})`$, and using $`f_i(s)f_j(s^{})=\delta _{ij}\left(D_i/\tau _i^c\right)C_i([ss^{}]/\tau _i^c)`$ leads immediately to the above proof.

## X Appendix (B) : Convergence issues

It is important to establish the validity of various expansions that we do in the correlation time at various stages of the derivation of Eq. 14. In particular, the current distribution may not necessarily be an analytic function of $`\tau ^c`$ for an arbitrary noise-source, in which case any perturbative expansion in $`\tau ^c`$ yields results that are wrong. The non-analyticity can arise from three possible sources: (i) the potential itself may be non-analytic, (ii) the noise statistics has a finite support, (iii) the perturbative expansion may be of a non-analytic function of $`\tau ^c`$.

Case(i) A piecewise linear sawtooth potential has infinite derivatives at the kinks, leading to potential divergent terms in the current. This can be avoided in principle by restricting our arguments to a smoothened function.

Case(ii) The derivation of the Fokker-Planck structure itself depends crucially on the statistics of the noise. If the noise distribution has a finite support so that arbitrarily large noise amplitudes are excluded from consideration, then any computation of the current density along the lines we prescribed would be totally wrong. For example, if the height of the potential barrier is larger than the maximum allowed noise amplitude, then there will be no current, contrary to what an injudicious application of the formalism will yield. In our analyses, we have assumed a Gaussian distribution function for the noise (Eq. 4). This has an infinite support and thereby avoids such non-analyticities Mielke . However, for a discrete noise process such as dichotomous noise, care must be exercised in obtaining the Fokker-Planck description. Often, an additional white noise source is included with the explicit purpose of handling such non-analyticities. We do not need such sources since our probability distribution is Gaussian.

Case(iii) The functional calculus as outlined by Fox and extended by us to several dimensions is non-perturbative in the correlation time. As argued by Fox in Ref. rFox , the prescription leads to currents that are uniformly convergent for $`\tau ^c=0`$. The non-perturbative description leads us to Eq. 11 that involves the exponential of integrals of matrix elements of $`M`$. We finally performed an explicit evaluation of the matrix elements in Eq. 13 for small $`\tau ^c`$. This does involve a perturbative expansion in $`\tau ^c`$, but of an exponential function, analytic in $`\tau ^c`$. The $`n`$th term of the expansion is proportional to $`\mu _n(\tau ^c/\tau ^\gamma )^n/n!`$. For well-behaved correlation functions such as an exponential or a Gaussian, this term tends to zero rapidly as $`n`$ increases to infinity, provided $`\tau ^c<\tau ^\gamma `$, as we have assumed.