Past exam of the mathematics course of the University of Cambridge 2005 iii Paper 75 3 1 Solution Created 2026-10-03 Updated 2026-10-14
Interpret the multiplicative Gaussian white noise as the limit of a smooth short-correlation-time velocity field, hence in the Stratonovich integral convention. Put . For a realization, differentiating the field-space Dirac delta gives its field-space continuity equationThe velocity-gradient covariance has zero trace variance: contracting with gives . Thus the gradient is trace free, consistently with the incompressible ideal induction equation.
A noise impulse in component changes by times that impulse. Its instantaneous retarded action on the Dirac delta is thereforeOnly earlier times affect the present field. In the white-noise limit the integral over this causal interval has , corresponding to the symmetric short-time regularization. Applying the Furutsu–Novikov formula and then averaging givesSubstitute into the averaged field-space continuity equation:The differentiated term vanishes because , and the remaining contraction isConsequently the closed vector Fokker-Planck equation for Gaussian white-noise magnetic stretching isThis is a positive diffusion operator: the displayed matrix has eigenvalues on the two transverse directions and along . Replacing the endpoint half-weight by one would double the diffusion and fail to reproduce the later rate.
Radial magnetic-field Fokker-Planck equation 2026-10-14
For an isotropic initial ensemble in Gaussian white-noise magnetic stretching, is the magnitude probability density function. The radial vector equation gives the displayed conservative Fokker-Planck equation. Its integral is conserved under zero endpoint probability flux. For an anisotropic initial vector distribution, use the angularly averaged magnitude density instead; isotropic noise alone does not make arbitrary initial data isotropic.