M. Sc.

SEM-II
Statistical Physics – Unit IV
Prof. S. B. Kondawar

Introduction to Phase Transitions; First Order Phase Transition (Clausius-Clapeyron

Equation); Phase Transition of Second Order; Order Parameter; Landau Theory of Phase
Transition of Second Order; Ising Model of Phase Transition of Second Order; Critical
Indices; Scaling Hypothesis; Time Dependant Correlation Function; Power Spectrum of
Fluctuation; Brownian Motion; Fluctuation-Dissipation Theorem; Fokker-Planck Equation.

1. Introduction to Phase Transitions

Matter exists in three conventional states solid, liquid and gas. Phase transition is
most commonly used to describe transitions by various processes such as melting, freezing,
deposition, sublimation, vaporization, condensation, ionization and recombination
between solid, liquid, and gaseous states of matter and rarely in plasma (the fourth state of
matter, Fig. 1.1). The common three states of matter co-exists with each other in equilibrium
are the different phases (Fig. 1.2). All the three phases may exist in equilibrium at constant
pressure and temperature at a point, called as triple point. The point at which density of liquid
and that of the gas becomes zero at certain temperature and pressure is called as critical point.
The phenomenon at the point of critical temperature and critical pressure is called as critical
phenomenon. The transition of a matter from one phase to another which co-exist with the
first is called phase transition. Phase transitions involve a change in the mutual arrangement
of molecules and in the thermodynamic properties of the system. During a phase transition of
a given medium, certain properties of the medium change, often discontinuously, as a result
of the change of external conditions, such as temperature and pressure. Phase transitions
commonly occur in nature and are used today in many technologies.

Fig. 1.1: Phase transitions of states of matter Fig. 1.2: P-T phase diagram of three states
 Two phases are said to be in equilibrium only when their temperature, pressure and
chemical potential are equal. Gibbs free energy of two phases vary with temperature and
pressure in two phases but have the same value at the point of transition of the phases as
shown in Fig. 1.3. Gibbs free energy is the function of P and T.

Fig. 1.3: Gibbs free energy of two phases

Phase transitions are divided into two broad categories, namely first order and second
order phase transitions. First order and second order phase transitions can be easily
distinguished from each other as given in table 1.1. Apart from isolated, simple phase
transitions, there exist transition lines as well as multicritical points, when varying external
parameters like the magnetic field or composition. Several transitions are known as infinite-
order phase transitions. They are continuous but break no symmetries. The most famous
example is the Kosterlitz–Thouless transition in the two-dimensional XY model.
Many quantum phase transitions, e.g., in two-dimensional electron gases, belong to this class.
Table 1.1:

First-order phase transition Second-order phase transition

The phase transition between two phases is
said to be the phase transition of first order
only when Gibbs free energy of the two
phases are continuous but their derivatives
are discontinuous at the point of transition.
The phase transition between two phases is
said to be the phase transition of second
order only when Gibbs free energy and their
first derivative of the two phases are
continuous but the higher derivatives
(second, third, etc) are discontinuous at the
point of transition.

In first order phase transition, In second order phase transition,

 Variation of entropy (S), volume (V), Variation of entropy (S) and volume (V) are
specific heat (Cp) are discontinuous at the continuous but specific heat (Cp) is
point of transition in first order phase discontinuous at the point of transition in
transition second order phase transition

Heat is evolved or absorbed in first order No heat is evolved or absorbed in second

phase transition order phase transition

Discontinuous change of order parameter Continuous change of order parameter is

is observed in first order phase transition observed in second order phase transition

Examples of first order phase transitions Examples of second order phase transitions
are the phase transitions between solid, are (i) the phase transition between normal
liquid and gas fluid to superfluid, (ii) the phase transition
between conductor to superconductor, (iii)
the phase transition between ferromagnetic
to paramagnetic

2. Phase transition of first order (Clausius-Clapeyron equation)

Let us consider a system with two phases 1 and 2, which can exist simultaneously in
equilibrium with one another between which the phase transition takes place under the
condition given by (1) or (2);

(1)
(2)
If the temperature T and pressure P of the two phases have been changed by dT and dP in
such a way that the two phases continue to be in equilibrium in the new states, Gibbs free
energies of the two phases will obviously be equal. The new condition will be given by
equation (3).
(3)
Using Taylor series expansion up to first order, we have

Since from (2), ;

Where,
(4)
Where, ;
Equation (4) gives;

(5)

be the Latent heat of transition or the heat of transition. Thus, the phase
transition of first order is accompanied by the evolution or absorption of a certain quantity of
heat.

Equation (5) can be rewritten as; is called as Clasius-Clapeyron equation.

During the phase transition of first order, Gibbs function is continuous but the first
order derivatives of Gibbs function such as, ; change discontinuously. The
continuous change of G and discontinuous change of V, S and Cp at point of transition during
the first order phase transition is shown in Fig. 2.1.

Fig. 2.1: The continuous change of G and discontinuous change of V, S and Cp at point of
transition during the first order phase transition
3. Phase transition of second order

The phase transition of second order is continuous in the sense that the state of the
system changes continuously, but the symmetry changes discontinuously at the transition
point. For example, crystal modification of BaTiO3 from cubic to tetragonal at the transition
point is an example of phase transition of second order. At high temperature BaTiO3 shows
cubic lattice, but it becomes as tetragonal as shown in Fig. 3.1 at the transition point.

Fig. 3.1: Cubic and tetragonal structure of BaTiO3

During the phase transition of second order, we can show that the second order
derivatives of Gibbs function for two phases are discontinuous and first order derivatives are
continuous. Let us consider a system with two phases 1 and 2, which can exist
simultaneously in equilibrium with one another between which the phase transition takes
place under the condition given by (1) or (2);
(1)
(2)
If the temperature T and pressure P of the two phases have been changed by dT and dP in
such a way that the two phases continue to be in equilibrium in the new states, Gibbs free
energies of the two phases will obviously be equal. The new condition will be given by
equation (3).
(3)
Using Taylor series expansion up to second order, we have
(6)

We know that the function at equilibrium. If both and are finite, but the
sum of the first order term is zero, then we get;
(7)
This leads to phase transition of first order. However, when and are individually zero,
we must consider the second order term.
When and are zero at (P,T) and (P+dP, T+dT), we have

(8)
And

(9)
From (7),

This leads to

(10)
Equation (10) corresponds to the phase transition of second order. If such an equality holds,
then individually,

(11)

(12)
Thus from (11),

OR
And from (12),

OR
Where,
Hence, during phase transition of second order, second derivatives of Gibbs functions
are discontinuous at the transition point. On the other hand, during the phase transition of
second order, Gibbs function is continuous as well as the first order derivatives of Gibbs
function such as, ; change continuously. The continuous change of G, V, and
S at point of transition during the second order phase transition, but discontinuous change of
Cp and KT, where Cp and KT are specific heat at constant pressure and isothermal
compressibility.
4. Order parameters
Order parameter is defined as the measure of the degree of order across the
boundaries in a phase transition system. It has nonzero value in one phase (order phase) and
zero value in other phase (disorder phase). The zero value of order parameter is usually above
the critical point. The nonzero value of the order parameter corresponds to the unsymmetric
phase (order phase) and the zero value corresponds to the symmetric phase (disorder phase).
Thus, the order parameter takes different values in the co-existing phases and hence changes
discontinuously in the course of a phase transition. The basic idea of order parameter is that
near the critical point, it is the only important thermodynamic quantity which describes
precisely the problems of all phase transition. An example of an order parameter is the
difference of the densities in liquid-gas phase transition of first order. At low
temperature below Tc, is large (nonzero). It decreases with increase in temperature and
tends to zero at the critical temperature Tc and phase transition disappears above Tc.
Similarly, in case of a ferromagnetic system undergoing a phase transition of second order,
the order parameter is net magnetization which decreases when temperature
increases and tends to zero at Tc called as Curie temperature. Above Tc, phase transition
disappears corresponds to zero value of order parameter with symmetric phase. In the phase
transition of first order, the order parameter has discontinuous change but in phase transition
of second order, the order parameter has continuous change.
From a theoretical perspective, order parameters arise from symmetry breaking. When
this happens, one needs to introduce one or more extra variables to describe the state of the
system. For example, in the ferromagnetic phase, one must provide the net magnetization,
whose direction was spontaneously chosen when the system cooled below the Curie point.
However, note that order parameters can also be defined for non-symmetry-breaking
transitions. Some phase transitions, such as superconducting and ferromagnetic, can have
order parameters for more than one degree of freedom. In such phases, the order parameter
may take the form of a complex number, a vector, or even a tensor, the magnitude of which
goes to zero at the phase transition. There also exist dual descriptions of phase transitions in
terms of disorder parameters. These indicate the presence of line-like excitations such
as vortex- or defect lines.

5. Landau theory of phase transition of second order

According to theory of Landau, a phase transition can be considered as going from an
order phase to disorder phase. Landau theory assumes that a physical system can be
characterized by an order parameter which appears in less symmetric phase in addition to
ordinary physical parameters like P and T. The order parameter associated with a type of
phase transition may be a vector, scalar, or some other quantity. The phase transition of
second order is precisely described by the order parameter, as the state of the system is
continuous at the transition point and the symmetry properties are closely related.
Landau theory of phase transition proves that the specific heat at constant pressure (Cp) is
discontinuous at the transition point in the phase transition of second order.
With the introduction of , the Gibbs function can be in general expanded near the transition
point as;
(13)
The coefficients are functions of P and T.
G0 is the Gibbs function when is not considered as like in phase transition of first order.
Therefore, at constant pressure (13) can be written as;
(14)
The value of can be determined by the condition that G is minimum. Suppose for
simplicity, is a vector quantity associated with less symmetric phase. G must be such that it
will be minimized for above the transition point and for below the transition
point. G will only depend on the scalar products of the order parameter, since G must be a
scalar function of . Therefore, the first order , third order , etc terms will not
be in the expansion of G because it can not be constructed a scalar from them.
(15)
We have now to choose the forms of and . G is minimum at T=Tc and above if .
For TTc, we have to choose in such a way that G is minimum for .
All those conditions are satisfied if is written as;
(16)
Where, is also a function of T.
Since, G must increase if is increased to a very high value, therefore we have to assume
to be positive i.e;
(17)
For the Gibbs function to be minimum, we must have
(18)

And

(19)

Thus, from (15), (18) and (19);

(20)

(21)

Thus, when , the minimum of G occurs for and when  , the minimum of G
occurs for

The variation of G for the two cases and  are shown in Fig 5.1.
 Fig. 5.1: Variation of G for the two cases and 
Therefore, G above the transition point is given by
, for T
And G below the transition point is given by
, for T

(22)

Now, (23)
For T ,

(24)

And (25)

From (23),

For T ,
Therefore, the jump in specific heat at constant pressure is given by

Fig. 5.2 shows the variation of specific heat at constant pressure with T. The curve shows
the discontinuity in at T=
 Fig. 5.2: Variation of with T shows the discontinuity at T=

6. Ising model of phase transition of second order

A simple model to understand the phase transition of second order of ferromagnetism
is called Ising model of ferromagnetism. Consider ferromagnetic substance like iron and
nickel, some of the spins of the atoms become spontaneously polarized (without any external
magnetic field) in the same direction below the Curie temperature (Tc) and creates a
macroscopic magnetic field. As the temperature is raised, the thermal energy makes it
possible for some of the aligned spins to flip over. This tends to destroy initial order state. For
T>Tc, the spin gets oriented at random. The spontaneous magnetization vanished. As Tc is
approached from both the sides, the heat capacity of the substance approaches to infinity. The
transition from ferromagnetic state corresponds to unsymmetric phase or order phase to non
ferromagnetic state corresponds to symmetric phase or disorder phase at Tc, is called phase
transition of second order.
This type of phase transition from ferromagnetic to non ferromagnetic involves the
symmetry of spins. This is similar to order-disorder transition in case of an alloy. However, in
case of alloy, the number of constituent atoms is fixed, whereas in ferromagnetic to non
ferromagnetic transition, the spins can transform freely into one another. Transitions of this
kind come under a group of cooperative phenomena in which spins cooperate due to
exchange interaction. The phase transition of ferromagnetism is due to the interaction of spins
of electrons and not due to orbital motion of electrons.
Let us consider a system consisting of an array of N lattice sites, each occupied by an
atom of magnetic moment (). Let Si be the spin variable associated with ith site
(i=1,2,3,…,N) in n-dimensional lattice (n=1,2,3). Si may be either +1 (for spin up) or -1 (for
spin down) due to possible orientation. The Hamiltonian (H) of the system of N lattice sites
specified by a set of spin variable is given by;
(26)
Where, is the interaction energy between nearest neighbour pair i, j.
B is the intensity of the external magnetic field.
is the total interaction energy due to pair i and j.
 is the total potential energy possessed by the spins in the presence of external
magnetic field.
Equation (26) seems to be very difficult to solve completely. A simple model formulated by
Ising, according to which the quantization takes place along z-direction only. Therefore,
according to Ising,
(27)
(28)
For isotropic system,
(29)
According to Ising, it can be shown that is depending on the number of up spins (N+)
and number of up-up spins (N++).
Let,  be the number of nearest neighbours of each of the spin variable Si. Its value will be
different for different lattice such as;
 = 4 (for 2D square lattice)
 = 6 (for 3D simple cubic lattice)
 = 8 (for 3D body centred cubic lattice)
The following relations are valid for any type of lattice;
(30)
(31)
Where, is number of up spins
is number of down spins
is number of up-up nearest neighbour pairs
is number of down-down nearest neighbour pairs
is number of up-down / down-up nearest neighbour pairs
N is number of spins
The validity of relations (30) and (31) can be verified from a type of 2D square lattice shown
in Fig. 6.1 and Fig. 6.2.

= N+
= N-

Fig. 6.1
 (for 2D square lattice)

(LHS of equation 30)

(LHS of equation 30)

Therefore, is valid for this Fig. 6.1.

Similarly, for verification of , let us draw a Fig. 6.2 as shown.

= N+
= N-

Fig. 6.2

(for 2D square lattice)

(LHS of equation 31)

(LHS of equation 31)

Since, (32), (33)

From (30), (34)

From (31),

(35)

Since, (36)

And

Therefore, from (34) and (35) we have

(37)

Equation (29) gives

 (38)
Thus, the energy of a state in Ising model depends on and

7. Critical indices / exponents

In P-T diagram, the phase equilibrium curve between liquid and gas terminates at critical
point. Beyond the critical point, no difference of phases exists. Two phases of a system
become identical at critical point. A basis problem in the theory of phase transition is to study
the behaviour of a physical system near the critical point. In the vicinity of the critical point,
the property of the physical system varies as a simple power of the temperature difference
from the critical point. Therefore, the behaviour of the physical quantity (say X) is usually
described by a simple power law given by equation (39).
(39)
Where, m is some positive number called a critical exponent defined by;
(40)

The behaviour of the number of physical properties can be described by similar power laws.
(1) Critical exponent 
Specific heat at TC,
 (41)
(2) Critical exponent 
Density difference between liquid and gas at TC,
(42)
(3) Critical exponent 
Isothermal compressibility at TC,
 (43)
(4) Critical exponent
Pressure difference between liquid and gas at TC,
(44)
In most of all phase transitions, the behaviour of the system shows fluctuation in the critical
region. Fluctuations are quantified by calculating the correlation function which falls off
exponentially with the distance (x) from the critical point.
The correlation function is defined to be

(45)
Where, is called correlation length which provides a measure of distance over which
fluctuations are strongly correlated.
In critical region, it is found that the long distance behaviour of as a function of
involves a critical exponent as given by;
(46)
Where, d is the dimension of space.
The correlation length diverges as T approaches to TC with the critical exponent  as;
(47)
Thus, the critical exponents namely , , , , and  are found to be the same above and
below the critical temperature TC, called as critical indices or exponents.

8. Scaling Hypothesis
To reduce the independent number of critical indices, scaling laws are used in the form of
linear combination of indices. All six critical indices are connected by scaling laws which are
given by;

(1) Rushbrooke scaling law

(48)

(2) Widom scaling law

(49)

(3) Fisher scaling law

(50)

(4) Josephson scaling law

(51)

These scaling laws are initially showing inequalities but with some assumption made them
equalities called as scaling hypothesis. With this hypothesis only two of the six critical
indices must be independent and others must be determined by using scaling laws.

The scaling laws concerning the thermodynamic functions can be derived from the simple
assumption that near the critical point, the correlation length ( ) is only the characteristic
length of the system in terms of which all other lengths must be measured. This assumption is
made for the derivation of scaling laws, called as scaling hypothesis.

Scaling hypothesis can be implemented by dimensional analysis. One way to implement the
scaling hypothesis is to assume that the quantity of dimension is proportional to
near the critical point. Let us consider the dimension of various functions of interest to
derive scaling laws. Some of them are listed in table 8.1 along with their dimension, scaling
hypothesis.
Table 8.1:

Functions Dimension Exponent

Scaling hypothesis By definition

 2-

 

 
 

Now equating the exponents for the given functions according to the scaling hypothesis and
by definition, scaling laws can be derived as;

  (52)

 (53)

  (54)

 (55)

Equations (52) and (54) give directly Fisher and Josephson scaling laws respectively.
Now adding (53) and (55),
 
 

This gives,

   (56)

Now subtracting (53) from (55),

 
 

This gives,

   

 

Using equation (54)

   (57)

This is Widom scaling law

Now from (52) and (56),

  

    

   

Using (57),

  

This gives

  

This is Rushbrooke scaling law. Thus, all scaling laws can be easily derived from scaling
hypothesis using dimensional analysis.

9. Time Dependant Correlation Function

The thermodynamic quantities of the system have fluctuations from their mean value in non-
equilibrium state as the probability and average value of thermodynamic quantity depends on
time. The fluctuation of thermodynamic quantity is of great interest in understanding the
dynamical properties of the system. Fluctuation can be quantified in statistical mechanics in
terms of time dependent correlation function.
The time dependent correlation function of the dynamical variable A(t) and B(t) is
given by
(58)
Where, A(t) and B(t) are randomly fluctuating time dependent variables.
is called time dependent correlation function between A and B over the finite time .
Since ensemble average is the same as time average, (58) gives
(59)
When A=B, then the time dependent correlation function of the same quantity is called as
time-auto correlation function. The time-auto correlation function of A(t) is given by
(60)
Or, (61)
Properties of time-auto correlation function:
(1) When  =0, the time-auto correlation function is given by
(62)
The value of is the maximum value of time-auto correlation function,
representing strong correlation.
(2) When  , the time-auto correlation function is given by
(63)
The value of is the minimum value of time-auto correlation function, representing
no correlation.
(3) For any value of  between o and , the time-auto correlation function is given by

(4) The time-auto correlation function is symmetric about  =0.

 (64)
This can be proved as;
Let  , then  


Variation of with  from the properties of is shown in Fig. 9.1

Fig. 9.1

10. Power Spectrum of Fluctuation

(Relation between time-auto correlation function and spectral density of fluctuation)
If the fluctuating quantity A(t) varies with time, then in the time scale analysis of A(t) for
long interval of time T such that 0 < t < T, Fourier series can be used to analyse in time scale.

(65)

Where, and
Now squaring and time averaging of A(t), we have from (65),

(66)


(67)
Now ensemble averaging of , we get from (67) as

(68)

Where, is called power spectrum of fluctuating quantity A(t) or the

spectral density in the frequency range
Thus,
(69)
As we know the time-auto correlation function of the quantity A(t) for the time is given
by

With the sae result for averaging of correlation function, we have

Or,
(70)
Thus, time-auto correlation function of A(t) can be expressed as Fourier cosine of spectral
density of A(t).
The inverse of equation (70) is also determined by Wiener-Khintchine as
(71)
Equation (70) and (71) represents Wiener-Khintchine theorem which is general for finding
the fluctuation in voltage in the resister of resistance R as;
(72)
Equation (72) is known as Nyquiste theorem exclusively applied for motion of electrons in
electronic devices.
11. Brownian Motion
Robert Brown a Botanist in 1827 had observed the random motion of very small particles of
the order of micron such as pollen grains when suspended in a fluid. The random motion of
such tiny particles suspended in fluid caused due to collision with the molecules of the
surrounding fluid is called as Brownian motion and the particles which show this motion are
called as Brownian particles.
The random or zig-zag motion due to collision with the molecules of the surrounding fluid of
Brownian particles may be as shown in Fig. 11.1. The motion of the Brownian particles in a
fluid is random, continuous. It is slower in more viscous liquids whereas faster if the particle
size of the Brownian particles are smaller.

Fig. 11.1 Brownian motion

The Brownian motion of a tiny particle in fluid along one dimension can be compared to the
motion of a drunken person along the road called as random walk.
Einstein’s theoretical analysis of Brownian motion
Einstein in 1905 had given the theoretical proof of Brownian motion on the basis of random
walk in which particles undergo collision with the molecules of the fluid. Brownian particles
thus diffuse through the molecules of the fluid and the fluctuation of the molecular collision
is the basis of Brownian motion. According to him, the mean square fluctuation of
displacement of the particle is proportional to time and the motion is predicted as a case of
changing from non-equilibrium state to equilibrium state. Later, Perrin in 1907 and then
Langevin in 1908 concluded the prediction of Einstein about the Brownian motion as random
walk is correct and the coefficient of diffusion of particles through molecules of liquid can be
determined.
According to Einstein, the problem of Brownian motion can be considered as the problem of
diffusion of the Brownian particles through the medium of fluid.
If (r, t) and J(r, t) are the number density and current density of the Brownian particles in the
fluid respectively. Then, the equation of continuity for the system of Brownian particles can
be obtained from
(73)
Where, D is the coefficient of diffusion. The equation of continuity for the system of
Brownian particles is given by
 (74)

(75)
Solution of equation (75) is give as

(76)

Where, N is the total number of Brownian particles suspended in fluid.

In one dimensional problem, equation (76) may be given by

(77)

The ensemble average of or the mean square fluctuation of displacement x of the particle
will be obtained from normalization of equation (77) as
(78)
Therefore, the mean square fluctuation of displacement of the particle is proportional to time.
This shows that Brownian particles are initially concentrated at the origin and diffuses out as
the time increases.

Langevin theory of Brownian motion

According to Langevin, the motion of the particle of mass m is exerted by two types of forces
(i) viscous force, and (ii) rapidly fluctuating force, .
Where, is viscosity of fluid, r is radius of particle, v is velocity of particle, A(t) is fluctuating
acceleration of particle.
From equation of motion,

 (79)

Where,  and

(79)   (80)

We know,

 (81)
Now using (81) and (81), we have
 

 (82)
On averaging (82),

 (83) Since,

Using law of equipartition of energy,

Equation (83) gives,

 (84)

Let, 
Equation (84) gives,



 

Now integrating,
  (85)


Where, C is constant to be determined from initial condition i.e. at t=0, and

. This gives 

Therefore from (84) and (85),


 


Again integrating,

(86)
  

Where, C’ is constant to be determined from initial condition i.e. at t=0, .

This gives

Therefore from (86),



  
 (87)
Let,  , where, is relaxation time

(87) 

Thus, if t <<

or

This shows that the particle moves with the thermal velocity which does not lead to
Brownian motion.
Now, if t >>
(88)

This shows that the mean square fluctuation of displacement of the particle is proportional to
time as predicted by Einstein.
Comparing (82) with diffusion process according to Einstein prediction (78),
the coefficient of diffusion D will be given by

(89)


12. Fluctuation-Dissipation Theorem

The relation between two opposing tendencies for the particles under Brownian motion is
called fluctuation-dissipation theorem of Brownian particles.
Brownian particles are continuously bombarded by the molecules of the fluid during their
motion; the kinetic energy of the randomly moving particles in the fluid dissipates in the form
of heat. The power dissipation due to damping coefficient and the
fluctuations in molecular collisions in terms of correlation function are related to each other
and the relation between them at equilibrium state (t ) is known as fluctuation-dissipation
theorem.
From Langevin’s differentiation equation (79) of motion for Brownian particles;

(90)
At an initial time t’,

 (91)

Where,  and

Multiplying both sides by

 

Now, integrating over 0 to t;

(92)
Mean square velocity will be obtained from (92) as;

Since,
(93)
Let t’+t” = 2u and t” = t’+
Consider,








 (94)

Now from (93) and (94);






 (95)

At time t,










 
 (96)

Equation (96) represents the relation between damping coefficient  due to viscosity of fluid
which oppose the motion and correlation function due to fluctuation in molecular
collision. This is dissipation-fluctuation theorem for Brownian particles.
13 Fokker-Planck equation for Brownian particles
The differential equation for the probability f(v, t) that a particle has a velocity v at time t is
called Fokker-Planck equation. In case of Brownian motion due to fluctuation of molecular
collision, this equation when applied leads to the Brownian motion as the change of state
from non-equilibrium to the state of equilibrium.

Let is the probability that the particle in the ensemble has a velocity between to
at any time t.

must satisfy the normalization condition

(97)

If be the probability that the particle of velocity v at time t makes a transition to

be a particle with the velocity between and after the time interval , then the
velocity distribution at time will be given by

(98)

Where, (99)

For small , is also very small, therefore we can expand in powers

of upto second order.

Thus,

(100)

(101)

Similarly, expanding in powers of  as

(102)

Now from equation (98) and (102), we have

(103)

By using normalization condition for as follows;

 
(104)

 (105)

 (106)

(103) 

   

(107)

Fokker-Planck equation plays an important role in the theory of fluctuation and Brownian
motion. The differential equation for velocity distribution function as the probability f(v, t)
given by (107) is known as Fokker-Planck equation.

From Langevin’s differentiation equation (79) of motion for Brownian particles;

 (108)

Where,  and
Integrating with respect to t over , we have
  


   (109)

Where,  (110)
Since, <A(t)>=0, <J>=0

This gives (111)
And from  and we have (112)
Now applying Fokker-Planck equation (107) to Brownian particles using X and Y.

(107) 

(113)
In order to solve equation (114) we introduce a new variable
(114)
Or, (115)
Thus,
(116)
Using (114) and (116),

(117)

(118)

Similarly,

(119)

(113) 

(120)

Where,
Equation (120) can be further simplified by introducing a variable
(121)

(122)
Now, (120) gives

This gives

(123)

Equation (123) represents one dimensional diffusion equation.

Comparing (123) with general one dimensional diffusion equation (124) given by
 
(124)
The solution of (124) is given by

(125)
Similarly, the solution of (123)

(126)

From (116)

(127)
At time

(128)
Thus as the time progresses, an ensemble of Brownian particles approaches a state of
equilibrium due to molecular collision.
Equation (128) is a molecular distribution of velocity, which means that every system shows
the same velocity distribution as defined by Maxwell classically at infinite time.

Questions:

1. Define phase transition of first order and show that during the first order phase transition,
Gibbs free energy is continuous but first derivatives of Gibbs free energy are discontinuous.
Derive the following equation for first order phase transition,

Where, L is Latent heat of transition.

2. Distinguish between first order and second order phase transition. Show that during the
second order phase transition, first derivatives of Gibbs free energy are continuous but
second derivatives of Gibbs free energy are discontinuous.
3. Explain how Landau theory of order parameter shows that the specific heat at constant
pressure is discontinuous at the transition point in second order phase transition.
4. Discuss Ising model for phase transition of second order in ferromagnetism.
5. What is time-auto correlation function? Obtain the relation between time-auto correlation
function and spectral density of fluctuation?
6. What are scaling laws and scaling hypothesis? Describe scaling hypothesis using
dimensional analysis.
7. What is Brownian motion? Derive the following expression for mean square displacement
of Brownian particles arises from molecular collisions;

8. Obtain fluctuation – dissipation theorem for Brownian motion.

9. Show that the differential equation for the probability f(v, t) that a particle has velocity v at
time t is given by;

10. What is Fokker – Planck equation? Apply it for Brownian particles and show that an
ensemble of Brownian particles approaches a state of equilibrium with the time progresses.
11. What are critical indices? Develop the different scaling relations connecting the critical
indices.
12. Explain the change in order parameters in liquid – gas phase transition and in ferromagnetic
phase transition.
13. Explain Einstein model of diffusion of Brownian particles through the medium of fluid.
14. Explain the properties of time-auto correlation function.
15. Explain the terms (i) cooperative phenomenon and (ii) random walk