# Theoretical Model for Kramers-Moyal’s Description of Turbulence Cascade

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## Abstract

We derive the Kramers-Moyal equation for the conditional probability density of velocity increments from the theoretical model recently proposed by V.Yakhot  in the limit of high Reynolds number limit. We show that the higher order ($`n3`$ ) Kramers – Moyal coefficients tends to zero and the velocity increments are evolved by the Fokker– Planck operator. Our result is compatible with the phenomenological descriptions by R.Friedrich and J.Peinke , developed for explaining the experiments recently done by J. Pienke. et al..

PACS numbers: 47.27.Ak, 47.27.Gs, 47.27.Eq

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The problem of scaling behavior of longitudinal velocity difference $`U=|u(x_1)u(x_2)|`$ in turbulence and the probability density function of $`U`$ i.e $`P(U)`$, attracts a great deal of attention \[4-10\]. Statistical theory of turbulence has been put forward by Kolmogorov , and further developed by others \[12-15\]. The approach is to model turbulence using stochastic partial differential equations. Kolmogorov conjectured that the scaling exponents are universal, independent of the statistics of large–scale fluctuations and the mechanism of the viscous damping, when the Reynolds number is sufficiently large. However, recently it has been found that there is a relation between the probability distribution function (PDF) of velocity and those of the external force (see  for more detail). In this direction, Polyakov  has recently offered a field theoretic method to derive the probability distribution or density of states in (1+1)-dimensions in the problem of randomly driven Burgers equation \[16-17\]. In one dimension, turbulence without pressure is described by Burgers equation (see also  concerning the relation between Burgers equation and KPZ–equation). In the limit of high Reynolds number, using the operator product expansion (OPE), Polyakov reduces the problem of computation of correlation functions in the inertial subrange, to the solution of a certain partial differential equation \[19-20\]. Yakhot recently  generalize the Polyakov approach in three-dimensions and find a closed differential equation for the two-point generating function of the $`\mathrm{"}longitudinal\mathrm{"}`$ velocity difference in the strong turbulence (see also  about closed equation for PDF of velocity difference for two and three-dimensional turbulence without pressure). On the other hands, recently  from detailed analysis of experimental data of a turbulent free jet, R.Friedrich and J.Pienke have been able to obtain a phenomenological description of the statistical properties of a turbulent cascade using a Fokker-Planck equation. In other words they have seen that the conditional probability density of velocity increments satisfy the Chapman-Kolmogorov equation. Mathematically this is a necessary condition for the velocity increments to be a Markovian process in terms of length scales. By fitting the observational data they have succeeded to find the different Kramers-Moyal(K.M) coefficients and they find that the approximations of the third and fourth order coefficients tend to zero whereas the first and second coefficients have well defined limits. Then giving address to the implications dictated by  theorem they have got a Fokker-Planck evolution operator. As an evolution equation for the probability density function of velocity increments, the Fokker-Planck equation has been used to give the information on changing shape of the distribution as a function of the length scale. By this strategy the information on the observed intermittency of the turbulent cascade is verified. In their description and based on simplified assumptions on the drift and diffusion coefficients they have considered two possible scenarios in order to indicate that both the Kolmogorov 41 and 62 scalings are recovered as possible behaviors in their phenomenological theory.   
In this paper we derive the Kramers–Moyal equation from Navier–Stokes equation and show that how the higher order ($`n3`$) Kramers–Moyal coefficients tend to zero in the high Reynolds number limit. Therefore we find the Fokker–Planck equation from first principles. We show that the breakdown of the Galilean invariance is responsible for scale dependence of the Kramers–Moyal coefficients. Finally using the path-integral expression for the PDF we show that how small scale statistics affected by PDF‘s in the large scale and confirm the Landau‘s remark that the large-scale fluctuations of turbulence production in the integral range can invalidate the Kolmogorov theory \[12-13\].

Our starting point is the Navier–Stokes equations:

$$𝐯_t+(𝐯)𝐯=\nu ^2𝐯\frac{p}{\rho }+𝐟(𝐱,t),𝐯=\mathrm{𝟎}$$
(1)   
for the Eulerian velocity $`𝐯(𝐱,t)`$ and the pressure $`p`$ with viscosity $`\nu `$, in N–dimensions. The force $`𝐟(𝐱,t)`$ is the external stirring force, which injects energy into the system on a length scale $`L`$. More specifically one can take, for instance a Gaussian distributed random force, which is identified by its two moments:

$$<f_\mu (𝐱,t)f_\nu (𝐱^{^{}},t^{^{}})>=k(0)\delta (tt^{^{}})k_{\mu \nu }(𝐱𝐱^{^{}})$$
(2)   
and $`<f_\mu (𝐱,t)>=0`$, where $`\mu ,\nu =x_1,x_2,\mathrm{},x_N`$. The correlation function $`k_{\mu \nu }(r)`$ is normalized to unity at the origin and decays rapidly enough where $`r`$ becomes larger or equal to integral scale $`L`$.

The force free N-S equation is invariant under space–time translation, parity and scaling transformation. Also it is invariant under Galilean transformation, $`xx+Vt`$ and $`vv+V`$, where $`V`$ is the constant velocity of the moving frame. Both boundary conditions and forcing can violate some or all of symmetries of force free N-S equation. However it is, usually assumed that in the high Reynolds number flow all symmetries of the N-S equation are restored in the limit $`r0`$ and $`r>>\eta `$, where $`\eta `$ is the dissipation scale where the viscous effects become important. This means that in this limit the root–mean square velocity fluctuations $`u_{rms}=\sqrt{<v^2>}`$ which is not invariant under the constant shift $`V`$, cannot enter the relations describing moments of velocity difference. Therefore the effective equations for the inertial–range velocity correlation functions must have the symmetries of the original N-S equations. For many years this assumption was the basis of turbulence theories. But based on the recent understanding of turbulence, some of the constraints on the allowed turbulence theories can be relaxed . Polyakov’s theory of the large–scale random force driven Burgers turbulence  was based on the assumption that weak small – scale velocity difference fluctuations (i.e. $`|v(x+r)v(x)|<<u_{rms}`$ and $`r<<L`$), where $`L`$ is the integral scale of system, obey $`G`$–invariant dynamic equation, meaning that the integral scale and the single–point $`u_{rms}`$ induced by random–forcing cannot enter the resulting expression for the probability density. According to  it has been shown that how the $`u_{rms}`$ enters the equation for the PDF and therefore breaks the G-invariance in the limited Polyakov‘s sense. We are interested in the scaling of the longitudinal structure function $`S_q=<(u(x+r)u(x))^q>=<U^q>`$, where $`u(x)`$ is the $`x`$-component of the three-dimensional velocity field and $`r`$ is the displacement in the direction of the $`x`$-axis and the probability density $`P(U,r)`$ for homogeneous and isotropic turbulence. Let us define the generating function $`\widehat{Z}`$ for longitudinal structure function $`\widehat{Z}=<e^{\lambda U}>`$. According to  in the spherical coordinates the advective term in eq.(1) involve the terms $`O(\frac{^2\widehat{Z}}{\lambda r})`$ , $`O(\frac{\widehat{Z}}{r\lambda })`$, $`O(\frac{\widehat{Z}}{\lambda r})`$, $`O(\frac{\widehat{Z}}{\lambda r})`$ . It is noted that the advection contributions are accurately accounted for in equation of $`\widehat{Z}`$, but it is not closed due to the dissipation and pressure terms. Using the Polyakov‘s OPE approach Yakhot has shown the the dissipation term can be treated easily while the pressure term has an additional difficulty. The pressure contribution leads to effective energy redistribution between components of velocity field and has non-trivial effect in the dynamics of N-S equation. Proceeding to find a closed equation for the generating function of Longitudinal velocity difference, $`\widehat{Z}`$, the dissipation and pressure terms in eq.(1) give contributions and the longitudinal part of the dissipation term renormalizes the coefficient in front of the $`O(\frac{1}{\lambda })`$ in equation for $`\widehat{Z}`$, . Also it generates a term with order of $`O(u)`$ which can be written in terms of $`\widehat{Z}`$ as $`\lambda \frac{\widehat{Z}}{\lambda }`$. Taking into account all the possible terms and using the symmetry of the PDF i.e $`P(U,r)=P(U,r)`$, the following closed equation for $`\widehat{Z}`$ can be found,,

$$\frac{^2\widehat{Z}}{\lambda r}\frac{B_0}{\lambda }\frac{\widehat{Z}}{r}=\frac{A}{r}\frac{\widehat{Z}}{\lambda }C\lambda \frac{\widehat{Z}}{\lambda }+3r^2\lambda ^2\widehat{Z}$$
(3)   
where the parameter $`A`$, $`B`$ and $`C`$ to be determined from the theory. Also we suppose that $`k_{\mu \nu }`$ has the structure $`k_{\mu \nu }(𝐫_{𝐢,𝐣})=k(0)[1\frac{|𝐫_{𝐢,𝐣}|^2}{2L^2}\delta _{\mu ,\nu }\frac{(𝐫_{𝐢,𝐣})_\mu (𝐫_{𝐢,𝐣})_\nu }{L^2}]`$ with $`k(0)=1`$ and $`𝐫_{𝐢,𝐣}=𝐱_𝐢𝐱_𝐣`$. The Gaussian assumption for $`\mathrm{"}singlepoint\mathrm{"}`$ probability density fixes the value of coefficient $`C=\frac{u_{rms}}{L}`$ and the $`C`$-term corresponds to the breakdown of G–invariance in the limited Polyakov’s sense . The $`A`$-term is responsible for interaction of transverse components of velocity field with the longitudinal component and produce an effective source and friction for the longitudinal correlation.

In the limit $`r0`$ the equation for the probability density is derived from eq.(3) as,

$$\frac{}{U}U\frac{P}{r}B_0\frac{P}{r}=\frac{A}{r}\frac{}{U}UP+\frac{u_{rms}}{L}\frac{^2}{U^2}UP$$
(4)   
Using the exact results $`S_3=\frac{4}{5}ϵr`$ in the small scale, ( $`ϵ`$ is the mean energy dissipation rate) one finds $`A=\frac{3+B}{3}`$, where $`B=B_0>0`$ . It is easy to see that the eq.(4) can be written as $`_rP=(_UUB_0)^1[(A/r)_UU+(u_{rms}/L)_U^2U]P`$ and so its solution can obviously be written as a scalar–ordered exponential , $`P(U,r)=𝒯(e_+^{_{r_0}^r𝑑r^{}L_{KM}(U,r^{})}P(U,r_0))`$ , where $`L_{KM}`$ can be obtained formally by computing the inverse operator. Using the properties of scalar–ordered exponentials the conditional probability density will satisfy the Chapman-Kolmogorov equation. Equivalently we derive that the probability density and as a result the conditional probability density of velocity increments satisfy a K.M. evolution equation:

$$\frac{P}{r}=\underset{n=1}{\overset{\mathrm{}}{}}(1)^n\frac{^n}{U^n}(D^{(n)}(r,U)P)$$
(5)   
Where $`D^{(n)}(r,U)=\frac{\alpha _n}{r}U^n+\beta _nU^{n1}`$. We have found that the coefficients $`\alpha _n`$ and $`\beta _n`$ depend on $`A`$ and $`B`$, $`u_{rms}`$ and inertial length scale $`L`$ which are given by the recursion relations We scale the velocities as $`\stackrel{~}{U}=\frac{U}{(\frac{r}{L})^{1/3}}`$ and introduce a logarithmic length scale $`\lambda =\mathrm{ln}(\frac{L}{r})`$ which varies from zero to infinity as $`r`$ decreases from $`L`$ to $`\eta `$. Thus the form of $`\stackrel{~}{D^{(1)}}(\stackrel{~}{U},r)`$ and $`\stackrel{~}{D^{(2)}}(\stackrel{~}{U},r)`$ in the equivalent description would be $`\stackrel{~}{D}^{(1)}(\stackrel{~}{U},r)=(\frac{A}{1+B})\stackrel{~}{U}`$ and $`\stackrel{~}{D^{(2)}}(\stackrel{~}{U},r)=(\frac{A}{(2+B)(1+B)})\stackrel{~}{U}^2(\frac{r}{L})^{2/3}u_{rms}(\frac{(1)}{(2+B)})\stackrel{~}{U}`$.

The drift and diffusion coefficients for various scales $`\lambda `$, determined in the theory of Yakhot, show the same functional form as the calculated coefficients from experimental data .

In comparison with the phenomenological theory of Friedrich and Pienke we are able to construct a K.M. equation for velocity increments that is analytically derived from Yakhot theory which is based on just general underlying symmetries and OPE conjecture. Furthermore this viewpoint on the equation (4) gives the expressions for scale dependence of the coefficients in the K.M. equation. The important result is that scale dependent K.M. coefficients are proportional to $`u_{rms}`$ which gives a probable relationship between breakdown of G-invariance and scale dependence of the K.M. coefficients in the equivalent theory. The two unknown parameters $`A`$ and $`B`$ in the theory is reduced to one by fitting the $`\xi _3=1`$, so all the scaling exponents and $`D^{(n)}`$’s are described by one parameter, $`B`$. Considering the results in  on which the value of $`B`$ are obtained, we have used the value $`B20`$ and have calculated the numerical values of KM coefficients. Ratios of the first three coefficients $`\alpha _n`$ and $`\beta _n`$ are $`\alpha _3/\alpha _2=0.04,\alpha _4/\alpha _2=0.001,\beta _3/\beta _2=0.04,\beta _4/\beta _2=0.001`$. From the comparison of numerical values of higher order coefficients we find that the series can be cut safely after the second term and a good approximation for evolution operator of velocity increments is a Fokker-Planck operator. According to  the value of parameter $`B20`$ is calculated numerically in the limit of infinite Reynolds numbers. Using this value for calculation of the numerical values of $`\stackrel{~}{D_1}`$ and $`\stackrel{~}{D_2}`$ we find that the contribution of scale dependent terms are essentially negligible. This correspondence was referred to in  about the behavior of diffusion coefficients for the limit of infinite Reynolds numbers. As it is well-known the Fokker-Planck description of Probability measure is equivalent with the Langevin description written as , $`\frac{\stackrel{~}{U}}{\lambda }=\stackrel{~}{D}^{(1)}(\stackrel{~}{U},\lambda )+\sqrt{\stackrel{~}{D}^{(2)}(\stackrel{~}{U},\lambda )}\eta (\lambda )`$, , where $`\eta (\lambda )`$ is a white noise and the diffusion term acts as a multiplicative noise. By considering the Ito prescription and using the path-integral representation of the Fokker-Planck equation we can give an expression for all the possible paths in the configuration space of velocity differences and thus demonstrate the change of the measure under the change of scale,i.e.

$$P(\stackrel{~}{U}_2,\lambda _2|\stackrel{~}{U}_1,\lambda _1)=𝒟[\stackrel{~}{U}]e^{_{\lambda _1}^{\lambda _2}𝑑\lambda \frac{(\frac{\stackrel{~}{U}}{\lambda }\stackrel{~}{D}^1(\stackrel{~}{U},\lambda ))^2}{4\stackrel{~}{D}^2(\stackrel{~}{U},\lambda )}}$$
(6)   
When calculating, the measure of path integral is meaningful when some form of discretization is chosen , but we have written it in a formal way. Using the forms of $`\stackrel{~}{D}^1`$ and $`\stackrel{~}{D}^2`$ and approximating them with scale independent ones in the infinite Reynolds number limit, one can easily see that the transition functional can be written in terms of $`\mathrm{ln}\stackrel{~}{U}`$. It is an easy way to see how the large scale $`\lambda 0`$ Gaussian probability density can change its shape when going to small scales $`\lambda \mathrm{}`$ and consequently give rise to intermittent behavior. Instead of working with the probability Functional of velocity increments the formal solution of Fokker-Planck equation as a scalar–ordered exponential , can be converted to an integral representation for the probability measure of velocity increments when the $`\stackrel{~}{D}^1\alpha _1(\lambda )\stackrel{~}{U}`$ and $`\stackrel{~}{D}^2\alpha _2(\lambda )\stackrel{~}{U}^2`$ ,i.e

$$P(\stackrel{~}{U},\lambda )=\frac{e^{\gamma _0(\lambda )}}{\sqrt{4\pi \gamma (\lambda )}}_{\mathrm{}}^+\mathrm{}e^{\frac{s^2}{4\gamma (\lambda )}}\varphi (\stackrel{~}{U}e^{\gamma _1(\lambda )s})𝑑s$$
(7)   
where, $`\gamma _0(\lambda )=_0^\lambda (\alpha _1(\lambda ^{})+2\alpha _2(\lambda ^{}))𝑑\lambda ^{}`$ and $`\gamma _1(\lambda )=_0^\lambda (\alpha _1(\lambda ^{})+3\alpha _2(\lambda ^{}))𝑑\lambda ^{}`$ and $`\gamma (\lambda )=_0^\lambda \alpha _2(\lambda ^{})𝑑\lambda ^{}`$ and $`\varphi (\stackrel{~}{U})`$ is the Probability measure in the integral length scales $`(\lambda 0)`$ . We consider the Gaussian distribution, $`\varphi (\stackrel{~}{U})e^{m\stackrel{~}{U}^2}`$ in the integral scale which is a reasonable choice ( experimental data shows that up to third moments the PDF in the integral scale are consistent with Gaussian distribution ) and derive the dependence of the variance of the probability density on the scales in the limit when the original distribution satisfies the condition $`m1`$. The result shows an exponential dependence like $`mme^{2\zeta }`$ where $`\zeta =3\alpha _2\alpha _1`$. The consistent picture with the shape change of probability measure under the scale is that when $`\lambda `$ grows, the width decreases and vice versa, which is reported in previous works as a simulation and experimental results. Moreover we should emphasize that the shape change is somehow complex which gives some corrections in order $`O(m^2\stackrel{~}{U}^4)`$ even in this simplifying limit,i.e. $`m1`$. Starting with a Gaussian measure at integral scales and using the calculated scale independent Fokker-Planck coefficients, we have numerically calculated the PDF’s for fully developed turbulence and Burgers turbulence in different length scales which their plots in Fig. and Fig. are completely compatible with experimental and simulation results . The extreme case of Burgers problem (i.e.$`B0`$) shows the ever localizing behavior as if in the limit of $`\lambda \mathrm{}`$ goes to a Dirac delta function which again is consistent with our knowledge about Burgers problem . Clearly the eqs. (4) and (5) give the same result for multifractal exponent of structure function ,i.e. $`S_n(r)A_nr^{\xi _n}`$ is derived to be $`\xi _n=\frac{(3+B)n}{3(n+B)}`$ .   
In summary We have constructed a theoretical bridge between two recent theories involving the statistics of longitudinal velocity increment fluctuations in fully developed Turbulence. On the basis of the recent theory proposed by V. Yakhot we showed that the probability density of longitudinal velocity components satisfy a Kramers-Moyal equation which encodes the Markovian property of these fluctuations in a necessary way. We are able to give the exact form of Kramers-Moyal coefficients in terms of a basic parameter in Yakhot theory $`B`$. The qualitative behavior of drift and diffusion terms are consistent with the experimental outcomes . As the most prominent result of our work, we could find the form of path probability functional of the velocity increments in scale which naturally encodes the scale dependence of probability density. This gives a clear picture about the intermittent nature in fully developed Turbulence.

We should emphasize that the derivation of KM equation is not restricted to the Polyakov’s specific approach. One can show that similar results could be obtained by the conditional averaging methods \[24-25\]. Clearly analytic form of the K.M. coefficients $`D^{(n)}`$ can be estimated numerically but analytic derivation is not possible . Our work might be generalized to give a theoretical basis for the Markovian fluctuations of the moments of height difference in the surface growth problems like KPZ  and we believe that it would be possible to derive the Kramers-Moyal description for the statistics of energy dissipation.   
Acknowledgement: We would like to thank from A. Aghamohamadi, B. Davoudi, R. Ejtehadi, M. Khorrami, A. Langari and S. Rouhani for helpful discussions and useful comments.

FIGURE CAPTIONS

Figure 1. Schematic view of the logarithm of PDF in terms of different length scales. These graphs are numerically obtained from the integral representation of PDF at the Fokker-Planck approximation. The curves correspond with the scales $`L/r=1.5,2,5,10,20`$.   

Figure 2. Schematic view of the logarithm of PDF in the Burgers turbulence ($`B0`$), in terms of different length scales.These graphs are numerically obtained from the integral representation of PDF at the Fokker-Planck approximation. The scales are $`L/r=1.5,2,5,10,20`$.