Self Organization in Nonequilibrrium Systems - Prigogine

Copyright
\302\251
1977by John
Wiley
& Sons, Inc.

in
All rights reserved. Published simultaneously
Canada.
Reproduction or translation of any part of this work beyond that of the 1976United States Copypermitted by Sections 107or 108 Act without the permission of the copyright owner is unlawshould be Requests for permission or further information addressed to the Permissions Department, John Wiley & Sons, Inc.
Copyright unlawful.
Library
ofCongress Cataloging 1939Nicolis, G

\"A Wiley-Interscience
in Publication
Data:
Self-organization in nonequilibrium
publication.\"
systems.
Bibliography: p. Includes index. Self-organizing systems. 2. Chemistry, 3. Biological chemistry. Physical and theoretical. 4. Nonequilibrium Phenomena. 5. Fluctuation Theory. Title. Prigogine, Ilya, joint author.
1.
Q325.N5 001.533 ISBN 0-471-02401-5

Printed
I.
76-49019
II.
in the United States
of America.
10
98765432
Contents
General Introduction
ART
I.
THE THERMODYNAMIC BACKGROUND
1. Introduction 1.1. GeneralComments, 19 1.2. OpenSystems, 24

2.
ConservationEquations
at Mechanical 2.1. OpenSystems Equilibrium,
19
26 26
2.2. The Mass-balance Equations,
27
3. Thermodynamicsof IrreversibleProcesses: The Linear Region 3.1. Gibbs's Formula: Entropy Production, 31
3.3. Symmetry 3.4. Stationary Nonequilibrium States, 41 3.5. Theorem of Minimum Entropy Production,
3.7.Diffusion,
45 Processes, Range of Irreversible 46 Coefficients, 39
31
3.2. The Linear Range of Phenomenological Relations:

36 Irreversible Processes, of the Phenomenological Properties
3.6. of OrderedBehavior in the Linear Impossibility

4.
42
Nonlinear Thermodynamics Introduction, 49 4.2. The GeneralEvolution Criterion, 50 4.3. Evolution Criterion and Kinetic Potential, 4.4.Stability of Nonequilibrium States. Structures, 55 Dissipative
4.1.
49 51
vi
Contents
PART
II.
ASPECTSOF SELFMATHEMATICAL D METHODS ORGANIZATION: ETERMINISTIC

ChemicalReactionsand Diffusion63 63 65 68 70
5. Systems Involving
Stability
5.1.GeneralFormulation, 5.2. Lyapounov Stability, 5.3.Orbital Stability, 66

5.4.
Structural Stability,
6.
Mathematical Tools Introduction, 70 6.2. Theory of Bifurcations, 70 6.3. Stability Theory, 71 6.4. Theory of Catastrophes, 74
6.1.
6.5. Homogeneous Systems Involving Two Variables, 6.6. Branchings,Bifurcations, and Limit Cycles, 83
7. SimpleAutocatalytic Models
76
7.1.Two Intermediates, 90
7.4. 7.5. 7.7.
90
7.2. The Trimolecular Model(the \" Brusselator \,") 93 7.3. Scaling,SteadyStates,and Boundary Conditions, 94
Linear Stability Analysis, 96 Bifurcation of Steady-state Dissipative
7.6. Bifurcation: FixedBoundary Conditions, 109 7.8. Qualitative Propertiesof Dissipative Structures 7.9. Successive and Secondary Instabilities
in Vicinity
Structures: GeneralScheme, 106
Bifurcation: No-flux Boundary Conditions, of First Bifurcation,
113
115
Bifurcations, 120 7.10. with ComputerSimulations, 124 Comparison 7.11. Localized Structures, 131 Steady-state Dissipative 7.12. Bifurcation of Time-periodic Dissipative Structures, 140 7.13. Qualitative Propertiesof Time-periodic
Structures, 147 Dissipative PeriodicGeometries, 153 7.15. The Brusselator as a Closed System, 156 7.16. Remarks, 158 Concluding
7.14. Traveling Waves in
Contents
8. SomeFurther
Aspectsof DissipativeStructures and Self-organizationPhenomena Introduction, 160 8.2.Conservative Oscillations, 160 8.3.SimpleModelsGiving Rise to Limit Cycles, 165 8.4. Multiple SteadyStatesand All-or-none Transitions, 169 8.5.Two-dimensionalProblems, 178 8.6.SystemsInvolving Morethan Two Chemical Variables, 192 8.7. CoupledOscillators, 195 8.8.Heterogeneous Catalysisand Localized Transitions, 197 8.9. SystemsInvolving Photochemical Steps, 200 8.10. Some Further Methodsof Analysis of Reaction-Diffusion Equations, 202 Thermodynamic Aspectsof Dissipative
8.1.
160
8.11.
Structures,
PART
212
III. STOCHASTIC METHODS 9.

General Comments Introduction, 223 9.2. StochasticFormulation, 224 9.3. Markovian Processes, 228 9.4. Equilibrium Limit, 232 9.5. Fluctuations in Nonequilibrium Systems: An Historical Survey, 236
9.1.
223
10. Birth-and-deathDescriptionof Fluctuations

239 Processes,
10.1. MasterEquation for Birth-and-death

10.4. Moment Equations,
MasterEquations, 242
239
10.2. Limitations of Birth-and-death Formalism, 241 Some 10.3. Methodsof Analysis of Birth-and-death 10.5. SimpleExamples, 257 10.6. Variables: Systems Involving Two Stochastic
10.7. Remarks, Concluding
The Lotka-VolterraModel, 264 272 252
vili
Contents
11.Effectof Diffusion:Phase-space Descriptionand Multivariate MasterEquation 273 for a LocalDescription 11.1. of Necessity Fluctuations, 273 11.2. of Fluctuations, 274 Phase-space Description A SimpleModel, 276 11.3. 11.4. Approximate Solutionof MasterEquation, 280 MolecularDynamicsStudiesof Fluctuations, 283 11.5. 11.6. Discussion, 284 11.7. Reduction to a Multivariate MasterEquation in Concentration Space, 285 The Multivariate MasterEquation in a Model 11.8. System, 289 in the Trimolecular 11.9. SpatialCorrelations Model, 297 11.10. Critical Behavior, 302 11.11. Remarks, 309 Concluding
12. A \" Mean-field\" Descriptionof Fluctuations:
313 Nonlinear MasterEquation Introduction, 313 12.2. Derivation of Nonlinear MasterEquation, 314 12.3. Further Propertiesand Moment Equations, 317 12.4.Onsetof a Limit Cycle, 319 12.5. Onsetof a SpatialDissipative Structure, 324 Transitions and 12.6. Multiple Steady-state Metastability, 327 12.7.Asymptotic Solutionsof Nonlinear Master Equation, 331 12.8. Remarks, 334 Concluding
12.1.
PART IV. CONTROLMECHANISMSIN CHEMICALAND
BIOLOGICALSYSTEMS
13.Self-organizationin ChemicalReactions 13.1. Introduction, 339 13.3. Mechanism, 343 13.4. 345 The\"Oregonator\", 13.5. Oscillatory Behavior, 347
13.6. SpatialPatterns,
13.7.Briggs-Rauscher Reaction,
351 Experimental Facts, 339
339
13.2. Belousov-Zhabotinski Reaction:
352
Contents
ix
14. RegulatoryProcesses at the Subcellular Level 14.1. MetabolicOscillations, 354 14.2. The Glycolytic Cycle, 354 14.3. Allosteric Modelfor Glycolytic Oscillations, 358 14.4. Limit-cycleOscillations, 369 14.5. Effectof External Distrubances on Limit-cycle 371 Oscillation, 14.6. Patterns of Spatiotemporal Organization in
14.7. of cAMP, Periodic Synthesis
354
Allosteric Enzyme Model, 375 379 Reactions Involving Membrane-bound 14.8. Enzymes, 382 of Metabolic 14.9. PhysiologicalSignificance Oscillations, 384 387
15.Regulatory Processes at CellularLevel 15.1. Introduction, 387 15.2. LacOperon, 388 15.3. Mathematical Modelfor Induction of
All-or-none Transitions, 391 15.4.
M-Galactosidase,389
15.5. CataboliteRepression: SustainedOscillations

and ThresholdPhenomena, 394 402 15.7. Quantitative Model, 404
15.6. Controlof CellularDivision,
16. Cellular Differentiation and Pattern Formation 409 16.1. 409 Introductory Remarks, 16.2. Positional Information, 410 16.3. Mechanisms Involved in Positional Information, 413 16.4. Structures and Onsetof Polarity, 415 Dissipative A Quantitative Model, 416 16.5. 16.6. Positional Differentiation, 421
16.7. Applications,
424 PART V. EVOLUTIONAND POPULATIONDYNAMICS
17. Thermodynamicsof Evolution
17.1. The Notion of Competition, 429
429 429
17.2. PrebioticEvolution: GeneralPresentation, 17.3. PrebioticPolymer Formation, 430
17.4. BiopolymerCompetition and Hypercycles, 434
Contents
17.5. Evolution Viewed as a Problem of Stability, 17.6. Evolutionary Feedback,441

A BiochemicalIllustration, 17.8.
438 442 448
in Simple Reaction Networks, 17.7. Energy Dissipation
446
18. Thermodynamicsof Ecosystems 18.1. Introduction, 448 BasicEquations, 448 18.2. 18.3. Exampleof OrderedBehavior:Organization in
Evolution 18.4.
InsectSocieties, 452 of Ecosystems, 455 of Complexity: 18.5. Structural Instabilities and Increase Division of Labor, 459
18.6. Stability and Complexity,
462 464
and ConcludingRemarks Perspectives
2. 3.
4.
1.
5.
Introduction, 464 Fluctuation Chemistry, 464 Neural and Immune Networks, 466 Immune Surveillanceagainst Cancer, 469 Social and Epistemological Systems Aspects, 472 475 487 489
References
Addendum:Mathematical Problems
Index
Symbols
LATIN
A,B,...
E
ec
f J
k k
A:eq
l\"
Lkl
P
S
So
T
V
of reaction p and final productsin a reaction sequence diffusion coefficient of constituent i diffusion frequency of constituent i internal energy internal energy per unit volume free energy; generating function reducedgenerating function generalized flux equilibrium constant wave number rate constant characteristic length coefficients phenomenological linearized operator of a reaction-diffusion system entropy production;probability distribution entropy entropy density independentvariable in generating function representation temperature; period of oscillation
affinity
initial
volume
AF
\\
wp wki
X,
X
Y,...
volume element constant of motion velocity of reaction p transition probability per unit time variable intermediates in a reaction sequence generalized flux
GREEK
diffusion frequency of constituent ;
equation
in
nonlinear master equaxi
formalism
xjj
Symbols
@ A
thermodynamic potential generalized bifurcation parameter; cellsize in multivariate

equation
master equa-
ft.
v,
chemical potential of constituent i stoichiometric coefficient of constituent ;
in
reaction p
mass density
entropy-production density surface cumulant generating function eigenvalue; oscillation frequency
2
d,
w
in Nonequilibrium Systems Self-Organization
GeneralIntroduction
Finally, a number of novel features relating to the very character of the physical world have beendiscovered recently. We now see Classicalphysicshas emphasized stability and permanence. at such to a limited that, best, qualification appliesonly very aspects.Wherereceived).
Our era is witnessinggreat advances in knowledge in the natural sciences. The dimensions of the physical world that we can explore at present have to truly fantastic proportions. On the microscopic increased scale, elementary of the order reveals processes involving physical dimensions particle physics of 10~15 s.On the other hand, cosmology cm and times of the orderof 10~22 leadsus to times of the order of 1010 years (the \"age\" of the universe)and, therefore, to distancesof the orderof 1028cm (the distanceto the event the furthest distancefrom which physical signalscan be rehorizon, i.e.,
ever we look, we discoverevolutionary processes leading to diversification and increasing complexity. This shift in our vision of the physical world leadsus to investigate branchesof physicsand mathematics that are likely to be of interest in this new context. The main objectof this monograph is to presentan introduction into these new branchesfor a better understanding of the problemof self-organizationin physical or biological systems. Classicalmechanicshas been immensely successfulin dealing with probof classicalmechanics has been concerning trajectories.The scope the formulation of greatly enlargedby quantum mechanics and relativity. But even when suitably generalized, the standard formulation of dynamics makesno distinctionbetweenthe future and the past.The motions \"forward\" and \"backward\" in time are both possible. Yet, without introducing the direction of time, we cannot describeprocesses involving evolution in any nontrivial way. Obviously, new tools are necessary. It is not our purposein this monograph to discuss the relation between the directionof time and dynamics.This is a subject ofa highly technicalcharacter.
problems
Sufficeit to mention that irreversibility, as related to the direction of time, is on the contrary, it by no means in contradiction with the laws of dynamics; of sufficient a follows from these laws whenever degree \"complexity\" is
Independentlyof dynamics, the idea of evolution was introduced in physicsin the 19th century through the so-calledsecond law of thermoIt was noticed that from a purely phenomenological levela basic thermodynamics. distinction had to be introducedbetween \"reversible\"and \"irreversible\" which An example of an irreversible processis heat conduction, processes. leads to a uniform distribution of temperature, if compatiblewith the An example ofa reversibleprocess is wavepropagation, boundary conditions. and The with this distincfriction losses. law deals second energy neglecting It introduces a new between reversible and irreversible processes. as the result of irreversible processes. function, entropy, which increases Clausiusgave a dramatic formulation to this law when he stated that
distinction
reached.*
entropy of the universe is increasing.\" According to this statement, the universe is driven to the \" heat death.\" This is, however,not what we observe around us in the presentstage of the universe or what we can infer from its past so far as it is known to us. There, as already mentioned, we observe continuous diversification and evolution toward complexity. Remarkably, the idea of evolution that appearedin physicsthrough the secondlaw was formulated almost simultaneously in the 19th century in biologyt and the interpretation of this conceptwas % However, as we shall see, sociology. quite different in these various fields. Let us briefly outline the principal stagesof the development of thermothermodynamics. Accordingto the secondlaw an isolatedsystemreachesin time the state of \" thermodynamic equilibrium,\" which correspondsto a maximum entropy. In its most general formulation this law appliesto both equilibrium and nonequilibrium situations. Nevertheless,most of the striking resultsof in the 19thcentury referto equilibrium classical thermodynamicsasdeveloped situations. Well-known examplesare the Gibbs phase rule and the law of massaction, which have become integral parts of every introductory text in physicalchemistry. There may have been various reasonsfor this. Nonequilibrium was conof structure as a perturbation temporarily preventing the appearance considered identifiedwith the orderat equilibrium.To grow a beautiful crystal we require near-equilibrium conditions,and to obtain a good yield from a thermal
\"the
and C.George, Nat. Acad. Sci. and Prigogine, A. P. Grecos, A976), Proc. 73, 1802 (U.S.A.) Celestial Mech., submitted. See alsoa forthcoming monograph by Prigogine. t C. Darwin A859), The Origin of Species, John Murray, London. + H. Spencer A904), Study of Sociology, Paul Kegan, London.
I.
I.
such as friction and heat engine we need to minimize irreversible processes The situation changeddrastically with the appearanceof Onsager's losses. \" discovery of the reciprocity relations,\"*which confirmed that, at least in the neighborhood of equilibrium, thermodynamic methods could provide useful information. This led to an extension of classical thermodynamics that may be approcalled \"linear nonequilibrium thermodynamics\" and that covers the range of situations in which the flows (or rates) of irreversible processes are linear functions of the \"thermodynamic forces\" (e.g., temperature or concentration gradients).A situation to which this linear nonequilibrium thermodynamics applies is thermal diffusion. When we apply a thermal we observean enrichment of one gradient to a mixture of two different gases, at the cold of the components at the hot wall, while the other concentrates wall. As a result, the entropy is generally lower than it would be in a uniform mixture. We see later that Boltzmann's order principle associateslow entropy with order and high entropy with disorder.Therefore, we have here an exampleof a situation where nonequilibrium may be a sourceof order. This observation was the starting point of the outlook pioneeredby the
appropriately
Brussels school.t
However, in the framework of linear nonequilibrium thermodynamics we cannot really speak of new structures.We deal with the equilibrium structures modified by the constraints preventing the system from reaching equilibrium. This was why our group started the investigation of situations in terms further away from equilibrium, that, however,couldstill bedescribed of macroscopic, thermodynamic variables. The main The results have been most unexpected and even spectacular. The rate of situation of interest for us here is the case of chemical reactions. chemicalreactions is generally a nonlinear function of the variables involved concentration or temperature). As the result, a chemically reacting (e.g., mixture is describedby nonlinear equationshaving, in general, more than one solution (even when boundary and initial conditionsare taken into to equilibrium account). Let us then considerthe solution corresponding conditions(this implies maximum entropy for isolatedsystems,minimum Helmholtz free energy for systems at given temperature and volume). We call this solution the \"thermodynamic branch.\" Supposewe now vary the constraints soasto forcethe systemfurther and further away from equilibrium. Then, nonequilibrium thermodynamics leads us to formulate a sufficient condition for the stability of the thermodynamic branch.If this condition is
37, Onsager A931), 11. Prigogine A945), Thesede doctorat,
Phys. Rev.
* L.
405.
Universite Libre de Bruxelles. For a recent historical 59,672. A973), Bull. Acad. Roy. Belt/. Ci. Sci.
account,
seeI.Prigogine
and
P. Glansdorff
not satisfied the thermodynamic branch may become unstable, and the coherent system may evolvetoward a new structure involving behavior^ Suchbehavior has long been known to occurin hydrodynamics. A wellWhen the temperature known example is a pan of liquid heated from below. to some characteristic value, heat passes gradient remains small in respect A s the is the liquid by conduction. heating intensified,however, at a through
certain well-defined temperature gradient regular convection cells appear to a high degree of molecular organization Thesecorrespond spontaneously. transfer of and become energy from thermal motion to possiblethrough T his is the currents. so-called Benardinstability. convection macroscopic the is of the thermodynamic that essential The beyond instability point branch we may have a new type of organization relating the coherent chemical kinetics behavior to the dynamical processes (e.g., space-time feedback conditions and convection) insidethe system. Only_ifjtpgro\302\243riate are satisfiedcan the thermodynamic branch becomeunstable at a sufficient distancefrom equilibrium. The new structures that appear in this way are radically different from the \"equilibrium structures\" studied in classical thermodynamics, such as crystals or liquids.They can be maintained in far-from-equilibriumconditions only through a sufficient flow of energy and matter. An appropriateillustration would be a town that can only survive and as long as it is a center of inflow of food, fuel, and other commodities sendsout productsand wastes. We have introduced the term \"dissipative structures\" to contrast such structures from the equilibrium structures^ Dissipative structures provide a striking exampleof nonequilibrium as a sourceof order. Moreover,the mechanism of the formation of dissipative structures has to be contrasted with that of equilibrium structures basedon Boltzmann's order principle. It was, indeed, Boltzmann* who first pointed out that entropy was a measure of disorderand concluded, therefore, that the law of entropy inincrease was simply a law of increasingdisorganization. In a more quantitative P fashion, Boltzmann related entropy to the \"number of complexions\" through the relation
S = kB\\ogP
A)
where kB is Boltzmann's universal constant. This relation indicates that thermodynamic equilibrium of an isolated system (Smax) correspondsto situations where the number of complexions is maximum. We may extend theseconsiderations to closed systems(which exchange
* L. Boltzmann
A896), Vorlesungen tiber Gastheorie,
J. A.
Barth, Leipzig.
energy but not matter with the outsideworld) at a given temperature. The situation remains similar exceptthat insteadof the entropy S we must now considerthe free-energyfunction F defined by
F
=E
- TS
B)
where E is the energy of the system and T the absolutetemperature (in a minimum value. degrees Kelvin).At equilibrium the free energy reaches The structure of Eq. B) reflectsa competition between the energy E and the entropy S. At low temperatures the secondterm is negligible and the minimum of F imposesstructures corresponding to minimum energy and to low At increasing temperatures, however, the system generally entropy. shifts to structures of increasinglyhigh entropy. sinceat low temperatures we find Experiment confirms thesepredictions the solid state characterized by an ordered structure of low entropy, while at higher temperatures we find the high-entropy gaseousstate. We may, that equilibrium structuresare dominated by Boltzmann's therefore,conclude order as principle expressed through Eqs.A) and B).* Boltzmann's order However, principle is inapplicableto dissipative structures.Consider again the B6nard instability. Boltzmann's principle of a coherent would assignan almost zero probability to the occurrence We then have to convection pattern involving more than 1020molecules. We may imagine that there are introduce quite different considerations. always small convectioncurrents appearingas fluctuations from the average state, but below a certain critical value of the temperature gradient these fluctuations are damped and disappear. On the contrary, above some critical value certain fluctuations are amplifiedand give riseto a macroscopic current. A new molecular order appears that correspondsbasically to a fluctuation stabilized by exchanges of energy with the outside macroscopic of dissipative world. This is the order characterized by the occurrence structures.We call this order \"orderthrough fluctuations\" to contrast it with the Boltzmann order principle, which is basicfor the understanding of
equilibrium structures. The aim of the presentmonograph can now
as the study of be expressed characterized by the appearance self-organizationin nonequilibrium systems, of dissipativestructures through the amplificationof appropriate fluctuations. While relatively new, this field of investigationencompasses already at present a wide range of problems from chemistryto biologyand population dynamics.
* Or,
alternatively,
seeL.D. Landau
through the canonical distribution used in equilibrium statistical mechanics, and E. M. Lifshitz A957), Statistical Physics, Pergamon, Oxford.
6 In
one of the authors (I. Prigogine) Theory of Structure, Stability, and Fluctuations* The aim of this monograph was to outline the thermodynamic theory of nonequilibrium systems in the entire range of macroscopic description,starting from equilibrium and including nonnonlinear situations and instabilities. This monograph contains the thermocriterion for the occurrence of dissipative structures, as well as to situations in applications simple hydrodynamics and chemistry. A great amount of work has sincebeendevoted to this type of problem.Important progresshas been realized mainly in the following directions:
1971 ProfessorP. Glansdorff and
published a monograph entitled
Thermodynamic
thermodynamic
of the thermodynamic branch? and how are they related to the molecular mechanisnisTnvo1ved;aT welhas-tcrtheconstraints \"acting on the are problemsrelated to \" bifurcation th^bTyT^which deals sysTem?(These with the appearance_of new types of solution of differential equations at critical or bifurcation points.) (ii) What is the kineticsof the growth of dissipative structures, and how can fluctuation theory be applied to these nonlinear, far-from-equilibrium
(i) Wha^ happens beyond the instability What are the types of coherent behavior
situations?
(iii) What
are the situations to which we may usefully apply the concepts of dissipative structures and order through fluctuations? to incorporatethese new developments in It would have been impossible the framework of a new edition of the book by Glansdorff and Prigogine. To avoid duplication we Therefore, we decidedto write a new monograph.t the aspects have keptthe thermodynamic theory to a minimum and expanded that could not have been treated adequately in Glansdorff and Prigogine's monograph, as they report the result of work performed sinceits publication. Let us briefly outline the structure of the presentwork. We attempt to Part I is devoted to \"the thermodynamic background.\" of the basic of nonconcise a b ut self-contained give principles presentation on chemical reactions with specialemphasis equilibrium thermodynamics, such as diffusion. coupledto transport processes We The term \"chemicalreactions\" is taken in a general, formal sense. or meet similar equations in different problems,such as the ecological
sociobiological problemsin Part V.
*A971), Wiley, New York-London; A971), French ed., Masson, Paris; A973), Russian translation, Mir, Moscow, Japanese translation to appear 1976. t An interesting and compact review of some aspects of self-organization can alsobe found in the recent mornograph by Ebeling (Strukturbildung bei irreversiblen Prozessen BSB B.G. Teubner Verlagsgesellschaft, 1976).
solution of such equations,oncesuitable initial and boundary conditions are provided, is notoriously difficult. In general, there existsmore than one solution. It is here that thermodynamics singlesout a special solution, namely, that correspondingto the \"thermodynamic branch\" as defined above. When we permit the system to deviate from equilibrium, new solu\" may or may not replacethe thermodynamic branch.\" Distancefrom thermodynamic equilibrium then becomesthe natural parameter in disthe appearance of new types of solution. discussing The main problemdiscussed in Part IIof this monograph is the question of how to construct solutionsthat occurwhen the thermodynamic branch becomes unstable.We first discussthe conceptof stability, which plays such an important role in our whole approach(Chapter 5).In equilibrium thermowas Gibbs.* introduced Stability can be easily thermodynamics, stability theory by formulated and discussedin terms of thermodynamic potentials such as we know that the systemis in a state of minimum entropy or freeenergy.Once free energy, we may concludethat it is stable.Even if a fluctuation would drive it momentarily away from the equilibrium state, the system would respondby loweringits free energy till it reachesagain the equilibrium value. The situation is radically different in the nonequilibrium situations of ininterest to us here, as there existsin general no potential whosevalue would characterize the state of the system. It is for this reasonthat stability theory plays an important role. of new patterns The natural approachto the problemof the emergence is in terms of the bifurcation theory. The purposeof this theory is to study the possiblebranching of solutions that may ariseunder certain conditions. We have tried to presenta readableintroduction to this rapidly expanding field and have not always presented proofs of theorems that are easily
solutions
The time evolution of systems involving chemical reactionsand diffusion The is described by a set of couplednonlinear partial differential equations.
in textbooks. accessible
Our main emphasisis in physical examples and in simplebut representamodels,and our aim is to give to reader an idea of the variety of structures that may arise through bifurcation. We may find space-time \"chemicalclocks,\" to time independentbut coherent states corresponding spatiallyinhomogeneousdistribution of matter, or chemicalwavespresenting a considerable variety. We are far from the situations studiedin linear matheto a where the equationslead,together with the boundary conditions, single solution.This multiplicity of solutions in nonlinear systems correrepresentative
mathematics
corresponds
to a gradual acquisition of autonomy from the environment.
* J.W. Gibbs
seethe monograph of Glansdorff
A928), CollectedWorks, Longmans, New York. For a more general formulation, and Prigogine A971), Chapter 5.
Besides bifurcation theory, in Part IIwe presenta survey ofother techniques suitable to study the appearanceof new structures, where the \"catastrophe theory\" due to R. Thorn is of specialinterest. However, for most of the with in this monograph this method is not problemsthat we are concerned rate equationsgenerally do not derive from applicable, notably becausethe a potential. The role offluctuations Part IIdealsentirely with \"deterministic\" methods. is the the the proIII. T his of where is studiedin Part probably part theory the most over the last where new and has been spectacular years progress in the near future. are expected developments molecules The systemswe considerconsistof a large number of units (e.g., in a liquid, cellsin an organism, and neurons in the brain). Obviously, all of these units cannot be in the same state; therefore, a macroscopic system spontaneously generates\"noise,\" which plays somewhat the roleof perturin stability theory. But here the perturbations are generatedby the itself system (in addition, we have fluctuations introducedby the external medium). We have to expectthesefluctuations to play an especially important role near bifurcation points.Thus, the system has to \"choose\" oneof the possible stablebranchesof the macroscopic equations.But nothing in the macrofor Therefore,stochastic equations justifiespreference any onechoice. elements must be taken into account, and we need a finer description involving fluctuations. We have, therefore, to consider standard techniques such as Markov to include fluctuations. However, in the chains or birth-and-death processes problemsof interest to us somequite specificnew features appear.The usual for which the transition examplesin Markov chains refer to processes are constant (i.e., {to the \"left\" and to the \"right\") or linear probabilities functions of the stochastic variables. On the contrary, here we have to considernonlinear chemical equations, and the transition probabilities nonlinear functions of the fluctuating become variables. The theory of fluctuations at equilibrium is well known.* Of special formula for the probability distribution of fluctuaimportance is Einstein's which correspondsto the inversion of Boltzmann's definition of entropy. It expressesthe probability of a state (related to the number of distribution to its entropy. Einstein's formula leadsto a Poisson complexions) for fluctuating variables in ideal systems. We show that this result remains valid for nonequilibrium situations when linear chemical equations are involved. However, for nonlinear situations the whole picture changes.
perturbations macroscopic
fluctuations,
* SeeL.D. Landau and E. M. Lifshitz, op cit.
The probability distribution of the fluctuations dependson their size and conditionsthat prevail in the system. In a suffirange and on macroscopic small scale we obtain, indeed,a nearly Poissondistribution, while witrTmcreasingrange the fluctuations deviate from a Poissondistribution. Thesedeviations become near a bifurcation point where speciallyspectacular correlations The long-rangespatial appear. analogy betweennonequilibrium instabilities and phase transitions is striking. Much of the recent statistical theory of phasetransitions and critical behavior finds here a direct analog. in time and finally Beyond the instability, the statistical fluctuations increase drive the average values to their new macroscopic state. We seehere very clearly the meaning of the conceptof orderthrough fluctuations that wehave as already mentioned in this introduction. We may considersuch processes When this law is a of the of breakdown \"law numbers.\" large expressing satisfied the average provides an adequatedescription of the system. Here, on the contrary, fluctuations drive the averages. There are even classes of nonlinear phenomena involving no phase transition where fluctuations may play a much more important role than Forexample, thus far supposed. in explosions dueto freeradical propagation, the conditions for the explosion in a domain small from be first satisfied may of view while the macroscopic still containing a large number of point molecules. This leads to a kind of new \"fluctuation chemistry\" which we discussbriefly in the concluding chapter. of selfWe now turn to Parts IV and V, which discussspecificexamples organization chosenin various fields of interest from chemistry to socioAgain, the situation has greatly changed sincethe publication of the biology. were when few examples monograph by Glansdorff and Prigogine in 1971, known. Now so much material has becomeavailable that we had to make a choicebetween the most important features of self-organization in nonsufficiently
systems.* the existence of oscillating chemicalreactions in a homohomogeneous phase was a matter of controversy. It is true that Lotkat and VolterraJ had introduceda kinetic schemeof an oscillatory reaction in the context of the competition between prey and predator (see ecological in Chapter8, this schemeleadsto a set However, as discussed Chapter 18). of periodicmotions, each with a different period. As a result, it cannot be usedto model chemical reactionswith a well-definedperioddetermined by
equilibrium
Fora long time
of nonequilibrium phenomena is not stability of interfaces in the presence discussed. SeeT. S.Sofensen, M. Hennenberg, A. Steinchen-Sanfeld and A. Sanfeld A976), Progr. Coll. Pol.Set,61,64. t A. Lotka A920), Proc. Nat. Acad. Sci. 6, 420. (U.S.A.), + V. Volterra A936), Lemons sur la Theorie Mathemalique dela Lullepour la Vie, Gauthier-Villars, Paris.
* For instance, the
10 the values of the characteristic
parameters such as rate constants and
temperature. Fortunately, today we know oscillatory chemical reactions such as the Belousov-Zhabotinski reaction, which presents striking features of selfand whose mechanismhas beenlargely elucidated the organization through work of Noyesand his school. While vastly more complex, the kinetic scheme to the Belousov-Zhabotinski reaction presentsa qualitative corresponding behavior closelyrelated to the simplemodelstreated in Part II,and there is no doubt that the spatial and temporal self-organizationpatterns may be explainedin terms of dissipative structures arising in far-from-equilibrium
conditions.
A
large portion of Parts IV and
is devoted to self-organization in
biological problems. Even in the simplest cells, the metabolic function involves several thousands of coupled chemical reactionsand requires,therefore, delicate mechanisms for coordinationand regulation. In other words,we need an functional organization. Furthermore, the metabolic extremelysophisticated reactions require specific catalysts, namely, the enzymes. Each enzyme performs onespecifictask, and if we considerthe manner in which the cell of operations,we find that it is organized on performs a complexsequence There Chapter 14). exactly the samelines as a modern \"assemblyline\" (see is a definite relation between structure as expressed in space-time patterns and function. Biological orderis both architectural and functional.* But that is preciselythe type of order characterizing dissipative structures, which by the chemicalprocesses) appearas the result of their function (asdescribed in far-from-equilibriumconditions. in this Therefore, it is of specialinterest to apply the approachdeveloped Let us emphasize that there is a striking monograph to biological problems. of even the simplestcell and differencebetween the chemical composition
its environment (remember that the average molecular weight of a protein is ~ 105, We are in a sensein the positionof a while that of water is 18). visitor from another planet who, finding a suburban house, wishes to understand its origin. Of course, the houseis not in conflict with the laws of the otherwise it would have fallen down.However,this is besides mechanics, point, namely, what is of interest is the technology available to the house the needsof the occupants, and so on.The housecannot be underbuilders, outsidethe culture in which it is embedded. in biology. This is precisely our positionin respectto problems While each of the important biomolecules discoveredin the recent years is obviously
understood
* This point has also been emphasized

Neurosciences,\" Rockefeller Univ.
New Press.
by
some biologists.
York.
Seee.g. P. Weiss A967), in
\"The
11
formed accordingto the laws of physicsand chemistry, we have to identify the mechanismsthat make the \"mass production\"of thesemolecules possible and coordinatetheir productionaccordingto the needs of the organism. It has often been stated that biologicalorganization requiresa series of structures and functions of growing complexity and hierarchical character. One of our main concerns is to understand the way in which transitions betweenlevelsoccurand to relate the molecular levelto the supermolecular The examples in Parts IV and V one,and the cellular to the supracellular. show that this problemcan be formulated and in somecases solved using the methods we have introduced. We start with two chapters(Chapters14 and 15)devoted to regulatory at the subcellular level (e.g., thoseinvolved in the glycolyticcycle) processes and at the cellular level (e.g., thoseinvolved in the lac operon). is a phenomenon of the greatest importance for the energetics Glycolysis of living cells. It leads to the production of ATP molecules(adenosine which becauseof their high energy content play an important triphosphate), rolein the synthesis of biomolecules. Now glycolytic oscillations, that is, in time of the chemical components oscillations involved in the glycolytic and extensively cycle,have beendiscovered by B.Chanceand his co-workers Hess and his B. school since, investigated (seeChapter 14 for notably by detailed references).It appeared immediately that becauseof their reprocould only be modeledby kinetic schemes ducibility glycolytic oscillations presentingdissipative structures (and not by the Lotka-Volterratype of equations).This was, then, the first examplein biology where the roleof a temporal dissipative structure could unambiguously be recognized.* Hence,the glycolytic cycle takes place beyond the stability limit of the thermodynamic branch. It is quite remarkablethat some of the most spectacularaspectsof biosuch as control of cellular division (seeChapter 15)or biological activity, cellular differentiation and morphogenesis (Chapter 16)can, at present,be modeledin terms of dissipative structures.Instability in respectto diffusion plays an essentialrolehere as it may generate a privileged axis of polarity
starting from an
The question of stability with respectto diffusion was first investigated by Turing A952)in a remarkable paperon the chemical basisof morphogenesis. This was one of the first examplesof dissipative structures ever studied. However, this work remained unknown outside the context of morphoand even there was severely criticized on various grounds (see Chapter 16).These criticisms originate from a somewhat unfortunate
morphogenesis,
isotropicstate.
223.913.
I.Prigogine,
R.
Lefever, A. Goldbeter, and M. Herschkowitz-Kaufman
A969), Nature
12
of someof Turing's examples choice (the obvious requirement that
the rate positive and boundedsolutionsis not satisfied).We see now that this criticism doesnot touch the essential point.In fact, Turing's is one of the most striking phenomena associated with the breakinstability of the stability of the thermodynamic branch. The spectacularprogress of molecular biology has been of utmost importance in the formulation of our approachto self-organization.Indeed, a preliminary condition for the study of the relation between function and of the chemicalmechanismsinvolved. structure is a detailed knowledge our However, approachemphasizes supplementary aspects.Forexample, an instability can occuronly if suitable conditions on the sizeof the system While the genome producesthe morphogens, are satisfied. the morphogens to the of a lead if certain conditions on the appearance may polarity only cell as a whole are satisfied.If so, back on the then act genome and they may lead to a morphogenetic differentiation. There is a deep and unexpectedrelation between the \"chemistry\" as studiedby molecular biology and the \"space-time structure\" as determined the mathematical of the kinetic by properties equations when various conditions are satisfied.It is this relation betweenchemistry,thermodynamics and mathematics that is so fascinating in the study of self-organization. There seemsto be no doubt that dissipative structures play an essential rolein the function of living systems as we see them today. What was the roleof dissipative structures in evolution? It is very tempting to speculate ofinstabilities that prebiotic evolution corresponds essentiallyto a succession are discussed to an level of These questions leading increasing complexity. in Chapter 17, where the conceptof competition is formulated in molecular terms. Herewe make contact with the important work of Eigen on the evolution of interacting and self-replicatingmacromolecules. In very general terms, evolution may be viewedas a problemin structural stability. The fluctuations involved are not fluctuations in concentrations or other macroscopic but fluctuations in the mechanismsleading to parameters modificationsof the kinetic equations.To clarify our point, let us consider a chemical scheme somepolymerization processwhere polymers describing are constructedfrom molecules A and B that are pumpedinto the system. Supposethe polymer has the following molecular configuration
equationsmust
breakdown
admit
ABAB...
erroroccurs and a modified polymer appearssuch as
ABAABBABAB... Supposethe reaction producingthis polymer is autocatalytic. Then
if
an
13
it may multiply in the system as a result of a modified autocatalytic mechWill this new product die out, or will it take over (with the initial This is the type of question in which fluctuations and polymer dying
mechanism.
structural stability play a significant role.Similar questionsare essential to the understanding of the evolution of ecosystems, the generation and the propagationof \"innovations,\" and similar phenomena (seeChapter 18). Most of the other examples studiedin Chapter 18 refer to the realization of collective tasks in insect societies nest building) and provide striking (e.g., illustrations of the conceptof \"orderthrough fluctuations.\" Note that we may always introduce fluctuations that will lead to instaand to new types of function and structure. In other words,no system is structurally stable, the evolution of a dissipative structure is a selfto the scheme determining sequence according
instabilities
out)?
Function
> <
Structure
Fluctuations to concludethis introduction with a few general remarks. our approach combinesboth deterministic and we have emphasized, elements in the time evolution of the macroscopic probabilistic system.At whereasnear far from the deterministic bifurcation, equationssuffice, points essential. the bifurcation points the stochastic elements become For A similar distinction was introduced some time ago by sociologists. between the distinction example,Carneiro,following Spencer, emphasized quantitative and qualitative changesin culture. He distinguished cultural development, in which new cultural traits are coming into being, from cultural growth. In our terminology,cultural developmentwould correspond to instabilities in which stochasticeflects play a basic role, while cultural growth correspondsto \"deterministicdevelopments.\"We do not go into further detail here, as these aspectsare analyzed in another work, where detailedreferencesto the work of Carneiroand Spencer are given.* Before any interpretation of functional orderof comparablegenerality to equilibrium order was available, \"living\" processes were in somesense nature\" and physical laws.One was tempted to ascribean pushed\"outside accidental character to living organismsand to imagine the origin of life as being the result of a seriesof highly improbable events. Now, in classical
We would like As *
I.Prigogine, P. Allen,
Nature,\"
in Goals for Mankind
and R. Herman A977),\"The evolution of complexity and the Laws of Report to the Club of Rome, ed.by E. Laszlo and J. Bierman.
14
dynamics a sharp distinction is made between \"events\" and \"regularities.\" The laws of dynamics deal with regularities betweenevents but not with the events themselves.The eventsare the initial conditions about which classical At use Boltzmann's we could no statement. can make most, dynamics the second of law of probabilistic thermodynamics to ascribe interpretation a probability to each possibleinitial condition.Oncean initial condition is the system will be led to its most probable state through an irspecified,
irreversible
as a result of \"improbable\"initial conditions Life considered is,therefore, with the laws of physics(initial conditionscan be arbitrarily compatible but doesnot follow from the laws of physics (which do not prescribe chosen) This is the outlooksupported, the initial conditions). for example, by Monod's life the of would well known book.* maintainance Moreover, appearin this view to correspondto an ongoing struggle of an army of Maxwell demons against the laws of physicsto maintain the highly improbableconditions that permit its existence. The results summarized in this book support a different point of view. Far from being outsidenature, biological processes follow from the laws of physics,appropriate to specific nonlinear interinteractions and to conditionsfar from equilibrium. Thanks to these specific features, the flow of energy and matter may be used to build and maintain functional and structural order.
have insistedon the variety of the situations involved in self-organizaInevitably, the toolsand the techniquesemployed to tackle phenomena. theseproblemsare extremely diverse, and so is also the backgroundof the potential readersof this monograph.We think, therefore, that it would be useful to make a number of suggestions concerning the way this monograph
We
process.
self-organization
shouldbe studied.
(i) For readers interested primarily in applications (e.g., experimental or sociologists), the thermodynamic analysis (Part I), chemists,biologists, shouldprovide an adequate Chapters5, 6, and Chapter7 up to Section7.5, for to IV Parts and V, devotedto concrete background switching immediately and physicochemical problems. biological Readers interested in the generaltheory and its physicochemical (ii) primarily are to all of Chapter 7, as well as Chapter 8 read implications encouraged and Part III. On the other hand, thesereadersmight not insist in many of the detailsof Chapters14,15, and 17. and 12 (iii) Most of the readers are likely to find Chapters 11 technically * J. Monod A970),
LeHasardet
la Necessite, Seuil, Paris.
15
than the others.We feel this is an inevitablefeature of the more complicated of state fluctuation theory. We did not hesitate including these present in the monograph, in order to give to the reader an up-to-date Chapters of this picture growing and increasinglyimportant aspectof self-organization
phenomena.
Owing to the fact that many results describedin the monograph are the subject of active research,we found it necessaryto switch from time to time from a \"tutorial\" style appropriate for presentinggeneral methodsand techniques to the style of \"progress report.\"Readersshould be progressin the field is likely to occur fully aware of the fact that further explosively,in the form of a true instability!
(iv)
still in this monograph reflecta collective Severalaspects of the work developed in this the members of the statistical mechanics and and effort, respect in the and in the University thermodynamics groups University of Brussels We are particularly indebted of Texasat Austin have played an essential role. to P. Allen, A. Babloyantz, J. L. Deneubourg,T. Erneux, R. Garay, A. Goldbeter, M. Herschkowitz-Kaufman, J. Hiernaux, W. Horsthemke, L. Kaczmarek, K. Kitahara, R. Lefever, M. Malek-Mansour, A. Nazarea, J. Portnow, M. Sanglier,J. S. Turner, J. W. Turner, A. Van Nypelseer, and R. Welch. the fruitful discussionsand the Moreover, we gratefully acknowledge and encouragementsreceivedfrom J.F.G.Auchmuty of Indiana suggestions of the University of Brussels, J.Chanu of the University University, R. Balescu of Paris VII, M. Eigen of the Max-Planck Institute at Gottingen, P. Glansdorffof the University of Brussels, B.Hessof the Max-Planck Institute at Dortmund, J. Kozak of the University of Notre Dame,R. Mazo of the J. S.Nicolisof the University of Patras, R. Noyesof University of Oregon, the University of Oregon, P. Resiboisof the University of Brussels, J. Ross of the Massachusets Institute of Technology, Albert and Annie Sanfeld of the University of Brussels, R. S. Schechterof the University of Texas at D. Thomas of the Technological Austin, University at Compiegne,R. Thomas of the University of Brussels, and D. Walls of the University of Waikato. The late Professor Aharon Katzir-Katchalsky has been an active protagonist in the field of self-organization phenomena.We have greatly benefited from the stimulating exchanges of ideaswe had with him. We have been greatly encouraged in pursuing the line of approachsumsummarized in the monograph by the continuous interest and support of Mr. J. Solvay and of ProfessorA. Jaumotte, Presidentof the Universite
Librede Bruxelles.
16
We have alsoappreciated the numerous contacts wehad with the members of the ResearchLaboratories, GeneralMotors Technical Center,Warren, Michigan,particularly with Vice PresidentDr.P.F.Chenea,Dr.R. Herman and Mr. A. Butterworth. Finally, it is a pleasureto thank Mrs.S. Dereumaux-Wellensand Mrs.L. Fevrier for the difficult task of typing the manuscript and Mr. P. Kinet for in the work. his efficient technical assistance has been supportedby the Fonds National de la Recherche This research Fondamentale Collective (Belgium), the Belgian Ministry of Education de l'EducationNationale et de la Culture Francaise et Ministere (Ministere de l'EducationNationale et de la Culture Neerlandaise), the R. A. Welch Foundation (Houston,Texas),and the Fonds cancerologique de la Caisse Generated'Epargneet de Retraite (Belgium).
Parti
The ThermodynamicBackground
Chapter 1
Introduction
GENERAL 1.1.
COMMENTS
The objectof this monograph, as stated in the General Introduction, is to present a unified formulation of self-organizationphenomena in complex that is, systems involving a large number of interacting subunits. systems, Experimental evidence,as well as daily observation, show that such systems a marked coherent behavior extending can present,under certain conditions, well beyond the scaleof the individual subunit. Biological order,the generaof coherent light by a laser,the emergence or of spatial temporal patterns of activity in chemical kineticsand in fluid dynamics,or finally, the functionof an animal ecosystem or of a human society, provide some striking illustrations of the occurrence of such self-organizationphenomena. In addition to the pointsdeveloped in the GeneralIntroduction, we want to in this present introductory chapter some further comments on biological which order, certainly constitutes the prototype of systemspresenting various of patterns self-organizationand coherent behavior. It is well known that the status of living beingsin respectto the laws of physics, particularly thermois a controversial matter that has thermodynamics, given rise to passionate very discussion. It will, therefore, be useful to presenta few introductory remarks in order to make our positionmore precise beforewe undertake the analysis of specificproblems. are extremelycomplex and orderedobjects. Biological systems They have the unique ability to preserveand transmit information, in the form of structures and functions acquiredin the past during a long evolution. On the other hand, the maintenance of life, even in its simplestbacterial form, implies a continuous metabolism and synthesis of macromolecular subas well as the regulation of these processes. Thesephenomena are substances, thanks of matter in living to a distribution possible highly inhomogeneous cells,which is the result of several thousandsof chemicalreactions involving and taking place simultaneously in a crowdedspaceof complexfeedbacks a few fi3 (cubicmicrons). Finally, the processof development of a fertilized 19
generation functioning
20
Introduction
an adult organism implies the transmission of genetic information over macroscopic time intervals. Here distances and during macroscopic too, F rom the role. first cellular division to the regulation plays a primordial formation of the adult organism, through the differentiation to specialized cellsand the tissueand organ formation, all of the events must occurat the right time and place, otherwise the result would be a completely chaotic behavior resulting in death. Modern molecular biology has been remarkably successful in interthis coherent behavior of living systems in terms of the structure of interpreting the constituting molecules. Therefore, it regardsthe functional order prea of an architectural order. in as result It describes vital prevailing living beings in terms of of o f code. I t assimilates the information, phenomena message, material of a to the cell of a T he genetic magnetic tape computer. program printed therein describesa seriesof operationsto be carriedout, with the in of their succession sharpness briefly, everything that is related to the survival of the organism and to reproduction. Nevertheless,not everything is fixed equally sharply in the genetic program.Phenomena such as the regeneration of tissues,or even memory or learning in organismswith a nervous system, illustrate a certain plasticity that permits highly developed the organism to acquire a supplement of information coming from the environment. Doubtless, the determination of the structure of biological macrohave solved a great many molecules and the discovery of the genetic code to others on a more firm in and have several helped problems biology pose and concrete basis.However, most of theseproblemsrefer to intracellular phenomena at the enzymatic or the genetic levels.Considernow a different kind of phenomenon, such as the development of a fertilizedeggto an adult of the brain of higher mammals, the immune organism, the functioning responsein higher vertebrates, or the major problemof biology,namely, the what and the origin of life. In all of theseexamples, evolution of biopolymers (and even supermolecular happensis the manifestation at a macroscopic, scale level of a seriesof events originating at the microscopic supercellular) of individual molecules. Here, physicsand physical chemistry can provide new conceptsand new deal with this continual interplay between ideas. Indeed,both disciplines to such an extent, level and propertiesat the atomic scale, macroscopic in fact, that the explanation of the observablepropertiesof macroscopic bodies(heat capacity, thermal conductivity, etc.)in terms of the properties of atoms and their interactions is the object of statistical mechanics,a Forthe purposesof our discussion, oneof the most specialbranch of physics. of this type of analysis of macroscopic systemsis important conclusions that the macroscopic descriptionintroduces somenew qualitative aspects.
eggto
time\342\200\224
/./ General Comments
21
Think, for a moment, of the conduction of heat acrossa fluid submitted to a temperature difference AT. Locally, each particle undergoesa disordered of the contraints experienced thermal motion. And yet, on the whole, because a of energy is propagating the outside from world, macroscopic quantity a the to which fluid, good approximation is simply proportional through AT. such to macroscopic properties are perfectly compatible Naturally, of of motion the individual particles.The only the laws with microscopic is is that the microscopic language simply not adequate onceone point
Our approach to the study of biologicaland other complexsystemsis in the above-definedcontext. We start from the results carriedout precisely of molecular biology to provide the analog of what we refer to above as level.\" We are then interested in large-scale the \"microscopic phenomena and in constructing modelsthat couple among themselvesseveral variables,
a certain scaleof phenomena. exceeds
each one referring to a particular molecular event. In this way we try to obtain a satisfactorypicture of somemacroscopic propertiesof living systems the such factors as the t he geometry,the boundary influenceof size, reflecting and so on (see alsoremarksin the General Let us conditions, Introduction). stressthat such a program can now be envisaged thanks to the impressive progressof molecular biology. What tools are we going to use in order to carry out our program? our basic postulate is that all vital phenomena can be studied Naturally, with referenceto both the laws of physics appropriateto the specificnonlinear interactions we have to considerand to the far-from-equilibriumconditions. Furthermore, the very fact that we are interested in the modeling of macroa most drasticsimplification,permitting us to phenomena introduces in terms of a limited number of observables adopt a contracted description such as the concentrations (pu pn) of the cellular chemicalconstituents and the temperature T, and ignore finer propertiessuch as the distribution of instantaneous velocitiesor relative positionsof the molecules. In this respect,our object is to understand biologicalorder by limiting ourselvesto the laws of macroscopic that is, essentially,the laws of physics, thermodynamics. As usual, however, it is necessaryto supplement these laws by equationsdescribing explicitlythe time evolution of macrovariables such as pu in pn and T The justification of these equations (discussed detail in Chapters2, 4, and Part II)is beyond the scope of this bookas it is, a problem of statistical mechanics.In general, they have the typically, following form:
macroscopic
...,
...,
^
V2T,...) j, {V2Pj},...,T,\\T,
A.1)
where in the most general case F, is a nonlinear functional of its variables.
22
Introduction
of theseequations are the various conservation equations Typical examples of matter, energy, momentum, and so on. These equationsdescribeonly time evolution of averages. In addition, it is often necessary to discussthe fluctuations of the macrovariables. The necessarytools are introduced in Part III. somewhatand analyze Having now definedour viewpoint, let us retrogress somenew aspectsonemight encounter in this context. We want to explain the origin and the maintenance of the extremely sophisticated ordercharNow a deep using the laws of macroscopic living beings, physics. characterizing has always been that the evolution of a physicobelief of most physicists chemical systemshouldinvariably leadto an equilibrium state that is entirely disorderedat the molecular level. In an isolatedsystem, which cannot exchangeenergy and matter with the surroundings,this tendency is expressedby the second law of thermoThe latter is ascertaining the existence of a function of the macrothermodynamics. state of the system, namely, the entropy S, which increasesmonoits maximum at a state known as thermodynamic tonically until it reaches
macroscopic
equilibrium:
\342\200\224->0
at
(isolated system)
A.2)
decrease in entropy (for a further discussion, seeChapters4 and 8),it follows

formation of Eq. A.2) rules out, in an isolatedsystem, the spontaneous orderedstructures.As an example,considera gas in an initial state where a certain degree of order has beenimposed, such as by confining it to one half of a box. as time increases t he Obviously, gaswill very rapidly tend to occupy
that
On the other hand, since in physicsone always associatesorder with a
the wholevolumeand destroy the initial order. Moreover, this tendency is an irreversible processin the sensethat the inverse phenomenon cannot occur
spontaneously. Considernext a system that is at equilibrium but that can now exchange energy with the outsideworld at a certain constant temperature T (closed system). Equilibrium thermodynamics showsthat its behavior is described
by a new state function, the Helmholtz free energy F given
by
relation [see also Eq. B) of GeneralIntroduction]:

F
the following
=E
- TS
(closedsystem)
A.3)
where E is the internal energy. At equilibrium F is minimum. This minimum has a simplemicroscopic interpretation. Supposethe system may be found on various energy levels.Then, at equilibrium the probability that the system
/./. General Comments

is at a state of energy
\302\243\342\200\236
23
is given by (Landau and Lifshitz, 1957)

A.4)
where kB is Boltzmann's constant.
equationsimply that only the levelsof low En will be populatedappreciably. As T increases, the contributions of E and S in F become and comparable, the populationsof the various energetic levels tend to become equal. We seethat in a nonisolatedsystem there exists a possibilityto form lowentropy ordered structures provided T is low. This ordering principle, referred to in the GeneralIntroduction as the Boltzmann orderingprinciple, is responsiblefor the appearanceof structures such as crystals and also for phasetransitions. Is this principlesufficient to explain the origin of biologicalstructures?
is easy to realizethat the probability A.4)to have,at ordinary temperatures, the condensation of a macroscopic number of molecules giving risenot only to the highly ordered structures (macromolecules, membranes,etc.)charlife but also to the coordinatedfunction of the thousands of characterizing chemical reactionsper cell, is practically vanishing. As an example,let us
It
For sufficiently
low T, the above two
considera biological macromolecule such as a protein chain of about 100 amino acids.In nature there exist20 types of amino acid.It is known that the
physiologicalfunction of a protein is fulfilled only if the arrangement of the The constituting amino acids along the chain follows a well-definedorder. number of permutations necessary to obtain this arrangement starting from
an arbitrary
initial
distribution N
is:
~ 20100^ 10130
and we assumethat all corresponding configurations are equally probable a priori. Thus, even if a change of structure (e.g., a \"mutation\ through of this \"initial\" protein could occurevery 10~8 s (which is certainly too rapid), one would need
t
~ 10122s
to form the desiredprotein.As the age of the earth is \"only\" of 1017 s, we realize that the spontaneousformation of this (rather small) protein must be ruled out (Eigen, 1971). order and In conclusion, the apparent contradiction between biological the laws of physics\342\200\224particularly the second law of thermodynamics cannot be removed as long as onetries to understand living systems by the methods of equilibrium thermodynamics. As we shall see, the very concept of the probability of various statesas expressed, for example, through Eq. A.4), has to be reconsidered.
24
Introduction
1.2. OPEN SYSTEMS

To advance further, onemust now analyze more closelycertain characterWe have already insisted featuresof biological on the generality systems. of the phenomenon of metabolism. From the simplestbacterial cell to man, maintenance of life requiresa continuous exchange of energy and matter with the surrounding world.Living organisms belong, therefore, to the class of open systems,whose thermodynamic theory has been developedby De Donder's in Brussels Later von Bertalanffy A932) school (Defay, 1929). and Schrodinger on the insisted A945) necessity to treat biological systems as opensystems. formulated an extendedversion of Also in 1945, Prigogine the secondlaw applicable to both closedand opensystems. We discusshis here in we someremarks. approach subsequent chapters; only present Let us considerthe entropy change dS during a time interval dt. We may it into the sum of two contributions (see also Fig. decompose
characteristic
1.1):
A.5) (ofenergyormatter) with the environde S is the entropy flux dueto exchanges and d,S is the entropy production due to the irreversible processes insidethe system,such as diffusion, heat conduction, and chemical reactions. The secondlaw implies:
environment
dS = deS + d,S
d,S > 0
( = 0 at equilibrium)
A.6)
A.7)
Foran isolatedsystem deS = 0, and A.6)yields dS = diS > 0

Summarizing,
terms,
deS, in
of flow open systemsdiffer from isolatedonesby the presence to never the entropy change. which can be Contrary d{S,
Figure
1.1.
Entropy
flux
and entropy production in an open
system.
Open Systems 1.2.
25
one:
negative,theseterms do not havea definitesign.As a result, onemay imagine evolutions where the system attains a state of lower entropy than the initial
AS
=
path
dS < 0
This state, which from the point of view of the equilibrium relation A.4) can be maintained indefinitely provided the would be highly improbable, is allowed to attain a steady state such that dS = 0 or system
deS =
flow this
-d,S< 0
A.8)
if we give a system a sufficient amount of negativeentropy Thus, in principle, we enableit to maintain an orderedconfiguration. As Eq. A.8) shows, supply must occurunder nonequilibrium conditions,otherwise both and deS would vanish. We can already feel the possibilityof a new, dtS nonequilibrium order principle.More precisely, nonequilibrium may be a source of order. This is of obvious interest for living systems; the biosphere as a whole is a nonequilibrium system, as it is subjectto the flow of solar energy. In the cellular level, cell membranes or the various biochemical reaction chains are subject to concentration gradients of chemical conconstituents. Moreover it is quite common to have elementary reaction steps, such as those involving regulatory enzymes,that are practically irreversible
(Atkinson,
to say, thesesimpleremarkscannot sufficeto solve the problem Needless of biological One would likenot only to establishthat the secondlaw order. of the overall entropy (dS < 0), (rfjS > 0) is compatiblewith a decrease but also to indicate the mechanisms responsiblefor the emergence and maintenance of coherent states.Our principal goal in this monograph is to provide the elements of a responseto this question.One of our conclusions
is that there exist systemsshowing two types of behavior, namely, a tendency to a disordered state under certain conditions and a coherent behavior under others.The destruction of order prevails in the neighborhoodof thermodynamic equilibrium. Creation of order may occurfar from equilibrium the provided the system obeysto nonlinear laws of a certain type. In this case, of the spontaneousappearanceof order is accompanied by an instability states showing the usual thermodynamic behavior. Tradidisordered) Traditionally, thermodynamics was limited to equilibrium or near equilibrium and could only treat the first type of behavior. Recently an extension of
1968).
(i.e.,
irreversible thermodynamics to far-from-equilibriumconditionswas develthat permits treatment of both \"destruction\"and \"creation\"of order within the same formalism (Glansdorff and Prigogine, 1971). This theory is the subjectof Chapters2-4.
developed
Chapter 2
ConservationEquations
AT 2.1.OPEN SYSTEMS
MECHANICAL
EQUILIBRIUM
Beforewe undertake a detailed thermodynamic study of systems that may to define the class of situations in exhibit orderedbehavior it is necessary which we are primarily interested in this monograph. Considera reactive mixture of n constituents Xn. The system is from the outsideworld that are converted to open to the flow of chemicals Xu Xn within the reaction volume V. In most of the subsequent chapters we make the following assumptions:
...,
Xl,...,
The system is isothermal (T = constant). (ii) The system is at mechanical equilibrium (no mass flow) and is not subjectto external fields. (iii) The concentration gradients are not too high in the sense that the variables not vary appreciably within distances of composition in particular, the the order of the mean free path. This restriction implies, absenceof interfacesinsidethe volume V. (iv) The system is subjectto time-independentboundary conditions.
(i)
p1,...,pndo
The motivation behind theserestrictionsis fairly obvious.The behavior of living cellsis largelydetermined by chemicaltransformations and diffusion or of small metabolites such as ATP or phenomena of macromolecules cAMP. Most of these phenomena do not seem to involve convection. often develop complex homeostatic mechanisms Moreover, living organisms the at a certain pheconstant level. maintaining temperature Naturally, phenomena such as blood circulation in higher animals or the locomotion of microorganisms are specificallymechanical and are beyond the framework denned by our previous assumptions.On the contrary, all fundamental phenomena listed in Chapter 1 can still be analyzed without great sacrifices even if one adopts these simplifications. Referencesto the more general
26
2.2.
The Mass-balance Equations
27
the coupling between mechanical motion, situations involving, for example, wheneverof interest. thermal effects,and chemical phenomena are presented What are the variables describingthe instantaneous state of a system obeying the above conditions,and how can one calculate their values? of the temperature and the Firstly, assumptions (i) and (ii) permit decoupling from convection velocity the compositionvariables (e.g., partial densities) to calculate the latter, we must establishequations of Xn. In order the evolution of the quantity of matter insidea multicomponent describing mixture. in Section2.2. This point is developed reacting
X!,...,
2.2.THE MASS-BALANCE
EQUATIONS
The principleof total mass conservation of an arbitrary (nonrelativistic) in the following form (seeFig.2.1): system can be expressed
dm
\342\200\224
= massflow
\342\200\236
through
surface
\342\200\236
\302\243
= dem
\342\200\224\342\200\224
B.1)
In other terms, there is no
productionof massinside V, regardlessof the is different if onefocuseson the massof each chemicalconstituent separately. One has
processes occurring therein. The situation ~ denij

dt dt m-s dt
dt
(/=
1,\342\200\242\342\200\242\342\200\242,\302\253)
B.2)
where
~y^ = productionof Xj resulting
from
chemical reactions.
'
\342\226\240>
pn
Open system exchanging subFigure n with external world through stances where jf, . . . , jj; and surrounding surface , pi represent, respectively, values of (i\\, n diffusion fluxes and concentrations of on surface.
\342\226\240 \342\226\240 \342\226\240
2.1.
1....,1,
1,...,
28
Conservation Equations
Supposethat constituent Xj participatesin r chemical reactions and let (p = r) be the individual rates. The latter can be related to the compositionvariables {pj} provided one assumesthat the intermolecular interactions do not enter explicitly in the expressionfor the frequency of reactive encounters. This assumption extendsthe notion of an ideal mixture familiar from equilibrium thermodynamics,according to which each chemiin the mixture followsthe laws of perfect solutions. As an example,for a homogeneous reaction in a small volume AV: *' A + B A + X: B.3a)
Wp
1,...,
chemical
>
the rate will
be:
= *i
AVpAPj
B.3b)
Similarly, for
A
-h 2Xj -
k2 ->
+B
hC
B.4a)
B.4b)
first
onewill have:
\\W2\\
= k2 AV
pAp)
We
observethat onemolecule of Xj disappearsin the

the this
We shall say that second.
\342\200\224
reaction, and
in
two
disappearing
in in
thesereactionsare
is: case
1 and
\342\200\224
2, respectively.The total massof Xj disappearPaPj
the stoichiometriccoefficientsv of Xj
= -kx AV
2k2 AV pAp]
B.5)
In
general:
^\342\204\242l
dt
ph,
Y vJp W\"
and Eq. B.2)takesthe form:

dm,
dt
dems +
dt
p= i
yv JP wp
^.6)
be convenientto switch to massdensity variables, which we denoteas Pj, by reducing Eq. B.6)per unit volume V Moreover,we introduce the reaction rate per unit volume,wp, through the relation
It
will
Wp
J dV wp
B.7)
2.2.
The Mass-balance Equations
29
We then
have:
in molar variables, particle densities, Note that onemay alsoexpress Eq.B.8) or mole or massfractions, that is, in terms of the ratios p/Z; Pj (Prigogine and Defay, 1951). In general,a chemicalsystemof the type weare interested in here is spatially The flow term demj/dt then describesthe distribution at inhomogeneous. each point insideV, of the matter penetrating into V through the surface T,. diffusion flux. Then Let jj be the corresponding
The surface 2.1). provided the normal vector n is oriented outward of V (Fig. can be the transformed Gaussian theorem: integral by divergence
J dL n
\342\200\242
j? = J dV
div
j,
B.10)
onemay obtain a local equation for p-s by requiring Combining with B.8), equality of the integrands at each point of V. The derivative d/dt commutes with the integral sign, thanks to the assumption about mechanicalequilibrium.
Thus, we obtain (DeGroot and Mazur, 1962):
^=-divj;+\302\243v;,,W,,
B.11)
As we saw earlier in this section,the wp values are even in simplecases nonlinear (polynomial) functions of {pj} values. Consequently, Eqs. B.11) constitute a system of nonlinear partial differential equations. necessarily In order to determine the solutionsof these equationsit is necessaryto These supplement them by suitable boundary conditions(Sneddon,1957). conditions,which reflect the extrinsic constraints acting on the system, can assumea considerable variety. In subsequent chapterswe are interested more specificallyin boundary conditionsprescribing or the the fluxes {jy}, concentrations {pj} on the surface T,. Theseconditionsare familiar from in fluid dynamics,and electromagnetictheory and boundary-valueproblems will be referred to, respectively, as Neumann and Dirichletconditions. Now the characteristic of nonlinearity implies that, even in relatively is an arduoustask. At the present the solution of Eqs. B.11) simple cases, time there is no general mathematical theory of these equations. It is, therefore, important to undertake a study of their qualitative behavior,
30
in
Conservative Equations
other words,of that part of their properties that is not strongly dependent on the detailsof the chemical stepsand diffusion. Part II is devoted to the mathematical aspectsof this question.Forthe time being we investigate how far one could go in the qualitative underof systems describedby Eq. B.11) understanding by the methods of thermodyof irreversibleprocesses.
thermodynamics
Chapter 3
of Irreversible Thermodynamics The LinearRegion Processes:

GIBBS'S FORMULA: ENTROPY PRODUCTION 3.1.
have already insistedin the previous sectionson the specialstatus of in a very general way, the tendency entropy in physics.Entropy expresses, to of isolatedphysicochemical systems evolve irreversibly to equilibrium. Moreover, it provides a measure of the order prevailing in the system.We shall, therefore, extend the conceptof entropy in a way applicableboth to and to situations far from equilibrium. open systems The first problemwe face in such an extension is to find the variables on which entropy depends.Naturally, the compositionvariables pn is among them. But it is quite conceivable to have situations in which the thermodynamic state would dependon additional variables.In a nonuniform pn vary in spaceand time. system,which interests us here primarily, pu Thus one could considera functional that dependsnot only on {pjbut also explicitly on their gradient in spaceand on their variation in time:
We
pl5...,
...,
\342\200\242.;
S=
As
sL,..., p.;{VpJ; {V2pJ,. fei ...;r,t)
C.1)
However,the generalityof this Ansatz equation makesits usevery difficult. a matter of fact, there is no guarantee that an entropy function defined in terms of such a relation has always a macroscopic meaning arbitrarily far from equilibrium, that is, for arbitrarily high values of the gradients {Vp,} and of the time derivatives {dpjdt}. in order to selecta funcConsequently, form of the entropy that is both meaningful and pertinent to the type of problemwe must analyze in this monograph, we appealto someresults from statistical mechanics of irreversible processes 1949b), (Prigogine, which we simply enumerate without giving the proofs. One can show that condition (iii) of Section2.1 implies, from the microof the of particle momenta and that distribution functions point view, 31
functional microscopic
32
equilibrium
Thermodynamics
The Linear of Irreversible Processes:
Region
relative positionsin the system are maintained, locally, close to the equiMaxwell-Boltzmann distribution. This means that dissipative processes arising primarily from the frequent elastic collisionsbetween molecules constitute the dominant contribution to the molecular distribution constraints functions, which is only slightly perturbedby the macroscopic A similar restriction is imposed (e.g., gradients) imposedon the boundaries. on chemical reactions: weshall supposethat reactivecollisions be sufficiently rare events (energy of activation sufficiently large) so that elasticcollisions the Maxwell-Boltzmann distribution. may restore Under these conditionsthe entropy of a nonequilibrium state can be defined, and contains a dominant contribution that is a local functional of the state variables pu pn:
...,
S = S(Pl(r,
*),..., 0) + Orfmeanf7ePfY1 macr JJ

pn(r, LA length
C.2)
The functional relation C.2)has the samestructure as in thermodynamic equilibrium, exceptthat now it has to be understood locally, rather than for the entire system.Thus, entropy becomes an implicit function of time to the balance Eqs. through varying according Let us indicate here a few systems for which theseassumptions apply and that still may exhibit typical far-from-equilibrium behavior. Firstly, quite
p1,...,pn
B.11).
complexsystems of chemical reactionswith highly nonlinear kinetics can be treated by a local theory provided the rate of elasticcollisions remains
This is generally true in a not-toolarger than the rate of reactive collisions. rarefied system,in particular for all biological that occur in dense processes, media.Similarly, all convectiveand transport effectsdescribed by the NavierStokes equations, including hydrodynamic instabilities, are within the domain of validity of the local description. On the contrary, such phenomena as shockwaves, flows in rarefied systems, or plasticdeformations of solids are at present beyond the range of this approach.Let us emphasize once of a macroscopic these again that no proof of existence entropy describing situations has as yet beengiven.* The results mentioned so far define the domain of validity of local referredto as local equilibrium thermodynamics) thermodynamics (sometimes
statistical mechanics leads, indeed, to the definition of a functional that changes monotonously in time and may be used for the definition of entropy. However, this functions and not in terms of functional is expressed in terms of the statistical distribution This the macroscopicvariables such as the {pj(Prigogine, George, Henin, and Rosenfeld, 1973). of entropy. There also, result generalizes the well-known Boltzmann kinetic interpretation entropy may be defined in terms of the velocity distribution function. However, it is only when to their equilibrium form that Boltzmann's quantity locally the distribution functions are close can be expressed in terms of macroscopicquantities (Prigogine, 1949b).
* Nonequilibrium
Gibbs's Formula: 3.1.
Entropy Production
33
of matter. In description or, equivalently, the domain of a local macroscopic form we to in define the these results a more order express quantitative as entropy density sv
S=
with sv
[dVsv
C.3) C.4) derivatives of C.4)we
= sv(Pl(r,
t),...,
pn(r, t))
obtain:
where sv is now an ordinary function. Taking time dsc _ y fdsv\\ dpj ~dt~ y \\dpj~dt
Now, using the assumptionsindicated above, we may introduce as equilibrium thermodynamics the relation
=
in
-y
C-5)
where p}is the chemical potential per unit massof constituent Xj (Prigogine and Defay, 1951). Thus
This relation is a particular case of the celebratedGibbs formula, equilibrium has the form (Prigogine and Defay, 1951):
which
at
TdS = dE + p dV
\342\200\224
Yj Mi drtij i
C.7)
for sv:
where E is the internal energy and p the pressure. We may now combineEqs.C.6) to deducea balance equation and B.11)
ds,,
iTSf,
The expression
+div^j,.-Ej,-vf
C.8)
MP=-ZWjP
C.9)
34
Thermodynamics
Region
instructive to consider,as in Section equilibrium thermodynamics one has:
occursfrequently in nonequilibrium thermodynamics. It is reaction p (De Donder, 1936). To seethe meaning of this
an 2.2,
the
affinity
of
it
quantity
is
ideal mixture. According to

j
C.10)
The affinity
becomes:
The quantity
K\302\260\302\253(T,
p)
= expf-X
njvj^
C.11)
is known
in chemistry as the equilibrium constant. According to the law of massaction:
KeqG; P) = FI Pêc,
j
C-12)
where p, eq are the concentrations of the reactants at chemical equilibrium. Finally, 01 p takes the form:
[\\py
C12a)
= 0.Thus, the affinity At equilibrium, the law of mass action imposes (Xp measures the deviation of a chemicalreaction from the state of equilibrium. It plays a role in transport theory the similar to that of \\/ij, which measures deviation of the distribution of matter from the uniform state. Comingback now to C.8)we obtain:
ot j T j I
p
into two This relation has a remarkablestructure. It may be decomposed
parts:
-divJs = -divS i jj j ^
and
C.14a)
ffs -Vj(-V^+ y^w0
C.14b)
S.I.Gibbs's Formula:
We
thought
Entropy Production
35
observethat a is a bilinear form of the quantities j,-, wp, which can be of as the flows, Jk associated with the various irreversibleprocesses, 01. and of the quantities V(^/T), JT,which can bethought of asthe generalized forces, Xk giving rise to theseflows:
o = Y,JkXk
k
C.15)
with
Jff = j,; Xff=

J\302\253act
-V|
=
= wp;
X\342\204\242\302\253
-^
C.16)
To better understand the differencebetween the Js and a parts of C,14), we integrate this relation over the volume. After a partial integration and alsoEqs.B.9) and B.10)] application of the Gaussian divergencetheorem [see we obtain, using also the condition of mechanical equilibrium:
\342\200\224
= _ fdFdiv Js +
....... ...
\\dV
a=
- . dl.nJs+
.\342\200\236
\\
\\
d \\dV
arrive, therefore, at the decomposition, developedin Chapter 1,of the a term into and an flux entropy change entropy production term. As deS/dt is relatedto the constraints exertedby the outsideworld, we cannot impose law [see any restriction on this part ofdS/dt.In contrast, the second Eq. 1.6] never be negative: that the inside the can stipulates entropy produced system
We
d{S
dt
The validity of the local formulation of irreversible processes then: implies,
a >0
This relation leadsto the following classification: o> 0:irreversible processproducingentropy cr = 0: reversible processconnecting two equilibrium states
In
C.18a) C.18b)
and forces Xk,
we have expressed the entropy balancein terms of flows Jk conclusion, To go further which must be connected by inequality C.18a).
36
it
Thermodynamics
Region
which in principleare unknown which forces are known functions of the are related to the quantities, Xk local composition variables,provided thermodynamics remains valid.
is necessaryto seehow the flows Jk,
RELATIONS: 3.2.PHENOMENOLOGICAL THE LINEAR OF IRREVERSIBLE PROCESSES
RANGE
We have already observedthat at thermodynamic equilibrium the generalforces Xk vanish identically:

generalized
VI
\342\200\224
=0
(system at uniform
composition)
(chemicalequilibrium) C.19) On the other hand, by definition at equilibrium there is neither macroscopic transport of matter nor an overall production of constituents from the chemical reactions. We conclude that:
af = 0
\\,...,n
C.20)
Jekq
=0
From Eqs. C.19) it is natural to postulate that near equilibrium, and C.20) that is, when the generalized forces remain sufficiently \"weak,\" one might in series the of flows Xk: expand power
(/0
X,
I\302\243
Z lm \\0A!
y%-)
(\"Wo
XtXm
- C.21)
C.22)
The first term of this expansionvanishes identically owing to Eq. C.20). The contributions of the third and subsequentterms can be neglected provided the system remains near equilibrium. The remaining terms yield:
Jk
= YJLklXl
i
where we have set:
($)
The above two relations define the linear range of irreversible processes. The phenomenological coefficients Lkl are entirely determined by the internal structure of the medium, independently of the constraints applied on the system.They may depend,however, on the state variables such as and composition. temperature, pressure, the mass-balance Thanks to the phenomenological relations C.22), equathe of become closed, B.11) entirely enabling explicit computation values of the generalized forces or, equivalently, those of the state variables.
equations
3.2.
Phenomenologkal Relations: The Linear Range
of Irreversible Processes
37
Note that the rigorous is beyond the framework justification of Eq. C.22) of thermodynamics and belongs, rather, to statistical mechanics.The latter also permits better specification of the domain of applicability of linear laws. One can show that all transport phenomena are described gradients vary on satisfactorilyby such relations, provided the macroscopic a scale lh, which is larger than the mean free path lr (Prigogine, 1949b):
/* We
>
C.24)
recover, therefore, the conditions for the validity of local thermoitself, based on the notion of local equilibrium (seeSection3.1). thermodynamics relations C.22) as far as transport phenomena are concerned, Alternatively, is as general as the local formulation of thermodynamics. The situation is entirely different for chemical reactions. As an example,
considerthe step
We
*'
<
>
C.25)
have [see and B.6)]: Eqs.C.13)
or:
In
C-26)
C27) I\302\243)<(\302\243))
order to recover a linear law such as C.22) to assume it is necessary
a< kBT
onefinds: Then, expanding the exponential in Eq. C.27),

kBT This condition restricts the validity of linear relations to situations corof equilibrium or to reactions corresponding to the immediate vicinity proceedingwith an extremely low activation energy. In general, such conditionsare not satisfied in realistic systems.Thus, in order to set up a to extend the satisfactory descriptionof chemical reactionsit is necessary This extension is theory to the nonlinear domain of irreversible processes. carriedout in Chapter4.One can alsoshow (Glansdorffand Prigogine, 1971) that such a generalization of linear theory is necessary to tackleother probas well, in particular the spontaneousonset of convection, which is ruled out by the linear relations C.22).
problems
i^
C.28)
38
Thermodynamics
Region
Let us now examine the effectof the linear relations on the structure of the and C.22) oneobtains: entropy production.From Eqs.C.15)
kl
by the secondlaw) to remain valid for all (imposed the values of possible generalized forces.We also want the equality sign to to state of thermodynamic equilibrium: {Xk} = {0}. the correspond will these relations imposeconditionson the phenomenological Obviously, coefficientsLkl. In different terms, the couplingsbetween irreversible proprocessescannot be arbitrary but must remain compatiblewith inequality
We want this inequality
C.29).
Now, relation C.29)defines a positive definite quadratic form. This imposesthe restriction on the matrix of the coefficientsLk, to be positive definite, that is, to have eigenvalueswith positive real parts. An alternative condition can be obtainedif one observes that a quadratic form can always be symmetrized. Thus, the validity of inequality C.29)imposesthat all eigenvaluesof the symmetric matrix: LS = UL + Lt)
C.30)
where LT is the transposedof L = (Lkl), must be positive. Among the explicit criteria assuringthese propertieswe may quote the and Bellman, 1965). following theorem (Beckenbach Theorem. A necessaryand sufficient condition that a symmetric matrix Ls of matrix elements/-7 A < < n) be positive definite,is that the determideterminants
Lf | satisfy
the
inequalities:
i,j
l\\ 2
>0
C.31)
kl
'k2
k = 1,
...,
Ilk
In particular, this theorem impliesthat the diagonal elements /-, must cobe positive.According to C.30)it follows that the phenomenological coefficients L,, are themselvespositive:
Lit
>0
C.31a)
As an example, considerthe caseof two coupledirreversible processes. The entropy production,Eq. C.29), becomes:
a = LXXX\\ + (L12+ L21)X1X2 + L21X\\ \\
3.3.
We
Symmetry
Properties
of the
Phenomenological Coefficients
39
as a trinome with respectto the variable (XJX2). regardthis expression condition for positive definitenessis,then, that the The well-knownalgebraic be positive and the discriminant coefficientof the highest power of (X1/X2) be negative:
>0 (Li2 + L21J 4LnL22 < 0

Ln
or, in terms of the symmetric matrix

/'\342\200\236
Ls:
>0
Theseare precisely the conditions C.31) requiredby the general theorem of positive definiteness.
3.3.SYMMETRY
COEFFICIENTS
OF THE PHENOMENOLOGICAL PROPERTIES
The phenomenological coefficientsC.23) introduce into irreversiblethermoa great number of parameterswhosevalues cannot be obtained thermodynamics within the framework of a macroscopic theory. Fortunately, it is possibleto reducethe number of independent phenomenological coefficientsby appealto symmetry arguments. We examine, successively, the influence of spatial and temporal symmetries.
appealing
SpatialSymmetries
each Cartesiancomponent of a flow Jk may depend, According to Eq.C.22), in principle, on the Cartesiancomponents of all generalized forces present. On the other hand, going back to the explicit propertiesof the entropy in Section that the irreversible processes we see of productiondiscussed interest can be decomposed into two quite different classes, namely, vector chemical reactions). phenomena (e.g., diffusion) and scalarphenomena (e.g., If thesetwo kinds of processes were coupled, then a chemicalreaction would be capableof giving rise spontaneously to an orienteddiffusion flux, even in the absence of a systematic initial concentration gradient. Intuitively, it is obvious that such a coupling is to be ruled out in an isotropic medium. In other words,the causesof different phenomena cannot have more elements
3.1,
40
Thermodynamics
Region
of symmetry th^rthe effectsproduced.* In fact, this property can bedemonexplicitly on both purely macroscopic groundsand kinetic theory in the linear approximation. It is important to realize that a system described by linear laws is always In contrast, isotropic as long as the equilibrium state itself is isotropic. ifi the nonlinear range the property of isotropy is lost independently of the structure of the medium at equilibrium. In this casethe Curie property in Part IIthis may leadto spectacular doesnot apply.As we see \"symmetryto the emergence of spatial patterns breaking\" phenomena corresponding in a previously uniform medium. In conclusion, in the linear range, entropy productioncan be decomposed,
demonstrated
into two entirely
uncoupled parts:
a = (Tch + ad
with
C.32)
separately positive contributions:
C.33)
The OnsagerReciprocityRelations Temporal Symmetries:
Despite the spectacularreduction of the number of phenomenological coefficientsachieved by the analysis of spatial symmetries,there still remain n2 independentcoefficients for diffusion and r2 coefficients for chemical
reactions.
In
matrix
coefficients.
1931, Onsager discoveredadditional

Lu
Xj\302\261l
relations between these coHe showedthat in the linear domain of irreversible processes the of phenomenological coefficientsis symmetrical:
= L,k
C.34)
of flux Jk arising from a unit In other words,the increase X, (keeping constant) is equal to the increaseof flux
unit
increaseof
Xk.
relations. In his original derivation Onsagerappealedto considerations based on In particular, he showedthat fluctuation theory and stochasticprocesses.
* The
a Relations C.34)are known as Onsager'sreciprocity
J, arising from
increaseof force
influence of spatial symmetries on coupling was first studied by Curie in relation to some problems in crystal physics such as piezoelectricity. It was then applied to nonequilibrium systems by one of the authors (Prigogine, 1947).
3.4.
Stationary
Nonequilibrium
States
41
of the property of the reciprocity relations are rigorous consequences detailed balance or, alternatively, of the time-reversal invariance of the elementary steps associatedwith the various irreversible phenomena.As the proof of Onsager's reciprocity relations is presentedin many textbooks De Groot and we do not reproduceit here.However, Mazur, 1962), (e.g., comments are made in in connection with the theory of additional Part around states. fluctuations nonequilibrium
III
3.4.
We
STATIONARY
STATES NONEQUILIBRIUM
are now in a position to apply the properties of phenomenological coefficientsto the analysis of nonequilibrium states. Among these,the socalled steady states play a privileged role.Indeed, in a great number of physicallyinteresting problemsa system either evolves in the neighborhood of such states or attains a steady state for sufficiently long times. Also, the mathematical analysis of steady statesis obviouslysimpler than that of time-
dependentstates.
By definition,
the composition case variables {pj do not

\342\200\224
a system is at a steady state if the state our evolve in time. Within the dodomain of validity of local thermodynamics, this condition implies that the local state functions like the entropy density sv or the entropy production The resultsof Section3.1 lead,then, to density o are also time independent.
variables\342\200\224in
the following
relation:
deS =
<0 -d{S
C.35)
to Thus, in order to maintain a steady nonequilibrium state it is necessary pump, continuously, a negative flow of entropy of magnitude equal to the value of the internal entropy production.Note that in a system at or near a steady state the entropy flux cannot generally be imposedarbitrarily from outsidebut becomes, instead, a functional of the state of the system. It is a matter of observation that a system subjectto time-independent constraints reaches, after a sufficiently long time, a steady state.Consider first the case of constraints, compatiblewith the maintenance of an equiequilibrium state.The equilibrium state attained in this way is a particular case of a steady state.Imagine next that the constraints are progressivelymodified to shift the state of the system away from equilibrium. By continuity, one expectsthe new state, attained asymptotically,to be,again, a steady state. Now, in a system subjectto usual types of constraint, the only spatial inhomogeneities that can arise at equilibrium are those induced by the of external forces such as gravity and by the boundary conditions. presence In the absenceof such effects,the balanceequationsB.11) imply that the
42
Thermodynamics
Region
contribution of chemical reactions and of diffusion to the evolution of macrovariables vanish separately. Thus, by the same continuity argument as before, one should expectsteady states sufficiently close to equilibrium to exhibit similar properties. in Chapter4 and Part II, As we see the situation may change drastically for systemsmaintained beyond a critical distance from equilibrium.
3.5. THEOREMOF MINIMUM
ENTROPY PRODUCTION
of steady nonequilibrium We want now to study somequalitative properties states.The mass-balance equations B.11), by the linear laws, supplemented take the form:
|i
=
divELijV^+Ev1,W^
Lu = Ljt,
\\pp.
C.36) C.37)
with
= l,p
The total entropy productionbecomes* [see Eq. C.14)]:
=
We
\\dVa
\342\226\240j
~ [dv L,j Wiij + ' [dvW

\342\200\242>
Lu
\302\243
lPP- MP
pp'
>0 aj\\ J
C.38)
are interestedin the way the system evolvesto the steady state.To this end,weevaluate the derivativedP/dt.In performingexplicitlythe time derivain Eq. C.38), we admit that the phenomenological coefficientsLti, lpp. remain constant, in other words, that their values depend only on the This assumption is more restrictive than linearity. equilibrium parameters. for a moment that LV] depends on a compositionvariable pa. Suppose One would have:
derivative
dpj it
the time derivative dpjdt would introduce higher According to Eq. C.36), order terms, rendering dP/dt a cubic function of the generalized forces. that the latter remain weak, this contribution couldbe neglected. Supposing the assumption of constant phenomenological coefficients, Alternatively, alsoreferredto as \"strict linearity\" condition, is equivalent to an assumption of \"weak amplitudes,\" whereas the assumption of linear laws implies \" weak gradients.\"
* We recall
that we
are interested
here in isothermal systems at mechanical
equilibrium.
3.5.
Theorem of Minimum Entropy Production
43
Bearing thesepoints in mind oneobtains,using the definition C.9)of the chemical affinity:
I
Ij: .-, \\//i t it;

\342\200\242
\\7
~~Z
d/l; .
~
^ \\ /
, /
'\342\226\240no'
fit
_,
o'
dill
\\)
in
According to local thermodynamics ti{
= //,({p7}),that is,
=
-\302\243
Z[\302\243-)
ir
V
C-39)
Thus: dP
2 r
[\342\200\236
\\7^Â ^Pk
(^^l\\/7 ^Pj
In the first term we perform a partial integration. The divergenceterm is transformed to a surface integral:
By
the system to evolve to a steady The remaining contributions yield, using
imposingtime-independent boundary
state\342\200\224we
conditions\342\200\224in
order to enable
term automatically.
also Eq. C.36):

dt
cancel this
dt
T2J\"'jj\\dPjJdt
At this point we may invoke someproperties of equilibrium state functions, also referred to as thermodynamic potentials. From classicalthermodyone knowsthat in an open system at a state of stableequilibrium
thermodynamics
the generalized thermodynamic potential (Landau and Lifshitz, 1957):

(<50)eq
0 = 0G;
>0
V,
is a {/i,})
minimum
=0
(<520)eq
C.43)
Introducing the density
</>\342\200\236
through
0=
S(f>v
Lv(j)L,
one obtains for an isothermal system in the absenceof convection:
= Yj Pi
i
<>Hi
C-44)
44
Thermodynamics
Region
and
= S 6Pi:5fit = E (~) SPidP]>0
C.45)
where the inequality follows from the secondrelation C.43). Inequalities such as Eq. C.45)are generally referred as thermodynamic stability conditions.We do not go into further detailshere concerning such thermodynamic stability conditions.This theory has been initiated by Gibbs and is presentedin many textbooks(for a recent presentation, see Let us only mention that in addition to Glansdorff and Prigogine, 1971). are: f amiliar C.45), thermodynamic stability conditions Eq.
where the specific heat at constant volume and the isothermal compresx are positive quantities. to Eq. C.45), we notice that the compositionvariations t)p, Returning there are appearing arbitrary. They may, therefore, representthe variations of p( arising during the time evolution of these quantities. This remark, in Section together with the validity of local thermodynamics discussed lead to the conclusion that the structures of the two quadratic forms C.42) and C.45) are identical. Thus, one may assertthat
compressibility
3.1,
Figure
3.1. Time evolution
of entropy
production in linear range.
3.6.
in
Impossibility
of Ordered
Behavior in the Linear Range
of Irreversible Processes
45
other words(Prigogine, 1945,1947):

\342\200\224
<0
=0
away from the steady state
C.46)
at the steady state
\342\200\224
at
the time variation of P. Figure 3.1 represents In summary, we have shown that linear systemsobey to a general ininequality implying that at a steady nonequilibrium state, entropy production a minimum, compatible with the constraints appliedon the system. becomes
OF ORDERED BEHAVIOR 3.6.IMPOSSIBILITY

RANGE A
IN
THE LINEAR
OF IRREVERSIBLE
PROCESSES
physical system is subject,inevitably, to perturbations of various kinds. Thesecan be either external excitations arising from a random or systematic or internal fluctuations generated variation of the environmental conditions by the system itself as a result of the molecular interactions and the random thermal motion of the particles. As a result, the system deviates continuously behavior described the macroscopic by the although usually
\342\200\224
weakly\342\200\224from
balance equations of the thermodynamic macrovariables. Imagine now a system initially at a steady state.The various perturbations and drive acting on it induce deviations from the steady-state regime it to time-dependent states {pi+ Spk(t)} (see virtue of the miniFig.3.2). By minimum entropy-production theorem, the entropy-production density of the
{p\302\260}
p\302\260
Figure
3.2.
Illustration
of variable pk; dpk
= perturbation
of theorem of minimum entropy production; from steady state.
p\302\260
= steady-state
value
46
Thermodynamics
Region
latter statesis larger than the steady-state value a0. According to inequality the value + dpk(t)}) then evolves in time until the minimum C.46), value Go is attained or,equivalently, until the system is driven back to the reference state.The perturbation, therefore, regresses. By definition, we say that the referencestate is asymptotically stable.We see that the theorem of minimum entropy production guarantees the stability of steady nonequilibrium states. The notion of stability introduced in this section by intuitive arguments is developed fully in Chapter5. We see, the therefore, that in the linear range of irreversible processes, entropy productiona plays the sameroleas the thermodynamic potentials in equilibrium theory. Nevertheless, the general tendency of systemsnear equilibrium to approach a stable steady state does not necessarily imply that entropy is always increasing in these systems. Thus, it has been found that in simplesituations such as the approachto the steady state for thermal diffusion, entropy is decreasing. Also, its value at the nonequilibrium steady state corresponding to a minimum of P may be smaller than at equilibrium, = 0 (Prigogine, of entropy does not However, this decrease 1947). Pmin reflect the emergence of macroscopic order of any kind, as it occursin a continuous and smooth fashion as the constraint responsiblefor nonequilibrium is switchedon from its equilibrium value. More generally, as pointed out in Section 3.4, the steady states near equilibrium are essentially uniform in space if permitted by the external constraints.The stability of thesestates implies,therefore, that in a system of order in the form of obeying linear laws, the spontaneousemergence or temporal patterns differing qualitatively from equilibrium-like spatial behavior is ruled out. Moreover, any other type of order imposedon the system through the initial conditions is destroyed in the courseof the evolution to the steady state. of a variational principle Finally, it is of interest to point out the existence the theorem of minimum The great practical entropy production. implied by of is a such a to advantage generate convergent approximation principle scheme for calculating approximately the variables {p,}. The classical this of scheme is the from mathemethod familiar example Rayleigh-Ritz and (Kantorovich 1964). Krylov, physics
<r({p\302\260
mathematical
3.7. DIFFUSION
a local inhomogeneity is createdin an initially uniform system,say by a chemical reaction, the thermal motion of the particlestends to damp this inhomogeneity. This is the phenomenon of diffusion. In this way a macroWhen
3.7.
Diffusion
47
scopic quantity of matter is transported across a surface situated in the region of inhomogeneity. Diffusion is an extremely common phenomenon in nature. Quite often it constitutes the \"rate determining\" step in a lot of processes. Thus, the rate is about 0.3 ofwater evaporation from a freesurfaceat whereas g/cm2s ~1, mm is a the rate of diffusion acrossan unstirred air layer of a width of 0.1 thousand times less. Thus, diffusion acrossthe gaseouslayer just above the the rate of evaporation of the liquid. liquid surface determines In many instances,diffusion manifests itself as a transient process. In it is possible to set up a steady state of diffusion by maintaining other cases, This is particularly easy in diffusion constant constraints at the boundaries. across membranes or solid experiments phases. In this sectionwe give a quantitative formulation of diffusion. According in Section3.3 to discussion we may neglect the effectof chemical reactions, the two of will inevitably be coupledin the equations effect although types of evolution of the macrovariables. The entropy-production density takes the following form:
20\302\260
ffdiff
~t
W\302\243
C-47)
Note that, by definition, the n composition variables {p,} are independent. In this respect,our treatment differs from thosebased on classical thermoof closedsystems(Prigogine, De Groot and Mazur, 1962). 1947; thermodynamics In the latter, one starts with a number of constituents that are coupled
through
the
relation:
Ei = 0
i
C.48)
convection):
The latter is necessaryin order to assure the compatibility between the balanceequationsB.11) and the conservation equation (in the absenceof
dt with
= E Pi
C-49)
an opensystem The picture we adopt here is,instead, as follows.We consider inert gasor liquid solvent)which of n chemicalconstituents in a medium (e.g., is in excess. Thus, the fluxes j; are to be understoodas diffusion fluxes in the medium. If, in addition, the reactive mixture is dilute, then the couplings i and j is negligible. between diffusion fluxes of components
48
Thermodynamics
Region
Relations C.16) and C.22) imply, therefore:

T,p
C.50)
where LH dependson the propertiesof the solvent as well as on the mass fractions of i in the solvent. As /i,- = n,({pj}):
to: Usingagain the assumption of a dilute mixture we can reduceEq C.51) h=-Dt\\Pi
where we introduced the
diffusion Dt
C.52) C.53)
coefficientD,:
(f)
obtains:
Relation C.52)is known as
Fick'slaw. Combining with Eq. C.36),one

=divD,Vp,C.54)
\\-!r) V Ot /diff
In many cases can bereducedto a as constants, and C.54) D{can be regarded linear relation known as Fick's secondlaw (DeGroot and Mazur, 1962):
= Dt V2pt
f
C.55)
The diffusion laws analyzed in this sectionimply that the flux of matter is always directedto the region of low concentration. This situation prevails the state before the appearance of the inhomowhen the referencestate (i.e., or anisotropic and isotropic.In nonhomogeneous geneity) is homogeneous of highly media, such as in membranes or in fluid phasesin the presence nonlinear chemical reactions,the diffusion flux can be inverted. Matter is the system then transportedagainst the concentration gradient. In this case is said to undergo an active transport (examples are given in Chapters 14 and 16).
Chapter 4
NonlinearThermodynamics
4.1.INTRODUCTION
showsthat transport The analysis of linear laws performed in Section3.2 can be treated such as diffusion satisfactorily by linear thermophenomena of chemical reactions On the other hand, a realisticdescription thermodynamics. requiresan extensionof the theory to the nonlinear range:
a > kBr
As
D.i)
of we have seen,this condition is compatible with the local description as chemical irreversible processes as long reactions outlined in Section3.1 remain slow phenomena in respectto elasticcollisions within the reaction
mixture.
Nonlinear thermodynamics is, therefore, essentially a thermodynamics of chemical reactions.* The state variables of the system satisfy the balance equations B.11):
^= -divI +
P=
In
\302\243
vlpWf>
D.2)
and the entropy production takesthe form:
JdFff=Jdr[-Xj-V^+ 2>,,^1= jdV^JkXk D.3)
such laws is provided by relation C.27).
Eq. D.2)it is understoodthat both j, and wp are related to ps values laws.An exampleof a suitable set of nonlinear phenomenological through
* We recall that we are interested here in isothermal systems in mechanical equilibrium. more general situations, additional nonlinearities appear through the Reynolds stress term
through In and
the temperature dependence
of chemical
rate constants.
49
50
Nonlinear
Thermodynamics
4.2.THE GENERAL
As in
EVOLUTION CRITERION
we are now interested in the way the system evolvesto the Section3.5, state. Unfortunately, by performing the derivative dP/dt one finds steady has no specialpropertiesoncethe domain of linear laws that this quantity and of Onsagerrelations is exceeded. Nevertheless,it is possibleto obtain a dP/dt as follows: general inequality by decomposing
dt
dt
dt
dt
dt
In the linear range, both contributions to and using Eqs.C.22)
C.34):
identical.Indeed, dP/dt become
D.5)
The last inequality is a consequence of the minimum entropy-production theorem. It turns out that beyond the linear range, dP/dt does not exhibit any property of general validity. However, as we show presently, dxP/dt satisfies a general inequality extending the theorem of minimum entropy production. We have: <46)
dt
first contribution is transformed by a partial integration. The surface term arising from this transformation vanishes for time-independent conconcentrations or for zero fluxes at the boundaries, by an argument identical to that in Section Theseconditionscorrespondto an open system in com-
The
3.5.
some external phasesthat are in a time-independent and spatially uniform state and are characterized by given valuesof temperature, pressure,and chemical potentials.Next we express(Itl in terms of the fij
communication
with
4.3.
Evolution Criterion and Kinetic Potential
51
taking
= Hj{{pk}). We dependence fij

dt
values and evaluate
dfij/dt
as in Section 3.5,by obtain: finally <?\" dt
into account the
Tj
where the surface term vanishes thanks to the boundary conditions we may transform the right-hand side to: Usingthe balanceequation D.2) T J
Again,
conclude
w^)!^
f/
\\dpj dt
dt
D8)
the arguments developed in Section 3.5 can be appliedhere to ensure the definite character of the quadratic form appearingin Eq. D.8). We conthat
(Glansdorffand Prigogine, 1954):
dxP< 0 (=0 at the steady state) dt
D.9)
This inequality is as general as local thermodynamics itself.*The derivation outlined in this sectionshowsthat in the linear range it becomesidentical of its generality, to the theorem of minimum entropy production.Because it has been calledthe universal evolution criterion. In Section4.3we examine the information obtained from this criterion on the properties of nonequilibrium steady states.
AND KINETICPOTENTIAL 4.3. EVOLUTION CRITERION
Let {\\f}, {/if}be the values of flows, forces, and chemical the composition varipotentials at the steady state. According to Eq. D.2), {pf}at this state satisfy the relations: =0 -divj,<{pj}) +X D.10)
{w\302\260}, {<%\302\260},
variables
vipw\302\273({py0})
We
regardnow the steady state as a referencestate and set: Pi = pf + SPi = + 3W(I Wp

w\302\260p
D.11)
fluxes
conditions different from those considered in this section, such as constant on the surface E, one can still derive a general inequality. However, the result can no longer be cast in the form of Eq. D.9).
boundary
* For
52
Nonlinear
Thermodynamics
Relation D.6) becomes:
performing the same transformations as in the previous section [Eq. and by taking Eq. D.10) into account, onecan seethat the first D.6)-D.8)] bracketvanishes identically. Thus, dxPis a quantity of secondorder in the excess flows and forcesaround the steady state:
By
Jkd5Xk<0
Figure 4.1 provides a schematic representation of this inequality. In the immediate neighborhood of the steady state oneexpectsthat
3Jk
J\302\260k
D.13)
bXk Ak
<
D.14)
By
it is natural analogy to C.22)
to
set:
D.15)
where the coefficients /tt. are time independent.Note that relation D.15) can be compromisedin the presence of critical phenomena leading to in detail in Parts Such phenomena are discussed self-organizingprocesses. II and IIIfrom standpointsof both macroscopic equationsand stochastic theory.
becomes: Expression D.13)
TdxP=
kkf
D.16)
^
In general, the matrix
lkk.
is not symmetrical:
'kk'
Ik'k
it into a symmetric and an Nevertheless,it is always possibleto decompose
antisymmetric
part:
4.3.
Evolution Criterion and Kinetic Potential
53
6X,
5X
-5X-
5X,
Figure 8X may
4.1. Geometrical
belessthan
interpretation
7t/2, angle
between
8J and
of inequality D.13). Whereas angle between d&X is necessarily larger than n/2.
8J and
Thus:
f J
V
kk'
f J
'\302\253\342\200\242
V
kk'
= d\\ (dVY, 2J
kk'
&Xk
&Xf
+ \\dvZ 'LJ kk'
dd
Xk.
D.18) D.19)
The quantity
\\dV J
appearingunder the differentiationsign can be transformed as:

Ilk' ?>Xk SXk,
X
kk'
J\\dV
X
kk'
/\302\253-
<5Xt
5Xt. = J{dV^SJk SXk k
The last term representsthe excess entropy production,that is, the part of the entropy productionarising from the excess flows and forces.Consider
next the quantity:
TSXP = (dV^JkSXk= (d
We now
[dV5Jk5Xk D.20) sidevanishes identically.
Indeed:
show that the
first
term of the right-hand
D.21)
\342\226\240^
Nonlinear
Thermodynamics
In the first term we perform a partial integration and observe that the surface term vanishes for boundary conditionsof the type discussed in Section
4.2:
Combiningthe remaining terms and
obtains:
taking
into account one Eq. D.10)
1 L
ip
D.23)
Returning
to
and D.20), onemay write: Eqs.D.19)

J
dK\302\243
T 5XP = and
5Jk SXk
= excess entropy production
D.24)
SXk
kk1
dSXk.
<0
D.25)
In summary, dxPwould be the differential of the state functional SXPif the contribution of the antisymmetrical part llw could vanish. The situation would be as in the linear range, where the differential dP of P has a welldefined sign, thanks to the theorem of minimum entropy production.A would then permit straightforward extensionof the arguments of Section3.6 the asymptotic stability of steady nonequilibrium states to be established, provided 5XP is positive:
SXP> 0
D.26)
of an antisymmetric contribution in the general case Conversely,the presence raisesthe problemof stability of steady states far from equilibrium, which is no longer ensuredby inequality D.25). This important problemis examined this section in detail in the remaining part of this chapter. We close by recalling that the reasoningfollowed so far has been adapted to the case where the The in the reference states are steady states. evolution neighborhoodof
statesis discussed time-dependent briefly
in
Chapter8.
4.4.
Stability
of Nonequilibrium
States. Dissipathe Structures
55
STATES.DISSIPATIVE 4.4. STABILITY OF NONEQUILIBRIUM STRUCTURES The important role played in the evolution criterion by the excess entropy that a study of stability of nonequilibrium statescouldbe production suggests based on the excess entropy-balance equation.To this end we introduce the and the entropy entropy productionvariations around the steady state:
AS
LSI
= S({Pi})
C
\342\200\224
S\302\260({pf})
I il
^ 7
J I.
y\\
I.
C
\342\200\224
\342\200\242Ik
If
^ 7
k
J i.
<427>
y\\
i.
these variations arise from either external discussedin Section 3.6, disturbancesor random internal fluctuations inducing deviations of the
As
from their steady values state variables {p,} Assuming that the deviations these remain can of variables one small,* {dpi} expand AS and AP in the form: following
{p\302\260).
fplfp%2Y+'.'.
with
D28)
[see Eqs.C.5)and D.24)]:

<5S= [dVY\\^\\ SPi=
J
t
\\8PiJo
-- [dVYfifSpt
TJ
i
D.29a)
D.29b)
S2S=
SPidPi T J\\dVY\\4^) ij \\8Pj/o

$Xk
SP =
I*dV X
k
(J\302\260
+ X? SJk) =
J{dVY^X\302\260kdJk k
D.29c)
j S2P =
thermodynamics
\\dV
\302\243
SJk SXk
= SXP= excess entropy production D.29d)
The point is that in the entire range where the local formulation of thermoremains valid, the quadratic form S2S [seeEq. D.29b)] has the samestructure as in equilibrium, and as a consequence it is a negativedefinite
quantity:
S2S=
* As
-I ~
dV \\dV
I*
Y X I
5Pi dPj ^ ) SPi dPi < 0 (P)
D.30)
of critical
pointed out in Section 4.3,this assumption can break down in the presence phenomena (see Part III for a detailed discussion of these phenomena).
56
Nonlinear
Thermodynamics
Let us now compute the time derivative of the
excess entropy S2S:

A
-\\
\342\200\236
SSp:
dpi\342\200\224\342\200\2241
D.31)
D.32)
,.,,,
We have taken into account that the
quantity
dPjj0 representsa symmetrical matrix in the indices/ and j. The time derivative balanceequations[see Eqs.D.2) dSpj/dtcan be substituted from the excess
l
and
D.11)]:
ddPi or
We
= -divdj, +
Ivi,\302\253Wp
D.33)
obtain:
-1
\\dvx(d\302\243)
it,+ X VipsW sPjT-div
In the first term we perform a partial integration. The surface term vanishes for constant concentration or for constant flux boundary conditions.The remaining terms yield:
Introducing the
affinity
through
Eq. C.9)we finally obtain:
\\dV
\342\200\242J
Yj
k
<>Jk
dXk
= excess entropy production= SXP D.34)

SXk
Supposefirst the referencestate is the state of equilibrium. Then

SJk
= Jk,
= Xk
D.35a)
D.35b)
and
= = jt &2SU jdV<r P>0 by the secondlaw, with [see Eq. D.30)]: (<52S)eq< 0 evolvesin time, as indicated in Fig.4.2. Thus, (<52S)eq
4.4.
Stability
of Nonequilibrium States.Dissipative
Structures
57
Figure
4.2. Time evolution
of second-order
excess entropy
(<52S)eq
around equilibrium.
The argument, by now familiar, first developedin Sections 3.5and 3.6 connection with the minimum entropy-production theorem, showsthat as f -> oo the system evolves to the reference state. Thus, we have demonthe asymptotic stability of equilibrium in respectto small perturbaNote that the argument about stability relieson the definitecharacter which vanishes only at the reference state. Such functions are of (E2S)eq, referred to in analysis as Lyapounov functions. Lyapounov's stability theory is discussed in somedetail in Chapter6. As we have indicated in Chapter 3, the equilibrium state is characterized The result we just established by the absenceof spatial or temporal order. implies,therefore, that this disorderedsituation cannot be modified as long as the systemdeviates from equilibrium only through fluctuations or through random disturbances. Imagine now a process causing a systematic deviation from equilibrium, for instance, the increase of a state parameter or of a constraint, X (affinity of an overall reaction, compositiongradient at the boundaries,etc.). The variables are subjectto the changesdescribedqualitatively in composition Fig.4.3. According to the theorem of minimum entropy production,the to equilibrium remain asymptotically stable [Fig.4.3, steady states close branch (a)].By continuity this branch of states\342\200\224subsequently referred to as the thermodynamic branch\342\200\224maintains its stability in a finite neighborhood of the equilibrium state. But beyond a critical value Xc one could not rule out the possibilitythat the states on the thermodynamic branch become unstable [Fig. the least disturbance 4.3,branch (b)].In this case compelsthe system to evolve away from this branch.The new stableregime attained by
in
demonstrated
perturbations.
58
Nonlinear
Thermodynamics
(a) stable part of Figure 4.3. Branching of states as the distance from equilibrium increases: branch; (b) this branch becoming unstable; (c) new solution (dissipative thermodynamic branch. structure) emerging beyond instability of thermodynamic
to an orderedconfiguration. can correspond the system [Fig. branch (c)] We say that at X = Xc we have a phenomenon of bifurcation of a new branch
4.3,
of solutions.
4<<52S)\342\200\224the
near equilibrium the property SXP> 0 is an immediate of the secondlaw, whatever the perturbations {Spôf the state consequence variables might be.Far from equilibrium, however, the time derivative of not be positive definite. excess entropy production are indicated in in The possibilities that might arise this more general case
In summary,
5XP\342\200\224need
Fig.4.4.
F2S)
Stable
Marginally stable Unstable
Figure
4.4. Time evolution
stable, marginally
of second-order excess entropy (S2S)in stable, and unstable situations.
caseof (asymptotically)
4.4.
As
unstable
Stability
of' Nonequilibrium
States.Dissipathe
Structures
59
unwe seefrom Eq. D.34),the nonequilibrium steady state becomes becomes as soon as the excess (and stays) entropy productionSXP negative for t > t0. (Glansdorffand Prigogine, 1971): SXP< 0 for t > t0 unstable referencestate SXP> 0 for t > t0 asymptotically stablereferencestate D.36)
: :
parameters measuring the distance from equilibrium. When a critical value Xc of X isreachedthe sign of the inequality in Eq.D.36) will be inverted, and the referencestate looses its stability. We referto this critical situation as the state of marginal stabiliy.
X
Fora given system, one can modify
the value of 5XP by changing a set of
SXP(/.C) =
0 for
> t0 :marginal
stability
D.37)
This relation enablescalculation of the values of the constraints capableof inducing an instability of the thermodynamic branch. It is of interest to relate the thermodynamic stability conditionsD.36) and D.37) Considerfirst a unimoiecuiar to the kineticsof chemical reactions. in a reaction chain: step
X
j==\302\261
D.38)
We
have [see 2.2 and Sections
3.1]
J = w = ka'a:
\"
>A
k2pA
a = kB T ln-'<lP'x
For pA, T constant (and
thus
alsok, ,k2 = const):

Sw = *i bp X
sa = k,T-$Px Px
and
dxa = 5w 5 T = kBk,
We
in
px
\342\200\236'
>0
D.39)
the autocatalytic process
concludethat reaction D.38) tends to stabilize the system.In contrast,

A
r~^
2X
D.40)
60
Nonlinear
Thermodynamics
where the presence of X enhancesits own production,onehas:
-k2p\\\\
Sw = (klpA
2k2p\302\260x)Spx
B^
Px
and
&x\302\260
- ^(kiPA Px
2k2p\302\260x)(dpxJ
D.41)
this expression can become Undercertain conditions, negative.We conclude that autocatalytic reactions or, more generally,reactions involving nonlinear steps tend to destabilizethe system.Naturally, a single reaction such as Eq.D.40)cannot producean instability, as it will always evolve to equilibOn the other hand, such a process can be a part of an open system and Prigogine, ofreactions (Glansdorff,Nicolis, undergoing a wholesequence Now, the most important biochemical reactionsin cellular dynamics 1974). are nonlinear, as they involve complexfeedbacks.Thus, the biological interest of these considerations is quite obvious. This point is discussed in detail in Parts IV and V. In summary, we have found that the distancefrom equilibrium and the of ordercapableof driving the system to an nonlinearity may both besources ordered configuration. A highly nontrivial connection between order, and dissipationappears.To indicate clearly this relation we call stability, the ordered configurations that emerge beyond instability of the thermoequilibrium.
Nevertheless,
dynamic branch the dissipativestructures. The analysis of this sectionshould already have clarified the important One can really speak of fluctuations in theseself-organizationprocesses. role of order through fluctuations in connection with these transitions. Neverthat what has been dealt with here is the it should, be emphasized time evolution of a macroscopic fluctuation, oncethe latter appearsin the The such and the a priori probability of a of fluctuations origin system. is a profound and important problem fluctuation enjoyingspecificproperties that will be approached in Part III. one should be Finally, fully aware that the results of this chapter merely the The real proof of of suggest possibility self-organization processes. existenceof such processes a detailed requires analysis of the balance II. this is in Part equations; analysis performed
Part II
Mathematical Aspects of Self-organization: Methods Deterministic
Chapter 5
Systems Involving Chemical and Diffusion.Stability Reactions

GENERAL 5.1.
FORMULATION
The thermodynamic analysis of nonlinear systems outlined in Part I proved to be an extremelypowerful tool in that it sortedout the role of the distance from equilibrium as a source of order. We now turn to the kinetic aspectsof the purposeof this part of the monograph is to this problem. Moreprecisely, and to analyze the illustrate various types of self-organization processes mechanismsof emergence of the spatial or temporal patterns.The presentawe adopt is, of course, inspiredby the resultsof Part I.In addition, we to the techniques of nonlinear mathematics in appeal quite frequently order to obtain quantitative information about the solutionsdescribing the organized states. We consider again, as in Chapter2, an opensystem at mechanicalequilibXn. Under the involving n chemically reacting constituents instantaneous macroin the enunciated Section to 2.1, assumptions (i) (iv) state of the system is describedby the compositionvariables {/),}. The latter obey the massbalance equations[see Eq.
presentation
equilibrium
X1;...,
macroscopic
F.11)]:
^= -divj, +
Iv/pW/)
(i
=],...,n)
E.1)
In the nonlinear range ofirreversibleprocesses, j, and wp become complicated nonlinear expressions in physical However, in many instances involving p{. subof intermediate chemistry and biology one deals with the evolution substances that are very dilute. According to Section3.7, the diffusion flux j, for such systems takesthe form:
j;=-\302\243>iVpi
first (Fick's
law)
E.2)
63
*\"
Systems Involving Chemical Reactions and
Diffusion.
Stability
where the diffusion-coefficientmatrix has been taken diagonal and the takesthe form coefficientsDt are henceforthtaken constants.Equation E.1)
^ = MPi})
/\342\226\240
+ Dt V2Pi
E.3)
describes where the nonlinear function the overall rate of production of X, from the chemical reactions. for a physicoAccordingto Sections and chemical system obeying the law of mass action at equilibrium, j\\ will be of the polynomialtype. This makesthe differential nonlinear functions of {pj} system E.3)a system of nonlinear partial differential equations. According to the usual classificationof theseequations(Sneddon,1957), of first ordertime derivativesand second-order the presence spacederivatives This is a very general feature of confers to Eq. E.3)a paraboliccharacter.
4.1 2.2,
second evolution equationsdescribingdissipative systems,such as Fick's law law for diffusion or Fourier's for heat conduction. As emphasized in Section in order to have a well-posed 2.2, problemit is that conditions expressthe necessaryto prescribeappropriate boundary constraints acting on the systemfrom the outsideworld.In most applications we deal either with Dirichlet conditions:
{pf,
{n
\342\200\242
= {const} ...,pl)
\342\200\242
E.4a)
E.4b)
or with Neumann conditions:

n Npl} = {const} Sp\\,...,
one of the with a linear combination of both conditions.Sometimes, the system is closed constantsin Eq.E.4b)vanishes identically. In this case with respect to exchanges chemical substance.This of the corresponding condition appliesto most of the experiments of the Belousov-Zhabotinski reaction, which is the bestknown chemical example giving riseto dissipative we in in as see detail 13. structures, Chapter We may also recall from Section4.2, that the conditionsof fixed conin deriving the concentrations or of zero fluxes at the boundaries was necessary < 0. form of the in terms evolution criterion of explicit dxP/dt Beforewe close this sectionwe want to insist on the generality of Eqs.E.3) as they apply in ordinary chemical kineticsas well as in biochemistry to E.4), at the cellular or the supercellular level. With slight modifications they can account for thermal effects;it sufficesto add to Eq. E.3)the equation for the internal-energy conservation:
or
c^ = div2VT+X(at
AHp)wp(T,
{Pj})
E.5)
5.2.
Lyapounov
Stability
65
where c is the specificheat of the mixture, AHP the heat of reaction p, and nonlinear (usually exponential) wp depends on temperature in a highly a simple fashionthrough the rate constants. Moreover, change in the interpreof the variables permits description diverse of such phenomena as the an of in or the electrical competition populations activity of the ecosystem brain. The modeling of a concrete problemamounts, therefore, to a judicious of the variables, of the form of the \"chemical\" laws determining fh choice in and to and the valuesof of the Eqs.E.3) E.5) parameters describing wp AHP, the latter the diffusion coefficients{DJ, the rate constants the system.-Among {kip}, the sizeof the system and, finally, the nature of the appliedconstraints, in the behavior of the system. play a decisiverole
interpretation
5.2. LYAPOUNOV
STABILITY
that an important The thermodynamic theory developed in Part I suggests is the loss of phenomenon accompanying a self-organization process of the thermodynamic branch. In this and subsequentsectionsof stability this chapter wedefinemore rigorously this important notion in a number of different situations. We first introduce the conceptof Lyapounov stability (Minorski,1962). Let Xi{r,t) be a solution of the differential system E.3),that is, a set of functions {X^r,t)} dependingon the respective space and time variables r and t, satisfying identically Eq. E.3),together with initial and boundary domain conditions. We assumethat the motion is defined in the space-time = < < < this a 0 t < that in domain and 1,2, 3; {0 rx lx, X^r, t) is oo} that bounded and is, physically meaningful, positive.
Definition t t0, there
existsand tj = tj(E, t0) such that any solution Yj(r, t) for which \\xi(r, to) ^(r, to)I <1 satisfies also \\X;(r, t) Yfc, t)\\ < e for t > t0. If no such exists, the solution is unstable.We see that stability in the sense of Lyapounov is equivalent to the property of uniform continuity (familiar from differential calculus)of X(r, t) with respect to the initial conditions.
r\\
1. We
say
that
X,(r,t)
is Lyapounov stable
if
given e
> 0 and
Definition
2.
If ^,-(r,t)
is stable,and if
lim
f-\302\273OO
\\Xfa,
t)-
Yfc,t)\\
=0
E.6)
we say that X((r, r) is asymptotically stable.
66
Systems Involving Chemical Reactions and x
Diffusion.
Stability
-1 5.1. Stability
of steady-state solutions of Eq.
Figure
E.7).
In other terms a solution (or motion) is asymptoticallystableif all solutions coming near it approachit asymptotically. As an examplelet
This equation admits two steady-state solutions
as well as the
family
+1 of solutions(seeFig.5.1)
xOi x
-1,
+
k),
x02 =
E.8)
x@)
1
= th(f
to
= arth
1
< x@) <
E.9)
asymptotically stable.*
By applying Definitions 1 and 2 it
is found
that
x01is unstable and x02 is
5.3. ORBITALSTABILITY
In many cases of interest in physical chemistry and biology onedeals with systemssubjectto time-independent constraints.This is translated by the fact that the right-hand sideof Eq.E.3)\342\200\224essentially the rate function/\342\200\224does not dependon time explicitly.We call such systems autonomous. Let Xt(r, t) be a solution of Eq. E.3). It is then clear that any function X,(r, t + x) where
* Note that if we had considered stability for t x02 unstable.
\342\200\224 -\302\273
oo, x01 would
be asymptotically
stable and
5.3.
x
Orbital Stability
67
In other is an arbitrary constant (the phase),is still a solution of Eq. translational invariance. a utonomous exhibit the of words, systems property These infinitely many solutions,differing from each other by the phase, In the define a trajectory (or orbit) of the system in an appropriatespace. absence of spacedependences, this phasespaceis an n-dimensionalEuclidean a spacespanned by the n variables pu pn and the trajectory becomes In the more general case we deal with infinitely dimencurve in this space. We spacesspannedby sets of functions, known as functional spaces. in of orbits these 7. in give examples spaces Chapter a certain \"metric\" defining the distancein phase Supposeone chooses spaceand let C denotethe orbit. We say that C is orbitally stableif, given e 0, there existsn 0 such that if Xo is a representativepoint of another trajectory within a distancen from C at time t0, then X remains within a distancee from C for t C is orbitally unstable. Otherwise, If C is orbitally stableand the distancebetween X and C tendsto zero as t -* oo, C is asymptotically orbitally stable. Lyapounov stability and orbital stability should not be confused (see
E.3).
...,
dimensional
>
>
> t0.
Fig.5.2).
Figure 5.2. Comparison between Lyapounov stability and orbital stability. C,C\" aretwo orbits of different periods. Although their distance remains bounded for all times, distance between two points 1 and on these orbits can increase in time owing to phase shift induced by difference between periods. Thus, state 1 need not be Lyapounov stable, even if orbit C is orbitally stable.
1'
6*
A
Systems Involving Chemical Reactions and
Diffusion.
Stability
simpleillustration of the conceptof orbital stability (Minorski, following system due to Poincare
^=
at
X(\\
-X + 7A ^-= at
Switching to
- - X2 X2
1962):
Y2)
is provided by the
Y2)
Theseequationsadmit the steady-state solution
Xo=Yo= 0
for X and Ycentered on this state: polar coordinates X
Y
= r cos6 = r sin 6
we may transform the equationsinto the form:
?=
dt
<
Theseequationsadmit a solution representing a circular orbit
with
a finite
radius:
=1 e = eo-t
>\342\200\242
By applying the definitionsone finds that this orbit is asymptoticallystable in the phaseplane as t -> oo. and attracts the trajectories
5.4. STRUCTURAL STABILITY

Implicit in the definition of Lyapounov and orbital stabilitieswas the assumpthat the structure of the right-hand side of the basic equationsE.3) remained unchanged. The various kinds of disturbanceacting continuously on the system (seeSection3.6 and Chapter4) merely displacedthe instanstate of the system from a \"reference\" state to a new \"perturbed\" state represented by someother point in the same phasespaceas for the unassumption
instantaneous
unperturbed
In many physically interesting situations the evolution of the system of which are given in Section dependson a number of parameters, examples
system.
5.4.
Structural Stability
69
can themselveschange smoothly or even abruptly. someof theseparameters New parameterscan be \"turned on,\" thus increasing the number of interdegreesof freedom. Finally, others can become extinguished permathe change of the parameters or momentarily. In each case generally the structure of the equations themselvesby modifying the right-hand changes Let e be a measureof the change of some representative sidesof Eq. E.3). all If solutions of the modified system remain in a neighborhood parameter. e o f order of the solution of the \"initial system\" for e = 0, we say that 0{e) the latter is structurally stable.If no such neighborhood exists,the system is in a unstable. stable system the structurally Alternatively, structurally of in s tructure the topoiogical trajectories phase space (wheneverthe latter can be defined)remains unchanged. A simple illustration of the idea of structural stability is given by the
interacting permanently
As the systemevolvesand is continuously perturbed 5.1. world, by the outside
motion of a pendulum. The usual mathematical model of this system is the and is characterized by an infinity of periodictrajectories harmonic oscillator dependingcontinuously on the initial conditions.In nature, however, a as it is always subjectto friction. pendulum is never a harmonic oscillator, As a result, the system evolves eventually to a unique equilibrium state of rest, reachedsooneror later dependingon the magnitude of friction. We that the equationsdescribing are structurally conclude harmonic oscillators unstable with respectto friction. The practical functioning of a dependable clock requires,therefore, a finite external driving force that compensates the effectof friction. Structural stability has long been known to play an important rolein electricalengineering.An extremely lucid description of particular problems involving this conceptis to be found in the monograph by Andronov, Vit, and Khaikin A966). More recently, Thorn drew attention to the generality We return to of this concept and its implications in a variety of phenomena. this conceptin Chapter6 and in Part V.
Chapter 6
Tools Mathematical
INTRODUCTION 6.1. The solution of the reaction-diffusion equations E.3)and E.4)is an extremely arduous task, primarily because of the nonlinear character of the rate functions. On the other hand, the thermodynamicanalysis of Part I suggests that an important feature common to a large class of self-organization shouldbe the loss of stability of the thermodynamic branch and processes the subsequent evolution to a stabledissipativestructure. At the point where the exchange of stability takes place,a branching of at least two solutions of Eqs.E.3)and thermodynamic branch and a dissipativestructure take place. To date there exist a number of general techniquesof nonlinear mathethat cover such phenomena.We discuss two that seem to be particularly well adapted to the analysis of pattern formation and the biologicalimplications: (a) theory of bifurcations and (b) theory of catasBoth theoriescorrespondto two different ways of extending the catastrophes. work of Poincare, who was the first to put the qualitative theory of nonlinear differential equationson a solid ground. A third mathematical technique, namely, stability theory, also retains our attention as it constitutes, in many arguments in ways, a powerful alternative to some otherwise complicated bifurcation theory.
E.4)\342\200\224the \342\200\224would mathematics
6.2.THEORYOF BIFURCATIONS
we pointedout repeatedly, the right-hand sideof Eq. E.3)dependson a X. Suppose X such that for X sufficiently setof parameters that we choose small, these and with time independent constraints, equationsadmit as t -* oo, a positive and bounded)solution.According single physical acceptable(i.e., to irreversible thermodynamics, the latter lies necessarily on the thermobranch. It may be further assumed that this branch depends smoothly on the parameter X.
As
thermodynamic
70
6.3.
Stability
Theory
71
Now for certain critical values Ac of X, the solutions on the thermodynamic their stability branch might no longer be unique and might even loose properties.In the neighborhoodof these critical points the system could evolveto a new regime exhibiting spatial or temporal order. We say that at thesecritical pointsthere is bifurcationof the solution on the thermodynamic branch.*In general, one expectsthat in the immediate neighborhood of Ac the new solutions will dependon A in a nonanalytic fashion. The purpose of bifurcation theory initiated by Poincare and developed his and others, is further school, by Andronov and Hopf, Krasnosel'skii, to develop methods enabling one to: demonstrate (a) rigorously the existence for certain of branching of solutions critical values kc, and (b)construct, in an and approximate fashion, analytic convergent expressionsfor certain of at solution important types emerging the bifurcation points. We illustrate this approach directly on a solvable model in Chapter 7. Herewe turn to the concept of stability, which recurs frequently in this monograph, and which is intimately connectedwith the very existenceof the phenomenon of bifurcation.
6.3.STABILITY THEORY
The mathematical definition of stability has already been developedin Chapter 5.Here we would like to outline a number of techniques enabling one to assessthe stability of solutionsof the differential equations. of LinearizedStability The \"Principle\"
oneis interestedusually in the stability of a particular type of solution of it is often convenientto study the behaviorofthese equations around Eq.E.3), this particular reference state {XOi{r, We as an also t)}. may regard {Xoi}
As
unperturbed solution that is continuously perturbedby the action of external disturbancesor by internal fluctuations x,(r,t). The latter lead from {XOi} to the new solution
Z,(r,t) = Z0,(r,t) + x,(r,t)
F.1)
One can think of F.1) as denning a new coordinatesystem in phasespace, centeredon the referencestate rather than at the point @,..., 0). From Eqs.E.3)and F.1) one can deducethe system of equationsfor {xj:
^ = MXoj
* Note
evolution that
+ xj}) MXOj})+
\302\243>,
V2x,-
F.2)
the very occurrence of bifurcation implies nonlinear equations would admit a unique solution.
kinetics; otherwise, the
72
Mathematical
Tools
or,setting
vt
= MX0J + Xj}) MXOj}),

dx
-\302\243
F.3)
F.4)
= v/L{xj}) + D, V2x,-
is now reflected by the stability of The stability of the referencestate {XOi} the \"trivial solution\" {x,= 0}of Eq. F.4). In general, the system of Eq. F.4)is nonlinear and as complicated to solve the behavior local as the original system E.3). Quite frequently, however, of the solutionsaround the origin:
X;
X0l
turns
F.5)
out to provide extremely significant information about the behavior of the completenonlinear system.To describethis local motion it suffices with respect Onethen obtainsthe linearized to linearize Eqs.F.2)-F.4) to x;. system, also referred to as variational system:
where the elements of the coefficient evaluated at the referencestate.The enormous is the linear that advantage system F.6) can be studied by such classicalmethodsof analysis as the normal mode method.We illustrate thesemethods with the examples in Chapter7. The following important theorem, first proved for ordinary differential links the stability 1962; equationsby Lyapounov (Minorski, Sattinger, 1973), the of a nd F.6) E.3). properties systems
matrix\342\200\224the Jacobian\342\200\224are
Theorem. If the trivial solution of Eq. F.6) is asymptotically stable,then of is an stable solution If it is unstable, then Eq. {XOi} asymptotically E.3). is alsounstable. {XOi} We note that the theorem gives no information in case the trivial solution of Eq. F.6) is (Lyapounov) stable but not asymptotically stable.This socalledcritical case has to bestudiedseparately. and Conti, 1964) As (Sansone a matter of fact, a state corresponding to the critical case is structurally unstable, as its propertiesare likely to change qualitatively on the action of a disturbance, The phenomenon even if the latter is made as small as desired. of branching, mentioned repeatedly in previous sections, occurs necessarily in this critical case.
6.3.
Stability
Theory
73
Method Lyapounov'sSecond The investigation of stability based on the system of linearized equations Forsystems amounts to the direct integration of this system. involving many chemicalvariablesthis can often be an awkward way of proceeding, especially In contrast, the method if the referencestate is spaceand/or time dependent. that are: known as Lyapounov'ssecond method providesstability conditions o f the to of the linearized applicable integration system, (b) (a) independent of all kinds, including spaceand/ortime-dependent referencesolutions{Xoi} The ones,and (c) applicabledirectly to the nonlinear systemsE.3)or F.4). informaone to is that the has method qualitative usually pay provides price and does not enable determination of such quantities as relaxation times or oscillation frequencies. We first considerthe nonlinear system F.4)with diffusion terms absent:
information
~=
We
v&{xj})
F.7)
introduce the following:
Definition. Considera function of n variables V = V(xu xn). We say Fis definite in a domain D in phasespace around the origin (D: < n, where n is a positive constant), if it takes values having a single sign in D = xn = 0. V is semidefinite if it takes the and vanishes only for x l = in In V is indefinite. same sign or vanishes D. all other cases
\342\226\240 \342\226\240 \342\226\240
...,|x,|
Next we consider the derivativeof V along a solution of Eq.F.4). Fortimehas: constraints becomes and one autonomous, independent system F.7)
where v
= (vu
...,
vn)
and
(\302\243\342\200\242\342\226\240\342\200\242\342\200\242\342\200\242\302\243
The first theorem of Lyapounov asserts:
inD.
= xn = 0) isstablein a domain D Theorem The referencestate (xt = one can determine in D a definite function V whose \"Eulerian derivative\" is either semidefiniteof sign oppositeto V or vanishes identically [Eq. F.8)]
\342\200\242 \342\226\240 \342\226\240
1.
if
74
Mathematical
Tools
Let us also state Lyapounov:
without
proof two more fundamental theorems of

\342\200\242 \342\200\242
= xn = 0) is asymptotically stable if one Theorem2. The state (xi = can determine a definite function V whose Eulerian derivative is definite and has a sign oppositeto that of V. = xn = 0) is unstable if one can determine Theorem3. The state (xt = a function V whoseEulerian derivativeis definite and V assumes in D values such that V(dV/dt) >0.
\342\200\242 \342\200\242 \342\200\242
Note that these theorems only provide sufficient conditionsfor stability. Indeed,in general the way of constructing a Lyapounov function V is not by the theory. prescribed theoremsand the ideasunderlying equilibrium thermodynamics. In essence, whenever it can be constructed,a Lyapounov function plays the roleof a
It is instructive to point out the
closerelation
between Lyapounov's
potential in the immediate vicinity of the reference state, whose extremal propertiesdetermine the stability of this state. The ideas outlined for the ordinary differential system F.7) have been extendedto partial differential equations by Zubov (e.g., Zubov, 1961). Sufficeit to mention that in this case one dealswith Lyapounov functionals rather than with Lyapounov functions which are, typically, integrals over spaceof appropriatelocal quantities. It is important to recall here that the entire discussionof Section4.4 dealing with the stability of nonequilibrium stateswas, in fact, an application of the above-mentioned Lyapounov theorems. The Lyapounov functional, whosepossibletime behaviors are illustrated on Fig.4.4,is in this case the excess entropy
E2SH= Jf dVE2sH=
-~
f dV X SPidPj 1 J ij \\Cpj/o
(\342\200\224)
F.9)
6.4. THEORYOF CATASTROPHES

An essential F.4)or E.3)is to contain explicitly property of the rate equations a diffusion term in the right-hand side.The roleof this term is extremely important. As we see in detail in the next several chapters,this term can state induce, under certain conditions,an instability of the homogeneous the initial and establishwithin the system a regime breakingspontaneously richness in the behavior of the solutions spatial symmetries.This exceptional is accomplished at a considerableprice; no general classification of the
6.4.
Theory of Catastrophes
75
solutionsof such equationshas been achieved as of now. At best, we can construct approximate expressions for specialtypes of solutionssuch as or almost steady-state,periodic, periodic ones, without being able to of bifurcation in the assertthat these solutionsexhaust all of the possibilities system. In recent years, Thorn (e.g., a powerful method has developed Thorn, 1972) term can be suppressed such a the diffusion classification,provided enabling The entire spatial dependence\342\200\224that is, the entire morphology in Eq. E.4). of the rates of the accountedfor by a parametric dependence an in and time. The differential then, ordinary system E.4)becomes, fi space system:
solutions\342\200\224is
~ = MP]),l>)
fi
(i
=1
\302\253)
F-10)
with
= (t,t;X)
F.11)
initial symmetries are broken by an unidentified external action rather than by the system itself. The spontaneouscharacter of selfis, therefore, not accountedfor explicitly. organization processes in the theory\342\200\224although A second assumption that plays an important role that Eq. F.10) a great deal of current attempts aim to relax derives from a potential
In this way, the
it\342\200\224is
dp, = _ dV({pj},,)
dt dpt
where V is the \"potential\" function. We note that from the standpoint of irreversible thermodynamics (seeespecially Section4.3),the dynamics of a dissipative system can derive from a potential only in some exceptional situations such as systemsinvolving a single variable, or systemsoperating in a small neighborhood around the state of thermodynamic equilibrium. is not representative of a system subjectto strongly nonThus, Eq. F.12) of this is that some equilibrium constraints.An important consequence which become oscillations, very widely spreadphenomena such as sustained possiblebeyond the instability of the thermodynamic branch, cannot be
classification
described by theseequations. Underthesetwo assumptions, one may now undertake a general classifiof the solutionsof Eq. F.12) based on the breakdownin structural stability, by lookingfor the points where there is a change in the stability propertiesof the steady statesdV/dpt = 0.The latter exist as long as Fdoes not dependon time explicitly.These ensemblede catastrophes by hypersurfaces in the parameter space along which either
points\342\200\224called Thorn\342\200\224are
76
Mathematical
Tools
a branching of solutionsof the equationstakesplace,or where V attains its absoluteminimum in at least two distinct points.In other words,by crossing these hypersurfaces one switches from a region where a certain dynamics takes placeto a region where the dynamics is qualitatively different. In a hypersurface defines a spatial domain having a general [seeEq. certain morphology, separating different types of regime.In this way intimately related.We illustrate Thom'stheory dynamics and form become on an explicitexample in Section8.4.
F.11)]
INVOLVING 6.5.HOMOGENEOUS SYSTEMS
TWO
VARIABLES
General Considerations Before we proceed to the analysis of specific models,we illustrate in this sectionsome of the conceptsdevelopedthus far on the simplest possible nontrivial caseof systemscapable of undergoing cooperative behavior. Obviously, the simplestsuch examplein the context of chemical kinetics are systemsinvolving two variable concentrations.* Our main purpose is to seethe conditionsunder which such systems can exhibit instabilities in the steady-state solutions,without explicit reference to the details of the kinetics.To simplify even further we ignore the effectsof diffusion. The Let X, Y denotethe composition variables of the two intermediates. rate equationstake the form:
F.13)
Ht
Y)
Forsystemssubjectto time-independent constraints, both fx and fY do not
is autonomous. dependon time explicitly.Thus the differential system F.13) We assumethat fx, fY are continuous and satisfy the Lipschitz condition in a certain boundeddomain, D, of the phasespace(X, Y), in other words,
\\fx(X2, Y2)
- fx(Xu rj < K|X2- X,|
\\fy(X2,Y2)-fY(X1,Yl\\<K\\X2-Xl\\
* Systems
of their inability to give rise to involving a single variable are excluded here because oscillatory behavior and/or spatial structures arising beyond instability of the thermodynamic branch. They are studied briefly in Section 8.4.
6.5.
Homogeneous Systems Involving Two
Variables
77
always fulfilled
in D and for We observethat Eq. is the kinetics is polynomial, that is,if the individual chemical stepssatisfy the law of massaction at equilibrium. Undertheseconditions, an important theorem of analysis due to Cauchy and Levinson, 1955) assertsthat the solutionsof and Picard (Coddington to a certain initial condition in D exist and are corresponding Eq. unique for t within a boundedinterval @, T). In order to appreciate better the meaning of this theorem, let us eliminate t in Eq. the two We obtain: between equalities
for every X,-
= {X,, Yt)
if
K>0.
F.14)
F.13)
F.13).
dXMX,Y)
FJ5)
The solution of this (nonlinear)first-order equation provides a one-parameter in the phaseplane (X, Y). To each point on thesecurves family of trajectories Thus, time can be used to correspondsa solution of the system F.13). theorem stated Moreover, from the uniqueness parameterize the trajectories. to different initial above, any intersection of the trajectoriescorresponding conditionsis ruled out. Another important point is that a closedtrajectory, a periodicsolution of the difC, in the (X, Y) plane describesnecessarily differential system. Indeed,from Eq. F.13):
dt
dX
fx(X, Y)
A V*
Integrating over the
closed curve C we obtain:

At
\\
T7V~v\\
this
= const
F-15a)
Thus, one can definea periodfor The Characteristic Equation
motion.
Forevery point (X, Y) in the plane there corto Eq. F.15). a well-definedvalue of the slope dY/dX of the trajectory, except corresponds for the points where
Let us
return
We call these the singular points.Note that by Eq.F.13) a singular point is a steady-state solution of the differential system. All other points in the plane are calledregular points.Accordingto our previousanalysis,one of the singular points correspondsto the extrapolation of the thermodynamic branch in the far-from-equilibrium region.Thus, in order to investigate
Mathematical
Tools
the possibility of self-organization processes we must analyze the stability of this particular steady state {Xo,Yo). To this end we construct the corcorresponding linearized system [cf. Eq. F.6)]:
\342\200\224
dx = aux + al2y
dy
\342\200\224
= a21x + a22y
F.16)
with
au = (j^\\
and
XY=Yo
(etc)
F.17)
F'18) F.19) Eq. F.16)
of the form: admits solutions Owing to its linear structure, the systemF.16)
x
xoe\302\260\",y
yoe\302\260\"
Suchsolutionsare called normal modes.Substituting back into we obtain a homogeneous for the coefficients algebraic system of first degree x0,y0. The condition for having nontrivial solutionsof this system is
=0 F.20) det|fly -(oS%\\ This equation is known as the lie characteristic equation.In the presentcase of a two-variable system it takesthe form co2 Tco + A = 0 F.21) where
>
are, respectively,the trace and the determinant of the matrix of the coefficoefficients.
In general, Eq. F.21) admits two distinct solutions(ou at2. Thus, the is of the form: solution of Eq. F.16)
+ CtS* x-c^' = +
y
CiKte\"\"
c2K2ea2t
F23)
6.5.
Homogeneous Systems Involving Two Variables
79
where ct, c2 are determined by the initial conditions,and the coefficients referred to as distribution coefficients(Andronov et al., Ku K2, sometimes the are roots of the equation [see 1966), Eq. F.16)]:
+ (au -a22)K a12K2
- a21 =0
F.23a)
stability
criteria:
\342\200\242
From theseexpressions one obtains straightforwardly

If both Re o)j
the following
stable..
\342\200\242
< 0 (i = 1,2), the
steady state {Xo,Yo) is asymptotically
If for at least one of the
is unstable.
\342\200\242
roots Re co^> 0 (a = 1 or 2), the state (Xo, Yo)

the
If for at least
remain negative, the system is stable in the senseof Lyapounov, but not asymptotically stable.We call this situation marginal stability. of T and A Now onceEq. F.21) is known, that is, oncethe dependence on the parameters it is immediatelypossible to seewhich of these is specified, we can determine is actually realized. Moreover, from Eq. F.23) possibilities how the perturbedsystem evolves back or departsfrom the singular point. Thesevarious types of behavior are briefly compiledin the next subsection. Classificationof the Singular Points: SimpleSingular Points
Both Roots Are Real, T2
(i) If in
one of the roots Re coa= 0 (a = 1 or 2) while
others
4A
>0
to\342\200\224or from\342\200\224
addition, A > 0, both roots a>; have the same sign. According to this implies a nonoscillatory approach Eq. F.23), departure the singular point.*One speaksin this case, respectively,of a stable or of an unstable node. Figure 6Aa,b describesthe qualitative behavior of the tratrajectories in
thesecases.
Two particular cases, both corresponding to a double root of the charfirst correspondsto the The are worth equation, mentioning. situation a12 = a21 = 0, an = a22 = a # 0:
characteristic
dx
\342\200\224
dt dy
= ax
F.24)
that the behavior may well be nonmonototic for some finite time interval. arises when the signs off, and c2(or of the Ku K2) are not identical.
* We note
This
so
Mathematical
Tools
(a)
(b)
stable node; (b) unstable node.
Figure6.1. (a) Asymptotically
The trajectories,besidesthe singular point S, are all rays issuing from S, if a > 0.Point S is called a in the direction of S if a < 0, toward infinity or stellar node, stable unstable, respectively(Fig. 6.2a,b). This yields: to T2 4A = 0. The secondcase corresponds
\342\200\224
It = ax + ay
The solutionsare given by:
x
y
dx
F.25)
= x01ea = yOiea
ay01tea
F.25a)
By eliminating t one sees that the trajectoriesare the curves y = 0 and in Fig. x = y log | y | + cy, with c a constant.Thesecurves are represented
One speaks,respectively,of a stableor unstable one-tangentnode. 63a,b.
(a)
Figure
(b)
stable stellar node; (b) unstable stellar node.
6.2. (a) Asymptotically
6.5.
Homogeneous Systems Involving Two Variables
81
Figure
stable one-tangent node; (b) unstable one-tangent node.
< 0, then the two (real)rootsa>i have different signs.From Eq.F.23) one obtains:
(ii) If A
e0\"' =
- K2) y-Ktx c2(K2 - K,

y-KlX
c2(K2
F.26)
Taking coj > 0 and co2 < 0, one deducesthen the following equations
for the
trajectories:
- K2x cl(Kl - K2)

y
- K,
F.27)
These are hyperboloidcurves with two asymptotes passing through the singular point, which is calleda saddlepoint. Theseasymptotes correspond to the particular choice of initial conditionsc2 = 0 or c, = 0.Their slopes are, therefore, K^ and K2, respectively and are the roots of Eq. F.23a). these trajectories in the phaseplane (x,y). We note that Figure 6.4represents
Figure
trajectories
6.4.
Separatrices and configuration around a saddle point.
of tra-
82
Mathematical
Tools
(a)
Figure
(b)
stable focus; (b) unstable focus.
but for one of the two the representativepoint on all trajectories,
asymptotes, as t -* oo. Thus, a saddlepoint is always unstable.We call of the saddlepoint. the two asymptotes the separatrices goesto
infinity
The Roots are ComplexConjugate, T2

(iii) If, in
\342\200\224
4A
<0
addition, T # 0, then the two roots have nonvanishing real part. this implies an oscillatory approach to (T < 0) According to Eq. F.23), or departure from (T > 0), the singular point. One speaks,respectively, of a stable or an unstable focus. The trajectoriesare representedin Fig.
6.5a,b.
(iv)
\342\200\224
0,
but
>0.The roots are purely

in
imaginary,
a>i
\302\261
iy.
Thus,
phasespaceundergoesundamped oscillations^ of course linearization constitutes a valid approximation. provided to the in the beginning of this section, considerations According developed the trajectories are necessarily curves surrounding the singular point, closed which is referred to as a center. The situation is describedin Fig.6.6. The exhibits neither S nor the however, points Lyapounov stability; singular orbits are asymptotically stable.
the representative point
Figure
6.6. Closedtrajectories
surrounding
a center.
Multiple Singular Points
was The classificationof the singular pointsgiven in the previous subsection based on the existenceof two nonvanishing roots of the characteristic and F.22)]. equation, that is, on the assumption A # 0 [seeEqs. F.21)
6.6.
Branchings,
Bifurcations,
and Limit Cycles
83
Figure type.
6.7.
Configuration
of trajectories
in vicinity of a multiple
singular
point of saddle-node
a point Topologically,this implies that the singular point is then necessarily of intersection of the curves
fx(X0, Y0) = 0; fY(X0, Yo) = 0 Such singular points are referred to as simple singular points.
singular points, or points for which A of contact of the curves F.28), dennedby points
F.28)
Multiple
= 0, are, on the other hand,
I(8A\\ = (8A) l(dJi\\ \\dxJol\\dXjo \\dYjol\\dYjo

(dJ\302\243\\
Owingto this, for arbitrarily smallvariations of the functionsfx, fY a multiple singular point generallysplitsinto two or more singular points.According to the previous subsection,in systems involving two variables a multiple between a node and a saddlepoint. An singular point is a borderlinecase in the vicinity of this point givesthe image depicted analysisof the trajectories in Fig. 6.7 (Andronov, Vit, and Khaikin, 1966). As we see, the stability propertiesbecomequite complex. In systemsinvolving several variables, new types of multiple singular points may appear.Nevertheless,they can always be viewed as coalescence some points of simplesingular points as a certain set of parameterscrosses \"critical\" value.
6.6.BRANCHINGS,
involving two
AND LIMITCYCLES BIFURCATIONS,
As emphasized in Chapter5, the properties of a chemical system repeatedly depend,in general, on a set of parametersX. In a homogeneous system
variables the latter act through the rate functions
fx, fY
that
S4
Mathematical
Tools
dependexplicitlyon X. According to the classificationof the singular points of Section6.5, for a sufficiently small variation of X the character of the
singular point may only vary
A(X0(X), when
Y0(X), Y0(X),
either A or T are zero:
X)
T(X0{X),
= Q (saddle-node) X) = (center)
Theserelations provide us with a set of critical values, Xc. A slight variation of X from Xc resultsin qualitatively different trajectories in the phaseplane. two cases c ited above to the Thus, correspond structurally unstable situait is also quite clear that at From the classification of Section6.5, with trajectories that passin its immediate X = Xc the singular point coexists it. without from therefore, one vicinity emanating necessarily Intuitively, = A is that a of a Xc point bifurcation,whereby branching of solutions expects of the differential equationsF.13) occurs. We now discussa number of general theorems stating the conditions
situations.
To this end we write the nonlinear under which bifurcation may occur. differential system for the perturbationsaround the thermodynamic branch in the form (seebeginning of Section6.3)
dx
\342\200\224
or
J(X)x
F-30)
+
N(X\\x)
=0
where x is now regardedas a vector whosecomponents are the linearized operatorappearingin Eqs.F.6) orF.16), and N comprises all contributions that are nonlinear in x. Note that in the second form of J contains both the time derivativesand the Laplaceoperators,in Eq. F.30) addition to the contributions due to the chemical reactions. An equivalent way to formulate the problemis to define X in such a way that J can be split into a A-independentpart Jo and a contribution proto X: proportional
(x1,...,xn),Li
Jox
Xx
+ N(X;x)= 0
F.31)
One can then prove the following:

Theorem1. The number Xc can be a birfurcation point of Eq.F.31) only if it is an eigenvalueof the operatorJo. The converse of this theorem need not be true. In order to obtain some information about thosepointsof the spectrum of Lo,which, in fact,generate
6.6.
Branchings,
Bifurcations,
and Limit Cycles
85
branchesfor the nonlinear problem,we have to introduce the conceptof of an eigenvalue. Let us first illustrate this conceptin the case multiplicity where L is a squarematrix, and let / be the unit matrix. We say that Xk is an /, if: eigenvalueof algebraic multiplicity
det|L
with
A/|
= (A #0
Xjh(X)
F.32)
h(Xk)
More generally, consider the set of linearly independent eigenvectors null spaceof the operator to Xk, which belongto the so-called corresponding L XkI. The multiplicity of Xk is then dennedas the dimension of the union It can be shown (Riesz of the null spacesof (L XkI)m, where m = 1, 2, that as m increases each null spaceis strictly contained and Sz.Nagy, 1955) in the succeeding one until a certain index / is reached; thereafter, all null the same have finite. dimension, necessarily spaces We are now in positionto state the following theorem due to Leray and
\342\200\224
SchauderA934):
then Xc is
Theorem2. If Xc # 0 is an eigenvalueof odd multiplicity a bifurcation point for this equation.
of Join Eq.F.31),
The proof of this important theorem isbasedon topological degree theory and is omitted (seeKrasnosel'skii, Note that there 1964; 1973). may Sattinger, on Jo and N, a large or even an be, even under the smoothestassumptions infinite number of bifurcating solutions, discussion and a complete including If the eigenvalue is of also their stability propertiesseemsto be impossible. even multiplicity, the additional element is that there may be no bifurcating solutionsat all. It is only in someparticular cases (McLeodand Sattinger, that one can discussbifurcation from and Reiss,1975), 1973; Bauer, Keller, a multiple eigenvaluein full detail. As an example of the roleof the multiplicity of the eigenvalue,consider the simplealgebraic equation
One has a nontrivial to an eigenvalue of odd multiplicity corresponds In contrast, in the problem(Stakgold, 1971)
xt
=0 solution x # 0 if and only if m = X, and this

J(X)x
= mx
\342\200\224
Xx
= (m
\342\200\224
X)x
obviously of the \"operator\"Jo = m.
+
\342\200\224
x\\ x\\
\342\200\224
Xxx
x2
Xx2
=0 =0
*\"
Mathematical
Tools
A = 1 as a doubleeigenvalue.No nontrivial realvalued branches of solutions can be issued from this value as one sees immediately by reducing this system to the singleequation x\\ + x\\ = 0
the linearized system has
Two important cases for which the theory is quite complete (Pimbley,1969; are those in which:(a) a simpleeigenvalue of the operator Sattinger, 1973) that is an eigenvalue of multiplicity L in Eq. F.30), / = 1, the origin crosses or (b) a pair of simplecomplexeigenvalues of L cross the imaginary axis. In both cases we assume
Re\342\200\224^^>0
F.30)
where cocis one of the critical eigenvalues of the operator L. This implies behavior for atc as shown in Fig.6.8a,b. we have at Then, in both cases X = Xc bifurcation corresponding either to a new branch of steady-state solutionsor to a periodictrajectory. Fora two-variable system thesecases correspond, respectively, to A(AC) = 0 and to T(XC)= 0 [cf. Eq. F.29)]. that in the vicinity of A = Xc Moreover,one can show (Sattinger, 1973) solutionsthat bifurcate above critical level, that is, for X > Xc, are asympstable, while solutions bifurcating below criticality, that is, for X < Xc, are unstable. We illustrate these results in detail on the models
asymptotically
in Chapter7. developed It is remarkablethat these highly nontrivial results are based on the of the linearizedsystem.This is due to the fact that one is interested properties in the propertiesof the solutionsbelow or above the bifurcation primarily In point. contrast, at A = Ac, the principleof linearized stability (cf. Section 6.3)does not apply, as the system is in a state of marginal stability. In this
(b)
Figure vicinity
6.8.
Behavior
ofa bifurcation
of (simple)
point
Xc:
eigenvalue
of operator L
corresponding to Eq.
F.30) in
(a) real eigenvalues; (b) complex eigenvalues.
6.6.
Branchings,
Bifurcations,
and Limit Cycles
87
one needsthe case,
full nonlinear system to obtain information about the character of the critical points,as well as about the possiblebifurcations. The emergence of multiple steady statesand asymptoticallystableperiodic orbitsis most important in terms of physicochemical Consider application. first the case of many steady states. Of particular interest is the situation where the system can exhibit more than one simultaneously stable state of this kind. In this case a certain functional order becomes possiblethrough transitions betweenthesestates,providing a self-regulationof the concentraof the various chemicals. Note,however,that in cases involving bifurcathis need not always be the case. Forinstance, a single singular point It may also can be succeeded by a single new asymptotically stablesolution. the system doesnot admit bounded happen that for certain initial conditions solutionsas t -* oo or that it even explodesat a finite value of t. As we see repeatedly in the sequel,multiple steady statesarise in a great number of modelsof physicochemicalor of biochemicalinterest. solutions,we seethat we now Comingto the bifurcation of time-periodic have the possibilityof cooperative behavior in the form of a \"temporal \" Now temporal organization implies necessarily organization in the system. structural stability. Therefore, two periodic(i.e., closed) trajectoriesin the via a mechanism are bifurcation necessarily phasespacearising separated from each other as well as from the singular point.Accordby a finite distance to Poincare, we call them limit cycles. In contrast, structurally unstable an of exhibit in a finite closed domain of systems may phasespace infinity are the Their and determined initial trajectories. by amplitudes periods the in the are w hereas case determined conditions, by system limit-cycle they itself. Forthis reason,periodictrajectories surrounding a center are hencedismissed as a model of chemical oscillations (we return to this point in Sections 7.1and 8.2). Note that a limit cycle neednot always be asymptoticallystable.Unstable or even semistable on Fig.6.9. limit cycles are possible, as described
concentrations bifurcation According
henceforth
Figure
6.9. Asymptotically
stable, unstable, and semistable limit
cycles.
88
limit
Mathematicals
Tools
1966):
(i)
A
Let us mention, without proof, some important resultsestablishedfor cyclesin two-dimensional phasespaces(Andronov, Vit, and Khaikin,
a single It singular point is inside,this point can only be a focus, a center or a node. can be neither a saddlepoint nor a multiple singular point, if the expression (ii) Forthe negative criterion of Bendixson,
->
closed trajectory surroundsat least one singular point. When
dnf^8X
dfx
= /fy 8Y Wkh/
dfY
->
a domain of the (X, Y) plane, there can doesnot [cf. Eq.F.13)] be no limit cyclesin this domain.This statement alsoshowsthat limit cycles can only arise in nonlinear systems. (iii) Simpleasymptotically stable limit cyclescan emerge smoothly from a singular point via the bifurcation mechanismoutlined earlier in this section. (iv) Stablelimit cyclescan emerge from multiple limit cyclesarising from the coalescence of a stableand an unstable limit cycle. (v) Two or several limit cyclessurrounding a singular point are possible, as a result of a subcritical bifurcation of a periodictrajectory from this A concrete singular point, arising for certain criticalvaluesof the parameters. example of this behavior is analyzed in Section15.5. bifurcationsof limit cycles are possible in the presence (vi) Morecomplicated of separatriceloops joining two singular points, one of which is a saddle 6.10). point, (Fig. change sign in
Ml
Multiple
singular
point
(saddle-node)
Figure
one
of which
Bifurcation 6.10.
of separatrices joining two singular points, of limit cycles in presence is a saddle point (after Andronov et al.,1966).
6.6.
Branchings,
Bifurcations,
and Limit Cycles
89
As we seeshortly, a great number of chemical systems may exhibit limit cycle behavior under conditions(c).However, modelsare now known (see Chapter 15)giving rise to the more complexbehavior describedunder (v) and (vi). Although we comment more extensively of the significance of limit cycleslater in the sequel,we may already stress that the ability to exhibit a sharp periodicity in the concentrations shouldbe an important means for regulating chemical or biologicalactivities in a great variety of situations. Having seen that the relatively simpletwo-variable systems can already exhibit complexbehavior, we now addressourselves to the conditionsthat have to be fulfilled by the kinetics in order to get cooperative behavior. We already know from Part I that the system must be open, driven far from Our purpose,however, is to produce equilibrium and subjectto feedbacks. more precise statements regarding the nature of the individual chemical stepsinvolved in the reaction sequence.
Chapter 7
SimpleAutocatalyticModels
7.1.TWO INTERMEDIATES
consider a chemical system involving two variable intermediates, together with a number of initial and final productswhoseconcentrations are assumedto be controlledthroughout the reaction process. The reason we are interested in chemical systemsinvolving two variables is not only As we seein Part IV, an impressive number of biochemical academic. problemscan be describedby modelsthat can be reducedto two variables under quite realistic conditions. We now show the following:
We
to have a limit cycle surrounding an unstable Theorem. It is impossible node or focus in a reaction sequence involving two variable intermediates if the reaction stepsare only uni- and bimolecular. Thus, a trimolecular or higher orderstep is necessaryfor the onset of cooperative behavior in time. The theorem was first proven by Hanusse Tyson and Light A973)rederived systems. A972)for spatially homogeneous and extended it to systems involving diffusion the theorem independently as well. and X Proof. Let {A} denote the initial and final \"reservoir\"chemicals, The system is taken to be isothermal and and Y the two intermediates. with no convectivemotion. Denoting the concentration of X, Y by the same as the chemicals themselves,we have, in the notation of Section6.5: symbols
~=fx(X,Y) ~ = fr(X, Y)
90
G.1)
7.1.Two Intermediates
The steady statesare given by:
91
A(*o. lo) = /y(*o, >o) = 0

and their
stability
G.2)
propertiesare determined by the linearized system:

\342\200\224
dx =
dy
aux + a12y
G.3)
\342\200\224
= a21x + a22y
The characteristic equation of this system reads:

a>2 with
- Tco+
\\dXj0
=0
G.4)
= ana22 ai2a2l
\\3Yjo
G.5)
kinetics, taking Assuming now that the system is subjectto a mass-action the mixture to be ideal and consideringthat only uni- and bimolecular stepsare present,we may write:
fx
= X + aX + bY + cXY+ dX2 + eY2

Y
fY=
where X,
+ aX + /?y +
yXY
+ SX2+ eY2
G.6)
fareconstants independent of X, Y. At the steady state: X0(a + cY0 + dX0)= -(X + bY0 + eY2) UP+ yX0 + eY0) = -(?+ aX0 + 5X2) G.7)
+ 2dX0 + p +
yX0
The coefficientTin Eq.G.4)becomes:
T= a + cY0
2eY0
^]
G.8)
92
Simple Autocatalytic
Models
Table7.1): (see
Let us now compilethe various processes in the system that are possible
Table7.1
Contribution to Contribution
dY/dt
(if
to
Step
X
(if
* 0)
^ 0)
A-+ ->
1 >0 a?
b d
x + y->
2y->
y->
c?
>0
<0
y> o >0
/J?
y?
e>0
E>0
\302\243
<0
We
seethat onealways has:
i, 7, b, e, a, 5 >0
G.9)
d,
\302\243
and
<0
whatever the details of the kinetics.On the other hand, a, c, jS, y have no definite sign.Forexample,for a it is sufficient to realize that the reaction X-> can produce,consumeor leave X unchanged:
Xh u Xh iA A X
\342\200\224 \342\200\224>
\342\200\224*
+ 2X
X
\342\200\224
\342\200\224*
a a a
=0
>0
<0
Finally, we want Xo, Yo to be positive on physical grounds.Thus, we cannot become concludethat expression greater than zero. Combining G.8) 6.5we concludethat with the classificationof the singular pointsin Section it is not possible to obtain, by removing the system from equilibrium, either an unstable focus or an unstable node.The formation of a saddle is not interesting in the context of instabilities point, which remains possible, as we saw in item (i) on p. 88, a limit to coherent behavior. Indeed, leading
cycle can bifurcate only from an unstable focus or, more generally, it can surround only a node or a focus.
7.2.
The Trimolecular Model (The \" Brusselafor\")
93
7.2. THE TRIMOLECULAR MODEL(THE \"BRUSSELATOR\

the thermoAccording to the theorem just proven, in order to destabilize dynamic branch one needsat least a cubicnonlinearity in the rate equations. A simpleway to realize such a nonlinearity is through the step
2X +
\302\253=\302\261
3X
or through a symmetrical step interchanging the roles of X and Y. Let us, conditions: of reactions under open-system therefore, considerthe sequence
<
'
+D
2X +Y
E
In
G.10)
L4 = L2 = 0, To
order to achieve nonequilibrium constraints we may assumethat the D, E are removed from the reaction spaceas soonas they products\" are produced.In terms of the rate equationsthis is equivalent to taking
\"final
simplify the analysis even further we then introduce the additional condition k_, ^ 0 (which is certainly justified as long as A is in excess) and k_ 3 ~ The scheme is then described by the rate equations
[cf.Eq.E.3)]:
PY
0.
^ = M~-
(k2B +
k,)X + k3X2Y + b,V2X
= k2BX - k3X2Y+ D2V2Y -^ 6(
G.11)
so far, we expectthis system of equations According to the ideasdeveloped to feature various kinds of cooperative behavior. It is instructive to comment on the meaning of the cubicnonlinearity in this model, first proposed by Prigogine and Lefever in 1968 and often referred to sinceas the trimolecular modelor the Brusselator (Tyson, 1973). Firstly, it is important to realize that the primary objective in studying a model is to discover with some the types of qualitative behavior compatible fundamental and chemical such as the laws of laws, thermodynamics
94
Models
kinetics.In this respect,regardlessof the reasonableness or not of a trimolecular reaction step,the Brusselator is a perfectlyacceptablemodel for It plays somewhat the study of cooperative processes in chemical kinetics. or the Heisenberg the same role as such modelsas the harmonic oscillator, model in ferromagnetism, which have both been widely used to illustrate basic features of systemsdescribedby the laws of classicalor quantum mechanics. in most branches of physics of cooperativephenomena Secondly, as or such laser physics,cubic nonlinearities translating multiple plasma couplingsbetween appropriately defined \"modes\" are, indeed, the first nonlinearities giving rise to cooperative behavior. Thirdly, nontrivial trimolecular although not nearly as common as bimolecular processes, the gaseous e ven in stepsare not completely unknown in chemical kinetics, of of of one the the phase.Forinstance, Chapman sequence reactions steps in the upperatmosphere involves the formation of ozone by (Nicolet,1964)
atomic oxygen via the triple collision:
O + O2 + M
>
O3 + M
where M is a third bodywhoserole is to dissipate the excess energy available in the reaction. of biochemical a number the rate in Finally, equations reactions involving enzyme catalysis can be reduced to cubic terms in certain limiting cases. One case is that of the glycolyticpathway (see Chapter is A nother the of enzymatic reactions: 14). example following sequence
x + E, <==>
E,Xh
h Y
?==?
\302\253=
E,XYhh X Ex> :2y Ei XY

Fi X
=^
\342\200\224+ \342\200\224>
\342\200\224
\342\200\224+
E iX E ,XY E iX2Y E iXY + X E ,X + X E
i+X
where the enzyme Ex is assumed to have at least three catalytic sitescapable of X and one moleculeof Y simultaneously.Providing of fixing two molecules the rates of decomposition of the complexes are sufficiently large and the are in small one can easily show that this amounts, enzymes present very can bereduced a to overall sequence single stepgiving a nonlinear contribuin the rate equationsof the formX2Y.
contribution
7.3. SCALING, STEADY

diffusion
STATES,AND
BOUNDARY
CONDITIONS
Equations G.11) depend on as many as six chemical parameters,the two Forbetter of the reaction vessel. coefficients,and the dimensions
7.3.
Scaling, Steady States, and Boundary Conditions
95
into the qualitative behavior we introduce the following scaled insight variables (Erneux and Herschkowitz-Kaufman,1975):
t
= kj = fU
(k) *
\\l/2
fk2k \\1/2 = (kp-) A
H \\J\\ G-12)
= ^B
By substituting
variables X,
Y satisfy
these relations into Eq. G.11) one finds the system:
that
the
reduced
_ = - + l)X + + = BX + D2V2Y
A
(B
X2Y
\302\243>!
V2X
G.13)
\342\200\224
X2Y
where the Laplaceoperator refersto the same spacecoordinater as before. to Eq. G.12), Note that according quite realistic values of the rate constants in the reducedsystem G.13), to and diffusion coefficientsmay correspond, numerical values of the coefficientsof the order of unity. This point should be kept in mind in view of the computer simulationsto be reported,in which the values of A, B,Du and D2 may seemunrealistic at first sight. of Eq.G.13) We study the solutions under the following two types of boundboundary
conditions:
Xz
=A
\342\200\224
y1 = fdXY
n-f\342\200\224
(Dirichlet conditions) (no flux conditions)
G.14)
\\drj
fdYY =n'K\\drj
=\302\260
G.15)
96
With
Models
solution: steady-state
either of these two conditions,Eq. G.13) admits a single uniform

Xo
= A,
Y0
l
A
G.16)
in Part I,this solution lieson the thermoAccording to the ideasdeveloped dynamic branch. This can be proven explicitly by taking the reversible schemeG.10) and gradually increasing the overall affinity of the reaction, to remove the system from equilibrium (Lefever, 1970; Glansdorff and Note that if the boundary values G.14) had been chosen 1971). Prigogine, different from A and B/A the thermodynamic branch would not be uniform, of boundary-layer effects.However, theseeffectsare owing to the presence and are not considered from the standpoint of cooperative processes spurious explicitly in this chapter. thus far, we carry out a linear Following the general methodsestablished We expectthat this of the stability analysis thermodynamic branch G.16). will the information analysis give interesting possibilityof selfregarding the within organization processes system.
7.4. LINEAR
We set
STABILITY ANALYSIS
X
Y
=A + x = +y
G.17)
for the linearized system [seeEq. F.6)] and construct, from Eq. G.13), either as external disturNote that be can (x, systematic (x, y). interpreted y) or as internal fluctuations around the reference state. In the latter case,the problem we address ourselves to for the time being is not the a priori probability for having such a fluctuation but, rather, its time evoluonceit has beenestablished by somemechanism in the system. It is convenientto write the linearized system for x,y in the form:
disturbances
evolution
subjectto:
or
ICK)
x=y =0
on
I
on
G.19a)
n-Vx = n-Vy = 0
G.19b)
7.4.
Linear Stability
Analysis
97
in
Here the set of x,y is viewed as a vector Ifx\\ operatorL:

After
some appropriatespace.
a few manipulations one

fB
finds
the following form for the linearized

V2 A2
\\yJ
1+
-B
\302\243>!
-A2 +
D2\\
This is a parabolicoperator(Sneddon,1957). To analyze the asymptotic behavior of the solutionsof G.18) as t -* oo it is sufficient to find the eigeneigenvalues
(om and
the eigenvectorsI
of L:
V72 M
1+
-B
\302\243>!
V2
2 , r. -A2 +
..
\342\200\224
^m\\
..
G.21)
G.22a)
subjectto
ul = vl = 0
or
n
\342\200\242 V\302\253\302\243
=n
(
\342\200\242
Vt\302\243
=0
G.22b)
In terms of
\"m
the solution vector
is [cf. Eq. F.19)]:
G.23)
Thus, the reference state (A, B/A) is asymptotically stable if for all m the eigenvaluesa>m obey Re com < 0
If for somem Re (om 0, then the solution on the thermodynamic branch is unstable. According to the Leray-Schaudertheorem (Section6.6),at Re com = 0 onehas a bifurcation phenomenon provided the eigenvalueis of odd multiplicity. We are interestedespecially in simple eigenvalues. In order to display the detailsof the calculation in a transparent way we considerin this chapter the case of one-dimensional systems(higher dimensystemsare treated in Chapter8). Note that throughout the analysis we deal with boundedmedia.One reasonis that in chemistry, and to an even greater extent in biology, boundariessuch as membranes play a very Another reasonis that the mathematical analysis becomes important role. simpler as the spectrum of the operator L is then discrete,and one can
dimensional
>
98
Models
for the solutions of the nonlinear systems construct analytic expressions beyond the instability. Let / be the length of the system.The LaplaceoperatorV2 reducesto:
V2
= -r-2
dr
<r <1
V2
whoseeigenvaluesare trigonometric functions. As operatorappearin in L the eigenvectors I operatorappearing

sarily of the form:
m I
is the only differential
are necessubjectto G.22)
and for the boundary conditions G.22a),

m
o,l,2,...
G.25)
for the no-flux boundary conditions.We now deal successivelywith the eigenvalues,the eigenvectors,and the structure of the operatorL in a space of square-integrable functions, for which the set of normal modes in Eq. basis. provide a complete G.24)or G.25)
Eigenvalues
into Eq. and G.25) oneobtainsa characteristic Introducing Eqs.G.24) 6.5) equation (seeSection expressing in terms of m and the parametersof the system. After a few algebraic manipulations one finds:
<x>m
G.21),
\342\200\224
wm
(Pm
\342\200\224
Xmfelm
A2B
am
jSm
=0
G-26)
with
m2n2
G.27)
The solution of this equation yields:
i=
K\302\253m
-Pm\302\261
x/K + /U2 - 4/12B]
G.28)
7.4.
Linear Stability
Analysis
99
From this expression onegetsthe following results:

(i) As m and B a>*
-> ao. Thus, for finite 4 oo, (am + pmJ -> (m*n*//*)(D2 is necessarily real.Moreover, as D2 + Di > \\D2 D^, com is always negative. We seealready that all normal modesdo not play the as thosewith m -> oo tend to stabilize the system, same role, if (ii) com is complex + /U2 *A2B < 0,
\302\243>iJ
(\302\253*
or
B2
with
2(A2
SJB+ (A2
SmJ
<0
G.29) G.30)
Sm
=l
+\"}2j^(D1-D2)
\302\261
The roots of the trinome in Eq. G.29) are:

B\302\261 \302\261
= A2 + Sm
Sm
Thus, one must have
>0
G.31a)
and
- v^J2 < B<(A+ ^/SJ2
G.31b)
G.32)
From Eqs.G.31a) and G.30) we deduce:
D2-Dl^
In particular,
if
instance, by taking Dirichlet conditions\342\200\224one cannot have complex conjugate eigenvaluesfor

excluded\342\200\224for
the value m
= 0 can be
D2
- D,.> ^
I2 in
(iii) A
complexeigenvaluehas a positive real part if the coefficientof com is negative,or if [see definitions G.27)]: Eq. G.26)
B>A2
Bm
+1
+ D2) +m~^-{D1
of m along the critical curve
(\302\243>!
B as a function Figure 7.1. represents
= A2 +
l+ \"^
+ D2)
G.33)
100
Models
Linear stability diagram associated with bifurcation of time-periodic solutions, Figure where m wave number; Bm (m corresponding value of bifurcation parameter. At first bifurcation point Bo one always has appearance ofa spatially homogeneous limit cycle.
7.1.
=
= 0,1,...) =
Obviously, the (purely imaginary) eigenvalues com are simplein this case. the points on the in Section Thus, accordingto the theoremsdiscussed 6.6, curve Bm corresponding to integer values of m are necessarily bifurcation from a of As B solutions. increases points time-periodic region of small with the boundary conditions occurs values, the first bifurcation compatible = either at m = 0 for no-flux conditions 1for o r at m Dirichlet [see Eq.G.25)]
conditions[see Eq. G.24)].

(iv) If
com
is real, onemay have one positive root provided

ampm
-A2B>0
I2
or
B as a function Figure 7.2represents
of m along the critical curve

I2 zn2 D{tn2n
D2mznz
~T2
G.34)
Fora given B the zero eigenvaluescom = 0 are generally simple, exceptfor someexceptional values of the parameters(seebelow). Thus, the points on the curve Bm corresponding to integer values of m are necessarily bifurcation
the points ofsteady-statesolutions.As B increases,
first instability
for a occurs
7.4.
Linear Stability
Analysis
101
Figure 7.2. Linear stability diagram associated with bifurcation First bifurcation point Bc lies in vicinity of minimum Bu of marginal
of steady-state
solutions.
in
stability curve, although
general
Bc
# B,,.
B = Bc corresponding to an integer mc the critical curve. One easily finds:

Al2
closestto the
minimum
(jU,
of
G.35)
(v) (iii) and (iv) we may derive conditionsconcerning the Combining cases to take place in the system as B increases. Obviously, this B 7 .1 and when the value crosses 7.2): (seeFigs. happens
first instability
B for no-flux
= min(Bc,Bo) = min(Bc,
and conditions,
B
for Dirichlet conditions.
conditions
we find that for Dirichlet conComparingEqs. G.33), G.34),and G.32) the first bifurcation leadsto time-periodic solutionsprovided
102 and
Models
or
In particular, for
D, = D2 = oneobtains:
\302\243>
D<
-^
/I/2
G.37)
equal diffusion coefficients,provided the latter satisfy the inverse inequality various possibilities G.37). concerning the first bifurcaFigure 7.3describes
bifurcation.
is On the other hand, for Dl/D2~* 0 or for Dl/D2-> oo, inequality G.36) is favored the of solutions bifurcation Thus, time-periodic compromised. when the diffusion coefficientsbecome Note, however, that for very close. Dirichlet conditionsthe bifurcation of steady-state solutionsis possiblefor
(vi)
that
Forcompleteness, let us finally derive the conditionsunder which the in case eigenvaluecom (iv) is doubly degenerate. Obviously, what isneededis
which is regarded as an equation for m2, be written Eq.G.34), in
the form:
(m2
m\\)(m2
m22)
=0
where mu m2 are two positive integers. In particular, if wetake m^ = mc < \\x, then we necessarily have m2 ~ mc + The condition for doubledegeneracy is, then, that the productof the roots of Eq.G.34)be mc(mc + 1).By working this condition out explicitly one finds (Mahar and Matkowsky,1976; and Nicolis,1975): Auchmuty
1.
^w^=m^ + 1)
G38)
we assume that this rather exceptional condition is not Subsequently, satisfied.We return to the problemof degenerate eigenvaluesin Section7.9. Throughout this subsectionwe have been interested only in the first bifurcation from the thermodynamic branch.The reasonis that, as we see shortly, bifurcation theory can give information about the stability of the
7.4.
Linear Stability
Analysis
103
V*
B,
50
f
\\
40
,
I I
(c)
1 '
1
*4*l
'
'i
\342\200\242
H
1A
\"i\\
30 -
\\
20
'if if
/'
(a)
/ /
/
/1 1
1 B,
20
1
-1
1
'
i
J
15 1
f
@
J/
\342\226\240
10
V i
10
\\\\\\y
(all
10
Figure
20
30
10
20
30
Linear stability diagrams resulting from Eqs. G.33)-G.35). Bifurcation parameter wave number n. (a) and (b) show region of complex eigenvalues; (b) shows region corresponding to an unstable focus; (c) shows unstable region corresponding to a saddle point. Vertical lines indicate allowed discrete values of n for a system submitted to zerofluxes or 8.0 x 10~3. fixed boundary conditions. (A) shows A D, 1.6x 1(T3;(B) shows A 2, / 1, D, = 1.6x 10\" \\ D2 8.0x 10\023. Line limiting regions (a) and (b) have not been drawn fully in Fig. (B).
7.3.
B is plotted against
= 2,/= 1,O, = =
bifurcating
instabilities
is dealt with
instaThe problem of successive branchesonly in this case. 7.9and Chapter8. in Section
of OperatorL Eigenvectors
preceding
is not satisfied, we concludefrom the precondition G.38) of a steady-state analysis that in the vicinity of B = Bc and in the case null space bifurcation, the operator L has a one-dimensional spannedby the functions (depending on the boundary conditions):
Assuming that Ci
\\
. mnr sin
-\342\200\224
G.39)
Cl)cos
mnr
104
Substituting
Simple Autocatatytic
Models
into the linearized system G.21) one obtains the value of the ratio c2/cias follows:
c2 _
(\302\243>,m27t2//2)
Bn
A1
G.40)
or,for m = mc ^
jx:
So far,
Ci remains undetermined.
One can
fix
it by
requiring a specific
normalization for
nonlinear analysis beyond the bifurcation point can remove this indetermiindeterminacy.
w.
m
This is not needed,however; as we seelater, the
If, on the other hand,
one has a time-periodicstate bifurcation, the

of Bu for example, feature both spacedepen-
solutionsI
dependence
fx\\
in
the
vicinity
and time periodicity:
exp i(lma>cf)sin^
G.42a)
bifurcation (mc = 0): G-42b>
Forno-flux
boundary conditionsone has for the
first
w = u-1)expi{lmoi^
The steady state (/I,B/A) behaves like a center in much the sameway as in the system discussed 6.5. in Section in According to the theorems developed we expectthat for B > Bothis situation givesriseto a limit-cycle Section6.6, behavior.
o
Figure
7.4. Polar
eigenfunction
of linearized operator
L for zero-flux
boundary
conditions.
7.4.
Linear Stability
Analysis
105
An important feature of the spatial part of eigenfunctionscorresponding to exhibit a macroscopic to no-flux boundary conditionsis the possibility the system, as shown on Fig.7.4.Thus, we have a general gradient across onset of polarity in a previously unoriented mechanism for the spontaneous space(Babloyantz and Hiernaux, 1975).
The Adjoint Operator

In the sequelwe needthe propertiesof the adjoint L* of the We have: the functional spacedefinedearlier in this section.
operatorL, in
V =I
+B <DlT1 T1 clr
1 I
G.43)
Obviously, the eigenvaluesof this operatorare the same as for L, whereas the eigenfunctionsfeature the same spacedependence. Forinstance, in the caseof Dirichlet conditionsand in the vicinity of a steady-state bifurcation
mnr
where the ratio d2/d1now has the value:

R Dm
\342\200\224
1 1
\342\200\224
'~WV
I2
G.44)
Note that under no conditionscan the operator L be self-adjoint for the trimolecular model. Stated differently, the linearized equations for this model cannot derive from a potential. We have here a striking confirmation of the results of Part I (seealso comments in Section6.4),accordingto which nonlinear systemsfar from equilibrium cannot, in general,bedescribed by the extrema of a state functional. The analysis of the presentsection refers specificallyto the trimolecular model.Scriven and co-workers(Gmitro and Scriven, 1966; Othmer and carriedout a formal linear-stabilityanalysisof general reaction Scriven,1969) in Section 6.5. schemes, extending the results,described We now study, successively, the two kinds of bifurcation suggested by the linear stability analysis of the trimolecular model.
106
Models
7.5. BIFURCATION OF STEADY-STATE

GENERAL
DISSIPATIVE STRUCTURES:
SCHEME
in case on eigenvalues. (iv) of the previous subsection placeourselves Our aim is to produceexplicit forms of the steady-state solutionsbifurcating G.17) beyond the critical value Bc.To this end we insert the decomposition into the rate equationsG.13), keepingthis time the nonlinear contributions the operator L in G.20) in a way in x and y. Moreover, we decompose similar to Eq. G.31):
We now
G.45)
where Lc is the operatorL evaluated at the critical point of the first bifurcais the property established The main motivation for this decomposition in the previous section,that Lc is a parabolicoperator which admits a
bifurcation.
single null eigenvector I
m\" J
and has otherwise eigenvalues with negative
real parts. Such operators are referred to as dissipative operators in the literature. They are well known from stochastic processes and kinetic theory where the Fokker-Planck operator provides the most familiar
\\ mcj
example.
= 0):
We
obtain
in
this
way
the differential system (setting
also dx/dt = dy/dt
where
h(x, y)
= (B
- Bc)x+
AA
\\yj
2Axy
\342\200\224
x2
+ x2y
G.47)
The boundary conditions Note that in are,again, the sameas in Eq. G.22). the excess variables x and y the nonlinearity is not only cubicbut also gives riseto quadratic terms. To calculate the solutions
point the
we observethat
close to the
A \\
I
bifurcation
( to the thermodynamic branch I corrections
should besmall.
\\d/AJ
7.5.
We
Bifurcation
of Stead-State
by
Dissipative
Structures: General Scheme
107
expressthis
expandingboth
(x\\
\\yj
and y
=B
Bc in terms of a small
parameter e*:
yj
y
=B
\\yoj
\\yi,
\342\226\240\342\226\240\342\226\240
Bc = ey, + e2y2 +
(IAS)
it
is more flexiblethan the seeminglymore natural one whereby This expansion

x^ would
be developedin powers of (B
\342\200\224
Bc); in particular,
enables
one to determine straightforwardly on (B
and identify equal powers into Eq.G.46) We now introduce the expansion of e.We then obtain a set of relations of the form:
- Bc).
of a fractional powerdependence
(Vj =
or
dr
f~ak\\
fc
al
G.49)
together with the boundary conditions

**@)
= xk(l) =
dr
\342\226\240 \342\200\242 \342\226\240
=0
The first
few
coefficientsak are:
~Jxo
+ +
As
IB
+ xly0 -7 A
x2
2Axoyt
Vi
G.50)
a result:
/vA
=0
G.51)
Recently bifurcation
briefly
Lefever, Herschkowitz-Kaufman and Turner were able to carry out an exact calculation in a simplified version of the trimolecular model. Their results are described in the Concluding Remarks.
108
In other
Models
words,I
\302\260
is proportionalto the zero eigenfunction I
me
of Lc.
On the other hand, Eqs.G.49)for k > 1 constitute inhomogeneous systems of linear equationswith constant coefficients.If the operator Lc were invertible, these systemswould be solved straightforwardly by constructing function for the operator* Lc (Sneddon,1957) and by converting Green's them to a set of linear integral equations.In our case, however, Lc is not null admits one nontrivial A as it invertible eigenfunction [seeEq. C.51)]. somewhat analogoussituation familiar from linear algebrais that of a set where the matrix of the of inhomogeneous algebraicequationsof first degree, coefficientswould be singular, that is,it would have a vanishing determinant.
The following theorem, which constitutes the extension of a result first the conditions proven in the context of problemsof linear algebra,specifies under which the systems admit a solution G.49) (Sattinger, 1973). Theorem(Fredholm alternative). The vector I provided the right-hand side I
k
/x \\
k
is a solution of Eq G.49)
null
is orthogonal to the
eigenvector
of the adjoint operatorL*. In the problem we are concerned with \"orthogonality\" is defined by means of a scalarproduct that is a combination of the scalarproductfamiliar from vector analysis and the scalar product defined in functional spaces such as a Hilbertspace(Rieszand Sz. This leadsto the following Nagy, 1955). of the theorem: quantitative expression
(x*,
?*)(\"*)) |o
dr (y*
k=
<m<k I,...;
0
x*) x ak({xk^m(r), yk-m(r)})
=0
G.52)
From section 7.4, subsectionon the adjoint operator, we know that the as the eigenvector of eigenvector (x*,y*) has the same spacedependence Lc and that the amplitudes du d2 of x*, y* are generally different. Thus, takes the explicit form (dependingon the choiceof boundary Eq. G.52)
conditions):
sin
I Jo
mcnr\\
\342\200\224\342\200\224
dr
cos
mc nr
{
( ak({xk-m(r),
J k
yk-m(r)})
=0
G.52a)
to speak in
0
terms
< m < k-
* In fact, since Lc is a differential-matrix
1,...
be more appropriate
of Green'smatrix
operator it would
for this operator.
7.6.
Bifurcation:
Fixed Boundary Conditions
109
determine entirely the coefficients Theseconditions, together with Eq.G.50), e as a function of from the secondrelation G.48),onedetermines yt. Next, e this calculated relation into the first G.48)and solving (B Bc).Inserting for the the inhomogeneous equationsG.49),one has an explicit expression
solution I
I. It
turns
out
that
the behavior of this solution depends crucially
on whether mc is even or odd, so we treat these cases separately.In the as these following analysis we calculate only the first few terms in Eq.G.48), to the solutionsobtained numerialready give quite goodapproximations We treat, successively, the case of Dirichlet and of no-flux boundary Further detailsare to be found in Nicolisand Auchmuty A974), conditions. NicolisA974b), Auchmuty and NicolisA975), Boa and Cohen A976), and
numerically.
Herschkowitz-KaufmanA975).
FIXED 7.6. BIFURCATION: mc
BOUNDARY
CONDITIONS
IsEven
in
When mc is even and oneusesthe expression for ar G.50) condition G.52), onefinds: together with Eq. G.39),
Cl
the solvability
Jo or
, . mcnr dr sin ~VI
(
\\
yt
. mcnr sin
I
-\302\261\342\200\224
., . , =0 + Bc ct sin2 mcnr + 2Ac2 sin2 mcnr\\ -V~ A I I
_\342\200\236
-\302\261\342\200\224
C'
Vt
Jo /Jo V^ The coefficientof yx on the left-hand sideis always positive. On the other hand, sincemc is even, the integrand in the right-hand sideis an odd function of r in the interval 0 < r < I. Thus, the right-hand sidevanishes.We conclude that: =0 G.53) yi
\342\200\224^j\342\200\224
t/r
. mcnr sin2
\342\200\224\342\200\224
, '
= ~ (Bc I -j Cj + 2^c2\\I
., [' sin3 '

rfr
mc7rr
Next,
onesolves the equation
/
by
G.54)
series introducing the Fourier expansion:

sin
110
Substituting this
Models
into
Eq.G.54)one seesthat
where
if
m is even
if
misodd
G.55b)
and
On
inverting
one determines I(x1\\ and then, using once relation G.55a)

Vyi/
finds an explicit time for a2(r)~one again the solvability condition\342\200\224this value of the coefficienty2 in the form:
y-\\=
<b\\mc,A,Bc,-\302\261\\
When mc ^ /x, Bc ^
entirely
in
terms of A and D^/Dj'-
B,, (seeSection7.4)the
function
4>
can be expressed
The explicit expressions are of no importance here.The point is to realize that the sign of 4> determines the nature of the bifurcating solution. If > 0, from Eq.G.48) then one sees that
</>
4)'\"
that
re b>b.
is, that the solution is defined in the supercriticalregion. If, on the other
hand, 4>
< 0 or y2 < 0, one has:
7.6.
Bifurcation:
Fixed Boundary Conditions
111
When y2 = 0 one has to and the solution is dennedin the subcritical region. continue the calculations still further. However, this is a singular caseof little physical interest. The bifurcating solutions near B Bc can-becalculatedto a first approxiby inserting this value of e into the first expressionG.48)and by retaining the first two terms.One finds that the arbitrary amplitude c, of and the linear stability analysis cancels,
\342\200\224
approximation
sm+ H
Bc\\1/2 . mcnr
Bc 8ro2/2
-2A
. mnr
X
JL (m2 - m2J m2 - 4mc2
sin\342\200\224\342\200\224
G\0256)
the following similar expression holdsfor y(r). Moreover, one can establish remarkable theorem (Sattinger, 1973):
solutions
Theorem. In the vicinity of the critical point Bc, the new bifurcating soluare asymptotically stable in the supercritical region B > Bc(y2 > 0). However, when y2 < 0 the subcritical branches are unstable. Note that the very occurrence of bifurcation here is compatible with the LeraySchaudertheorem discussedin Section6.6, as the multiplicity of the null to is one. of eigenvalue Lc equal
Theseresultscan adequately be summarized in the following bifurcation diagrams:

The diagram in Fig. 7.5b is worth analyzing somewhat further. As there is a and Nicolishave shown (Auchmuty and Nicolis,1975), Auchmuty
(e)
(a); (b)
Id) (f)
(a)
(b)
Figure 7.5. Bifurcation diagram for trimolecular model in one space dimension in caseof even critical wave number. Full and dotted lines represent, respectively, stable and unstable solutions, (a) shows supercritical bifurcation, (b) shows subcritical bifurcation.
112
minimum
Models
value of B below which the complete nonlinear rate equations for the trimolecular model admit only one solution.Consequently, the subcritical branches(b) and (c) have to \"stop\" at some point Bmin. By a wellknown theorem of bifurcation theory either X -> oo at Bmin, or the branches turn and continue in the direction of increasing B values until B -> oo. Now, Auchmuty and Nicolishave found a priori boundsfor the steady-state solutions.Thus, the only issue is the one shown on Fig.7.5b.Moreover, the new branches (e)and(f) are likely to be stable,as pointedout by Sattinger A976) in a different context. When B an abrupt transition to one of these Bc the system undergoes whereas for B Bc there is one stablesolution on the thermotwo branches, dynamic branch and two stabledissipative structures.The particular soluthe system picks up dependson the initial conditionsand on the way the parameter B has been varied. This phenomenon is very similar to
>
<
solution
hysteresis.
mc
IsOdd
this
In
casethe
Eq. G.53)]: preceding
solvability condition
for ar yields [seecalculations G.53)

2A C-A 2A^-) f dr sin3 '-^p Jo
The two spaceintegrations yield, for mc odd: f'

. 2 mcnr . m,nr dr sin3
/
I
jf
I
Jo
= dr sin2 sin* \342\226\240^L=-[^ +

(\302\261
^/
\\A
cj
G.57a)
'
Jc 0
, -~-=
4/
5mc n
Moreover, the ratio c^c-^can be expressedin terms of Bc and the other into Eq. G.57a) we obtain, Substituting parameters,thanks to Eq. G.40).
for
Bm
= Bc:
Vi
8
3mcn
+ 1) Bc] [_2(D^n2/l2
A
Ci
= g(mc,A,Bc,Dl/l2) Formc ^
fi,
G.57b)
Bc ~
B^,one gets:
c,
7.7.
Bifurcation:
No-Flux Boundary Conditions
113
7.6. Bifurcation diagram for trimolecular model in one spacedimension in caseof odd critical wave number. Full and dotted lines denote stable and unstable solutions, respectively, (a), (d) show thermodynamic branch, (b) supercritical dissipative structure, (c)subcritical dissipative structure, (e) finite-amplitude dissipative structure emerging when (a) is subject to finite perturand Bmm < B < Bc.
Figure
perturbations
X
tude
^^
(e)
j\\(c)
AmpI
(a)
X^
1
(d)
I
1 1
As in the
case where mc is even, the functions I(x1\\ can be determined from Eq. G.49)for k = 1 by means of a Fourier seriesexpansion.Combining
the two relations G.48) onefinally
with
finds:
O((B-Bcf)
Again
G.58)
there is a similar expression for y(r). see that in- the vicinity of Bc the bifurcating solution is defined for B on both sidesof Bc.According to the theorem quotedin the preceding subbranch new is stable on the solution the subsection, bifurcating supercritical where B > Bc and unstable on the subcritical branch where B < Bc.Using the same arguments that ledto Fig.7.5b, one obtains the bifurcation diagram shown in Fig.7.6. This diagram featuresa hysteresis phenomenon along with the possibility of an abrupt transition on branch (e)for B near Bc.Auchmuty and NicolisA975) derived expressions for x{r) on branch (e) as well as for the higher order corrections on branches(b) and (c).
We
7.7. BIFURCATION: NO-FLUX BOUNDARY CONDITIONS

In the case of no-flux boundary is even or odd):
owing
conditionsone has always (i.e., whether
mc
presenceof cosineterms in the solvability condition G.57a). 1\\I. The coefficienty2 is computed by first determining (x I The remarkable
to the point here is that, thanks to the particular structure of the inhomogeneous term a^r), the Fourier seriesreducesto a sum up to the secondharmonic
114
Models
of the unstable mode m = mc. Otherwise, the procedureis quite similar to that in Section7.6, and one finally finds:
^^hH
(B
BA1/2
mcnr
2B
Bc
cosi-+9\342\200\224ir
rnr
cr-
G.59a)
^
IB -
~Bc
Z.
ip
f\\
G.59b)
where
Note that
supercritical
bifurcation
this
< 0 the bifurcaand one has a diagram similar to Fig.7.5a. When The is subcritical, and Fig.7.5bshowsthe phenomenon of hysteresis. of branches are 7.6. the bifurcated the same as in Section stability properties An elegant approximate method of solution of nonlinear differential equationsleading to periodicsolutions in spacehas beenproposedrecently by J.W. Turner A975).Forthe trimolecular reaction in a system with no-flux which can be thought boundary conditionsone recovers expressions G.59), of as an approximate representation of a \" spatial limit cycle.\" The method is inapplicable in the case of Dirichlet conditions, where the presenceof an infinite seriesin Eq. G.56) destroys the periodiccharacter of the dominant contribution proportionalto sin(mc7rr//).
</>
As in the first part
a periodicfunction with period2l/mc. expression represents of Section7.6,when > 0, the bifurcation is super</>
7.8. Qualitative
Properties
of Dissipative
Structures in Vicinity
of First
Bifurcation
115
STRUCTURES IN OF DISSIPATIVE 7.8. QUALITATIVE PROPERTIES

VICINITY
OF FIRST BIFURCATION Breaking and Critical Behavior
Symmetry
equations
The most important property of the dissipative structures arising via the bifurcation mechanism outlined in the previous sectionsis their symmetryWhen a certain critical value of a parameter X (or of a breaking character. is crossed, the most symmetric solution of the rate equaset of parameters) ceases to be stable,and the system evolves to a regime with a lesser of no-flux conditions, of as well as in the case spatial symmetry. In the case Dirichlet conditionswith mc even, this symmetry breakingis accompanied of the solutions translated by the \"criticalexponent\" by a doubledegeneracy and G.59). Stated differently, beyond the transition the 1/2in Eqs. G.56) system has equal a priori probability to evolve to two different solutions, on the initial conditions. We discussthis important point in the depending Note that in the nostochastic analysis of dissipative structures in Part III. first a case the leads to Fourier serieswith a wellflux symmetry breaking defined fundamental mode cos(mc7rr//). In contrast, in the caseof fixed boundary conditionssuccessive approximations in terms of the parameter B Bc break successivelythe symmetry of the lower approximations and lead to spatially asymmetric solutions.A typical comparisonof xo(r) and cxj(r)given in Fig.7.7illustrates this point. In a sense,if the dissipative were to be comparedto a crystal, structures arising under no-flux conditions those arising under Dirichlet conditionsshouldbe regardedas \"imperfect
\342\200\224
crystals.\"
x(r)
x(r)
e sin 2m
Figure
7.7.
Illustration
Eq. G.56).
of spatial asymmetry
induced
by
presence of subharmonic terms in
116
In
Models
The situation is different in the case of Dirichlet conditionswith mc odd. this case one cannot really speak of a spontaneoussymmetry breaking in the subcritical case, in the sense that in order to evolveto the branch (e) of Fig. 7.6from the thermodynamic branch one would need perturbations some threshold value related to the preciselocation of the unexceeding ForB > Bc,however,it is most likely that arbitrarily small unstable branch (c). (but still macroscopic) positive perturbations should lead to branch (e), whereas negative oneswould lead to branch (b). betweenthe formation of dissipativestructures Some preliminary analogies and phasetransitions can already be drawn here, although a more complete which is devoted to the stochastic view of this point is possible only in Part III, theory of fluctuations. Thus, in the caseof the smooth transitions described or by the passageto branch (b) in Fig.7.6,one can speakof a by Fig.7.5a second-order transition involving a soft mode (Stanley, 1971), in the sense that the amplitude of the bifurcating solution, which plays the role here of the \" order parameter,\"goesto zero as B -> Bc. On the other hand, in the case as well as in the passageto branch (e) in Fig.7.6,one of Fig.7.5b, can speak of a first-order transition. We may note, however, that this is a purely conventional classification which cannot possibly provide ininformation about the nature of the critical fluctuations in the transition This important point is fully discussed in Part III. region. Insofar as the purely formal analogy drawn above is acceptable,the of the Landau structure of Eqs.G.56) and G.59) is reminiscentof someaspects f or of transitions Consider, instance,expressions theory phase (Stanley,1971). To order (B BcI/2x(r) and y{r) are directly proportional.Thus, G.59). the passagethrough the critical regime can be describedby a single-order parameter, w, such that:
\342\200\224
l|w||2 =
\\\\x\\\\2
\\\\y\\\\2
r-r^
G.60a)
where || is the norm

\342\200\242
space.
||
in
the interval 0
< r < / appropriatefor our functional
Onefinds:
,,2 oc B~Bc ||wr t
,1
\342\200\224,\342\200\224-
that
is, apart from an
unimportant
w
phasefactor:
oc +
(BjlAY2
G.60b)
7.8.
Qualitative
Properties
of Dissipative
of First
Bifurcation
117
Moreover, the dynamics of w in the vicinity of the critical point is governed by a single differential equation obtained by combining the differential This is the basisof the equations for x and y, together with relation G.60a). reductive perturbation approachto chemicalinstabilities developed recently and of the adiabatic approximation by Kuramoto and Tsuzuki A974, 1975) used by Haken A975a,b) in the context of laser theoretical problems. Now, a single differential equation for a real variable always derives from a consideran ordinary differential potential. To seethis on a simple example, form of the F.30): equation
= A(X)w -^ ot
Introducing the integral
JV(A; w)
F(w)=
- Jo
f dZlA(W
+ N&;m
we write the equation in the form:

dw dt
3F
dw
Obviously, the extrema of F determine the steady-state solutions of the equation. In particular, the minima determine the stable solutions arising This property reminds beyond the bifurcation point, given by Eq. G.60b). a familiar situation encountered in strongly equilibrium statistical mechanics, where the critical behavior of the order parameter is determined by the extrema of the free energy, which in turn is expressed as a seriesof (even) In that sensethe potential F powersof the order parameter (Stanley, 1971). is the nonequilibrium analog of determining the parameter in Eq. G.60) free energy and can be thought of as an \"extendedLandau-Ginzburg functional\" Haken,1975a,b). (Graham and Haken;1971; Note that this procedurecannot be extendedstraightforwardly to higher ordersin B Bc.In this case and x(r) and y(r) are no longer proportional, the critical behavior cannot be characterized in a simple way by a single orderparameter.Fora discussion of the higher order adiabatic approximawe refer to HakenA975b).
</>
\342\200\224
approximations,
Amplitudes and
Mean Values
From the explicit expression in Eqs.G.57) oneseesthat, as a rule, and G.59) the total amounts of X and Y in the system are not conserved in the course
US
Models
of the transition to the dissipative structure. In particular, by calculating

x
=
Jo
\\
dr x(r),
\\
Jo
dr y(r)
one finds that:

but (i) ForDirichlet conditionsand mc even 3c, y vanish to O((B BcI/2) nonzero to the next order. become (ii) Formc odd, X and Y are never conserved. other words X is (iii) For no-flux conditions3c
vanishes\342\200\224in conserved\342\200\224 equations
of approximation. Indeed,addingthe two equaindependently of the degree in Eq.G.46) one finds:
and
dy\\
Sincex and y are periodicfunctions
vanishes, and thus x = 0.In contrast, instance, from Eq. G.59b):
in
the interval @,/), the right-hand

y in
For general remains nonzero.

1)+ B,
side
y~2~$~
The fact
+ Bc -2(D1wc27r2//2
a3
that x and y are not conserved may have somefar reaching conas far as the functional propertiesof the reaction sequenceare consequences concerned. To illustrate this point, considerthe trimolecular model under no-flux boundary conditionsand in a range of parameter values where y is the rate of the autocatalytic step of the positive. According to Eq. G.10), is then I n other enhanced. words,the system tends to produceX sequence this in the through step preferentially right part of the reaction spaceunder the conditionsof Fig.7.8. The ability to produce enhanced quantities of certain chemicalsin a limited region of space confers to the system some remarkableregulatory properties.Moreover,owing to the polarity of the
structure in Fig.7.8, this regulation manifestsitself in the form of a vectorial in the sensethat the catalytic step of the reaction proceeds phenomenon, in a well-defineddirection rather than in a completely isotropicmanner. The phenomenon of vector catalysis is a well-knownone in cellular metaIt is striking to seea primitive form of this phenomenon already metabolism. in the simplest possiblemodel exhibiting dissipative structures.
7.8.
Qualitative
Properties
of Dissipative
of First
Bifurcation
119
A B/A
0
Figure 7.8. Vector catalysis boundary conditions.
r induced
by
polar dissipative structure arising under zero-flux
on Length Dependence the concentration of the
Hitherto we have analyzed the transition to a dissipative structure by using initial product B as bifurcation parameter. In problemsinvolving gradual changesof shape or size of the system (e.g., cellular growth or various other developmental processes) it is of interest to consider the influenceof the length / in the formation of dissipativestructures To this end one switches (Hanson,1974a; Babloyantz and Hiernaux, 1975). to the new spacevariable
P
Then the rate equations become:

dX
dt
D1d2X = A + X2Y-(B+ l)X + ~
Tip
o<p< 1
The boundary conditionsremain the same as before, although they now refer to the interval @, 1).Thus changing / may be viewed as changing the diffusion coefficients in our problem. Alternatively, sinceDt and D2measure, in a sense,the strength of the coupling (through diffusion) of neighboring spatial regions,an increaseof / tends to diminish this coupling.All of the resultshold and in particular Eq.G.34), preceding provided B is kept fixed and / varies and plays the roleof the bifurcation parameter.The stability diagram of Fig. 7.2can be interpreted in the alternative form shown in Fig.7.9,where m is taken to be one of the integers compatiblewith the
120
(m/l)
Models
(m/l).
Figure
7.9. Linear
conditions
as Fig. 7.2.
stability diagram
displaying
dependence on length / constructed under same
mc). The point is that for a given B, the unstable boundary conditions(e.g., reached couldbe for different values of m and /. Thus, the transition region to a dissipative structure involves explicitly the length. We need not be interested in the details of this dependence. However, from Eq. G.34)it is obvious that the marginal stability condition could never be satisfied if / is lessthan a critical value. Stateddifferently, a system can evolveto a dissipasomecritical value. As the size varies structure only if its size exceeds further from this critical value, new transitions are likely to occurcorreto different values of m. This point is confirmed explicitly in corresponding computer simulations (Hanson, 1974a; Babloyantz and Hiernaux, 1975). We return to this in Chapter 16, which is devoted to development and
dissipative
morphogenesis.
INSTABILITIES AND 7.9. SUCCESSIVE
SECONDARY
BIFURCATIONS
When m is not equal to the critical number mc, there is bifurcation of a new branch from the uniform solution each time B crosses a value B = Bm given 0 when is a at least Eq. G.34), simple eigenvalue of the operator LBm. by These new solutionsare similar to those bifurcating from B = Bc, which have been describedabove, but instead of being dominated by the mode sin(mcnr/l) or cos(mc7rr//), they contain the fundamental mode sin(m7rr//) or cos(mnr/l).When m is even, the new branchesare degenerateand have a critical exponentof \\, while for Dirichlet conditionsand m odd the new 7.6. branch is similar to thosedescribed in the secondpart of Section
7.9. Successive Instabilities
and Secondary Bifurcations
121
from
Figure 7.10. Bifurcation diagram displaying branch. thermodynamic
successive
primary
bifurcations
that may arise
of Bm Bmc the operator LBm has already at least one the are unstable in the neighborpositiveeigenvalue, new bifurcating branches of Bm. Unfortunately, we do not know in what regions,if any, these new branchescan becomestable. When B is much greater than Bc, there are many possibledissipative structures, someof which are stableto small perturbations and others which are not. The situation may be depictedby the diagram in Fig. In Fig.7.10 branch A) bifurcates when B = Bc, but branchesB) and C) bifurcate when B Bc. One sees that when B Bd, there may be seven solutionsof the equations. possible Now if after the first bifurcation the system is on branch A), there is no obvious reason why for B Bc it shouldmake a transition to branchesB) or C) bifurcating from the thermodynamic branch.In other words,onceon branch A) the system enjoys additional possibilities of complexification if the branch A) itself looses via new bifurcation phenomena.Such stability cascadephenomena are usually referred to as secondarybifurcations.Their for the trimolecular model has beenestablished occurrence analytically by Mahar and Matkowsky A976)and inferred, independently, from the results of computer simulations by Herschkowitz-Kaufman A975).This is a most in the context of biological important result, especially problems.It is only thanks to secondary and higher order bifurcations that an evolving system can give rise spontaneously to increasingly complexpatterns emerging
As in the vicinity
neighborhood
>
7.10.
>
>
>
a succession of instabilities. Let us briefly outline the main steps of the Mahar-Matkowsky method for fixed boundary conditions.According to linear stability analysis the zero eigenvalue of the operator Lc is doubly degenerate provided that (see
through
Eq.G.38)]:
8= -
2/4 A2l
m?(mc
IJ = 0
122
Models
Thus, whenever S deviates from zero it provides a measure of the distance between the two smallest eigenvaluescorresponding, respectively,say to mc and mc + As S approaches to zero, the two eigenvaluescoalesce to form a 0 and small, the first primary branch bifurcating doubleeigenvalue.With at Bmc correspondsto the mode sin(mcnr/l), whereas the secondprimary to the modesin((mc + l)nr/l). branch bifurcating at Bmi + 1 corresponds One can now expandsystematicallyBmc, Bmc+1,in powersof 6 around a to a doubly degenerate value Bc corresponding eigenvalue.Next, one detereach of the primary branchesby bifurcation theory as in the previous To fix the ideaswe considerthe case of mc odd. We have: sections.
1.
<5
determines
uj
J =0
\\vj.
00
Bp = Bmc(S)+ Z?^
G.61)
where the subscript p denotes a conditionsoneobtains:
primary
branch. Using the solvability
Formc:
(xp\\=e
with
BTp<
/mr~
-e
\342\200\224(-=^ + 2AAmc(S))
Formc +
yP,
1:
= BJd)
+ 0(e2)
G.62)
>mc+\\
_
\342\200\224
2A(S2+ Amc+l(d)S1)\\ +
0{\302\2433)
G.63)
Herea and
corresponding
Am(S)
to the
are, respectively, the amplitude and the yjx ratio eigenfunction: null-space
cor-
G.64)
According to the linearized equations,Am dependson S and can, therefore, be expandedin powersof this parameter around a value Am. Finally, Si
7.9. Successive Instabilities
and Secondary Bifurcations
123
and S2 are well-definedcoefficientscontaining an infinite-seriescontribution arising in the evaluation of the coefficienty2. or The next step is to calculate the points on the primary branch +i from which branches can bifurcate. To this end one
B\342\204\242c
Thus, we set:
secondary e and 6. that the primary branchesare functions of the parameters observes we e Therefore, treat in the same way as B in the primary bifurcation and The latter are seekfor the \"nonlineareigenvalues\" en = en(d) of this problem. a in S (Bauer, Keller, and Reiss,1975). computed by perturbation expansion
gmc
e = d(b0 +
8b!+
\342\226\240 \342\200\242
\342\200\242)
I\"-\"
G.65)
is the appropriateexpansion where it has beenassumedthat 8ljl parameter. these into Substituting expressions the rate equations linearized around x \" \\
of which represents the linearized problem at the double eigenvalue. Obviously the solution of this problem
-V
and equating equal powersof 8, one obtains a set of relations, the
first
is:
fuo\\
. mcnr = 0i sm
\342\200\224r-
(-1
\\
+ 02 sin
(mc + l)nr
(3 1
\\
G.66)
of The coefficientsfi^ and ft2 can be determined by the solvability conditions the higher order equations in the sequence. One disposesof two such conconditions here becauseof the double degeneracy. Whenever a contribution with /?2 # 0 arisesin Eq.G.66), bifurcation has we conclude that a secondary
taken
Indeed,the solution I place.
fx\\
at
this
point jumpsfrom a contribution
containing the mode sin(mc 7tr)/7 to one containing, in addition, the higher mode sin((mc + l)nr/l). This situation is described in the bifurcation diagram of Fig. is determined by the the in coefficient b0 Eq. G.65) Finally,
7.11.
solvability
conditions and
by
the condition of normalization of

\342\200\224
Knowing b0 we can deduce8 in terms of e, that is, in terms of B Bc, and estimate in this way the \"distance\"from Bc at which secondary bifurcation took place.
124
Models
11
model displaying possible secondary diagram for trimolecular of steady-state solutions from a previously established dissipative structure. Dotted and full lines denote plausible stability properties of the various branches (dotted line denotes instability and full line denotes stability).
Figure bifurcations
7.11. Bifurcation
The detailed construction of the secondarybranches in the nonlinear just straightforwardly, region beyond the secondarybifurcation proceeds here. and is not discussed as for the primary branches, In summary, in the supercritical region beyond the first bifurcation the system exhibits a striking multiplicity of qualitatively different solutions. Thesesolutionsare discreteand emerge only when the parameter B crosses somecritical values. One can really speakhere of a \"macroscopic quantizathe information of the states (Hanson,1974b). concerning Although one can expectthat at least someof stability of these statesis rather scarce, them would be stable and attract some specific sets of initial conditions. Sucha property would conferto the system a primitive \"memory\" associated the initial conditions with the capacity to store \"information,\" through attracted by the correspondingdissipative structure. This seems to be confirmed by computer simulations, to which we now turn in somedetail.
quantization\"
WITH COMPARISON 7.10.
SIMULATIONS COMPUTER
have carried out Lefever A968) and Herschkowitz-Kaufman A973, 1975) Their results extensive numerical simulations on the trimolecular model.
7.10. Comparison
with Computer Simulations
125
provide striking confirmations of the theoretical predictionsbased on the analytic calculations.Moreover, they suggest some fascinating trends concerning the evolution of the system in the supercriticalregion B $> Bc. Genera]Behavior of Dirichlet conditions. The numerical values A = 2, Considerfirst the case = = = x x 1.6 and 6 10~3 lead to a positive value of 4> I 1, 10~3, D2 Di which us to calculate x(r) and y(r) for B > Bc.The Eq. G.56)], permits [see solutions obtained
comparedwith
solution of the rate equations now indicates an abrupt transition to a state where, although the number of extrema remains the same,the maxima are near the boundaries. A great number of enhanced(and the minima depressed) numerical simulations with various initial conditionshave shown that this type of asymmetry does not depend on the way the system is perturbed
initially.
the two solutions agreevery well. computer.For B near Bc (Fig.7.12), the the influenceof critical Both mode,as well as its distortion predominant are the infinite series contribution, clearly seen.One observesthat the by maxima as r increases. distortion tendsto enhance the successive ForB > Bc(Fig. the becomes Indeed,the numerical 7.13), agreement poor.
those obtained by numerical integration on a CDC-6500
in this way
are shown on Figs.7.12 and
and are 7.13
0.5
Space
Figure
(arbitrary units)
7.12. Steady-state dissipative structure for fixed boundary conditions and B ^ Bc. Dashed line, analytical curve given by Eq. G.56); solid line, result of numerical integration on digital computer. The following numerical values of the parameters have been chosen: A = 2, 1 = = 4.17. The critical wave number is mf = 8and \\,Dl = 1.6x Kr3,ZJ = 6.0 x 10*3,B B, = 4.133. Boundary values for X and Y: X = A = 2, Y = B/A = 2.085.
126
Models
0.5
Space
Figure
(arbitrary units)
7.13. Steady-state dissipative structure for fixed boundary conditions and B > Bc. Dashed line: analytical curve given by Eq. G.56). Solid line: result of numerical integration on digital computer. B = 4.6; other parameters areas in Fig. 7.12. Boundary values for X and
Y: X
= A = 2,Y = B/A = 2.3.
Theseresultsindicate strongly the occurrence of a secondary bifurcation from the primary branch, in agreement with the analytic results presented The simulations also confirm the influence of the spacing in Section7.9. between the values of B corresponding to the first successive primary bibifurcations on the occurrence of the secondary bifurcation. In contrast with these results, for no-flux conditions the agreementbetween and numerical solutions remains analytic satisfactory, even for B con-
it considerably larger than Bc.Presumably, if a secondarybifurcation occurs, either occursmuch later or leadsto unstable branches. 7.14 describes Figure the concentration profiles.
Degeneracyand SpatialSymmetry The double degeneracyof the first bifurcating solutionsfor no-flux conconditions and for Dirichlet conditions with mc even are well confirmed by the numerical simulations, as shown in Fig.7.15. On applying a single,localized to the state as an initial condition, one perturbation homogeneous steady observestwo different solutions,dependingon the sign and location of the perturbation. The spatial asymmetry of the solution under Dirichlet conditionsand their periodiccharacter in the case of no-flux conditionsare also exhibited clearly. The case of mc odd under Dirichlet conditionshas alsobeen investigated
7.10.Comparison with Computer Simulations

X,
127
0
Space
Figure analytical
0.5
(arbitrary units)
dissipative structure for zero-flux boundary conditions. Dashed lines: Solid lines: result of numerical integration on digital curves given by Eq. G.59). B = 4. D[ = 1.6x 10~3, D2 = computer. Curves have been established for A = 2, / = 8.0 x 1(T3. Critical wave number: mL. = 8, B, = 3.602.
7.14.Steady-state
1.
and spatial asymmetry are verified numerically.ForB > Bc,both degeneracy in the same way as for mc even. ForB < Bc, a transient nonuniform state on a finite amplitude perturbation of the homogeneous appears: steady state, the system first evolvestoward a structured state with a number of extrema to mc. Subsequently, the system homogenizes slowly and corresponding returns to the thermodynamic branch. This result supports the general featuresof the bifurcation diagram depictedin Fig.7.6.
Multiplicity
of Solutions
Computer simulations have shown that more than one coupleof degenerate to a different number of extrema, can appear structures, each corresponding under the following conditions: simultaneously.This occurs
\342\200\242
\342\200\242
The values of B are large. At f = 0, the system is submitted simultaneously to different localized perturbations whoselocation obeyscertain rules. This situation is illustrated on Fig.7.16 in the
conditions. Forthe samevaluesof the parametersas in Fig.7.14 one observes
caseof no-flux
boundary
128
Models
I,
I
steady-state dissipative structures obtained for same values of paramlocalized initial perturbation of homogeneous steady state of same strength but opposite sign (fixed boundary conditions). Arrows show for somepoints the sign of perturbation values used: A = 2, leading to corresponding spatial structure. Numerical Dl = 1.6x 10\023, D2 = 8.0 x 10~3, B = 4.6.Homogeneous steady-state concentrations X = A, Y B/A are maintained at boundaries.
Figure
parameters
7.15. Degenerate
a
by
1=1,
\342\200\224
three different stable dissipative structures with 8, 9, and 10extrema, respectively,dependingon the initial conditions.Each of these structures has also its \"symmetrical.\" As we emphasized in Section the stability of the successive 7.9, bifurcating solutionscannot be guaranteed a priori within the framework of a perturbative analysis.However, various computer simulations for B $> Bc indicate to the that there is a finite multiplicity of stablesolutionscorresponding fastest growing unstable modes,accordingto the linear stability analysis
7.10. Comparison
with Computer Simulations X
129
0.5
Space
(arbitrary units)
(B)
5 4 3 2
1
0.5
Space
(arbitrary units)
0
Space
0.5
(arbitrary
units)
Figure 7.16. Steady-state profiles obtained for same values of parameters but different initial conditions. For instance, one obtains spatial distributions with 8,9, or 10extrema shown here when length / is divided into 101 equal intervals and a positive perturbation applied at point 9 is combined with a second perturbation of same sign and strength, respectively, at points 21, 48, or 72; 17.34,43;55or 70. Numerical values of parameters are same as in Fig. 7.15.
around the thermodynamic branch. This can be seen on Fig.7.17, where m = 7, 8, and 9 appear as the leading modesfor the numerical values corThe existence of unstable modeswith corresponding to our previous example. amplification factors of the same order of magnitude as that of the critical one is due to the fact that the first few successive instabilities appearfor very closevalues of Bm, whereas for the others the spacingof the values of B tends to becomelarge. Periodic Boundary Conditions
In many instances of biological takesplaceon a interest a reaction sequence closed such as the surfaceof a t geometry, sphererepresentinghe membraneof a developingcell. The boundary conditions in this case are, obviously:
Y@)
G.67)
130
Simple Autocatalyric
Models
1.0
B = 4.6
0.5
10
Figure part of the eigenvalues con corresponding to unstable modes emerging from branch for different values of B (zero fluxes and fixed boundary conditions). thermodynamic Numerical values used:A = 2, / = 1,Dx = 1.6x 10\023, D2 = 8.0x 10~3.
7.17.Real
where / is the length of a closed coordinatecurve along the surface. For simplicity we only considerhere a ring of length /. The calculations reported in the precedingsections can be repeated one straightforwardly. The differenceis that instead of Eq. G.24)or G.25), now has a critical modeof the form:
e2ninr/l
G.68)
Relations G.33) and G.34) remain valid provided nn/I is replacedby 2nn/l. Numerical simulations (Herschkowitz-Kaufman, 1973, have been 1975) performed by dividing the ring into M equal intervals. ConditionsG.67)
become:
X M+\\
Yo
\342\200\224
As
exhibit a sharp spatial periodicity. The structures seemto dependstrongly on the initial conditions. However, they are all superposable by translation, and in the limit of a continuous space one should observe an infinity of solutionsdiffering only by the phase(seeFig.7.18).
before, spatially nonuniform
solutionsarise beyond instability,
which
7.11Localized Steady-State
Dissipative
Structures
131
Space
Figure
(arbitrary
units)
(XM + 1
concentration profiles of X for periodic boundary conditions and different initial conditions. Straight line, initial perturbations 6X = +0.02 at points 9 and at point dashed line, initial perturbation SX = +0.02 broken dotted line, initial perturbation SX +0.02 at point 9.Numerical values used:A = 2, I = 1.01, and mc = 4). B = 4.6, = 1.6x 10~\\D2= 8.0x 10 -'(Bc= 3.598
= Xt,
7.18. Stationary
VM + 1
= Vj)
21;
21;
\342\200\224
\302\243>,
7.11. STRUCTURES LOCALIZED STEADY-STATEDISSIPATIVE

Introduction
The spatial dissipative structures described in the preceding sectionsextend the whole system. of assuming a uniform This is a consequence throughout medium where the concentrations of the initial productsA and B are mainconstant in space. Clearly, this is a highly idealized situation; in an actual physicochemicalexperimentthe reactants are injectedinto the reaction volume through the boundaries. At best,their concentrations or their fluxes can only becontrolled on theseboundaries. Thus, in the trimolecular scheme one expectsA and B to diffuse and react within the medium and establish in this way their own profile. In this section we analyze the transition the system, but we phenomena when A is no longer imposedthroughout still assumethat the concentration of B remains uniform. We see that this of A results in the localization of the dissipative \"spatial dispersion\" structures within natural boundaries Boaand (Auchmuty and Nicolis,1975;
maintained
Cohen,1976). The rate equationsfor the intermediate products X and
are given
by
132
in where the concentration A depends, Eq. G.13), this
Models
instance, on spaceand
time via the following
equation:
FJ 0<r<l 4-= A+D^-i or at

r) A
A
G.69)
adopt for A the boundary conditions: 4@)= 4@ = A and apply Dirichlet conditionsfor X and Y with boundary values
We
= A,
\302\243
G.70)
is straightforward Eq. G.69)
Forsimplicity we take / = The solution of at the steady state and gives:
1.
cosha
with /2
G71)
Becauseof the spatial dependenceof Ao, the steady-state solutions X0(r), Y0(r) on the thermodynamic branch can no longer be determined can, however, be set up in the exactly. Systematic approximation schemes
limit
\302\243>->
oo
Utilizing these two ratios as well as \\/D as perturbation parametersone finds to first approximation (Auchmuty and Nicolis,1975):
ID
1 ,
G.72)
7.11. Localized Steady-State

B
Dissipathe Structures
133
100
III
75
50 25
D2M
10
of parameters B and D2-A = 14,D = 0.195, D, = diagram in space 10\023.1: region of emergence of (localized) region of stability of thermodynamic branch. dissipative structures. region of emergence of time-periodic solutions. time-independent
Figure
7.19.Stability
1.05x
Ill:
II:
of additional steadyWe want now to investigate the possibleexistence state solutionsof the dissipative structure type. Again, becauseof spatial cannot the stability analysis of the thermodynamic branch G.72) dispersion, becarriedout analytically.A variational technique, known as local potential has been applied by Herschkowitz(Glansdorff and Prigogine, 1971), Kaufman and Platten A971)to analyze these properties.The results are in the form of a stability summarized on Fig.7.19 diagram in the (B,D2) the existence of a domain fixed and D. for This reveals A, plane Du diagram IIwhere perturbations around the thermodynamic branch tend to amplify in a nonoscillatory fashion. Presumably, then, in this domain a steady bifurcate. We now outline an solution of the dissipative structure type does analytic construction of the solutionsto the linearizedequationsaround the with this dissipative structure. The nonthermodynamic branch associated nonlinear via bifurcation exactly as in the previous theory proceeds analysis sectionsand is not developed here.
Analytic
Constructionof LocalizedDissipativeStructures
We
one gets Let
considerEq. G.18) with dx/dt = dyjdt = 0.Adding the two equations,

Dxx\"
D2y\"
-y = 0
= Dxx + D2y
134
Models
Then the equationsG.21) are replacedby the single fourth-order equation + lBX0 D.Xly+ X\\z = 0 G.73) D,D2z\"\"
Y0-B-l)D2~
= exp@(r)) function of r.
z(r)
We know that if Xo, Yo are constant this equation admits solutionsof the form exp(ikr). coefficientsthe most natural extension Forspace-dependent is to assumea solution of the following form:
G.74)
where (f>'(r) is a slowly varying Neglecting all derivativesof 0 exceptthe first (in a manner similar to the WKB approximation familiar from quantum mechanics)one obtains DjZWL + [_BX0 \\)D2 D.XlW2 + X20 = 0 G.75)
Yo-B~F{r)
I\302\261
The solution of this equation is
^{rJ = wx
where
x2\302\260
~ -^w) wx ^{F{r) B+{r)){F{r)

G.76)
F(r)
= 2X0(r)Y0(r)
\302\261
B\302\261=[x0(r)
/gi
=0
lj
G.77)
From Eq.G.75) it is apparent that one can never have

(f>'(rJ
If
= 0, which is impossible.However, were the case, then Xl(r)/DlD2 change from real to complexvalues when the right-hand side of from Eq. Eq. G.76) changesfrom real to complexvalues. In fact, one sees that 4>'(r) is real only when G.76)
this
4>'(r) can
F(r)
< 1 + ^ X20{r)
or F(r)
and
+ (r) F(r)>B
< B_(r)
G.78)
Forthis problemwe see that theseconditionshold in certain regionsof The boundariesbetween the two types of spacebut are violated elsewhere. behavior are called the turning points of the equation.On one side of a
Localized Steady-State 7.11. turning
Dissipative
Structures
[<\302\243'(>\")
135
while on the other real], point the solutions z(r) are monotonic sidez(r) is oscillatory [<j)'(r) complex]. The condition for a turning point in this problemis somewhat different from the definition for the second-order equation (Erdelyi, 1956):
z\"
+ f(r)z = 0
Forthis
which,
equation a turning
point must obey 4>'(r) = 0
so that one cannot get a turning point in this manner and finds only delocalized structures. If F(r) < B _(r), then the first condition G.78) automatically holds. The the are given by following equation: turning points
2X0(r)Y0(r) 0(r)Y0(r)
When F(r)
as we have seen,is not the case for our problem. is contradicted, > B+(r),one observesthat the first Eq. G.78)
-1J -B = [xo(r)l^ -
G.79)
for Xo, Yo, this becomes G.72) Usingour approximations r2 r + $ = 0
where
The roots of this are given
by
0 < P < \\ one sees that 0 < r_ < r+ < 1, and r_ , r+ are symmetrisituated about r = \\. When orr+ < r < 1,z(r) is monotonic, but in the middle, r_ < r < r+, it is oscillatory. As P tends to 0, one sees that these turning points are pushed to the r = 0 and r = In terms of B, this requiresthat boundaries
When
symmetrically
0<r<r_
1.
The size of the dissipative structure is approximately
2/5
=1
- ~ (/ - 1)- t^t
|
G.80)
136
Simple Autocatalytii
Models
and F in caseof very constituent A.
Figure
7.20. Space variation of B+, B_,

fast diffusion
of
and this is a decreasing function of k for large k. Thesevarious relations are illustrated in Fig.7.20 also Eq. G.72)]. [see To find the form of z(r) near the turning points,one has to approximate 4>'(r)around thosepoints.Usingthe first few terms in the Taylor series expanabout r_, one finds (Auchmuty and Nicolis,1975):
expansions
x (r z(r) oc exp[i(const)
\342\200\224
r_)
G.81)
and this is nonsinusoidal. The constant in the exponent dependson Du and A. D2,B, However, near r = \\, one gets a very different form of the solution:
x (r z(r) oc exp[i(const) which
- |)]
G.82)
is approximately sinusoidal.
ComparisonWith Computer Simulations The existence of localized dissipative structures confined within the reaction a mechanism is confirmed entirely by the resultsof spaceby turning point simulations computer (Herschkowitz-Kaufman and Nicolis, 1972; Herschkowitz-Kaufman, 1973, gives a typical profile for 1975). Figure 7.21 the intermediate X. Figure 7.22 illustrates the dependence of the positionof the turning pointson the parameters. However,most of the numerical results have beencarriedout for values of Du D2, and D such that F(r) and B + (r) in the interval @, 1), vary considerably contrary to the situation depictedin 7.20 calculation. As a result, the to the theoretical Fig. corresponding condition F(r) < B + (r) is never satisfied for all r in @, 1).The situations to the numerical computations are illustrated in Figs.7.23 corresponding and 7.24.
7.11. Localized Steady-State
Dissipative
Structures
137
10
0
Space
Figure
0.5
(arbitrary units)
5.26x 10~3, / = \\,X =
7.21.Localized
dissipative structure for D = = 14,B = 24, Y = B/A =
1.71.
0.1972,
\302\243>,
= 1.052 x
10\023,
D2
case (Fig.7.23):
1
< b:= a
^7.21.
The corresponding Comparisonwith profile for X is shown in Fig. the theoretical analysis shows that although z(r) should be oscillatory within (r01,r02), the size of the numerically computeddissipative structure by the appearsto be much smaller than predicted.This couldbe explained varies with r in fact that the wavelength of the oscillatory solution G.82)
X>
15 A 10
_
V
J
n
J
0.5
Space
1
Figure
B = 30,
7.22. Localized dissipative Y = B/A = 2.14.
structure under same conditions
as Fig. 7.2 except
for
0.5
Space
Figure 7.23. Space dependence of Fig. 7.21.
(arbitrary units)
B+, B , F
for values of parameters corresponding to
0
Space
Figure 7.24. Space dependence of Fig. 7.22.
0.5
(arbitrary units)
B+, B_, F
for values of parameters corresponding to
138
\342\200\224
15'
B = 25
10
J
1
0.5
of dissipative structure obtained for successively higher values of Figure 7.25. Duplication parameter B and for relatively low value of the diffusion coefficient of A :D = 0.026.
139
140
Simple Autocatalytic that
Models
such a way
oscillations
it becomes very long near the turning points.Thus, oscilappear to be negligible,and so the exact boundariesof the dissipative structure becomehard to identify.
may
case2 (Fig.7.24):
B > Bb =
The corresponding profile of X is shown in Fig.7.22. While the theoretical calculations would predict an entirely delocalized dissipativestructure, one observesfrom the numerical calculations that the solution is apparently not oscillatory near the boundariesbut is, instead, confined approximately within the limits F(r) = B+(r).As previously, this could be explainedby the nonuniformity of the wavelength so that the oscillationsbehave differently near the boundaries(long wavelength) and near the middle (short wavelength).As a result, the solution appearsto be nonoscillatory near the boundaries.
In the case of very low values of the diffusion coefficientD one observes a very pronounced of X near the middle, together with a duplicadepression of the dissipative structure (see An extensionof the theoretical Fig.7.25). calculations presumably leadsto the appearance of additional turning points that separatethe two dissipative structure regions. Indeed,sincein this case can in the observed F(r) vary considerably space, depressionin the middle could correspondto the situation F(r) < B_(r) around r = \\, which corcorresponds to a nonoscillatory behavior. Finally, the localized dissipative structures exhibit both the degeneracy and the multiplicity observed in the case of a uniform distribution of A. The possibility of spontaneous formation of natural boundaries confining a dissipative structure is likely to have some far-reaching consequences. Obviously, localization is an efficient means of improving the stability properties of the pattern with respect to environmental disturbances, thanks to the \"buffer zone\" constituted by the thermodynamic branch. the ability to concentrate the chemicallyactivecomponents within Moreover, a limited spaceenhances the reactions of some considerably probability key that may subsequently give rise to further evolution.
duplication
7.12.BIFURCATION
OF TIME-PERIODIC STRUCTURES DISSIPATIVE
According to the linear stability analysis outlined in Section7.4,when the the bifurcation parameter B crosses the critical value B given by Eq. G.33), linearized operatorL presentsa simplepair of purely imaginary eigenvalues.
7.12.Bifurcation
of Time-Periodic Dissipative
Structures
141
ForB larger than the first critical value of B compatiblewith the boundary we expectthere to be a stable periodicsolution of the equations. conditions, Such a phenomenon is already known for systemsof ordinary differential and is calleda Hopfbifurcation equationswhere it gives rise to limit cycles, In this sectionwe analyze the time-periodic solutionsin the (Hopf, 1942). of In presence diffusion. a sense,therefore, we are lookingfor limit cyclesin some appropriatespace of functions rather than in the usual phase space familiar from ordinary differential equations. We assume that condition G.36)
and that the first bifurcation from the thermodynamic branch solutions. leads,indeed,to time-periodic We write the rate equationsin a form similar to Eq. G.46),adding the time-derivativeterms:
is
fulfilled
G.83)
with
are interestedmore specificallyin the bifurcation occurring at Bo and Let 2n/Q, Q = Eq. G.22). Q(B Bm) be the periodof the solution.We introduce the scaledvariable
Sj.The boundary conditionsare as those in

\342\200\224
We
= Qt
and look for 27t-periodicsolutionsin this for periodicsolutionsof small amplitude near B = Bm and of frequency near icom, where com is the eigenvalue of the linearized operator. To this end we expand, as in Section x,y, B,and Q in terms of a parameter (Sattinger, 7.5,
\302\243
G.84) variable. In particular, we look
1973):
'\342\226\240
\342\200\224
<x2
= Bm + e2y2 + Q = ixm + ecoi + e2co2 +

B
\302\2437i+
\342\226\240\342\200\242\342\226\240
\342\226\240\342\226\240\342\226\240
G.85)
where
Hm
= Im<x>m
\302\243
Substituting
into
and equating equal powersof we obtain: Eq. G.83)
\342\200\236
>i
G-86)
142
Models
The coefficients an involve the parametersyY to yn_l and the solutions are [cf. Eq. G.50)] as follows, xu yx to xn-1, ya-i- The first few expressions after taking into account the slight change in notation adoptedin this section: cii = 0
+ a2 = *i 7i + -f-Xi A
\\
2Ayx
7i 2Axiy2
Substituting
+ +
IB
\342\200\224f~xi
^
A
+ xjyi
first
G.87)
into
we find, to the Eq. G.86)

d
order:
G.88)
has the same form as the linearized equation Eq. G.88) thermodynamic branch. Thus,
I
proportional to the (complex) to the eigenvaluescom = + ijxm. We treat eigenfunction of Lm corresponding the cases of Dirichlet and of no-flux boundary conditions separately.
is
\\3V
(x'\\I
around the G.18)
DirichletConditions
We
consideragain a line of length /. Taking Eq.G.42a) into account we have
J
in
\\
\\c2
^ eh
G.89)
where k is an arbitrary constant.
Forn > 1,Eq. G.86) is an inhomogeneous linear equation.As discussed detail in Section it has a B7t-periodic) solution provided a compatibility 7.5, condition holds. The Fredholmalternative (Sattinger, 1973) requiresthat the right-hand sideof Eq. G.86) be orthogonal to the vectors:
where the bar denotescomplexconjugation and

the adjoint operator L* [see Eq.
/x*\\
I
G.43)]:
\\y
is an eigenvector of
G.91)
7.12.Bifurcation
Structures
143
The scalar product here is defined to be the Hilbert space one, as in followed by a time integration over the period2n of the solution Eq. G.52), in expressed terms of the scaledvariable t. we may write the explicit term of the Fredholm Combining with Eq.G.86) as: alternative
p2n
/\342\200\242!
Jo Jo
[_x*(r,t)-y*(r,t)-]an(r,T)drdT
k
T, =
^ Jo
ox Jo [x*Txm.k \\
Foreach value of n, this

are
sufficient
equation providestwo real equationsthat together parametersyn_1 and appearing in the expansionG.85). Using these values, one can then solve the second
for determining the
\302\253\342\200\236_!
for for e as well as Eq. G.86) relation G.85)

first
(x \\1.Then,
\"
substituting
into the
small, yj
relation G.85), one has a convergentseriesexpansionfor e sufficiently which providesus with an analytic representation of the solution
in
We first
terms Let us briefly outline the calculations up to second-order construct the eigenvector
e.
We
equations of Section7.4one finds:
Then from choose a normalization such that cf = cf = 1.
the linearized
d=
where
BiPe\302\261ie
144
Models
and[cf. Eq. G.28)]:
[^^^|f
I
,,,2,
The complexnormalized solution
of the linearized adjoint problem
is (for the choice c^):
\\-A2pe '7
whereasthe real normalized solution of Eq. G.88) reads:
7
The next step is to
study
the solution of Eq. G.86) with
= 2:
and G.93b)the explicit value of a2 can be written From Eqs. G.87) following form: a2 = 7i have:
A
in
the
cost
sin
\342\200\224
\342\200\224
cos2x +
2ABxp
cost cos(t+ 0) Isin2

)
\342\200\224
\\A
G.95)
One can now evaluate explicitly the compatibility condition G.91). We + A2pe+ W)
' dr Jo e~hdx Josin2-f

cost +
C1
Cl
nr
C2n
yx
~ cos2t + 2ABiP cost cos(t+ 0)
Isin
\342\200\224
nr C2n = aI sin2Tdr sin x + BiA2p2 e+iee~izsin(i + 0)]dr ' Jo [-e\"iT Jo
G.95a)
7!cost
Becauseof the quadratic dependence of a2 in cost, the terms other than in the left-hand side vanish after time integration. Noting also that
i
Jo
cos2x dt = n sin(i +
G)\\
sin t rfi cost dx (.'
in
cos0
}n sin 0
7.12. Bifurcation of Time-Periodic Dissipative

we may
Structures
145
reduceEq. G.95a) into the simpler form: + 7t(l + A2p e w)yl =@1in\\_- 1 + BiA2p2 e2W~\\
that,
Taking real and imaginary parts of this relation and noting 1 + A2p ew ^ 0 we conclude that: to Eq. G.92),
according
?1=0,
methods.
Xi,
w, = 0
I
G.95b)
2
I
Equation G.94)can now be solved explicitlyfor

Substituting
by
Fourier expansion
into the compatibility condition containing a3 (and thus we may then compute w2 and y2. These calculations are We long and are not reproducedhere (seeAuchmuty and Nicolis,1976a). give, instead, the type of expressionone obtains finally on determining c, <x>2, v2, and y2 and inserting into expression G.85):
y2), yi,x2,
x(r,
t)\\
){
+
\302\261
(B-fliY'Y
)
fa
cosOr
ak
\\
nr
)Sm
+ +
ak
Bk
(odd
iy \\bk
cosBOt+
si
ij/k)\\
n = 1*1 +
^^
; ~T
. sin
knr
cu2
G.96)
<pk
and 4>u to2, ak, bk, ak,bk,i//k, Herep and 9 have beendefined in Eq.G.92) are well-definedexpressions on the coefficientsA, Du D2. depending
Note that the sign in front of the first term is now superfluous,in view of the change of sign of the trigonometric functions during a period. Another remarkable point is that Eq. G.96) representsthe first terms of a harmonic serieswith a well-definedperiod 2n/Q. Finally, when the coefficient in is positive, the bifurcation leadsto supercritical branches;otherEq. G.96) the branches will besubcritical. The stability of these various solutions can be analyzed by a suitable extension of Floquet's theory, familiar from One finds Minorski,1962). ordinary differential equations(Sattinger, 1973; again that supercritical branchesare stable, whereas subcritical branches are unstable.
<j>
otherwise,
No-flux
Boundary
Conditions
As we have
tion
in this
discussed 7.4,the first birfurcarepeatedly following from Section caseleads to a spatially uniform limit cycle.The latter can be
146
Models
constructedusing bifurcation theory along the lines of the previous subsubsection. We first write the complexnormalized solution of the linearized
adjoint equation as:
The real normalized solution of the linearized equation is, therefore:
au>
cost
P sin
y
p and 6 now
to a bifurcation at Bo [see with corresponds Eq. G.92)
Dt
= 0]:
=~ =
with
B0 = A2 +
\\
One finds, as before:

Thus, the equation for
patibility
Now one can compute y^coi from the compatibility condition

y,
I
fora2.
G.99)
=0,
co, = 0
(x2\\I can be solved
explicitly and used in the comthat
condition for a3 to determine y2, co2.One finds and Nicolis,1976):

\342\200\242
(Auchmuty
y2
\342\200\242
B near Bo.
is positive. Thus, there is a supercritical bifurcation leading to an asymptotically stableorbit. is always negative. Thus, the period of the oscillations increaseswith
<x>2
The final expression for

x(t)\\
fx\\
\\yj
reads:
fit
(B
\\
y(t)J
- - A2\\l2( cos 4 J \\B0pcos(Clt - - ( acosBfif+

1
<Po
A2
<ô
B-l-A2 \\co2,co2<0
<Po
\\ô
+ b cosBf2f +
<Pi)
G.100)
7.13.Qualitative
Properties
of Time-Periodic
Dissipative
Structures
147
are explicit functions of the parameter A The coefficients<j>0,a,b0,b,\\j/x,(px and are given in the paper by Auchmuty and NicolisA976a).
7.13. QUALITATIVE
STRUCTURES
PROPERTIES OF TIME-PERIODIC DISSIPATIVE
Synchronizationthrough
As
Diffusion
Coupling
is switched on these local oscillatorsbecomecoupled via a term proportionalto the \"coupling constant\" DJI2,as one can seefrom The fact that the system in the presence the third part of Section7.8. of difWhen diffusion
diffusion
we saw in Section7.12, in the absence of diffusion and as long as B the concentrations in the trimolecular model oscillate at each point in
> Bo,
space.
under certain after
this coupling may, these local and maintain oscillators conditions,synchronize relations between which are them, sharp phase completely reproducible
a reaches
unique asymptotic state implies that
of having a bounded Clearly, this important property is a consequence medium. In an unboundedsystem no unique asymptotic state needsto be medium. travels through the system and leavesbehind it a quiescent in the form of planewave somecases, one can have periodic solutions trains (Kopell and Howard,1973a; Ortoleva and Ross,1973,1974a; Howard, families these are of solutions where the H owever, 1974). one-parameter can be This contrasts the described prescribed. amplitude arbitrarily patterns where frequency,amplitude, and wavelength are all determined by Eq.G.96) by the system itself independently of the initial excitation applied to the
activity
eachperiod.
reached. Moreover, one can have situations where a pulse of chemical

True, in
medium. Another important difference between bounded and unboundedmedia concernsthe role of diffusion. As we have seen repeatedly in this chapter, the emergence of a stable space-dependent pattern in an initially uniform the result of an instability triggered by difboundedsystem is necessarily
diffusion.
This instability can leadto small-amplitude or relaxation-like spatioon the distanceof the bifurcation parameter temporal patterns,* depending from its critical value. In contrast, the investigation of plane-wavesolutions in unbounded media and someexperimental observations led to the concept of kinematic or pseudowaves(Kopelland Howard, 1973a). The latter are regardedas the result of a loose coupling of local oscillatorsof the limit
* The
latter patterns
are frequently
referred to
as trigger
waves by Winfree and by Kopell and
Howard.
148
Models
and produce cycle type, which is not sufficient to synchronize the oscillators a coherent regime. no instability involving diffusion occurs in this Hence, of the local oscillatorsdoes require an incase, although the functioning instability of the steady state with respectto a limit-cycleformation. Clearly, in bounded systemsthis type of behavior can only representa transient state that, eventually, is going to evolve to one of the asymptotic solutions evaluated in Section7.12. of a Propagation Velocity Existence
describes a superposition of standing wavesof two different Equation G.96) to an evolution of the frequencies Q and 2Q.Thus, each term corresponds chemical concentration in time in the form of a \"vibrating string.\" An imthis superposition can give rise important point is that under certain conditions is propagating fronts that can subsistduring part of the overall period. The situation isdescribed schematicallyin Fig.7.26. Nevertheless, one does not have true propagating waves. Indeed, let x be the ordinate of a wave front. Along this front x = x(r, f), and dx =
Thus
dt
\342\200\224-
dx dr dr
\342\200\224
dx dt ot
=0
dx/dr
of r and f. Forinstance,
where v is the \"propagation velocity.\" One immediately sees that v is a function

u@, f)
= v(l, f) = 0 = + oo
and
lim v(r, f)
r-M/2
G.102)
to
Thus, the usual ideasassociatedwith propagating waves, as in electrodescribethe time-periodic magnetism or fluid dynamics, do not necessarily solutions of reaction-diffusion equations. The term \"chemical waves\" should,therefore, be usedwith caution, at least in one-dimensional systems. encountered Thesesolutions are more similar to the synchronous oscillations in many problemsin electrical engineering (Andronov, Vit, and Khaikin,
secondorder in c.
1966).
L (ii)
(iii)
Figure 7.26. Characteristic steps of evolution of spatial profile of X during one period as computed from Eq. G.96). (i) and (ii): modes m 1 and m = 3 predominate, (iii):m = 3 mode vanishes and that with m = 5 takes over. Comparing (ii) and (iii), we seethat, effectively, the two fronts denoted by dotted lines have propagated to the middle; thus, a wavelike activity has appeared in system during part of overall period.
149
ISO
Models
Despite these differences, the chemical signalsdescribedby Eq. G.96) are capableof transporting matter in much the sameway as ordinary waves. To seethis one computesthe diffusion current of the X-componentat a point r
dx
nr D.nfB-B.X'2 ' coscosQf
1
Averaging
over a period,one seesthat
Jx(r)
=--J
D,nB
\342\200\224
B, ^ L
T\342\200\224L
I ma.cos
ma
mnr
\342\200\224
G-103)
In general, this is not identically zero, but
onehas
=0 Jx(l/2)
and
D^B-B,
In this system, matter is transportedby the diffusion of the chemicals in the medium. This is different from transportation by particlesfollowing a in usual wave wave front during macroscopic time intervals, as is the case
fluid dynamics. From a purely mathematical point of view, onecan also understand the The reaction-diffusion systempropagates informaorigin of thesedifferences. with infinite velocity, as it is a parabolicsystem. Thus, its behavior is wave equations,which propagate quite different from those of the classical information at finite speeds. we are obtaining thesewaves as the Moreover, asymptotic behavior in time of the system for a wide range of initial conone getsdifferent wavesfor difconditions, whereas for the usual wave equations different initial conditions. Forinstance, the frequency of an electromagnetic wave in the vacuum is determined entirely by the frequency of the source has emitting the wave.The notion of propagation velocityin chemicalsystems alsobeenanalyzed in a recent seriesof papersby Othmer A975, 1976).
information
propagationin
7.13. Qualitative
Properties
Structures
151
Instabilities Successive
and the marginal
case of steady-state dissipative structures, each time the bifurcation B a crosses value with the boundary conditions Bm compatible parameter
As in
the
solution of the condition G.33), a time-periodic stability rate equationsbifurcates from the thermodynamic branch. Moreover,the possibility of secondarybifurcations from the primary branches cannot beruled out. Unfortunately, the stability of thesesolutionscannot beasserted has to be studiedseparately. in general, and each case Comparisonwith Computer Simulations
The numerical solution of the rate equations(Herschkowitz-Kaufmanand confirms the Herschkowitz-Kaufman and Erneux, 1975) Nicolis, 1972; of time-periodic solutionsexhibiting sharp wave fronts (seeFig. existence In the course of one periodthere appear wave fronts near the bound7.27). that propagateinwards. After collisionbetween two fronts the wave character is annihilated and the concentration pattern varies slowly like a vibrating string until the wave fronts are formed again and the entire phenomenon repeatsitself with a sharpperiodicity. The simulations also confirm the multiplicity of dissipative structures in the supercritical region B > Bc.Forinstance, for zero-flux boundary conconditions onecan find, in addition to the uniform limit cycle solution analyzed in Section7.12, solutionswith a nontrivial spacedependence persistingfor over 40 periods without any tendency to return to homogeneity. Again, these solutionsfeature a front that propagatesin a polarizedfashion (e.g., from left to right). Wave trains are also found under certain conditions. In concluding this subsection, let us stressagain someremarkablepropof the time-periodic solutionsin chemical kinetics.Thus, the ability to produce appreciablequantities of chemicals within a limited region of with powerful spaceand at regular time intervals endowschemicaloscillators regulatory properties.Moreover, the high velocity of propagationof the wave can exceed by ordersof magnitude the rate of spreadof a concentration front by diffusion\342\200\224provides an efficient meansof transmitting time information over the macroscopic distancesand during macroscopic intervals.The biological implications of this type of behavior are analyzed
boundaries
properties
fronts\342\200\224which
in
Chapter 14.
Critical Length of the Transport-dominatedRegion
Section 7.8we insistedon the important role of the sizeof the systemin the of bifurcations from the thermodynamic branch. When timeoccurrence
In
Periodicsolutionsare availableto the system the individual local oscillators
152
t =0 t = 0.68
Models
t=
1.10
t = 1.88
3 2
1
0
1
0
t = 3.435
X t
= 2.04
10
= =
Figure 7.27. Successive steps of evolution of spatial profile of concentration of constituent X in trimolecular model for fixed boundary conditions. Numerical values of parameters used in simulations are:/ 8 x 1(T3, D2 4 x 1,A 2, B 5.45,
0, =
\\03.
as we pointed out in the first subsection, are coupled, via a coupling constant that is inversely proportional to the square of the size parameter /. As a result of this coupling,coherent spatiotemporalstructures can arise and persistindefinitely. The remarkablepoint is that this is possibleonly if the system is above some critical size.The latter can be defined as that sizeup to which there exists exactly one unique time-independent solution, which is completely This solution characterizes the coupling of the reactive transport dominated. modesto diffusional transport.In a sense,the coupling between local oscilin this regime is so strong that the oscillatory behavior is entirely
oscillators
y.J4.
Traveling
Waves in Periodic Geometries
153
In contrast, when this criticalsizeis exceeded the coupling becomes quenched. to a a nd is looser time-periodic activity superimposed a spatial structure Nazarea 1973). Recently, A974) was able to derive a theoretical (Goldbeter, of the critical estimate size,/*, by making useonly of the parameter-dependent of the oscillatory modeand of the diffusion coefficients. period He obtains
/*
where T is the period and S* is the maximum column sum of the inverse
diffusion
matrix.
Moreover, he provideshydrodynamic estimatesof /* for reactive processes are present in solutionsin which an arbitrary number of inert components These in addition to the bufferedand unbuffered reactants (Nazarea, 1975). estimates shouldbe applicableto complexreaction systemsof biological interest. the expression for /* is quite clear. Written in the equivalent Intuitively,
form
the equality between the periodof the oscillatory reactive mode expresses and the characteristic time of diffusion. When these two time scalesare equal, oneshould,indeed,expectthat new kinds of effectscouldarisefrom the competition between the chemical reactionsand the diffusion.
it
7.14.TRAVELING
WAVES
IN
PERIODICGEOMETRIES
The oscillatory solutionsstudied in the previous sectionsare subject to boundary conditions of either the Dirichlet or the Neumann type. An of true wave of theseconditions is to prevent the appearance important role fronts propagating at constant speed(Auchmuty and Nicolis,1976a). There is, however,another type of boundary condition of considerable interest, and which ariseswhen one solves the equationsin a medium that can be repreby a closedcurve in a two-dimensional space,or a closedsurface in or the surface three-dimensionalspace. The simplestcasesis a ring, a circle, of a sphere. is quite obvious. The biological importance of such geometries In many biological related to metabolism,to motion, or embryonic processes development, the cellular membrane plays a decisiverolein monitoring the overall behavior. In this sectionwe study the case of a ring of length 2n in two dimensions. The case of a circle is briefly discussed in Chapter8.
represented
154
Models by
The boundary conditionsare now periodic: Eq. G.16).

X@, t)
For the
trimolecular model the thermodynamic branch is still given
= XBn, t);
= ~ Bn,t) ^{0,t)
7@,t) = YBn, t);
^
=6
@, t)
~ Bn,
t)
G.104)
where 9 is the coordinatealong the ring. We now show that a new type of solution can bifurcate from the thermobranch, namely traveling wave solutions.To see this, we set
thermodynamic
\302\243
vt
G.105)
\302\243
where is a (constant) propagationvelocity,and look for solutionsX, Y of the reaction-diffusion equations G.13) that are functions of only. The = X' rate equationsbecome etc.]: [setting
t>
DXX\"
- (B + l)X +
D2Y\"
(dX/d\302\243,),
X2Y + A = -vX' BX X2Y= -vY'
subjectto
X(\302\243)
= XBn + ^),
7E) =
YBn
\302\243)
for all 0
< ^ < 2n. We want to find those values of v for which there are nonconstant solutions of these equations.Alternatively, introducing the excess variables x and y around the thermodynamic branch we seek for nonzero 27i-periodicsolutions of the system [cf. Eq. G.83)]:
Dyx\"
+ (B
D2y\"
- l)x + + - Bx-A2yA2y
h{x, y)
= -we' h(x, y) = -vy'
G.106)
x = y = 0 of these equationsare at those values of B for which

D,x\"+ (B
D2y\"
The only pointswhere new solutions may bifurcate from the trivial solution the linear of system equations
- l)x + - Bx )=
A2y A2y
= ~vx' = ~vy'
G.107)
has nontrivial 27r-periodic solutions. such solution must have the form Any
(\\ W
G.108)
7.14. Traveling
Waves in Periodic Geometries
155
and there is such a solution if and only if the following characteristic equation alsoSection7.4): admits solutionswith m # 0 (see det
B
- 1 B
-B
D^m2 +
imv
-A2- D2m2 +
A2
imv
=0
G.109)
The new feature here is that this is a complex-valuedequation giving rise to One of them fixesthe valuesof B along the marginal stability two conditions. curve, in much the sameway as in Eq. G.33):
= Bm= 1 +
A2
+ m2(Dl + D2)
in
G.110) G.111) G.112)
The secondcondition gives the value of v

v2 that One sees
the form:
D\\m2
= vi =
\342\200\2242
+ A\\D,
- D2) -
vm
is real provided
<m
with
A 2(Dl
-D2)
In particular, there can only be a finite number, M, of possiblebifurcation where M is the largest integer compatible points for traveling wave solutions
ID2
J
if ll+\342\200\2242(i+Dl\\
\302\273\342\226\240]
G.113a)
does not hold with Eq. G.112)
There can be no such bifurcation points m = That is, if
1.
D2>\342\200\224\\-l+
G.113b)
Note that the expression function of m. Thus, the for vm is a decreasing G.11) most rapid modes are those having a long wavelength. In particular, the limit cycle (m = 0) corresponds to an infinite propagationvelocity. in a The actual construction of these traveling wave solutionsproceeds manner similar to that of the Hopf bifurcation. As is apparent from Eq. for each allowable Sm the eigenspace is two-dimensional, but for G.108), this type of bifurcation onealso has to find two unknowns, so in general, the equations are soluble. Throughout the calculation the velocity of the traveling wave plays a roleanalogousto the frequency Q of the periodic solution in the Hopf bifurcation. The resultsfeature the same dependence on the critical parameter (B Bm) and on the variable ^ asthosecorrespondto the Hopf bifurcation under zero flux conditions[cf. Eq. G.100)] and
\342\200\224
corresponding
'56
Models
are not reproducedhere.Fordetails,the reader is referred to the paper by and NicolisA976a). Auchmuty in the case As in the analysis of Section7.12 of zero-flux boundary consolution corresponding the space-independent torn = 0 bifurcates conditions, for a value of B lower than any solution with finite m. Thus, the stability of The computer the traveling wave solutions cannot beascertained in general. of space-dependent simulations reveal,however, the existence time-periodic solutionsin rings, which subsistduring severalperiodswithout any tendency to go back to spatial homogeneity (Herschkowitz-Kaufman, personal communication).
7.15.THE BRUSSELATOR AS
CLOSED SYSTEM
Hitherto we have analyzed the rate equations for the trimolecular model by are maintained assuming that the concentrations of certain reactant species constant within the reaction space, or at leastare controlled at the boundaries. In many instancesan actual physicochemicalexperiment is performed, for If the initial composition conditions. practical reasons,under closed-system of the mixture is far enough from equilibrium, the concentrations of the intermediates may present,for a limited time interval, a behavior reminiscent of a dissipative structure, such as repeated oscillationsaround a quasisteady state. Eventually, this state evolves to equilibrium and all types of cooperative behavior collapse. Recently, Noyes A976a,b) has examined the conditionsunder which a two-intermediate model such as the trimolecular schemecan provide a satisfactory descriptionof these transient cooperative phenomena when of repeatedoscillaoperating as a closedsystem. He studiedthe possibility and pointed out that a necessary condition for this to be possibleis that the \"initial products\"A and B are depletedby only a small fraction each during cycle. in a well-stirred system, that is, in the Considerthe rate equationsG.11) absenceof diffusion terms. The steady-state concentrations for the interintermediates X and Ybecome:
oscillations
ik3
G.U4)
the
of sustainedoscillations the condition for the emergence Moreover, beyond of this steady state becomes[seeEq. G.33) with m = 0 and instability
S. 7.1
with
The Brusselator
as a Closed System
157
rate constants different from unity]:
+ k2B>k4
\"initial\"
^fk2k A2
G.115)
If a closed system is to generate this steady state, onemust usually have the with respectto X, Y. If the oscillation productsA, B in large excess around is not Eq. amplitude very large, then the instantaneous values of X, Y can be approximatedby Xo, Yo. Thus, the following inequalities
G.114)
must
be satisfied:
4>
iB
J>
Yo
G.116a)
or, taking the explicit form
into account: G.114)

-id
1
k3A k2
l-id
-id
G.116b)
Introducing the three ratios p,q,r
1
-id -id
iA
c2
=P
iB
kA ky
=r
G.117)
one can write inequalities G.116b) as
p> r> 1
can be expressedin terms of p, q, r and the Moreover, inequality G.115) ratio B/A. One obtains the following form:
(q>\\)
\302\260ne
G.118)
The conditionsimposedby these inequalities become more stringent if in addition, that the periodT of the oscillation be of the orderof requires,
158 a minute. Now, for the rate constants

different
Models
from
oscillations deducedfrom linear stability analysis becomes:
unity
the
period of
onethen finds that fc, cannot beless Taking A and B to be both about 0.1M, then r must be still larger sinceA than about 10\024 s\021. If p/r is about 100, and B are comparable. Thus, pqr can hardly be much less than 107. Now, accordingto G.117)
pqr
= k3AB
This gives for k3 the

A
estimate:
third-orderreaction of small molecules without activation energy might well have rate constantslarger than this value. Thus, the requirement that the Brusselatorperforms well as a closedsystem is that the trimolecular step
take placewith a remarkably low activation energy. Theserestrictions can be further relieved if onepostulatestwo additional M and N, such that M P A, between A, B, and two species rapid equilibria
N
^ B:
This model would require four intermediates, although the rapid equilibria permit reduction of the rate equationsto only two differential equations. The conclusion seemsto be, therefore, that only under certain conditions can the Brusselator in a closedsystem. model repetitive oscillations Noyes that systems further shows three variables,such as the Field-Noyes involving model of the Belousov-Zhabotinski can model reaction (seeChapter 13), more naturally closed systems in which the major reactants are depleted only by small amounts.
7.16.CONCLUDING REMARKS
From the analysis of the simplestmodel capableof exhibiting instabilities of the thermodynamic branch we may concludethat open_physicochemical systemsfar from equilibrium and involving nonlinear feedbackprocesses These are endowedby the capacity to undergo self-organization processes. to an unusual rise structures flexibility processes give dissipative showing Such and variability, along with some remarkableregulatory properties.
7.16.Concluding
compartments,
Remarks
159
unexpected phenomena as the spontaneousformation of spatial compartthe generation of bursts of chemical activity, and the ability to store past information through somekind of primitive memory, appearto be mere of sometimesslight changesof either the physicochemical consequences of the It is, system, sizeof the domain, or boundary conditions. parameters to conclude that reaction more complex therefore, legitimate sequences real processes give rise a fortiori to a similar behavior. The representing
in the context objective in Parts IV and V is to substantiate this conjecture of various concrete and physicochemical biophysical problems.Before we in howeverwe discuss this, analyze Chapter8 somefurther models presenting we discuss a cooperative behavior. Finally, in Part III the onsetof instabilities order via a stochastictheory of fluctuations. leading to large-scale
Chapter 8
SomeFurtherAspectsof Structuresand Dissipative Phenomena Self-organization

8.1. INTRODUCTION
In Chapter7 we illustrated most of the mechanismsleading to a cooperative On the behavior on a simple chemical trimolecular model. other hand, chemical oscillations and related phenomena are now widely spread in physical chemistry, chemical engineering,biology, and elsewhere (Nicolisand Portnow, 1973; Although Noyes and Field, 1974). they were as curiosities or even as artifices, sincethe early 1960s first dismissed they an important part of experimental research, have become thanks to the discovery of sustainedoscillationsin biochemical pathways. At the same time, modelshave been proposedto account for this type of phenomena in or such diverse fields as ecology,the functioning of chemical reactors, of is a of The the to account biology. purpose give general presentchapter various modelsgiving rise to dissipative structures and related phenomena. We insist primarily on the variety and the wide range of applicability of the as the latter have conceptof self-organizationand lesson the technical details, been discussedin sufficient depth in Chapter 7. Thus, certain parts of the presentchapter have the character of a reviewmore than of a comprehensive
system\342\200\224the
analysis.
8.2.CONSERVATIVE
The
by
OSCILLATIONS
was reported first theoretical model predicting sustainedoscillations Lotka A920)and may bedescribedas follows:
k,
>
ZA
(8.1)
160
8.2.
Conservative Oscillations
161
uniform
The concentration of substancesA and B are maintained constant and of the insidethe reaction volume. Thus, the system is open.Because X Y. The massthe reaction rates are quadratic in and two autocatalytic steps, balance equationsread:
\342\200\224
= kxAx-k2XY
(82)
They admit a single nontrivial solution

Xo
^,
K2
y0
=M
*C2
(8.3a)
(8.3b)
and the
trivial
solution
Xo
= Yo = 0
The motion around thesestates can be investigated by means of a linear stability analysis, which follows the lines of Chapter 6 and of Section7.4. One finds (Glansdorff and Prigogine, 1971; that the trivial Nicolis,1971) state is a saddlepoint (and thus always unstable), whereas the nontrivial one is a center. Small perturbations around Eq.(8.3a) are, therefore,periodic, with a universal frequency co0depending on the parametersdescriptive of
the
system:
co0 =
\302\261i(kikiABI12
(8.4)
In orderto study large-amplitudemotions around Eq.(8.3a) weintroduce the new variables (Volterra, Kerner, 1957):
1936;
u
= log X,
= log 7
e\"
(8.5)
which
satisfy
the
equations:
j=kyA- k2
dv
Multiplying
=
(8.6)
(k2
e\"
kxA), respectively, and admits a constant of adding, we obtain the important result that Eq. (8.6) motion, which is additive over the different constituents:
both
sides by
(k2
e\"
- k3B), -
r= =
k2(e\" + ev) k2(X
Y)
k3Bu kÂv k3 B log X k,A log
7 = const
(8.7)
162
Some Further Aspects of Dissipative Structures and Self-organization
Phenomena
defines an infinity of trajectoriesin phasespacecorClearly,relation (8.7) ForX and Y close to the steady corresponding to different initial conditions. state (caseof small perturbations) these trajectories become concentric around Xo, Yo and retaining terms to Indeed,expandingEq. (8.7) ellipses.
first nontrivial
(X
For finite X Y Yo, the trajectoriesare deformed but remain -f does not exceed somecritical value (Davis, 1962). closed, provided Thus,
- XoJ - Xo, (Y
order we obtain:
YoJ
(8.8)
finite perturbations around (Xo, Yo) are also periodic (seeFig. 8.1). The calculation of the period T of thesetrajectories has recently beenperformed analytically by Frame A974). One can show that each trajectory has a different perioddepending on the constant \"f~, that is, on initial conditions.
i.o0.5
0.5 2.5
0.2
Lotka-Volterra cycles obtained for successively higher values of constant of motion Figure V and for k3B/k2 denotes steady state. klA/k2
8.1.
= 1. S
8.2.
Conservative Oscillations
163
The Lotka-Volterramodel has, therefore, a continuous spectrum of frewith the existence of infinitely many periodictrajectories. frequencies associated This is a very important point, as it implies the lack of asymptotic orbital that is, the lack of decay of fluctuations. As a result of stability [cf. Eq. (8.4)], small perturbations the systemcontinuously switchesto orbitswith different of frequencies,and there will be no average, \"preferred\"orbit.Oscillations this type may only describenoisetype of effects rather than physically observable periodiceffectscharacterized by sharply defined amplitudes and of existenceof a constant of motion are seen by consequences and (8.9) and by observing that: combining Eqs.(8.6)
Further
j\\
periods.
dr
\342\200\224
dv
fi and, therefore, also that:

du
= dr
du
dr
dv
~dt~
with
di~~du
dt
(8.9)
dv du
d2r d2r , , , ,
du dv
(8-10)
a conservativesystem in the variables (u, v) the model represents first a The latter (regular) integral admitting plays the sameroleas does in as is from mechanics, energy Eq. (8.9),which assumes a apparent \" Hamiltonian \" form. it is clear that a conservative system cannot be structurally Intuitively, stablein the sensedefined in Section5.4(Andronov, Vit, and Khaikin, 1966). of this kind asmodels This givesonemore argument against the useof models for oscillations with the behavior in nature. This is to becontrasted observed of modelsgiving rise to oscillatory behavior past an instability. As discussed at length in the previous chapter, theseoscillations are endowedby both a and structural which ensure asymptotic sharply reproducible stability, behavior in time. It is instructive to point out that for certain exceptionalvalues of the parameters,a (nonconservative)system capableof undergoing a limit-cycle oscillation can reduce to a conservative system.To seethis, consider a system involving two variable intermediates near the threshold of an asymptotically orbitally stable periodicmotion. According to Chapter 6,
We
seethat
r.
164
Some Further Aspects of Dissipathe Structures and Self-organization
Phenomena
the matrix of coefficientsof the linearized mass-balance equationsadmits a pair of purely imaginary roots. Thus, in the notation of Section
6.5:
The linearized balanceequationstake the following form:
= It aux + al2y
\342\200\224 \342\200\224
dx
dy
= a2lx
Setting
dx
dt
dr
dy
dy dt
dr
dx
(o.lz)
we verify
that
the
is satisfied: existence condition (8.10)
dx dy cy dx We conclude that a nonlinear system behaves as a conservativesystem in the vicinity of the point of marginal stability. The \"energy\" function -f can be computedup to an arbitrary constant, and the result is: x2 -r= -fl21 y+
fli2
(8.13a)
y + anxy
y2
(8.13b)
Note that this form is not necessarily definite unless al2 > 0, a2i < 0 < 0.The latter inequality is a necessary and a\\t + al2a2i condition for the reference steady state to behave like a center. From the point of view of thermodynamics the constant of motion (8.13b) does not have a specialsignificance, as it depends on the details of the chemical kineticsvia the linearizedcoefficientsau,a12, a22 In contrast, the is closely constant of motion in the Lotka-Volterramodel [seeEq. (8.8)] 32S state. related to the excess a round the reference [see Eq. D.30)] entropy, in an ideal the in mixture derivatives Indeed, thermodynamic appearing the
\342\226\240
D.30) yield: expression
dXj0
d/iY\\
Xo
= kB T =
^Yjo
~Y^
JyH (ixjo
8.3.
As
Simple Models Giving Rise to Limit Cycles
165
a result:
model is a The occurrence of sustained oscillations in the Lotka-Volterra On as in of a of irreversible set reactions Eq.(8.1). consequencehaving purely to equilibrium by the other hand, the same system can be analyzed close One finds (Lefeveret al., introducing a rate constant k of back reactions. is that if the overall less than a \"critical\" value, the steady state 1967) affinity is an asymptotically stable node.It is only beyond this critical value that can occur during the evolution to the steady state, which dampedoscillations now behaves likea stablefocus. Finally, in the limit where the affinity tends become to infinite (which can be achieved by taking k -* 0) the oscillations in this section. sustained and one recovers the resultsdeveloped
GIVING 8.3.SIMPLEMODELS Activation by
11.
We return
briefly
to the significanceof the constant of motion in
Chapter
RISE TO LIMIT CYCLES
the Product
situation is discussed in Chapter 14. HigginsA964) and Sel'kovA968) workedout mathematical modelsfor this type of process. Sel'kov's schemes appearin the form:
this
\302\243\342\200\224/<*.*>
In addition to simpleautocatalysis, whoseeffectsare analyzed in Chapter7, a reaction sequence activation (positive feedcan give rise to more complex whereby one of the reaction products stimulates its own processes, of A biochemical example synthesisor the synthesis of one of its precursors.
feedback)
^=
/
//[/(A\", Y)
- 07]
(8.15)
X, Y may represent, respectively,the substrateand product concentrations of one (or of a seriesof) enzymatic reactions, v is the rate of entry of X, /? the rate of Y consumption, and n is related to the enzymatic constants.Finally, is an increasing function of Y, at least within a certain range of values. Sel'kovfinds that sustainedoscillationsof the limit cycle type may arise This implies of product activation is higher than one. provided the degree that dependson Y through a powerlaw of the form f(X, Y1 with e > 0.
+\302\243)
166
Phenomena
End-productInhibition
is a very general processin nature and is a necessary prerequisite a number of important reaction chains.Nevertheless,it is fair to say that are even more common, especially in biology. negative feedbackprocesses One of the best-knownexamplesis that in which the product of a chain diminishes the rate of synthesis of somedistant precursorof the inhibitory substance.Morales and McKay A967) and Walter A969, 1970) studied modelsfor this type of feedback, which may be summarized as follows:
Activation
in
dXi
~~d7~~
dXi
(8.16)
k
where
Xn+
are the concentrations and f(Xn+l) is a decreasingfunction of the effectof inhibition. The most widely usedform for is: j describing
X{
f(Xn+i)=t
A
C
,
VD
(8-17)
more detailedanalysis showsthat the exponent p is related to the nature of the enzyme catalyzing the conversion of the inital product into X,. It can be shown that this type of system exhibits limit-cycle behavior provided 2 and p n In fact, by increasing the number of intermediate stepsone finds that the oscillatory behavior occurs for relatively small p. In contrast, if n = 2, the valuesof p necessary for periodicsolutionsare as high as p = 9.
>
> 2.
The existence of oscillatory solutionsin a large class of negative feedback control processes has recently beenestablished by Tyson A975b) using an m ethod. elegant topological An early model treating the effectof inhibition on the oscillatory behavior has beenproposedby Spangler and SnellA961,1967). End-productInhibition and/or SubstrateInhibition
and and Sel'kov,1971) Sel'kovand co-workers Samoilenko (Sel'kov,1967; role. have an substrate can studiedmodels where the inhibitory DegnA968) The most commonlyenvisagedmechanism is onewhere a reversiblereaction
J.
Simple Models Giving Rise to Limit Cycles
167
ES,forming an between a substrate,S, and the enzyme-substrate complex, is scheme: Michaelis-Menten inactive complex, ES2, addedto a classical
S+ E ES S + ES
\342\200\224\302\243i->
ES
E
>
\342\200\224^->
+P
(8.18)
k*
<
ES2
This system can be handled where P is the productof the enzymatic reaction. so-called which is illustrated in the quasisteady-state approximation, by that the model in Chapter 14. somedetail on a concrete Briefly, one assumes and adjust instantaneously, to the enzymatic forms vary on a fast scale substrateor productvariations. One then obtainsfor the sequence (8.18):
dt
1 +(ki/k2)S +
(k,
where the total enzyme concentration Eo = E + ES + ES2= const (8.20) remains constant in time. with additional terms expressing has to be supplemented Equation (8.19) the rates of substrateentry, substrateand productefflux, and influenceof the product on enzyme activity. Assuming a well-stirred medium with a firstorderdecay of the productand a convectivetransport of the substratefrom an outsidereservoir, oneobtains equationsof the form (for a single substrateproduct reaction):
- - f(s,P) dP = f(S,P) - PPP

dJt
= h(s0 s)
(8.21)
An
\342\200\224
where
that if of this function is provided by Eq.(8.19). dependence can o f is to then inhibition than or degree Eq.(8.21) exhibit higher equal two, a s well as states. oscillations limit-cycle multiple steady
/ is a nonincreasing function of both S and P. exampleof the Sthe Onecan show
Temperature Oscillations Hitherto we have neglected thermal effects in nonlinear kineticsby anticia very efficient energy transfer through heat conduction, or suitable \"homeostatic\"mechanisms ensuring a constant value of the temperature.
anticipating
168
Phenomena
Whenever theseconditionsare not satisfied, temperature can play a very if the system releases efficient roleas a generator of oscillations, especially The main reasonfor this heat locally through certain exothermic reactions. of rate constants on the temperature given is the highly nonlinear dependence by the Arrhenius law:
k(T) oc exp
\342\200\224
RT
(8.22)
where T is the temperature, R the gas constant, and E the activation energy. The fact that k(T) is an increasing function of T, together with the presence constitutes an obvious feedback of exothermic reactions, wherebya (random) increaseof T accelerates the reaction, which subsequently releases heat faster and further increases the temperature of the mixture. The first example of sustained oscillationsin temperature-dependent has beenencountered in chemicalreactor theory, particularly in the systems adiabatic stirred tank reactor (Gavalas, 1968). Let V be the volume so-called of a reaction vesselfed by a stream of volumerate q, in which the concentraof the reactant is Xo and the temperature To (seeFig.8.2). A reactant disappearsinside V by an irreversible first-order reaction at a rate k(T)X, where k(T) is given by Eq. (8.22). Adequate stirring maintains the contents uniform in X and T.Of course, X = X(t), T = T(t), although q is maintained constant.The mass-energy-balance equationsin the tank give:
concentration
dA=l(Xo-X)~k(T)X
AT1
(CP
= qCP(T0
(8.23)
(AH)Vk(T)X
where CP = heat capacity of reactant, C = heat capacity of the walls, and AH = heat of reaction. Theseequationshave beenstudiedin detail both analytically and numeriIt has been shown that, dependingon the values of the parameters
numerically.
1
x0, To
X,
Q
X,
8.2. An open reactor subject to a constant flux q. X0,T0: reactant concentration and temperature at the entry. X, T:reactant concentration and temperature inside reactor.
Figure
8.4.
oscillations
Multiple Steady States and All-or-None Transitions
169
q, Xo, To, AH, C, CP,the system may exhibit multiple steady states,oscillaof the limit-cycle type, or even multiple limit cycles.More recently, Rosen A973) has considered the effectof temperature dependencies on the of trimolecular model analyzed in Chapter 7 and found also the possibility
temperature-induced limit cycles. The additional effect of spatial inhomogeneities has been analyzed by CohenA972),Keller A974),and Amundson A974),in the context of the tubular chemicalreactor problem. The main differencebetweenthis problem and thosebasedof the reaction-diffusion equationsstudiedin the preceding of convection terms in the balance equations, chapters is the presence reflecting the convective heat-mass transport along the tube. Turbulence sets up an axial dispensionthat is usually describedby an empirical law or Fourier's laws. This confers to the equationsof patterned after Fick's evolution a parabolic character similar to that of reaction-diffusion
equations.
Again
solutions with complexstability properties, including spatiotemporally dependent regimes similar to those found in the trimolecular model.
multiple
one finds
8.4. MULTIPLESTEADY STATESAND ALL-OR-NONE TRANSITIONS

General Comments
In this sectionwe considerspatially uniform systemsand study situations where the equations of evolution admit more than onesteady-state solution. This type of situation leads to abrupt transitions between simultaneously stablesteady statesinvolving neither symmetry breakingnor time ordering, and gives rise, therefore, to some interesting thermodynamic problems. Couplingwith both space and time-dependent phenomena is discussedin and and Chapter 16within the context of morphogenesis Section 8.10 development. Hysteresis phenomena associated with multiple steady states were conjectured long ago by Rashevsky A938) in connection with biological systems.Bierman A954) and Spanglerand Snell A961) discussedmodels with two or more stable stationary states. involving product inhibition, Moreover, for certain values of the parameters,the equationsof chemical reactor theory [seeEq. (8.23)] admit several steady states. This has some related to the yield of the reactor extremelyimportant practical consequences (Gavalas, 1968). An interesting class of modelsleading to multiple steady states is that involving simpleautocatalytic steps.Edelstein A970),Goldbeterand Nicolis
170
Phenomena
modelsalong this line. A972)and Dekkerand Speidel A972)have suggested Their main interest is that they provide mechanisms of amplification of small effects, which may have played an important roleduring chemical evolution (we discussthis aspectin Chapter 17). A still different classof modelsare those referring to regulatory processes at the genetic level(Cherniavskii,Grigorov, and Poliakova, 1967; Babloyantz Mostof thesemodelswere and Nicolis,1972; 1972). Babloyantz and Sanglier, scheme(Jacob and Monod, 1961) which is inspiredby the Jacob-Monod known to apply to bacterial regulatory processes. In this section we illustrate the main aspects of multiple steady-state transitions on a simpleclass of modelsinvolving a single chemical interSuchmodelswere analyzed by Schlogl intermediate. JanssenA974), A971,1972), McNeiland Walls A974),and Matheson,Walls, and GardinerA975).
A
SimpleAutocatalytic Model
Considerthe following nonlinear reaction scheme:

A
+ 2X
X
*'
<
\302\253==\342\231\246
>
3X (8.24a)
B
The overall reaction
is:
A
<
(8.24b)
and describesthe conversion of the initial reactant A into B via the interX which, in addition, can catalyze its own production. intermediate The system is opento interaction with infinite reservoirs of reactant A and B, so that the concentrations of A and B are kept constant in the system. Possible ways of this situation were in discussed realizing experimentally Chapter7. already The rate equation
is:
~k2X3+ ^= at
ktAX2
-k3X+ k4B
(8.25)
This equation admits an equilibrium solution, provided the conditions are fulfilled: ensuring a simultaneous equilibrium of both reactions(8.24a) LAY2
\342\200\224
b Y3
8.4.
Multiple
Steady States and All-or-None Transitions
171
As the
rates kt are constant and characteristicof the mechanism,we interpret
as a condition on the ratio A/B: Eq. (8.26a)

*\302\253,
=D
=t^
(8.26b)
is nonvanishing, Whenever R # Req, the affinity of the overallreaction (8.24b) The steady-state and the system operatesunder nonequilibrium conditions. solutions of Eq. (8.25) obey the equation
X30
-aX2+ kXo~b = 0
b
(8.27a)
where we set a
As is well known from (Abramowitz
= ^~,
k2
^,
k2
\\b
=~
k2
(8.27b)
elementary algebra,the nature of the roots of this cubic equation depends on the sign of the expressionq3 + r2, where
and Stegun, 1964):
9=7^2+,^ r = 2?\" ~ iok + t,

If q3
by
(8-28)
+ r2 > 0, then the equation admits one real root and one pair of If q3 + r2 < 0 the equation admits three real roots. complex conjugate roots. Thesetwo regimesare separatedin the spaceof parameters(q, r) or (a, b, k)
the curve q3
+ r2 = 0
(8.29)
along which the equation admits at least two identical roots:
= XV
qI
JL
02 =
\342\200\224^
-1/3 i
'^
(SI
(o.JUaj
\"X(\\ct\\
whereas the
third
root is given
by
\" a X03 = 2^3+ 3
(8.30b)
From these relations one sees that the three roots become identical if one could have r = 0, that is, also q = 0.According to Eq. (8.28) this implies a
= C/cI/2
172
Phenomena
in terms of a and b as follows: can be expressed Equation (8.29) b2 + \\ak)b + â2k2 = 0

2(\302\243a3
\302\243k3
If bt, b2 are the two rootsof this equation such that of three real solutions of Eq. (8.27a) requires bi
We
bt
< b2,then
(8.31a) the existence (8.31b)
<b<b2
note that
in
terms of a and b the equilibrium condition (8.26b) reads:
One can verify
that this
is satisfied. Thus, multiple steady states in (8.31b)
condition can never be fulfilled as long as inequality this modelcan only arise
far from equilibrium. In the physicallyacceptable the part a > 0, b > 0) part of the (a,b)plane (i.e., relations (8.31) are representedgraphically in Fig.8.3a. At a0 = 2kl/2 the curve b = b(a) has one vanishing root bt = 0 and a secondpositive one, equal to b2 = Tfk312. The curve becomes meaninglessbelow a for which the discriminantof the quadratic (8.3la)vanishes.This corresponds to the case of three equal roots of Eq. (8.27a), In the namely, amin = CkI'2. as long neighborhood ofamin, b has the behavior indicated in the Fig.8.3a, as k remains finite. If k 0, then b becomes is, negative. This limiting case
\342\200\224amin,
-\302\273
b = b(a)
root
Figure
8.3a. Linear
stability
(8.27b).Region inside the curve b

steady states.
of parameters b and a, Eq. diagram for model (8.24)in space = b(a) (e.g.,ft, < b < b2 for a = a,) is region of multiple
gj. Multiple
Steady States and All-or-None Transitions
173
therefore, unphysical and has to be discarded.The behavior of b in terms can never be satisfied of k is qualitatively similar. Again for a -> 0, Eq.(8.31a) valuesof b and k. Figure 8.3bdepictsthe dependence for physicallyacceptable of X at the steady state on the parameter b for fixed k and a such that
flmin
The analogy with the van der Waals theory of phasetransitions (Landau is striking. In fact, Fig.8.3 has exactly the same structure and Lifshitz, 1957) isotherms of a dense in the the coexistence as region, provided b is gase the as v. The critical and the volume\" \"pressure\" interpreted X, p \"specific in the to the regime of three equal roots, present problemcorresponds point XOi = ^02 = ^03-At this point the \"isotherm\" b = b(X) has a horizontal
inflexion
<a <a0.
states on branch P'Qcan evolve to the higher branch PQ'(and vice versa) even before states Q or P are reached,provided the perturbations acting on the referencestate exceed the values corresponding to the intermediate A system with multiple steady statesis, therefore, endowed branch QP. with an intrinsic excitability. We examine some biologicalimplications of this of abrupt transitions to a Moreover, the possibility property in Chapter 15. of the value for the modeling variable makes such suitable higher systems of explosivereactions (Gray, 1974).
point. One can show by linear stability analysis that the states on branchesOQ and PR are stable,whereasthe states on the branch PQ are unstable.It is also apparent from this result that a hystereris in X may occuras b varies, PP'.Moreover, as illustrated by the arrows along the lines P'Q,QQ\\ Q'P,
8.3b. Steady-state diagram representing concentration X versus the parameter b. Dotted part PQdenotes unstable branch. In region b, < b < b2 the system displays multiple steady-states and hysteresis. At Q or P there occur finite jumps of X, respectively, toward branches PR or QO.
Figure
174
Phenomena
ThermodynamicInterpretation of multiple we pointed out in the precedingsubsectionthe occurrence from thermoin the model a finite distance states (8.24)requires steady On the other in to what contrast hand, happensfor equilibrium. is often it and impossibleto symmetry-breaking transitions, limit-cycle the determine of solutions branch (Edelstein, thermodynamic unambiguously To see Glansdorffand Prigogine, 1971). this, considerthe steady-state 1970; in connection with Fig.8.3b. In addition to the parameter b, equation (8.27) the values of X are also determined by the ratio {ki/k2) = k and by a. It is quite conceivable,therefore, that different paths can be found in the paramand leading from a value of X on spacespannedby q and r (cf.Eq.(8.28)) the lower branch to a value of X on the higher branch.Among thesepaths, somecertainly cross the hysteresis this implies an instability of the region; which couldbe defined the branch of lower as values branch, thermodynamic of X. Other paths, however, could avoid this region and lead to the upper branch smoothly, that is,without an instability. From this point of view, there is an analogy with equilibrium phase transitions, where the branch of reflects This degeneracy equilibrium states is degenerate (Kobatake,1970). the fact that the steady statesdepicted on Fig.8.3bbelongto the samebranch, in the sensethat they can bejoined by a smooth curve OQPR. arisesas a The situation is different in systemswhere multistationarity result of coexistence of different branches of solutions,as illustrated in Forbmin < b < b0 the system presentsthree steady states,onelying Fig.8.3c. on branch (i) and two lying on branch (ii). At b = bu which is a bifurcation One point, an exchange of stability between branches(i) and (ii) may occur. can speakof a single-valuedthermodynamic branch (i) here and of a transito states of a new type belonging to the classof dissipative structures. Simplemodelsgiving rise to this type of steady-statebehavior have been within the context of prebiotic polymer worked out (Venieratos, 1976) also Chapter 17). synthesis and competition (see
As
thermodynamic
parameter
transition
AU-or-none Transitions and Catastrophe Theory
is instructive to phrase the results of this section in the language of To this end,we first redefine catastrophetheory (introduced in Section6.4). the variable X in Eq. (8.25) in order to eliminate the quadratic term in X in the right-hand side.Setting the following:
It
Z=X-\\Â 3k2
(8.32)
Multiple
Steady States and AII-or-None Transitions

X
175
8.3c. Steady-state diagram representing bifurcation of multiple solutions at point ft,. Dotted lines show unstable branches. At ftmin < b < ft, the transition between the two stable branches requires a finite jump.
Figure
we obtain for Z an equation of the standard form (Thorn, 1972):
(8.33a)
where
u
= 3k3k2
\\\\
k\\A2
\342\200\224^
= u(a, b, k)
(8.33b)
k\\
27
k2
= k2t
The next point to realize is that a system involving a single variable always derives from a potential. Thus, Eq. (8.33a) can be written in the form
dZ
~dZ
(8.34)
where t~ is the integral of the right-hand side(up to an arbitrary constant):

i\"
= ?l + u^- +
4 2
vZ
(8.35)
176
Some Further Aspects of Dissipathe Structures
and Self-organization Phenomena
3 sol.
Figure
parameters
singularity.
8.4a. Stability diagram of system described by cubic rate equation involving two [Eq.(8.33a)]according to catastrophe theory. Oc= line of conflict; 0 = cusp
u, v
to a single minimum of V from plane the region corresponding minima and one to two maximum are given by the corresponding of two roots of the cubicC.33 condition of coalescence a):
In the
that
4u3
+ 21v2 = 0
(8.36)
This equation, which is to be comparedwith Eq. (8.29), definesa semicubic in 8.4a. As or + parabola(a) (b) represented Fig. (a) (b) (Fig. 8.4a)are crossed from outside, two new steady-state solutions the domain Once inside emerge. limited by the curves (a) and (b\\ which corresponds to the multiple steadystate region of Fig.8.3b, the two minima of V generallyhave different heights, exceptalong a set of pointsdefining curve (c),where, say, V(Zol) = V(Z03), Z02 beingthe value of Z at the maximum of V. This curve, which emanates from the cusp O, correspondsto what is called in catastrophetheor.y a conflict,in the sensethat the two states Z0l and Zo3 are equally dominant attractors.* Therefore,the systemcan evolveto oneor to the other as x -* oo. This idea, which is motivated by Maxwell's rule familiar from first-order can be substantiated by a phase transitions (Landau and Lifshitz, 1957) stochasticanalysis of fluctuations (we discussthis point in Section12.6). It is interesting to investigate the behavior of Z along the curve (a) + (b) of Fig.8.4a. In this respect,we first note that in a three-dimensional space the projectionof that point O' spanned by Z, u and v, O is necessarily of the surface Z = Z(u, v) where the cubic (8.32a) admits three coalescent roots.Beyond (a) + (b) all vertical lines emanating from the (u, v) plane intersect the surface Z = v) at a single point. Inside (a) + (b), on the toward other hand, one has intersection at three points.Thus, as u decreases a point of bifurcation negativevalues,the image O'ofOon the surfacebecomes
Z(\302\253,
* As a matter of fact,
symmetrically
in the notation of this subsection, the conflict line with respect to branches (a) and (b).
Ocshould be situated
g.4.
Multiple Steady States and AU-or-None Transitions
177
plane)
bifurcation
of Riemann-Hugoniot cusp catastrophe (seeprojection on u-v = bifurcaof bifurcation of new branches of solutions Z (seesurface). point corresponding to cusp singularity. Dashed area on curve corresponds to region of multiple steady-state solutions of equation for Z.
Figure
8.4b. Visualization
as phenomenon
0'
of a new branch of steady state solutions(a')+ (b')as shown on Figure 8.4b The resemblance of curves O'b'a with (Thompson and Hunt, 1973, 1975). the bifurcation diagrams derived in Chapter7 is striking. Whenever point O' is accessible indeedthe to the system, one has on crossingthis entire curve O'c' a situation similar to the formation of a shockwave orto a first-order phasetransition in the region of coexisting phases.In particular, well-defined from a smooth characterized a starting velocity of by wave,, propagation, one would switch to a regime characterized by two distinct propagation velocities.This phenomenon has been analyzed by Riemann and Hugoniot and may, therefore,be appropriately calledthe Riemann-Hugoniot catastrophe(Thorn, 1972). In the space of the physicochemical parametersa,b,k the behavior is in the vicinity of Fig.8.4 occurs qualitatively similar. The cusp singularity
point\342\200\224and
178
Phenomena
ofamin in Fig.8.3a, which again is a bifurcation point in the usual senseof the term. Finally, as stressed repeatedly throughout this monograph, in chemical systems involving more than onevariableand operating far from equilibrium, to construct a potential generating the equations it is generally not possible with catastrophe the analogies drawn in this subsection of evolution. Hence, theory are specificto a particular classof systems.
8.5.TWO-DIMENSIONAL PROBLEMS
interest, one-dimensional problemsin nonlinear Despitetheir pedagogical This is particularly kineticsprovide rather unrealistic modelsof real systems. true in biology,where many crucial processes take placein (two-dimensional) The purposeof the presentsectionis to surfaces, such as cell membranes. outline some results obtained on two-dimensional dissipative structures.
We
the symmetry features of the spatial domain introduce a highly interesting interplay between the size of the system and the form of the patterns. Moreover,the variety of possiblepatterns is greatly enhanced. As in Chapter 7, we illustrate the main ideas on the trimolecular model,
seethat
Eq.G.13).
Let
Linear Stability Analysis

4>i{r), operatorwithin
\342\200\224kf
be the eigenfunctions and eigenvalues of the Laplacian the spatial domain: ' V20,. = -kf<j>i (8.37)
These quantities are determined uniquely, once the size, geometry, and We may recall that in the one-dimensional are specified. boundary conditions case Section were (see 7.4) trigonometric functions, whereask( were equal to i2n2/l2.Fora given ku the stability propertiesof the uniform steady-state in the two-dimensional solution Xo = A, Yo = (B/A) [see Eq. G.16)] In particular: case are determined by the samerelations as in Section7.4.
<j>i
\342\200\242
The characteristic equation admits one non-negative and one negative root when
B
with
> B, =
+ /42
\342\200\224
+ ~^-j + Dikf
(8.38)
Bc = min Bt
$.5.
\342\200\242
Two-Dimensional Problems
179
The characteristic equation admits one pair of complexconjugate roots with a nonnegative real part when
B
with
> B, = 1 + A2
+ (Di + D2)kf
(8.39)
Bc
\342\200\224
min
Bt.
The new feature added by the higher dimensionality is that the eigenof the linearized problemare now different. Forinstance, for zero onewould have: flux boundary conditions
eigenfunctions
nxi,nyi
= 0, 1,
2,...
(8.40)
for a rectangle of sideslx and
ly
along the two coordinateaxes,and

(eine \302\261e~ine)Jn(kir)
t
(8.41)
n. of integer order
= 0, 1,
2,...
(8.40a)
for a circle of radius R, where Jn is the Besselfunction The permitted values of kt in the two cases are:
kf
n2(^+ ?g\\
and
A.I (k.r\\ dJ\"{kir)
dr
n An
= 0, 1, 2,
...;i 1,2,...
=
nk,R) = 0
(8.41a)
of degenerate additional feature of great importance is the occurrence the thermofrom T his even the first that at eigenfunctions. instability implies become could bifurcations dynamic branch, multiple (primary) possible. When n # 0 degeneracy which presentsfor occursalways for the circle, each value of kt (and, thus, also of a}t) two independent eigenfunctions: 0,-,i
(j>U2
= ct cosnd Jn(k(r) = c2 sin nd Jn(ktr)
similar situation
can alsoappearfor the rectangle,although
is found for the squarewhenever nx! # nyi. Degeneracy somerather stringent this requires
180
SomeFurther Aspects of Dissipative Structures and Self-organization

X X
Phenomena
8.5. Bifurcation parameter versus the eigenvalue of Laplaceoperator. U denotes unstable uniform steady-state. (A) shows case of pure degeneracy; (B) shows case of \"accidental\" degeneracy.
Figure
Still higher degeneracies conditionson the lengths of the sides. become of a sphere(Hanson,1974b). possiblein the case It shouldbe pointedout that, even if the first bifurcation does not leadto a of the discussed it above, \"pure\" degeneracy type may happen that two different bifurcations become possiblefor identical values of the bifurcation parameter.This caseof \"accidental\"degeneracy is illustrated in Fig. 8.5 (seealso Boa, 1974).
Numerical Simulations of Steady-State Solutions The analytical computation of the bifurcating steady-state solutionsin the caseis straightforward. More interesting from the mathenondegenerate of point view is the situation of a doubleora higher ordereigenvalue the nature and since,accordingto the theorem mentioned in Section6.6, the of solutions are not known a stability bifurcating priori.This point was and McLeod on a A973) investigated by Sattinger general basis, and by Shiffmann A975)on the particular case of the trimolecular model.We do not describethe results here but, rather, report on the numerical simulations of two-dimensional patterns for the trimolecular model (Erneux and Herschkowitz-Kaufman, 1975). to 8.11 Figures8.6 representthe stationary structures, obtained for the intermediate X when the unstable steady state (Xo, Yo) is slightly perturbed (in somefigures the positionof the initial perturbation appliedto the uniform unstable solution is indicated by an arrow). In each of those figures the resulting pattern reflects the geometrical propertiesof one of the unstable The latter can be characterized by two integer numbers eigenfunctions and (8.41 that are definedfrom the linear stability analysis [see a)]: Eqs.(8.40a)
mathematical
<\302\243,(r).
8.5.
181
model in circular domain Figure 8.6. Polar steady-state dissipative structure for trimolecular with zero-flux boundary conditions. Broken dotted line: unstable uniform steady state. R x 1(T2. A = 2, B 4.6, D, 3.25x 1(T3, D2 1.62
=0.1,
The stationarydissipativestructure nx, ny for the rectangleand n, i for the circle. obtained can be related to thosemodeswhich have an appreciable positive real part of wi. More specifically,Fig.8.6 with no fluxes at the boundpresentsthe circle the structure the has clearly, propertiesof the unstable stationary i = 1 with its characteristic polarity. Noticethat in one eigenfunctionn = 1, dimension polarity correspondsto spontaneousonset of a macroscopic concentration gradient along the system, resulting from different values of X or Y at the boundaries r = 0 and r = I. The organizedpattern that appears in Figure 8.6 is not a trivial extension of onedimensional polar structures to the circle; in fact, we observethat the circular limits permit us to have, in the same structure, a region of space that is greatly organized (around 0^0) and another quasiuniform region (around 0 ~ tt/2). In Figure 8.7 we consideredthe circle for fixed concentrations at the boundaries;the structure is angle independent to the eigenfunction n = 0, and corresponds = 2.Figure 8.8 showsthe rectangle for the sameboundary conditionsand to the eigenfunctionnx = ny = This case was alsoconsidered corresponds for a higher value of B. The resulting pattern (Fig. doesno longer, as in 8.9) Fig. 8.8, totally reflect the symmetry properties of the eigenfunctions = 1) but undergoesa grooving in its central region which 4>(nx = 1, ny
boundaries;
'
1.
182
Phenomena
Figure
fixed
8.7. Steady-state dissipative structure for trimolecular model in circular domain with = 8 x 1CT3. concentrations at boundaries. R = 0.2, A = 2,B = 4.6, D, = 1.6x 10~3,D2
the bifurcation parameter B
increaseswith B. This showsthe influence on the bifurcation solution of subharmonic terms (seealso Section7.6), which modify the geometrical = 1)for increasing values of aspectsof the first approximation 4>{nx = 1, ny
\342\200\224
and 8.11 Figures 8.10 present,for a degenerateeigenvalue, the square with no fluxes at the boundaries. Two different initial conditions are imposed. refers to the case where we slightly perturbedthe unstable steady Fig.8.10 state at onepoint. This leadsto the simplestructure represented on Fig.8.10
Bc.
8.8. Steady-state dissipative structure for trimolecular model in rectangle with fixed = 0.231. A = 2, B = 3.9,D, = 1.6x 10\023, D2 = concentrations at boundaries. /,. = 0.165. 8 x 10~3.
Figure
\\x
Figure
supercritical
8.9. Concentration
B = 4.1.
pattern
under same conditions
as Fig. 8.8except
for
a more super-
Stable steady-state dissipative Figure structure for trimolecular model in a square conditions. subject to zero-flux boundary
lx
8.10.
= ly = 0.132873, A = 2, B = 4, 1.6x Kr3,D, = 8 x 10~3.
\302\243>,
Figure found under
8.11. Unstable
concentration
Fig.
same conditions as in
8.10. 183
pattern
184
which
Phenomena
can be characterized by nx = 0, ny = Fig.8.11 presentsa second case wherewe have perturbedat another point. The emergingstructure is the = 0). to <j>(nx = 0, ny = 1)+ (j)(nx = 1, solution corresponding degenerate ny But this structure is not stable,on a slight perturbation it tendseither to the to the shapeof eigenfunctionscj)(nx = 0, ny structure corresponding 1)or = 0). to the structure characterized by <j>(nx \\,ny studiesdescribedin Chapter 7 show that several The one-dimensional stable solutions can be obtained from different initial conditions.These solutionsare all related to oneof the unstable eigenfunctions,generallythose to an appreciable real part for coi.A fortiori, this is also the corresponding where the possibility of new bifurcations caseof two-dimensional systems, increasesrapidly with increasing values of the bifurcation parameter.For if we compare a one-dimensional and a rectangle example, systemof length 1, of sides 1 and 0.5, both with zero fluxes at the boundaries, we have, for the eigenvaluesk,:
1;
\342\200\224
\342\200\224
onedimension: kt
two
\342\200\224
nn,
n
An
= 0,
dimensions: kt = n(nx
?I/2,
1,... =
nx
ny
= 0,
0,
1,... 1,...
to:
Supposethe physicochemicalparametersare chosensuch that the values of

kj
allowed, for
which
the uniform steady state is unstable, obey

2tt
< kt < 3tt
Then oneobserves that only the eigenfunction4>(n = 2) satisfiesthis condition in one dimension,whereas in two dimensions, three different solutions
Comparison between the bifurcadiagrams for one-dimensional system (upper part) and two-dimensional system (lower part).
Figure
bifurcation
8.12.
8.5.
<j>(nx <j>(nx
185
= 2, ny = 1),are to be = 1, = 1),and ^nx = 0, ny = 1), ny The situation can be illustrated by the general bifurcation considered. for one At B*, only onebifurcation has appeared diagram shown in Fig.8.12.
namely,
Moreover,
On the contrary, in when one increases the value of B from zero. dimension, two-dimensional systems, several bifurcations may occurbefore B*.Moreas we have already shown, in two dimensions multiple solutionscan from the same bifurcation, as a consequence of degenerate also emerge eigenvalues in highly symmetrical systems.Computersimulations confirm entirely this striking multiplicity of dissipative structures in two dimensions. One can really speak here, following Hanson A974b), of a \"quantization\" of the statesof a macroscopic system.
Time-periodicand Wave-likeSolutions
biologicalinterest, solutions are apparently time-periodic seemto emerge and display,in addition, a nontrivial spacedependence. we may the most striking examples Among the in the of wave Belousovoccurrence quote rotating spiral fronts Zhabotinski of pulsesof chemical activity reaction, as well as the appearance on cell surfaces, which seemto bear someconnection with the subsequent deformation of those surfaces.Examplesare discussedin some detail in In the present sectionwe focus on the mathematical Chapters 13 and 16. of the aspects problemand discussthe feasibility of having spatiotemporal whose patterns symmetry is lesserthan the symmetry of the spatial domain. We deal exclusively with systems subject to zero flux conditions,as in systems with constant boundary conditionsthere may be an artificial space dependenceinduced by the boundaries.Similar considerationshold for wave-likesolutions in periodicgeometries, such as the surface of a sphere and Nicolis, 1976b). (Auchmuty We consider systems involving two chemical variables and, more of particularly, the trimolecular model.Let the reaction space be a circle for zero-flux radius R. According to the analysis of Sections7.4 and 7.12, boundary conditionsthe first bifurcation from the thermodynamic branch leads to a (uniform) limit cycle.Thus, any spatially dependent necessarily solution is the result of either a subsequentprimary bifurcation from the thermodynamic branch or a secondarybifurcation from the limit cycle.In both cases, it is extremely difficult to assessthe stability of these solutions. True, we know from the analysisof one-dimensional systemsthat, well within the supercriticalregion, multiple solutions of the rate equationsare possible, and this is corroboratedby the resultsof computer simulations reportedin Chapter7.Still, oneshould be aware of the fact that so far there is no rigorous proof of stability of those patterns.
In many situations of physicochemical and
that
186
Phenomena
one can construct the spatioof stability considerations, Independently temporal solutions using bifurcation theory or other methods. Let us of rotating waves.Let r, 0 be the polar illustrate the situation on the example Either one seeksfor special Two attitudes are possible. solutions coordinates. in 0 (see for a calculation Stanshine, 1975, X(r, 0, t), which are singly periodic on the Belousov-Zhabotinski reaction) and for which
X
= X(a)ot
<j>(r)
\302\261
0)
(8.42)
for r sufficiently large.One finds that such solutionsare not defined for r r0, where r0 is a certain critical length. When they are defined,the relation observed 0 = const is the equation for the involute of a circle, <j>(r) experimentallyby Winfree A972).Computersimulations by the latter author
<
\302\261
1974a)on a system undergoing discontinuouskinetics have producedqualitatively similar results. is to seek for bifurcating time-periodic solutions The secondpossibility without postulating any specificr or ^-dependencies (Auchmuty and Nicolis, This is more general than Erneux and HerschkowitzKaufman, 1976). 1976b; the previous method, as in a boundedsystem any stablewave-likesolution is necessarily (or at least almost periodic). Usingthe method time-periodic one for the first nonuniform outlined in Section finds 7.12, bifurcating solution
(Winfree, from the
thermodynamic branch:
X(r, 0, t)
= (B
+
- Bc)ll2[ricosD>!+ Qf)cos0 \302\2432f)sin
r2 cos(<j>2+
GO
d^J^k^r)
am
+ (B + (B +
Bc) X
GC
m= 1
(am
cosBQf+
am2
i//J)Jo(kOmr)
<Am2)]cos 20
Bc) X
am2
{[\302\253m2
cosBfit +
[< +
cosBQf+ i/C2)]sin20}x
J2(k2mr)
<8-43)
for Y. The various coefficientsare determined by the and a similar expression and system'sparameters by the normalization conditions.kt, kOm and klm functions as follows: are related to zerosof derivativesof Bessel
J'o(kOmR) = kl
= min(/c,: k, > 0) with J'^/c^) = 0 J'2(k2mR) = 0
(8.44)
Expression (8.43) presents several interesting properties, the most remarkable of which is that it remains well-definedat the center of the circle. Thus the concentration front predicted although rotating, by this expression,
1.75
t =0
1.51
(A)
1.50
t = 0.14
1.75
2.50 1.51
2.72
concentration curves for X in trimolecular model in circle of radius R = to zero-flux boundary conditions. Full and broken lines refer, respectively, to concentrations larger or smaller than values on (unstable) steady state Xo = 2. A = 2,D, = 8 x 1O~3, D2 = 4 x 10~3, B = 5.4.(A) to (F) describe concentration pattern at various stages of periodic solution.
Figure
0.5861 subject
8.13. Equal
187
t = 0.36
1.50
1.67
1.44
(C)
t = 2.45
4.00
4.07
\342\231\246
*3.75
(D)
Figure
8.13. (Continued)
t = 3.36
4.00
4.25
3.75
3.65
14.45
(E)
1.75
t
2.25
2.50
= 3.70
2.75
3.00
1.5U
(F)
Figure
8.13. (Continued)
189
4.1 4.7
1.7
(A)
t = 0.93
1.7
2.0 2.3 2.9 3.5
(B)
model arising under Figure Rotating solution for trimolecular but for more supercritical value of bifurcation parameter, B Fig. 8.13
8.14.
= 5.8.
same conditions as in
190
= 2.525
1.7
4.1
4.1 4.7
2.0
(D)
Figure
8.14. (Continued)
191
192
Phenomena
can never be a true spiral. Moreover, the velocity of rotation is not a true constant as it dependson the position. solutions on a circle The resultsof computer simulations of time-periodic provide some very interesting clues for future theoretical developments Oneof the most striking aspects (Erneux and Herschkowitz-Kaufman,1976). As an example,consider revealed is,again, the multiplicity of stablesolutions. the trimolecular model. At the first bifurcation point Bo = A2 + 1,the A uniform limit cycle solution emerges, which situation is relatively simple. B The situation is remains stablefor values of significantly higher than Bo. entirely different beyond the secondbifurcation point Bj (cf. Section7.4). and space-dependent One finds a four-fold multiplicity of time-periodic moreover, patterns that subsistduring a very large number of periodsand are, rapidly restoredwhen subjectto a small perturbation. From the standpoint of bifurcation theoretical analysis, this would mean that: (a) the parameters rur2, appearingin Eq.(8.43)are multiple valued and (b) although the branchesemerging at B^ are unstable for B near Bu they are subsequently stabilized (e.g., by means of secondary bifurcating branches). One can further show that there exist two groupsof qualitatively different one displaying the same features as the time-periodic solutionsin solutions, as in one dimension Section shown and a second Fig.8.13, (cf. 7.13), groupof whenever the valueof the bifurcation solutions rotating appearing parameter B is sufficiently supercritical. describessome successive conFigure 8.14 of the in the course of one of isoconcentration curves configurations period the for one of the two solutions. W hich of the two types phenomenon rotating ofsolutiondominates depends on the initial conditions. one shows Moreover, that the concentrations remain well-defined, and presumablynonoscillatory, at the center. Thus, the reaction front is not a true spiral,which is in agreement with the general theoretical predictions basedon Eq. (8.43).
...,
8.6.SYSTEMS INVOLVING
In systems involving
VARIABLES MORE THAN TWO CHEMICAL
three or more chemical intermediates some new of possibilities self-organization arise. Firstly, the Hanusse-Tyson-Light theorem no longer requiresa trimolecular step.Secondly, the first bifurcation from the thermodynamic branch can lead to time and space-dependent stablepatterns, even for zero-flux boundary conditions. On the other hand, the difficulty in analyzing such systemsincreases considerably, already at the m ethods and levelof linear stability analysis. (Clarke, Graphical topological in this to be useful context. 1974) might prove of three intermediates The situation remains relatively tractable in the case
8.6.
Systems Involving More Than Two Chemical Variables
193
The characteristic equation takes the form: 1973). (Hanusse,

co3
- To2+ So-
=0
(8.45)
and 8 is the sum where T and A have the same interpretation as in Eq. F.21) of principal minors of rank two of the coefficientmatrix of the linearized equations.Dependingon the signsof these three parametersone can have singular points behaving like saddlepoints, stable or unstable nodes,and stable or unstable foci. The latter is the most favorable situation for the of limit cycles.Regarding symmetry-breaking transitions leading existence to steady states, it has been theorized (Hanusse,1973) that for a system involving three intermediates undergoing uni- and bimolecular steps to exhibit a symmetry-breakingtransition, it is necessary that at least oneof the minors of rank 2 be Another negative. principal interesting result specificto is that the diagonal terms of the matrix of uni- and bimolecular processes linearized equations can only be negative or zero. The occurrence of various forms of self-organization has been demon1973): numerically on the model (Hanusse,
demonstrated
+Z +Z
4
<
'
ft-4
+B
(8.46)
with/c,-
Let us now lookmore closely on the nature of the first bifurcating solution in a system of three variables. for zero-fluxor periodicboundary conditions As in the case of two variables,the bifurcation 1976b). (Auchmuty and Nicolis, of a steady-state solution occurs a when the bifurcation parameter X crosses to the equality critical value kc corresponding
A(AC)
= l,/c_! = /c_2 = /c_3 = 0.1, A = B = 1. k_4 = 0.005,
=0
(8.47)
is the eigenvalue of the Laplaceoperator,then Eq.(8.47) is a cubic equation for kf. Therefore, it generallygives a nontrivial spacedependence to a k\\ # 0, in much the same way as in the analysis of Section corresponding If
\342\200\224kf
7.4.
194
Some Further Aspects ofDissipathe Structures and Self-organization

first
Phenomena
bifurcating the characteristic equation admits the

\302\253i,2
Consider now the
roots:
solution.For X = Xc, time-periodic (yreal) (8.46)
\302\261iy
and equating real and imaginary parts, Inserting cou2 and W3 into Eq.(8.45) we find:
T(lc, = co3< 0 S(XC, ki) = y2 > 0

I\302\256
(8.49)
Moreover,
ll/c9
= A(lc,/c9
(8.50)
The point is that this equation is cubic for k'.As a result, at Xc the corcorresponding value k\\ need not be the lowest eigenvalue of the Laplacian, that is, zero for no-flux or for periodicconditions, but may correspondto of the one of the other eigenvalues.This is reflected by a spacedependence solution whose symmetry properties can now belessthan thoseof the spatial domain.In particular, a rotating solutioncan now appearas a first bifurcating solution, a property that would automatically guarantee its stability. One may comparethe Xc computed from Eq. (8.50) and the critical value to the onset of oscillations i n the of diffusion: absence corresponding
X\302\260
T(X\302\260,
Q)d(X\302\260,
0) =
A(lc\302\260,
0)
(8.51)
neither S nor A are monotonic functions of kt, this relation can well correspondto a value of that is higher than Xc. Thus, a system which is conditionscan exhibit time-periodic nonoscillatory under homogeneous in the solution of diffusion. (and space-dependent) presence Even for systems with two chemical variables, one might still have these results when thermal or electrical effects introduce a third (nonchemical) variable.Forinstance,for the thermal effectsone must supplement the second with the conduction term, XV2 T.The resulting equation would have Eq.(8.23) the same character as the mass-balance equations,to which it would be the term and concentration of the heat-source coupledthrough dependence the temperature dependence of the rate constants. Further examplesof systemsinvolving several variables are given in reaction and in Chapter 14 Chapter 13on the Belousov-Zhabotinski devoted to enzyme-catalyzedreactions.
As
X\302\260
8.7.
Coupled Oscillators
195
8.7. COUPLEDOSCILLATORS
wementioned that a number of self-organizationphenomena In Section 7.13, notably the formation of spatiotemporal dissipative structures\342\200\224can be viewed as the result of coupling between nonlinear oscillators. Under certain conditionsthis coupling, which is due to diffusion, can synchronize the various oscillatorsand maintain fixed phase relations between them, even if the intrinsic periodsof the individual oscillators are different. Populationsof coupledbiochemical oscillatorshave often been used to
\342\200\224most
model physiological rhythms (Winfree, 1967, Pavlidis, 1973), 1975; spatiocell division, contact temporal control of various developmental processes, and other phenomena in living organisms. inhibition, (We discusssome of these phenomena in detail in Part IV). The purposeof the presentsectionis to one provide a brief introductory reviewon the subject.Generally speaking, can distinguish betweenthree broadly different types of coupling:
\342\200\242
\342\200\242
\342\200\242
other passive forms of exchange of diffusion or through matter. Chemical coupling. Couplingbetween individual oscillatorsand an external time-dependent field.
Coupling through
In the first class,in addition to the couplingsdiscussed in Section7.13, one may cite Van der Pol oscillatorscoupled through Fickian diffusion or oscillators coupled via a mass (Polyakova and Romanovski, 1971) The rate of this processis usually taken to of at least one chemical. exchange be of the form D(X2 X{),where X,(i = 1,2) representsthe chemical Landahl variableexchanged betweenone coupleof oscillators (Lefever,1968; A and beautiful and Licko, 1973; Kaufman, Torre,1975; 1975). Tyson experimental setup realizing, by simple means,the couplingbetween two chemical oscillatorsof the Belousov-Zhabotinski type has been reported on the relative values by Marek and Stuchl A975). In each case, depending of the parameters one can have synchronization and the coupling coefficients, by entrainment at the highest frequency or at a multiple of this frequency, irregular synchronization at multiples of the driving frequency,enhancement of the amplitude of the oscillators, or quenching of the o scillatory behavior in someor all of the oscillators. When conditions for synchronization are not fulfilled, one can observe the phenomenon of rhythm splitting where, owing to the interaction, the periodof the slower(driven) oscillator is split into two In some cases, the lifetime of parts by the action of the faster oscillator.
\342\200\224
196
Phenomena
strongly on the initial phasedifferencesbetween oscillatory behavior depends oscillators. In others, synchronization may never be achieved, and a oscillationscan result. Finally, it is regime similar to almost-periodic possiblesometimesto initiate sustainedoscillationsin systems for which are dampedor inexistent when uncoupled. oscillations described above as \"chemical\" In the secondclassof couplings, couplings, between two identical oscillators, one may quote the coupling in \"series\" where the initial productof the chemicalmechanism involved in the second One finds, oscillatoris a decay product of the first oscillator(Tyson, 1973). of as the well as that of again, possibility synchronization, almost-periodic solutionsand subharmonic resonance. Another situation, (Pavlidis, 1971) is that of a coupling through a common pool for one of the substances involved. For instance, in a population of cellsone of the productsof the reactionsinside each cell many be returned to the interstitial fluid. The amounts returned from eachcellare mixed,and their aggregateconcentration can affectthe various cells. This modelexhibits both entrainment and rhythm Richie and Woomack A966) report a study of Rayleigh slitting. Finally, via oscillators a coupled linearly dependentterm. A general classof couplings has been analyzed by between two oscillators Ruelle A973). He finds that oscillations with the periodsmTi and nT2 can where m and n arise(Ti, T2 being the intrinsic periodsof the two oscillators), are small integers such that n/m ^ TJT2. A particularly important question, in view of its physiologicalimplications concerns the order of magnitude of the overall period comparedto the individual periods.The answer dependsmost certainly on the intensity of the coupling.It is possiblethat for varying coupling parameters one can have both a decrease of the period through entrainment (as mentioned earlier in this section)or an increase of the period if the coupling is can alsoplay somerole. \"small\" enough. Moreover, the number of oscillators diffusion simulations of trimolecular oscillators through Computer coupled no work these but c onfirm analytic (Herschkowitz-Kaufman, 1973) points, has beenreportedthus far. The final point concernsthe influenceof external fields on a population A systematic analytic and numerical study of the of nonlinear oscillators. external field has been in a periodic behavior ofa singleVan der Pol oscillator on the and Protonotarios G alanos, Depending Nicolis, A973). reportedby and intrinsic field and between of the on the difference driving intensity (a)frequency periods,a number of interestingphenomena are found such as: entrainment, (b) phase locking,(c) a bounded phase difference between oscillatorand driving field, (d) an oscillation with a free-running phase difference,or (e)quenching of the oscillatory behavior. A different approachinvolvesstudy ofa population of otherwiseuncoupled
8.8- Heterogeneous
Catalysis and Localized Transitions
197
with a statistical distribution of intrinsic periodsbeing driven oscillators
by a It is found that, under certain single external frequency (Kreifeldt, 1970). the distribution of entrained frequencieshas a high central peak conditions, the around driving frequency and a dip on either side.This result may have some implications on the interpretation of electroencephalographic data, Hz. particularly of that part of the spectrum around 10 A most remarkable feature ofnonlinear oscillators is the way in which they external in with stimuli the form of pulses(Pavlidis, 1973; Winfree, couple on the time, r0, the stimulus is administrated and on its 1975). Depending D, the oscillatorrespondsby resetting its phase (e.g., strength, by attaining its maximum) with a variable delay 6 = 9(t0, D).Fora critical combination 9 becomes indeterminate. (t*, D*), the oscillation is almost switched This singularity is reflected by the fact that the rhythm's amplitude after perturbation is strongly affectedand subsequently can be restarted,but with an arbitrary phase.An analytic treatment of this fascinatingphenomenon is still lacking, but numerical analyses of simplemodelshave now reproduced in the phase singularity originally postulated by Winfree A970, 1975) connection with biological rhythms.
off\342\200\224
8.8.HETEROGENEOUS CATALYSIS
rium
AND
TRANSITIONS LOCALIZED
In many situations of physicochemicaland
coefficients, F, the reaction rates in the bulk, and the reaction rates that are taken to be well localized at the sites{rx}(which may lie,e.g., on a catalytic surface). The mass-balance equations take the following form (Ortoleva
Gj\302\260\302\260
interest, nonequilibbiological reactionsare localized in a particular region within a bulk medium that itself is undergoing reactions Let D, be the diffusion and transport processes.
and
Ross,1972):
+ D, V2Pi +
-n I G?\\{pj})S{r
(g
52)
Let {p*(r)} be the steady state of the reaction system in the bulk the boundary conditions:
satisfying
+ D,.V2pf = 0 F,{{pf})
(8.53)
If the medium between localized sites contains no essentialnonlinearity, then this state will be asymptotically stable.In order to study the effectof
198
the
matrix
Phenomena
heterogeneous catalyst, we linearize around

of coefficientsof the bulk terms:
this
state. Let L be the
A first
approximation in the catalytic strength

Pi
is:
= pf + nt
y2ni
with
ir = I Lunj + Di
\342\200\224
+ TG^({pJ}K(r -r\")
<8-54)
This set of equations is supplemented by the following physicallyreasonable conditions.Firstly, in an infinite medium we want nt reducedto a spaceas \\r ra\\ -> oo, if pf itself is space-independent in independent expression this limit. Secondly, over an infinitesimal region about integrating Eq.(8.54) each site ra we find (sincethe concentration must remain bounded):
G\302\253({p?})
=0
(8.55)
This relation expresses the discontinuity of the
flux
around the localization
points.
with
constitute a set of inhomogeneous differential equations Equation (8.54) It can betransformed coefficientsLi}that are generallyspace-dependent. to an equivalent integral equation by introducing the matrix propagator T(r, r', t) (the Green's function), which satisfiesthe relations:
= lt + d v2r 4dt
T(r, r', t where / is the
unit
= 0) = Id(r r')
coefficients.One
matrix
and D the matrix of diffusion
obtains:
nir', t) = p?(r*) +
11 f dtT,y,
r^ t
- f')Gj[{ptV, f')}]
(8.56)
can be studied, and in of Eq.(8.56) The steady state or the oscillatory solutions structures solutionsas in the case of one general dissipative expectsmultiple in bulk media studiedin previous sections. Let us illustrate more specifically state pj(r) = pj. the situation for the case of a homogeneous zero-order Then, the be can inverted eigenvectors, um, Eq. (8.54) directly by introducing
8.8- Heterogeneous
Catalysis and Localized Transitions
199
of the operator L + DV2.Forsteady-state solutions and a single catalytic site at r\" = 0 in a one-dimensional medium, one has:
\302\273.\342\226\240
=Z
m
<m)wmexp(-/cm|x|)
with
det|L+
D
fc\302\243D|
1Lum
=0 = -Kum
The expansion coefficientscj^ and the spectrum of km are found by solving into Eqs. the linear algebraicequationsarising by substituting Eq. (8.57) has a solution, one Assuming the eigenvalueproblem(8.57) (8.54)and (8.55). can formally write the solution of the rate equations in terms of Fourier transforms as:
\302\273<(*)
=T
zn j
I j_ \\dk
pj
eikxlL
- k2D\\
G/{pf})
(8.58)
to investigate the nature of these solutions,assuming that the (homogeneous) steady state of the bulk is stable.Now, this impliesthat the eigenvalues,zm of the matrix L have negative real parts. As a result, if a spatial structure is to appear,it will bedue specificallyto the diffusion terms.
We want
Undersomecircumstances theseterms can induce (Ortoleva and Ross,1972)

a true symmetry-breakinginstability leading to a globaldissipativestructure. However, a much more common type of solution correspondsto an undulatory (and damped) pattern around the catalyst, which doesnot involve an instability of the thermodynamic branch.This pattern is realized when the following conditions are satisfied: Re km
with
> 0,
Imkm
#0
(8.59)
Re zm
Observations of spatial patterns in chemical systemsmay well correspond to either dissipative structures or to local, structures.The latter undulatory may emanate from glass surfaces, dust particles,or other heterogeneities
exist in experimental situations, in a manner similar to nucleation in phase transitions. A careful analysis, involving the size depenor other qualitative propertiesof the pattern can show whether a symmetry-breaking transition or a simpledamped spatial oscillation has taken place.
that
< 0.
equilibrium
dependence
200
Phenomena
8.9.SYSTEMS INVOLVING
STEPS PHOTOCHEMICAL
of interesting The illumination of chemical systemsprovides the possibility feedback mechanisms and hence a great variety of phenomena.* Consider reaction (Nitzan and Ross,1973; and first the simple Nitzan, Ortoleva, Ross,
1974):
A
hv
> <
A*
<\342\226\240
+ heat
assumethe molecule A to be of sufficient complexity such that after the absorptionof a photon, it undergoesa rapid radiationlesstransition to a This vibrationally excitedstate, A*, followed by rapid thermal deexcitation. results in a net heating of the reacting mixture proportionalto the conconcentration of A. Consider now a reacting mixture (A, B) in a closed vessel(at chemical equilibrium) where a steady illumination is imposed.A new nonequilibrium state is achievedafter sometime, which will satisfy the equations:
We
A
A
\342\200\224
= -k,(T)A + k2(T)B = []A-AH~-oi(TTo)

(8.60)
d^
Here/?, a represent coefficients, absorptionand cooling respectively,7^ is the

?\302\261
external temperature, and AH is related to the enthalpy change arising from reaction A B. These equations are coupled nonlinearly becauseof the Forendoof the rate coefficients[seeEq. (8.22)]. temperature dependence thermic reactions one finds a singlesteady state that is stable.No limit cycle behavior is observedfor the system. Forexothermic reactionsone finds the of three of which two are stableand one is unstable, steady states, possibility as in the modelsdiscussed in Section 8.4. Couplingwith transport (diffusion and heat conduction)allowsfor the formation of spatialdissipativestructures. The very interesting feature of these phenomena is that they may arise in closed This has potential implicasystems,as only an energyflux is required. in the theory of evolution of prebioticpolymers. Photochemical reactionsalso play a very important role in atmospheric phenomena at and above the stratospheric level. For a pure oxygen atmospherethese reactions are parts of the so-calledChapman sequence the oxygen photodissociation: (Nicolet, 1964). They comprise
implication
O2 +
\342\200\242
hv
-^-\302\273
2OFujita and
(8.61)
Baba A976).
For a recent
experimental
observation,
seeYamazaki,
8.9.
Systems Involving Photochemical Steps
201
and the photolysis of ozone: O3 +

Additional
hv
\342\200\224A^
O- + O2
O3 + M + 24 kcal
(8.62) (8.63)
(8.64) introduces
recombination include a three-body stepsin the sequence
O-+ O2 + M O-+ O3
kAT)
>
and a bimolecular recombination:

K*(
>>
2O2 + 94 kcal
The rate of the latter reactionsdependson temperature, and this an interesting feedbackbetween thermal and chemicalvariables. Additional feedbacksarise from solar heating and infrared cooling, which affect the temperature and at the same time depend strongly on the chemical
composition. In practice, a pure oxygen atmosphere operating as a closed system is not a soundassumption. On the one side,the extremelyreactiveforms O and O3 combine with other gaseouscomponentsof the atmosphereor with the lithosphere.And on the other side, oxygen is produced by plant photoThis coupling betweenatmosphere, and lithosphere was biosphere, photosynthesis. a nd Kress Sanglier, A976)in the context recentlyanalyzed by Kozak,Nicolis, of the evolution of the earth's atmosphere. the following simple Assuming
\342\200\242
forms for the rate of O2 production and for the rates of

consumptions
O-and O3 con(8.65)
\342\200\224*\342\200\224
O2
O-+(reactants)
O3 + (reactants)
\342\200\224^\342\200\224>
(products) (products)
3\342\200\224>
Kozak and colleagues write equations of the form:

v C-r= at
c\342\200\224
- J2X + J3Z - k2(T)MXY+ 2k3(T)YZ - k3(T)YZ -f- = 2J2X + J3Z - k2(T)MXY - k3{T)YZ- d3Z = -J3Z+ k2{T)XYM dT = - T) + AH2k2{T)MXY + AH3k3(T)YZ+ (radiativeterms)
dt
d^Y
dZ
\342\200\224
tx{T0
(8.66)
202
Phenomena
Z = [O3], c is the specificheat of the fluid, a. is Here X = [O2], Y = [O], Newton'sthermal coefficient,To is the surface temperature, and AH, are the and (8.64). heats of reactions(8.63) have been studied both analytically and by computer Equations (8.66) simulation. Experimental values have beenusedfor J2,J3,k2(T), k3(T),To, Initial and c,whereas v, du d3 and a have beentreated as variable parameters. conditionssimulating those prevailing in an early biotic atmospherewere used. It has been found that the O2 concentration tends to a steady-state level after exhibiting a pronouncedovershoot to a value exceeding apprethe steady-state one.The time scaleof evolution is very slow,of the order of thousands of years. This behavior can be comparedto one of the premisesof the Berkner-Marshalltheory of atmosphericevolution and Marshall,1964; the occurrence which postulates Broda,1975), (Berkner of two \"quantum jumps\" in the O2 level corresponding, respectively,to be of the Period and of the Cambrian Devonian Period,which saw beginning the development of the first forests. The development of such modelsof the atmosphereshouldalso be of
appreciably
interest
large-scale phenomena in contemporary To this end a more refined treatment is necessary, atmosphericdynamics. influenceof diffusion and of convection. both the molecular incorporating Perturbations of the earth's atmosphere\342\200\224that is, the pollution problemcouldalsobe studiedfrom the same standpoint.
in
the understanding of
8.10. SOMEFURTHER METHODSOF ANALYSIS OF REACTION-DIFFUSION EQUATIONS

The analysis of dissipative structures carriedout thus far has beenbasedon linear stability analysis, bifurcation theory, and numerical simulations. Only the latter of these methodscouldgive information on the behavior (including reaction-diffusion equations stability) of the solutions of the corresponding the first In of from the bifurcation. contrast, bifurcation and away point us to the solutions in the immediate enabled construct stability analyses only As a the of the bifurcation result, points. corresponding vicinity patterns were of small amplitude and did not exhibit any sharp transition between regions of widely divergent concentrations of a certain chemical substance. Similarly, the limit cycle oscillationswere quasisinusoidal and did not give rise to flashesof activity followed by a periodof relative quiescence. The formation ofsurfacesof discontinuity separating qualitatively different of bursts of activity, is a very regionsin a reaction space,or the emergence common phenomenon in situations of physicochemical and biological interest. Whether one dealswith crystal growth, membrane transport, or cell
Some Further 8.10.
Methods
of Analysis of Reaction-Diffusion
Equations
203
mitosis one is confronted with phenomena involving two time or space slow one associationwith the bulk phenomenon and a fast one bulk phenomena.In terms of the differential separating two successive the system, this situation is characteristic of the highly equations describing supercriticalregion beyond the point of the first bifurcation. New methods are obviously neededin order to tackle these situations. They are usually with respectto an appropriateparameter; basedon asymptotic expansions hence, they are referredto as asymptotic methods. A different type of problemariseswhen the number of chemicalvariables presentcannot be reduceddrastically to, say, within one to three.In this caseit becomes increasinglydifficult and awkward to rely entirely on analytic (and especiallyon perturbative) methods. Combinatorial or topological be of help, and later we comment briefly on some methods can sometimes on thesemethods. based recent approaches
scales\342\200\224a
Asymptotic
Behaviorof Nonlinear Oscillators
on the simple behavior of nonlinear oscillators supercritical of the model and trimolecular Herschkowitz(Lavenda, Nicolis, example Consider the rate equations Kaufman, 1971; Turner, 1974;Boa, 1974). i n the absence of diffusion. According to Section7.4,the condition G.13) for the formation of a homogeneous Conlimit cycle is B > Bo = A2 + the is in the limit behavior to be found Consequently, strongly supercritical
We illustrate the
1.
A It
-> co,
= finite fiit
(8.67)
is conveniant to introduce the new variable Z
=X +
Equations (8.13) yield:
~dt~ +
dZ
\342\200\224
Z == f(Y, Z) I)
(8.68a)
The salient point to observe of the smallness is that, because in these equations of \\/B,dY/dt will be very large [formally (dY/dt) oo as B oo]everywhere except on the curve
-\302\273 -\302\273
g(Y,Z)= 0
(8.68b)
204
Phenomena
Similarly, the
trajectories[cf. Eq. 6.15]: phase-space

dZ
1 f(Y,Z)
will be practically horizontal everywhere in the (Z, Y) plane exceptin the curve (8.68b). Figure 8.15 representsthe curve g = 0 in the phasespaceof the original variables (X, Y). From Eq. (8.68a) it may be seenthat this curve consistsof
two
branches, given by:

X
^0
(path
D'E)
and
XY =* B (path
G'H'E)
(8.68c)
The corrected phase-space trajectory for finite values of B which is also in the same be can found as follows.We first observe that as the plotted figure,
xg
(B+
Figure relaxation
44
1JY
-\302\273
8.15. Motion in X- Y plane for limit-cycle solution of trimolecular model in regime of oscillations. Dotted lines represent asymptotic curve (g(X, Y) = 0)corresponding to x.Corrected phase trajectory for finite values of B is represented by full lines.
Some Further 8.10.
Methods
Equations
205
to be system is traveling along part DE of the limit cycle, which is expected X ~ 0(B~J), near the line DE'[see and dX/dt almost vanishes: Eq. (8.68c)],
(A
\302\243
= fl + i,f = 0A))
(8.69)
Introducing the variable in the trajectory equation and seeking for asymptotic solutionsof this equation as X -* oo givesan analytic representaof the trajectory along DE, which breaks down for I, = 2, that is, for = 7 X2/4A. Presumably, what happensis that in the regime along EF, Y and ceases to be of 0A). reachesits maximum value, X beginsto increase, the natural variables are to of the In order study this part motion,
representation
\302\243
X
By solving the
= 2A
\342\200\224{\\+u),
X2
\342\200\224(\\+p)
(8.70a)
trajectory equation in thesevariables, one finds that:

Ymax
X2
\342\200\224
4A
CA113 +
o(l)
\342\200\224
(8.70b)
where is the first positive zero of the Airy function Ai( z). This path is close to the The next stage of evolution is along the path FG.
\302\243
line X
+ y = const =
ymax
(8.71)
X diminishesfrom Subsequently, remains smaller than 0(A). To study
its maximum value this regime we
set:
of 0(A2), while
X=y+ ?a*y*
It turns
(8J2)
out
that this
point
form
H on the trajectory. A partial resummation yields a solution of the [cf. secondEq. (8.68c)]:
seriessolution diverges for
= B1'2, to corresponding
X-f-j^...
,,73,
206
which
Phenomena
Thereafter, the representative point of the system travels along path HD, is close to the line X + Y = const = 2B1/2 (8.74)
curve dX/dt = 0 is crossed again and the cycle is completed. the period of the oscillations In analogy to the solution just described, = TEF,and(c)T3= TGH, can alsobe split into three parts: (a) 7; = TDE,(b)T2 as it is easy to seethat when B -> oo,the jumpsfrom F to G and from H to D
until
occurinstantaneously.
From the rate equations and F.15) one obtains:

\"Ye
\342\226\240o
(A
_ye~ - \\)X-X2Y~
dY
A
YD
and
_ ~
Cx\"
\342\200\224
n }XrA-X= -fin A-In/I-2 In 2+ 0A)

1Xg
y\\
\342\200\224
dX d_
XX
(8.75)
YF, YE,
and the values of Thus, taking into account Eq. (8.70) find for the periodof the limit cycle the expression:
and
YD,
we
_
A
A2
j_
_2A^
deeper analysis would be requiredto ascertain the exact value of the contribution of o(l). An important new phenomenon that may arisein the supercritical region of time-periodicsolutions is that of secondarybifurcation, analyzed in Section7.9for the steady-state solutions.To extend this analysis to timeperiodicsolutions,it is necessaryto investigate the stability propertiesof thesesolutions. Such a theory is available for ordinary differential equations and is due to Floquet (Minorski, An extensionof this theory to partial1962). differential equations has beenobtained by Sattinger and Joseph(Joseph, 1972)in the context of fluid-dynamic stability problems. By applying these techniques one finds that the limit cycle for the trimolecular model cannot undergo a secondary bifurcation,neither in the spatially homogeneous nor in the presenceof diffusion (Erneux case(Lefever and Nicolis,1971) and Herschkowitz-Kaufman,1976).
Some Further 8.10.
Methods
Equations
207
/=0 f<0
Assumed shape of level curve f(X, Y) Figure h0 and h, correspond to stable solutions.
8.16.
= 0.Branch
= h2(X) is unstable,
whereas
of Discontinuity Singular Perturbation and Formation of Surfaces

coefficients
Considera finite reactor with two variable reactants, whose diffusion coeffiare very different.Moreover, assumethat the chemical kinetics Dl,D2 and scaling definesa bistableprocess, as in Section8.4. Setting e2 = (/>1/D2) the spaceand time variables by the diffusion coefficientD2 we can write the rate equations(Fife, 1976; seealso Ortoleva and Ross,1975):
~
8Y
\342\200\224
= f(X, Y)
(8.77)
-V2Y = g{X, Y)
with
c <^ Owing to the bistablecharacter of the kinetics,one of the level curves = 0 or g = 0 has a sigmoidal shape.Supposing this to be the case for the curve f(X, Y) = 0, we obtain the form shown in Figure 8.16. A simple model giving this type of bistablebehavior
1.
is:
+Y
X
\342\200\224
\342\200\224>
X Y
\342\200\224*
+Y +B
3X D + 2X
with
\342\200\224\302\273
\342\200\224*
C 3X + E
(8.78a)
D, <g D2(Di = Dx, D2 = DY). We want to describethe time evolution of the system under the following boundary and initial conditions:
X(r, 0) = Y(t, 0) = <ftr)
</\302\273(r)
n-VX = ai(X0
X),
(8.78b)
208

</>, \\ji
Phenomena
where n is the normal to the boundary surfaceand are smooth functions of space. of e, the evolution can be decomposed into Owing to the smallness
the following two
STAGE
stages.
OF LARGE GRADIENTS
DEVELOPMENT
We
neglect cV2X, at least initially. Thus
^
dt
2Y
'
(879)
We first
regard Y as time independent:

Y
= Y(r) = tfr(r)
We lookat the trajectories in the {X, Y) space(Fig. for a fixed r.As Y is 8.17) time independent, these trajectoriesare obviously horizontal. Imagine now a line segment (a') within the spatial domain. This line has an \"image\" moreover that steady statesalong (Y, X) on the initial phaseplane.Suppose the curve = 0 have different stability properties,as in the example of Section In particular, let the states on the part of = 0 having a negative slopebe unstable and all others be stable.Owing to these different stability moves propertiesof the stateson the levelcurve = 0, each segment of {a') in a different fashion in the trajectory space (X, Y). Thus, the part of (a') above the horizontal line Y, is attracted to the segment MN of the curve
8.4.
Figure
different
8.17.Evolution
of various initial conditions on curve portions of stable branches h0 and h,.
(a') in
reaction
spacetoward
Some Further 8.10.
Methods
of Analysis of
Reaction\342\200\224Diffusion
Equations
209
As branch HPKis f = 0, whereas the part below Y3 tends to the segmentOF. unstable, the part between Yl and Y2 tendsto GH,and that between Y2 and y3 tends to KL. an asymptotic If this simplified model were to remain valid as t -* state would be reachedwhereby X would suffer a seriesof discontinuities along ML, KH,and GF. However, the gradient V Y would remain bounded. within the domain V we would have surfacesof discontinuity, Alternatively, F, separating two different states. The situation is describedon Fig. 8.18, where the line (a')is also drawn. It is reminescent of Thorn's catastrophe theory (see Section6.4),although the type of equation dealt with in this in Thorn's theory. Some section is different from thoseencountered analogies with first-order phasetransitions shouldalsobe pointedout. Obviously, the picture we just drew is valid until
x,
(8.80)
Theseextremely high gradients act acrossthe surfaces F,. generally Y is time dependent, the trajectoriesin the phase plane will no longer be horizontal. They may go to infinity, to negativevalues, or become this does not apply.Still, periodic,although for the particular model(8.78) the general picture of the evolution describedabove remains valid and the final result is the development of large gradients acrossFf.
If\342\200\224as
happens\342\200\224
STAGE As | \\X
2:SLOWMIGRATION
OF THE CARRIERS
carrier begins the corresponding | beginsto build to the value (8.80), to migrate. Supposethat the discontinuity at F leadsfrom Xo to Xx. One
Formation of surfaces of discontinuity, Figure within reaction space.
8.18.
F,.
270
Some Further Aspects of Dissipative Structures
can then do a standard match asymptotic analysis (Fife, 1972), whereby a stretchedvariable n alongthe normal x to F is defined (see Fig.8.18):
(8.81)
write the equation for X
Keepingdominant terms and noting

in
that
remains smooth across F , we
the following form:
^-^
X -* Xx
= /(*>\302\253
(8.82)
This providesus with a single nonlinear diffusion equation describing the are: evolution of the front surface.The boundary conditions
x^Xo
_oo as,-. -*
as n + oo
This equation admits solutionsof the form shown on Fig.8.19 a describing smooth transition between the two states. However, the front surface, in general, moves with time:
X(ri, t)
= U(n
- ct)
(8.84)
Thesesolutionsmay or may not be unique. Note that in the initial variables the velocity would be ec. Its value dependson spacethrough Y = Y(r). Onecan show that if the rate function/changes sign only oncein the course
of the transition, then the velocityof propagation c and the form of the wave are unique and stable.Moreover, if the transition takesplacebetween GH and MN),then c could be zero. two attractive branchesof/ (e.g., Oncethe surface F beginsto migrate it can either go up to the boundary of the reaction spaceand merge into a boundary layer, collide with another surfaceand annihilate, or someof its parts can approachto somestationary The velocityc on each point of Fo is zero. It can be shown configurations Fo. that the that this two states (Fife, 1976) implies Xo, X^ are \"equally
front
\302\243
Figure
8.19. Solutions
of nonlinear
evolution
diffusion
equation surface.
(8.82)describing
of front
Some Further 8.10. dominant\"
Methods
Equations
211
that is, that a Maxwell rule familiar from first-order phase transitions is verified (see Fig.8.17):
1
formation
GHPKL
fdX = 0
(8.85)
The configuration Fo can be found directly by requiring specialtypes of Fortwo or more variables, explicit stability criteria solution of Eq. (8.82). Note that the formahave been obtained for systemsin onespacedimension. of Fo is a typically far-from-equilibrium phenomenon, although no with respectto diffusion needsto be involved, as in the formation instability of a dissipative structure. Combinatorialand TopologicalMethods Chemical
the context of biologicalcontrol bear strong similarities to discrete networks (Sugita, 1963; Glass and Kauffman, Kauffman, 1969, switching The reason Thomas and Van Ham, 1974; 1973; Thomas, 1973, Glass,1975). is that the rates of synthesis of enzymes, fE, depend usually on the conconcentration of various effectors, X, in a highly nonlinear fashion (seealso
networks\342\200\224especially
within
processesat the genetic
level\342\200\224often
Chapter 15):
h=
^^
XX\"
(8-86)
where X is a production constant, 6 is a \"threshold,\" and n is a parameter Forn 2, Eq. (8.86) measuring the cooperativity of the process. represents a sigmoidal function of X. For some purposesit can be substituted by a variable X, such that: Boolean function B = B(X) of a discontinuous
>
B=l
b =o
ifl-9
xx<e
(887) (8-87)
The rate equationsdescribing the control processnow take the form:

\342\200\224-
dX at
= AjB^!, Xl+1,...,Xn)yiXi X2,..., X{.!,

(i =!,...,\302\253)
(8.88)
As
For n variables there are 2\" Boolean\"state vectors\" (X = Xn). a Boolean a value of 1 or 0 to each of thesevectors,there function assigns is a choiceof 22\"\"' values for the componentsB, of the \"rate vector\"
Xu...,
B=(B1,...,flI1)inEq. (8.88).
212
for
Phenomena
Graphical,stochastic,and other types of analysis have been developed Phenomena qualitatively similar to thosedescribed Eq. (8.88). studying in previous sectionshave been found, such as multiple steady states and sustained oscillations. However,theseresults give no detailedinformation on and practically no information on the quantithe stability of the solutions, aspectsof evolution, such as relaxation times or periodsof oscillation. Morework is neededto elucidate the relation betweendiscrete(i.e., Boolean) to exceptthat the dynamics and continuous formalism.It appearsresonable be better represented of isolatedcellscan in somecases by a discontinuous as far as geneticregulatory processes formalism, especially involving a limited In contrast, the collective number of effector moleculesare concerned. behavior of large assemblies of cellsis to bedescribed by the usual continuous formalism of chemical kineticsusedthroughout this monograph.
quantitative
8.11. THERMODYNAMIC
ASPECTSOF DISSIPATIVE STRUCTURES
The phenomenon of bifurcation accompanyingthe transition to a dissipative structure is analyzed in Chapter4 in respectto irreversiblethermodynamics. It is shown that the instability of a steady-state solution on the thermothe branch dynamic implies appearanceof a negative excess entropy proproduction around the referencestate.The vanishing of this quantity determines the \"thermodynamic threshold\" separating the unstable regime from the stableone. Theseresults have been extendedrecently to the analysis of the propertiesof time-dependent statesas well (Nazarea and Nicolis, stability
that a structure has we set thermobeen would like to find a of formed, dissipative propertiescharacterizing this structure as uniquely as possible. are indicativeof the Alternatively, we seeka state function whoseproperties itself. of the structure dissipative properties A general solution to this important problemis not yet available. Instead, we considerin this sectionthe \"inverse\" question,namely, given a certain state function such as entropy or entropy production,how this function behaves on a dissipative structure. We considerthis question successively for spatial structures, uniform systems, and systems involving multiple time
1975;deSobrino, 1975).
In
this
sectionwe are concerned with a different problem. Assuming
thermodynamic
scales.
Entropy
and
Entropy
Production on a SpatialDissipativeStructure
We begin by deriving an expressionfor the total entropy production difference, AP, between an arbitrary state and the reference state on the
8.11. Thermodynamic
Aspects
of Dissipative
Structures
213
we have: and D.27) thermodynamic branch. According to Eqs.D.23)

AP
fdVZ(JkXk-J\302\260X\302\260k)
k
= UvY.xksjk+(
As
(8.89a)
seen in Chapter 4, the last term vanishes if we assumethat for each the initial and final products of the constituent\342\200\224including concentration is kept fixed at the boundaries or the flux acrossthe boundary surface is vanishing. Thus, we obtain:
reactions\342\200\224the
1J
(8.89b)
Hi
where /i, is the chemicalpotential of species i given by the expression adopted this monograph [see throughout Eq. C.10)]:
= n? + kT log Pi
In the secondterm we perform a partial integration. The surface term is, in in terms general, nonvanishing, and the remaining terms can be expressed balanceequationsD.2). of the excess Finally
--
1 f
dL n X Hi Si,
\342\200\242
f kT
\302\243
log Pi
-f1
(8.90)
Considernow the case in which a steady-state dissipative space-dependent structure has been formed. By definition, <5p, = p{ pf is time independent inside the system, both for the variable intermediates and for the initial is: and the final products.Thus, the only surviving term in Eq. (8.90)
\342\200\224
(APH=
-I
f dY. n X 1 Jz i
\342\200\242
Hi
Sh
(8.91)
where the subscript o indicatesthat AP is evaluated for a steady-state structure formed around the thermodynamic branch. It is instructive to
214
evaluate this expression for the one-dimensional modelsanalyzed in Chapter 7.One has, for a reaction line of length /: T(APH =
X
i
j\"i(Q\302\2535/i@
+
i
On the other hand
j = -D-8^
and
Thus
(8.92)
We see that the entropy-production differenceis entirely determined by the differences of the slopes of the concentration profiles between the two Forzero-fluxboundary conditions theseslopesvanish.Similarly, boundaries. in the case of localized dissipative structures onehas pt(l) = p-0)(/); p,@) = = = 0. t he and thus In both cases, entropy-production piO)@), <5j,@) <5/,(/) difference vanishes (Herschkowitz-Kaufman, 1973). In contrast, for fixed the slopesof conditions and for delocalized structures boundary dissipative the concentrations at the boundaries are generally different (see Section7.6).
In
this
case:
(APH
#0
(fixed boundary conditions)
(8.93)
The valueand the sign of this differencedepends on the detailsof the chemical kinetics.Under certain conditionson A and B it has been shown that in the trimolecular model AP can be a positive decreasingfunction of the wavelength of the structure (Auchmuty and Nicolis,1975). Forthe entropy differencewe have, from Eq. C.5)(seealso Schlogl,1974; Ishidaand Matsumoto, 1975):
AS
= =
[dV Asv T J\\dV

1 f
=
>
t \\
\342\200\224
... v/ ,
*\342\226\240
idV J | J
\302\243
L,. dpt
c nf opj +
. \\ kT log p: dpt J
._,(\342\200\242,
8.11Thermodynamic
AS
Aspects
of Dissipative
Structures
215
or, on integrating between the referencestate {pf}and an arbitrary
state:
(8.94)
jdV X Pi log
ÂS
p? jdV 6p{\\og
\302\243
+
\302\2430
Considernow the entropy difference AS on a time-independent spatial dissipative structure. Becauseof the convexity property of entropy as a we have: function of the concentrations,
= As/ < ASip-y)
(8.95)
where
~p~y
is the
spaceaverage of the concentrations:

p-y
^\\dV Pi(r)
In some cases p~y can be related to the values of concentrations on the thermodynamic branch. In the trimolecular model, for fixed boundary conditions and for an even value of the critical wave number (seeSections that 7.6and 7.8), onehas from Eq. G.56)
Xv
Yv
= Xo + 0[(fl = Yo + 0[(fl
\342\200\224
- flc)]
BC)]
\"
'
On the other hand, becauseof the nonlinear dependence on pt, AS contains the effectof the terms of order (B BcI12 the dominant contridetermining to X and Y. In the vicinity of the transition to the dissipativestructure
contribution
this
yields:
S < S(X0,y0) = So
(8.97)
This result reflects the idea that symmetry breaking engendersorder, and thereforediminishes the entropy of the system. Maintained Uniform Systems
A in
Space
spatially uniform system can undergo dissipative instabilities leading to the In the secondcase, multiple steady states or to chemical oscillations. instantaneous-value of AP has no specialsignificance,but oneexpectsthat the average APT over a periodof the oscillationhas a macroscopic meaning. From Eq. (8.91) one sees that the contributions coming from the volume integral vanish, as (dSpi/dt)T vanishes by definition of a periodictrajectory. Similarly, the volume integral does not contribute in a transition between
216
conclude that
multiple steady
We states, as the state variables are time-independent.
(APH
-(8.98)
or
(APf
=-1f^n-XÎ7
In general, these quantities are nonvanishing, even though in a homosystem onewould tend at first sight to cancel all terms related to fluxes.In reality, an openuniform systemis alwayssubjectto such fluxes from the outside world, with the additional requirement that onceinside the system,the different constituents must be distributed almost instantaneously in a uniform fashion. This can be achieved either by extremely high values of the diffusion coefficientsof the initial and final productsor by adequate stirring. As an example, considerthe trimolecular modelin the homogeneous limit and suppose that A,B are such that the systemperforms sustained oscillations. We assume that the system is bound by walls that are impermeable to X and Y but permit diffusion of A and B from the outsideworld.Onceinsidethe A and B and for this attain instantaneously uniform compositions, system -* to bethe case we assume oo. first the distribution Consider DA ooand\302\243>B->
homogeneous
of A. We have [see Eq. G.69)]:

dA
vi dt
with
-A -^DA d2A vr~ dr2

??\342\226\240
<r < 1
(8.99a)
A((
A(\\)
= An
(8.99b)
The stationary solution of this equation is
and the
diffusion
current of A is given by:
(899c)
In the
limit DA
equal to
-* oo this expressionremains finite at the boundariesand Ja@) =
y,
JaQ)
=~~
(8-lOOa)
8.U. Thermodynamk
Moreover, the
Aspects
of Dissipative
in
Structures
217
diffusion
term
DA
lim
DAôc
~ = =^=
drz
Ao dt
reducesto Eq. (8.99a) const
(8.100b)
Thus, the equation for
reads:
*A=-A+*iAdt dt
oo:
(8.101a)
onewould have in Similarly, if B is subjectto fixed boundary conditions, -* the limit DB
dl
dt
BX +
d^
dt
(8.101b)
periodof
Coming now to the entropy-production difference,APT, over a the oscillation, we obtain: T APT
= ^@) <^@)T+ nB(Q)SjB(O)T Â) SjA(l)

T APT
/iB(l) SjB(l)
or, thanks to the fixed boundary conditions:
= OiJ + kBT log

+
in%
+ kBT log Bo)(djB@)T
A0)(djJQ^
djA(l)T) SjB(\\)T)
(8.102)
the flux of A at each boundary is constant and equal Accordingto Eq.(8.100a) to Thus, ^(O) = SjA(\\) = 0.However, the situation for B is slightly different. From Eq. (8.101b) we obtain, at the steady state for B:
\302\261A0/2.
~=
dt
BXT
(8.103)
model,that* XT =
Now one can easily see from the rate equationsfor the Xo = A. It sufficesto add the equations for X and Y: d(X
+
dt
~j
Y)
=A
Thus and integrate over one periodof the oscillation.

dt
= BA = const
and
* Note
that, in general, YT^
Yo
for this model.
218
We
Phenomena
conclude that (Lefeverand Nicolis,1971):

APr
=0
(8.104)
The above derivation showsclearly that this result can be extendedto all are the sameat the systems where the average fluxes of the input chemicals referencestate and along the new trajectory. In the case of transition between and the entropy production multiple steady states this is not generally so, one cannot deduceany general trends varies, although from relation (8.98) accompanying this variation (we discussthis point in the next subsection). Considerthe behavior of the entropy differenceAS. From the convexity we have, in the case of limitsubsection, property invoked in the preceding cycle formation:
AST
< AS(fcT})
(8.105)
In general, ptT dependson the detailsof the kinetics; it is not possible hence, to deduce In trends. some one can draw interesting however, cases, any general As an example, conclusions. considerfirst the Lotka-Volterramodel (8.2). Dividing through by X and Y and integrating the rate equations over a periodwe obtain:
= kiA-k2Y
jt\\ogY)T
or
YT
= k2XT-k3B
ZT
-^=
y0,
= -~?= Xo
(8.106) (8.107)
becomes: Inequality (8.105) = S0 ST <S(X0,Y0)
of Thus, the passageto a periodicmotion is accompanied by a decrease this that it erroneous t o conclude from result would be However, entropy. the Lotka-Volterramodel exhibits temporal ordering. Indeed,as we saw in Section to a well-definedtrajectory a physicalstate cannot be assigned 8.2, becauseof the densenetwork of trajectoriesaround the steady-state point. It is curiousto observethat in the trimolecular model,inequality (8.107) is not generally verified.As we pointed out already, XT = Xo for this model, is not equivalent to Eq. (8.107). but YT # y0. As a result, inequality (8.105) Theseresultsshow the inadequacy of entropy and, to someextent, also of
8.11. Thermodynamic
Still,
in
Aspects
of Dissipative
in
Structures
219
the coherent behavior
the entropy production
of the transition to a limit cycle onecan seen in Chapter 7, for zero flux boundary obtain more to the thermoconditions in the trimolecular model,one has corrections branch of the order (B BcI/2. If we integrate over a periodthese corrections vanish, and one obtains a result similar to Eq. (8.96):
the immediate vicinity
with the formation of a dissipative structure. associated
characterizing uniquely
sharp results.As
\342\200\224
thermodynamic
W For B near Bc this yields:
y=
X\302\260
y0
+ + o((B bc))
\302\260
(8 108 (8-108
= S0 ST <S(X0,Y0)
(8.109)
Finally, the entropy differenceseemsto obeyno general rules in the case of multiple steady-state transitions, although in some specific examplesa and Walls, 1974). systematic variation has been found (McNeil
Systems Evolving Accordingto TwoTime Scales

The results of the preceeding subsections indicate that we are still lacking In an adequate thermodynamic measure of complexity and coherence. view of the variability of nonlinear systemsfar from equilibrium, this conconclusion should not come as a great surprise.Nevertheless, it appearsthat certain general statements can be made regarding the propertiesof entropy production during someportions of the evolution of the system\342\200\224sometimes the most significant ones. This point becomesmore transparent in systems In thesesystems, oneor several steps to two time scales. evolving according of the reaction sequencebecome very rapid comparedto others.Usually, if a chemical instability is compatible we have one with this type of kinetics, of the following situations:
(i)
supercritical
of Section8.10. (ii) The initial system undergoesa structural instability (cf. Section 5.4), which qualitatively alter its nature. Examples of this secondtype of instability are discussed in Chapters17and 18. positiveaffinity
that a reaction step becomes fast when, for a given one expects to the production ofa certain intermediate dM corresponding substance A simple M, the rate wM becomes positive and large. inspection of and (8.89b) showsthat, as long as such a fast step is switchedon, Eq. (8.89a) Intuitively,
The correspondingdissipative structure belongs to the highly superof the models analyzed in the first two subsections region,as in the case
220
Phenomena
the entropy production differenceAP is bound to be positive and large.If, after a certain period of time, this step becomesextinguished or attains a rate comparableto the others, one might expect the entropy production AP to again follow the properties outlined in the two previous subsections. considerthe evolution of the entropy production per unit As an example, volume, A<7, of the relaxation oscillation for the trimolecular model (see One has, accordingto path FG in Fig. beginning of Section the condition X + Y = C = constalong FG and the resultsof the Eq.(8.90),
8.10,
8.15).
subsection: preceeding
~ AaF^G = kB
dt
\302\243
IX log X + (C
= ^-l-X log X
oX
- (C -
X)\\og(C
-X)]+-^-5^kBT
X)\\og(C
Performing the derivative with respectto X we find:
-^
dt
dt
kB T
\302\243
0 and X starts to evolve Now, C ^ Xmax. Moreover, along FG, dX/dt from a small value of 0(/l)corresponding to the vicinity of point F. Thus, along the first stagesof the fast build up of X, C X, X A, and
>
>
>
A<7f^G>0 (8.111) until X reachesa value of the order of the amplitude of the oscillation, C. Similar conclusions can be drawn from modelsinvolving multiple steady states (Goldbeterand Nicolis, 1972; Nicolis,and Babloyantz, Prigogine, H iernaux and This 1972; Babloyantz, 1976). point is expandedin more detail in Chapter 17devoted to prebioticevolution.
Part III
Stochastic Methods
Chapter 9
GeneralComments
9.1.INTRODUCTION
The analysis outlined in the preceding chaptersis basedon a determinictic causal description, However, provided by the equationsof chemical kinetics. there exist a number of instanceswhere such a description may not be adeThe main reasonis that the very existence of many degrees of freedom adequate. in macroscopic systemsimpliesautomatically the appearance offluctuations. Let N be the number of degrees of freedom. In a typical probleminvolving a On the other hand, system in a not-too-dilute phase,N is of the orderof 1023. the macroscopic descriptionof the same system is based on a restricted number ofvariables {a^ instance,chemicalpotentials an}a.ndn <^ or concentrations, temperature, pressure,and so on. A given macroscopic state is always associatedwith rapid transitions between different atomic states.As a result, the macroscopic variablesare subject to deviationsaround certain \"reference\"values correspondingto the results observed in an devices. Thesedeviations appear to the experiment involving macroscopic the fluctuations. Oncea macobserver as random events and are precisely to definite is produced,the system respondsaccording macroscopic fluctuation phenomenologicallaws. should remain One could expectthat fluctuations, although measurable, this can small comparedto the macroscopic values. In statistical mechanics, be shown explicitlyfor systems in thermodynamic equilibrium, exceptat the points of phasetransitions such as the liquid-vaportransition (Landau and In these cases small fluctuations (in the presence of a critical Lifshitz, 1957). or the case first-order transitions finite fluctuations of point) (in involving nucleation and metastability) are amplified, attain a macroscopic level, and drive the systemto a new phase. to a macroscopic evolution This corresponds of certain involving abrupt changes thermodynamic quantities. Moreover, the initial \"reference\" unstable.In the critical region around phasebecomes the instability the system exhibits a marked coherent behavior, frequently accompanied by long-range fluctuations and the breakingof spatial symsymmetries (Brout, 1965).
...,
N\342\200\224for
223
224
General Comments
essentialto construct a theory of fluctuations around far-from-equilibrium of the macroscopic statesto supplement the predictions description, especially of instabilities.The purposeof the presentchapter and in the neighborhood the precise role of fluctuations in the spontaneous is to assess Chapters10-12 of patterns of the dissipative structure type. We deal exclusively emergence with the internal fluctuations generated by the system itself.The influenceof bifurcation phenomena external noiseon the instabilitiesand the associated and Malek-Mansour has been analyzed recently by Horsthemke A976).
As seenrepeatedly in the previous chapters,nonlinear systems driven far It is, therefore, from equilibrium can alsoundergo transitions and instabilities.
9.2.STOCHASTIC FORMULATION
Let p({rj, Fluctuation theory is a branch of statistical mechanics. {p,}, r) be the N-particle probability distribution function of the system (r,,p, are Oncep is known, the microscopic positionsand momenta of the N particles). Considernow the ensembleof variables state of the system is determined. state of the same system. In general, {a,}determining the macroscopic = The that the system be at a a,{Pj}). probability P({a,}){(/a,} a,-({i;}, state such that all values take and {a,+ da{) is between a, macroscopic {a,} in of the relation: terms given p by
{a,-, a( + da{]
If P
{a\302\260},
'
'
can provide the is expandedaround somereferencestate Eq. (9.1) probability of a fluctuation around this referencestate. Fora system at thermodynamic equilibrium the distribution function p is can serve as the starting point of the theory of fluctuaknown, and Eq. (9.1) Forsystemsaway from equilibrium, however,relation (seeSection9.4). is not very useful in view of the difficulties encountered in determining the (9.1) form of p. Forthis reason,we follow here a method \"intermediate\" between the macroscopic descriptionand the completestatistical mechanical treatThe basicideaof this theory, known as stochastictheory, is to consider that the variation of a, values due to a fluctuation is a random, or stochastic that is, a phenomenon where these values do not depend on the process, independent variable (time) in a well-definedmanner. Thus, an observationof the different members of a representative ensemble of systems yieldsdifferent
fluctuations
treatment.
9.2.
Stochastic Formulation
225
functions a,{t).Hence, we define suitable probability
such as: distributions,
= probability of finding {a} t){da} Pi({a}, within {a}, {a + da}at time t. = probability of finding {a} P2(iai}ti' W2}t2){dai}{da2] within {flj},{a, + da^}at time rt then {a} within {a2}, {a2 + da2}
at with
time
t2
{aji
lP/{fli}r,:---{flj}rJ-)=l P, > 0
U= 1.2,...)
(9.3)
It is often useful to describeprobability distributions by a few \"typical or \"average value\" is by far the values.\" Among these,the \"expectation,\" most important. Its definition followsthe customary notion of an arithmetic
average:
= Y.akPMa},t)
(a!
(9.4)
By construction, <ak> doesnot dependexplicitlyon the fluctuations.In order to analyze the relative importance of the latter in respectto the averages,one introduces expectations of quadratic or higher order combinations of the
stochastic variables:
<aka,yt
= Y.aliaiPiUa},t) (etc.)
la!
(9.5)
to the On expanding ak around the mean <a^> one can switch from Eq. (9.5) variances,namely:
(Sah Sat}= <(ak

In
(ah\302\273(a,
<a,\302\273>
(etc.)
particular, one has:
= (a?y ((dahJ} (Sak5aty = (akaty
(aky2 <aky(aty
(etc.)
(9.6)
and from the The notion of probability distribution is familiar from statistics It is a very remarkable fact that there exista few distributions theory of games. that occurin a surprisingly great variety of problems,from geneticsand with ramifications econometryto gambling.The three principal distributions, throughout probability theory, are the (a) binomial, (b) Poissonian,and (c)the normal, or Gaussiandistributions (Feller, 1957).
226
General Comments
Distributions (a) and (b) arise,typically, in problemsinvolving Bernoulli trials, that is, repeatedindependent events (or trials) with only two possible outcomes the trials.It for each trial having the same probabilities throughout is usual to denotethe two probabilities by p and q and to usethe time-honored \" \" terminology of the theory of gamesreferring, respectively,to p as success = > > and q as \"failure.\" Clearly, p 0, q 0, and p + q In problemsinvolving the binomial distribution oneis interested only in the total number of successes of n Bernouilli trials, producedin a succession One then shows(Feller, but not in their order. that the probability that 1957) and n k failures @ < k < n) n trials result in k successes
1.
\342\200\224
is:
\\p(\\Pr
The average and variance of this distribution are, respectively:
(9.7a)
= np <<5/c2> = np(\\
p)
(9.7b)
Supposewe fix an arbitrary (time) interval of length t and divide it into subintervals of length l/n.If a particular subinterval contains at least oneof our random events, we agree to call this possibility a \"success.\" Considera succession of Bernoulli trials with the same probability pn of success. The total number of such trials is the integer nearest to nt. We assumethat, as
n
\342\200\224>
oo:
h
that as n -* Then, one shows(Feller, 1957)
in the trials is given by the Poissonian successes distribution:
x the probability of having

k!
exactly
The average and variance are, respectively:
=h <<5/c2> = Xt = </c>
<*>
this
The status of the Gaussiandistribution is somewhat different. Typically, arisesas a limiting case after the laws of large numbers are applied.In particular, onehas (Feller, 1957):
9.2.
Stochastic Formulation
227
random Lawof of mutually independent large numbers. If {ak}is a sequence = <a> value variableswith a common distribution and if the expectation {ak} -* c > 0 as n oo. exists,then for every
+
the probability that the nonweightedaverage (av + In other words, e tends to one. differs from the mean by lessthan a prescribed
\342\200\242\342\200\242\342\200\242
(9.9)
+
an)/n
in addition,that the variance <(<5akJ> Central limit theorem. Suppose, exists.Then, for every fixed fl and for n -* oo:
= a2
j
where O(/?)is the normal distribution
(9.10a)
(9-iob)
is calledthe Gaussiandensity function. The integrand in Eq. (9.10b)
Note that the validity of the central limit theorem imposesautomatically an order of magnitude for the variance of the fluctuations relative to the variable: mean value. Indeed,let A be an extensive stochastic
= ci! + {A}= n(a}

A
\342\200\242 \342\200\242\342\200\242
an
the where n is now related to the sizeof the system. According to Eq. (9.10a) is bound to be of order a2n, that is, variance {SA2} the
Alternatively,
are related to </l> by
order of magnitude of the most probablefluctuations

SA
SA
oc </l>1/2 oc n1'2
The relativeimportance of fluctuations,therefore,diminishesas the sizeof the

system
increases:
SA
SA
distributions considered earlier in
Indeed,this is
what
happens in the caseof the binomial and Poissonian

this
section.
228
General Comments
remains constant, or even tendsto n~1/2,
Imagine now a situation whereby dA/(A}tendsto zero more slowly than as n -* oc. Then, the scales infinity of macroscopic and of fluctuations are not averages clearly separated.This means that the average value <a> or {A}is not representative of the system or,alternatively, that the \"sampling\" procedureallowed by the law of large of identifying, for all practical purposes,the arithnumbers and consisting mean to the stochasticaverage is not entirely meaningful. Hence, we case wehave a see this breakdown the laws numbers. We in that of of large say shortly that this situation is characteristicof phasetransitions at equilibrium, as well as of nonequilibrium instabilities leading to dissipative structures. case the Finally, it is important to point out that, while in the Poissonian in the case of a process average and the varianceare linked through Eq.(9.8b), described distribution there appeartwo independent by a Gaussian quantities, the mean and the variance. We discuss this point in the following chapters, as it appears that in stochasticproblems involving chemical reactions the Poissoniandistribution plays a privilegedrole.
arithmetic
9.3.MARKOVIAN
PROCESSES
Section9.2 is concerned mostly with independent trials such that the joint probability of a sequenceof events satisfies the multiplicative property. The theory of Markov processes provides a generalization that consists of permitting the outcome of any trial to depend on the outcome of pretrials. To this end one introduces the conditional probabilities, preceding and others, related to the P, values in Eq. (9.2) W2(Wi}t11 {a2}t2) by:
W2({al}tl {a2}t2)x P,({<ii},'i) (9.11) P2({al}tl:{a2}t2)= [cf. Eq. (9.3)]:
\\
(etc),with
W2>0 (etc.) Tw2({a1}tl\\{a2}t2)=l,

(U2l
(9.12)
set of numbers satisfying /property (9.12) defines a stochastic matrix. a is if the conditional probability W2 By definition, process Markovian contains all necessaryinformation on the process. Stated differently, the of the to of the is \"memory\" past history system limited one(more generally are widely spreadin to a small number of steps)backwards. Such processes One of the probability theory. simplest illustrations is the problem of random walk. At time 0 a \"particle\" is at its initial positionz and at times where At = ti+i 1,2, (or At, 2At, r,) it moves a unit step in the
A
3,....
\342\200\224
9.3.
Markovian
Processes
229
q, respectively,dep and positive or negative direction,with probabilities \" \" \" on whether the corresponding trial resulted in successor failure.\" The random walk can be either unrestricted or terminate when the particle for the first time reaches points0 or a, which act as absorbingbarriers.In the the matrix of conditional probabilities latter case
depending
W-,
0 0 q 0 p 0 q 0 p 0 0
1
... ... ... ....
is:
o 0 0 o 0 0 o 0 0 q 0 p o 0 1
(9.13)
for each of the interior states(i.e., for points different from 0 or a) Alternatively, transitions are possibleto the right and the left neighbors:
W2(i, t
= n\\i + 1, r =n + \\,t = n + W2(i, t = n\\i
1) = p 1) =
<?
from either 0 or a to any other point; once However,no transition is possible these states,the system stays fixed there forever. Despiteits simplicity, in a quite realistic way the motion of a heavy particle in this model describes Section10.3). a fluid of light particles, known as Brownian motion (see a the same In the more picturesque of problemconsiders language betting, and wins of or loses one unit with who q, probabilities gambler p money respectively.If his initial capital is z and he plays against an adversary with initial capital a z, the game continues until the gambler's capital is either reducedto zero or has increasedto a, that is, until one of the two \"ruin problem\" is equivalent to someprobplayers is ruined.This classical in a mutant or of a species extinction of in population genetics involving a set of competing populations. Similar problemsarisein chemical reactions and Nicolis,1975). involving autocatalytic steps (Malek-Mansour is provided by the A second illustration of the notion of Markovian process N balls)bedistributed Let N objects(e.g., Ehrenfest urn model (Kac,1959). = At = At time t = n a ball is in two containers A and B. Take t2 tx chosenat random and transferred from one container to the other. Let the state of the system be determined by the number of ballsin container A. and that at t = n there are exactlyk ballsin A {k < N).Then the probabilsuppose for reaching at t = n + 1 the next state, which will be {k 1)or (k + 1) balls in container A, dependsonly on the number of balls in A at t = n. On the other Thus, the sequenceof events defines a Markovian process. hand, the transition k -> k 1 implies that a ball has been removed from
on
\342\200\224
problems
\342\200\224
1.
\342\200\224
probability
250
-\302\273
General Comments
k + 1 implies that the ball is removed from B. A, whereas the transition k The corresponding conditional probabilities are, clearly: W2(k,t
W2(fc, t W2
= n\\k
- l,r=
+ 1)= -J
\\
= n\\k +
l,t = n + \\)=
=0otherwise
\342\200\224
(9.14)
illustrationswehave considered classof a special Actually, in the preceding Markovian processes on f i and t2 having transition probabilities depending are known as fj. Such processes only through the difference Af = r2 stationary Markovian processes. Usingthe definitionsof this sectionone can write for such a process an equation of evolution for P2,which is referred to as the Chapman-Kolmogorov equation (Feller, 1957):
are discrete. In this case one remaining of this sectionthat the variables {a} In the of of a Markov chain. case continuous variables because speaks (e.g., of spacedependencies) the sum has to be substituted by an integral. Note also of W2, Eq. (9.15) It can is nonlinear in that, owing to the definition also be transformed into an equivalent form displaying W2 as an unknown function. In Eq. (9.15), let Af representthe duration of an elementary event. Then, the is W2(At) probability that a systemwill make a singletransition from state
= X W2({a}\\{a2),At) x P2({ax}t P2({ai};{a2},r) Af) {a}, (9.15) for any Af such that 0 < At < t. Forsimplicity, we assumehere and in the
(a)
(9.11)
P2.
to state {a2} {a} during

time
probabilities
Af. As
we deal with
it
is more convenient for our
per unit time. To this

A,\020
that are continuous in processes to work with transition probpurposes end we set k = {a}, I = {a2} and define:
\"
At
= (probability/time)for a transition
_ *kk~
Clearly
between two
different
states(k
\302\245=
I)
' ~ W2(k\\k,At)
a7
from state k a transition occurs
(k
(9.16) (9.17)
(9 ]8j
A,imo
= (probability/time) that
wkl
>0 wkk < 0
/)
9.3.
Markovian
Processes
231
Moreover, using Eq. (9.12):
=0 5>H i
(9.19)
Assuming now that the wkl valuesexistand are finite, one can easily derive an equation of evolution for the probabilities t) = P(k, f) by summing Px({a}, over {ax} and by expanding P(k, t Af) in Taylor seriesaround Eq. (9.15) P(k, t). One finds straightforwardly:
dP(k,f)
dt
,
\\
see that the time terms, associatedwith the transitions / k, and the \"loss\" terms \"gain\" associated with the transitions k /. Hereafterwe referto this relation as the
We
-\302\273 -\302\273
= l[wlkP(l,t)-wklP(k,tn (9.20) l*k variation of P is due to the competition between the

in
master equation. This equation plays a great role

following for (9.15)
the analyses of the
the Ehrenfest model. one has, summing over all From (9.14) transitions changing the population k of the spheresin one of the containers:
chapters. As a simple first the Chapman-Kalmogorov illustration, consider equation
fork
- 1, 1,...,N
P@, t +
P(k,
Af)
^\342\200\224-i
)P(k
+ îr~ -1,0
1
\342\200\224
pC<
!'f) (9-21a)
Af)
P(l,f)
P(N,t+
At)
= ~P(N
- l,f)
(9.22)
In the original model Af is taken to be the unity. If the limit Af ^ 0 is taken and the left-hand side of Eq. (9.21) is expandedin powersof Af, we observe that in order to convert this equation into the master equation (9.20) it is as to such to Af a divide and necessary by give quantities meaning This is not possibleunless (Aty1(k + \\/N) and so on in the limit Af additional prescriptionsare made on the transition probabilities(9.14). This problem isdiscussed in Section using the random walk as illustrative
-\302\273
0.
10.3
example.
to the general equation (9.20) we concludethat, within the Returning framework of Markovian processes, the problemof fluctuations amounts to constructing and solving an equation of this form adaptedeach time to the As we see later, the structure of the solution depends problemconsidered.
232
General Comments
referencestate critically on two factors. The first factor is the macroscopic In particular, the constraints maintainaround which fluctuations are studied. the system in a state away from equilibrium are shown to deeplyinfluence the behavior of fluctuations. The secondcrucial factor is the form of the In the examplesof random walk and of the urn transition probabilities. model discussedearlier in this section the transition probabilitieswere either constant or linear functions of the random variables. Some of the in Chapter 10 sharethese properties. As a rule, \"chemicalgames\"discussed however, they are much more complicatedas they are determined by that are nonlinearfunctionsof the stochastic transition probabilities variables. This nonlinearity leads to new important features absent in the standard such as Brownian motion. In either case, the stochastic treatment examples gives additional information with respectto the macroscopic description. the latter is recoveredunder certain conditionsas the behavior of Although the expectation valueof the stochastic variable, one has,in addition, a means for calculating variances and other related quantities reflectingexplicitlythe effect of fluctuations. Interesting examplesof gamesdefined by chemical reactionsmay be found in Eigen and Winkler A975). Hitherto we have assumedthat in the stochastic the process variables {a,} is Markovian. Actually, this dependson the choice of these variablesand on the nature of the processes describedby the macroscopic equations of considerthe processof diffusion of a distribution evolution. As an example, of N colloidal in a volume Keach one of which performs a Brownian particles motion. The local density p satisfiesFick's law of diffusion. Suppose that one as variables in the correspondingstochastictreatment, the now chooses positionand the momentum of a representative Brownian particle, or the in a small volume AV having momenta number XAV(i) of Brownian particles results of probability theory is, between p, and p, + dp;.One of the classical that the stochastic i s a Gaussian-Markovian then, process process.*The situation is entirely different if one considersas stochasticvariable the of particlesin AK whatever their velocities (Kac,1959). number One is stochastic finds that the corresponding non-Markovian. Moreover, process it does not seempossible to derive a closedequation for t) owing to the very complicated of this function on the probability distribudependence A similar situation of positionsand velocitiesof the individual particles.
maintaining X\302\261v
P(X\302\261V,
distribution
is encountered in
Chapter 12.
9.4.THE EQUILIBRIUM LIMIT

this
Beforewe begin our analysis of nonequilibrium systemswe briefly discussin sectionthe propertiesof fluctuations in equilibrium systems away from
arealsoknown processes
in the mathematical literature
* Such
as diffusion
processes.
9.4.
form,
The Equilibrium Limit
233
points of phase transition. This problemcan be solved in its most general Onereasonfor this and one can say that it is currently a closedsubject. is that the equilibrium state is characterized (seeChapters 1 and 2) by a number of thermodynamic potentials that attain at that point their extremal values, namely, entropy for an isolated system, free energy at constant temperature and volume, and so on. In order to see how the thermodynamic potentials are related to the of a singlecomposition probability of a fluctuation, we first considerthe case variable denotedby X. We assumethat this variable is extensive*and that the system that is maintained isothermal communicates with a large external reservoir maintaining the corresponding \"chemicalpotential\" /< constant. According to statistical mechanics the equilibrium state is describedby the grand-canonical ensemble,which we write here in the following form (Landau and Lifshitz, 1957): where O is the [i is the reciprocal temperature (in units of Boltzmann's constant kB), and E such as is the internal energy, which dependson X as well as on parameters the positions, internal o f the momenta, and particles. energies From Eq. (9.23) one can deduce the probability distribution for X, by summing over the position,momenta, and internal statesof the particlesin
the volume V:
(9.23) generalized thermodynamic potential (seealso Section3.5),

pcp
= exp p<b{p, p, F)exppQiX
E(X))
= A exp0(O + pX) fexp pE(X){dri} {dp,}

where A is a normalization factor. One recognizes immediately that the and momenta is related to the freeenergy,F(X,/?, V) integral over coordinates to the value X of the extensivevariable. We conclude that: corresponding
(9.24) p, V) + fiX F(X, p, K)] Pep(X) = A exp Note that the free-energy function, F, appearing in thermodynamics is different from the quantity (Callen, F{X,p, V) introduced in Eq.(9.24) Tisza and Quay, 1963). The former is related to the thermodynamic potential O by the relation:
0[0(/I,
1965;
1960,
O=F
fiX number
(9.25)
of particles of a reacting
* For a reaction-diffusion system X denotes, typically, the within the system of volume V and temperature T. species
234
General Comments
where X is the macroscopicvalue of X observed in the system,and F Relation (9.24) becomes:

t
= F(X).
Applying
formally
(AF)TV
(9.26) the well-knownthermodynamic identities to F one has:

X)] =F
= n AX = n(X
X)
T(AS)EV
where AS is evaluated at constant energy and volume rather than at constant T and V. is to remove from AF Thus, the roleof the term ji{X X) in Eq. (9.26) (or from AS) the first-order terms of the expansionof F (or S) around the state. Calling A;S this \"internal\" entropy difference. We macroscopic concludethat:
(AiS)! PJLX)oc expfiis
(9.27)
The reasonwhy A; S refersto the part of AS due to an internal fluctuation, that a systematic external disturbance modifying X only affects the firstin Section3.5, order terms.According to the conditionsdeveloped one has
that
is the celebrated Relation (9.27) Einstein formula for fluctuations (Einstein, here we have been concernedwith fluctuations of 1903, 1910). Although evaluated under more general compositionvariables, the same expression conditionscan also generate the fluctuations of other extensive thermoan quantities. We may also point out that instead of considering opensystem in contact with a reservoir,we may equally well apply the results to evaluate the fluctuations within a small volume AV of a large isolated AV the subsystem in the volume V system of volume V. In the latter case, a AV actsas heat-and-matter reservoir. surrounding Forsmall fluctuations around equilibrium, one can expandEq.(9.27) and retain the first nontrivial terms only. One obviously finds
thermodynamic
\342\200\224
AjS
<0.
^sJ
(9.28)
is the second-order where %S2S)e excess entropy familiar from Part I.In this the to several function can be extended form, probability straightforwardly <52S one finds: variables. for fluctuating D.29b) Recallingexpression
(929)
9.4.
The Equilibrium Limit
235
where X, denote now the numbers of particlesof constituents 1 to n and Xj eq. As we saw repeatedly in Chapters3 and 4, the quadratic bXi = Xt from appearingin the exponential is positivedefinite. Thus, the distribution of fluctuations at equilibrium is Gaussian.The maximum value of this distribution related to the most probablestate of the system, X1?, as well as its average are both identical to the mascroscopic (equilibrium) values X,!-eq:
\342\200\224
<*\302\273>\302\253,
= XT = XLeq Leq
(9.30)
Moreover, a direct calculation where <5X, are treated as continuous variables shows that the mean-squaredeviation or variance of the fluctuations is (Landau and Lifshitz, 1957):
<SX,5X^ =
where (d/i/dX)
(d/ij/dXj)^.For a dilute system n can be substituted

and one obtains:
' denotes the
^7@)
\\
(9.31)
expressionC.10)
inverse of the matrix whose elements are

by
(dXjOXj)^= <A,->eq d*J = Ai-eq
dfj
(9.32)
a Poissonianvariance. We conludethat the fluctuations exhibit in this case in the limit of a and (9.24) This can also be shown directly from Eqs. (9.23) In this case, dilute solution. E(X) = YJ= i e, and (Landau and Lifshitz, 1957):
Pep(X) ex
e\342\200\224\\
jdr,dp, exp p(n
\302\243,
where the factor X!accountsfor the indistinguishability definition of the chemical potential:
J and
of the particles. By
dr, dp, exp ftp
- e,) =
F^X) = /I
^^
(9.33)
The normalization condition gives A = e~<x>;therefore, Eq. (9.23) is a Poissonian distribution [cf. Eq.9.8)], with a mean value <X>which, accordto Eq.(9.20), to the is equal to the macroscopic value of X corresponding state of equilibrium. Relations (9.29) to (9.33) can be interpreted in an alternative way as follows. We first see,from Eq. (9.32), that the quantity
according
236
which
General Comments
as:
In a
providesa measureof the relative importance of fluctuations, behaves ((dXi))eq

Y Ai,eq
1
Ai.eq
vi/2
(9-J4)
quantity.
fluctuations around this value lead the with the size system to configurations that becomeincreasinglyimprobable of the fluctuation. All ofthesestatements are, in fact,equivalent to the stability of the state of equilibrium whenever the matrix of the coefficients(duJdXj)^ definesa positive definite quadratic form, that is, to the condition A(S <0. This property fails only when the system is in the vicinity of a transition leading to a separationbetween different phases(Landau and Lifshitz, 1957). The theory of fluctuations outlined in this sectionwas basedentirely on In principle,one equilibrium thermodynamics and statistical mechanics. theseresults in the most general case of a system shouldbeableto reproduce at equilibrium from the master equation (9.20) provided the stochastic variables are chosenadequately, and the transition probabilitieswk, are in such a way that they reflectcorrectly the conditions constructed prevailing at equilibrium. Among the latter, the condition of detailed balance plays a crucial role (DeGroot and Mazur, 1962). It statesthat each elementary step in a sequence like a chemical reaction can occurwith the same probability as its \"inverse,\" that is, as the step obtained from the \"direct\" one on time reversal.*
becomesa very small X, ^ -> oo, and Eq. (9.34) a clearcut distinction between words,there is in this case macroscopic descriptionand fluctuations. This is also reflected in the fact is situated at the that the maximum of the probability distribution (9.29)
macroscopic system
In other
value X,eq.Thus, macroscopic
9.5.FLUCTUATIONS IN
AN
SYSTEMS: NONEQUILIBRIUM
HISTORICAL SURVEY
The success of Einstein's theory of fluctuations around equilibrium suggests that the extensionto nonequilibrium situations couldbe based on similar
ideas,that
\342\200\242
is:
\342\200\242
The use of some suitable \"potential\" extending the notion of thermodynamic potentials to far-from-equilibriumsituations. The useof extensivestochastic variables referring to the system as a whole.
recall that this condition
\342\200\242
We may
reciprocity relations
alsoplays 3.3). (see'Section
an important role in the derivation
of the Onsager
9.5.
Fluctuations
in Nonequilibrium
Systems: An Historical
Survey
237
to (9.32) This would bejustified from the fact that the basicrelations (9.30) dependon the volume of the system in a universal fashion: <(<5XJ>=aK, a = const and suggest in this way a remarkable property of similarity between variancesand volumesof different sizes.
We started these investigations with the study of simple examples Nicolisand Babloyantz, 1969) (Prigogine, 1954; Prigogine and Mayer, 1955; that confirmed at first the possibility of a theory of nonequilibrium fluctuabased on the excess entropy, S2S.However, the study of nonlinear situations led to the quite unexpected conclusionthat these ideascan only situations. Consider first the possibility of denning a potential apply to special that would determine the probability of a fluctuation. As we saw repeatedly to find such a potential in the first parts of this monograph, one cannot expect of of systems involving a single variable and in the case except in the case For such systems operating in the linear range of irreversible processes. systemsone can, indeed,show that the probability function takesthe form: P oc exp(A7r) (9.35)
fluctuations
where Axe is a generalized excess free-energy function, also referred to as kinetic potential (Prigogine and Mayer, 1955; Graham and Haken, 1969; In the o f instabilities An has some remarkable Haken, 1975a,b). presence similar to the properties Landau-Ginzburgexpressiondetermining the free energy in the critical region of equilibrium second-order phase transithan one variable and In more (Stanley, 1971). systemsinvolving far from all of these resultsbreak down; moreover, operating equilibrium, no obvious way of extending them appearsto exist. Let us come of stochasticvariables. At now to the problemof the choice a nd the most for equilibrium (McQuarrie,1967) general sequenceof unimolecular reactionsaway from equilibrium (Nicolisand Babloyantz, 1969) it has been shown that fluctuations can be correctly described by extensive variables referring to the system as a whole. In contrast, for nonlinear reactions operating far from equilibrium a most striking result has been variance of fluctuations changes qualitatively as their scale increases. Small-scale fluctuations, affecting only the region of dimension of the order of the mean free path, can be describedby a straightforward extension of Einstein'stheory. The only differencewith equilibrium is that the parameters appearingin the probability distribution [see are Eq. (9.29)] evaluated at the nonequilibrium reference state. This is quite similar to the ideas underlying the notion of local equilibrium in kinetic theory of gases This distribution function representsa (Chapman and Cowling, 1952).
transitions
shown\342\200\224the
238
General Comments
nonequilibrium situation, yet its functional form is the same as in equilibrium. The differenceliessimply in the fact that the state variablescan evolvein time in space, as a result of the nonequilibrium and can be inhomogeneous
constraints.
volumes large-scale fluctuations affecting macroscopic the size to of the in a behave system distinctly nonequilibrium comparable fashion. In the presenceof instabilities they can be amplified and drive the and system to a new regime different from the initial referencestate (Nicolis 1971; 1 974a; N icolis,Malek-Mansour, Nicolis, Kitahara, 1972, Prigogine, Van Nypelseer, and and Van Nypelseer,1974; Nicolis,Malek-Mansour, We are far from the simple \"universal\" laws of fluctuations Kitahara, 1976). as described distribution. by a Poissonian-type A correct in nonequilibrium systemsmust of fluctuations description be a local description of necessarily capable differentiating between fluctuaof variable ranges and coherence lengths (Nicolis,Malek-Mansour, Malek-Mansour and Nicolis,1975; Kitahara, and Van Nypelseer,1974; Lemarchand and Nicolis, Gardiner,McNeil,Walls and Matheson,1976;
In contrast,
fluctuations
is to describe thesenew developments Our principalgoal in Chapters10-12 detail and to substantiate them on representative, if simple,examples. We first describe, in Chapter 10, the basicideasof the formulation basedon the use of extensivevariables. Chapters 11 are devoted to the local and 12
in
1976).
theory of fluctuations and to the analysis of the critical behavior of the macrovariables in the presence of instabilities.
Chapter 10
Birth-and-Death Description of Fluctuations

10.1. MASTER
As
FOR BIRTH-AND-DEATH PROCESSES EQUATION
we emphasizedin Chapter 9, in the master equation descriptionof fluctuations one has to assignto the system a set of transition probabilities in the spaceof someappropriatestochastic the process variables. describing Considerfirst the intuitively appealing which consists of introducing choice, in the master equation the variables that describe the system as a wholeon the rate equations.In a sequence levelof the macroscopic of chemical reactions these variables correspondto the numbers {X,}, n of particlesof i = the n chemical speciespresent.A particular step of the sequenceproduces
1,...,
p:
additional particlesof a certain set of componentsand consumes particles of other components.We thus obtain a \"birth-and-death\"processin the values.The transition probabilities wk, as dennedin Eq. (9.16) spaceof {X,} then dependon a set of integers rip (rip may be positive, negative, or zero) the change of the number X, due to reaction describing = W(rip) = w({X,- rip\\ -> {X,}) A0.1) wkl
becomes: Equation (9.20) dP({Xi},t)_

ut p p
\\^(X})P\302\253X
-r }t)
(io.2)
-^w({Xj->
{X,. +
r) r,.,,})P({X,.},
This equation describesthe time evolution of the probability function However, we have still P({Xt}, t) in terms of the various chemical processes. to express in X terms of the values. Obviously, the w values are related to w the frequencies of reactive collisionsbetween chemical species. Consider first a simpleexample involving three species X, Y, Z interacting through
X
+ Y -^ 2Z
239
240
Birth-and-Death
\342\200\224
Description
-\302\273
of Fluctuations
The transition probability w = w(X + \\,Y + 1, Z 2 X, Y, Z) is proporto the number of binary collision between X and Y before the reaction takesplace. Thus
proportional
w
fc
= k(X + i)(y+ l)
\342\200\224
where is the rate constant. Note that the term ( + 1)added to X and Y on where the right-hand side of this expression is, in fact, equal to vx, In our vx,vY are the stoichiometric coefficientsof X, Y in the reaction. particular examplethese coefficientsare equal to the jumps, rx and rY undergone by X and Y during the reaction. This result can be extendedto For autocatalytic reactions,where the reactant may appear on both sides. instance for the reaction
\342\200\224vY,
\342\200\224 \342\200\224
+X
\302\261>
2X
the transition for X is X

w(A
\342\200\224
1,X
-1
-> X, and w
1
becomes: A, X) = k(A + \\)(X

\342\200\224
- 1)
1) added to X is equal to vx, sincethe stoichiometric coefficientof X in the reaction is now equal to + The jump, rx is alsoequal to + Hereafter, therefore, the jump appearingin expression can be A0.1) in i reaction the stoichiometriccoefficientof identified with p. can be easilygeneralizedto all cases where the stoichioTheseexpressions coefficientvip (or the jump rip of Xt) is 0, 1 or + 1,provided the stoichiometric coefficientsof all reactants appearingon the left-hand side of the reaction are themselves0, 1, or + We obtain:
Again, the term
(\342\200\224
1.
1.
\342\200\224
stoichiometric
\342\200\224
1.
A0.3a) -rip) rip = 0, -1,+1.
mechanThe product is taken over all species that participate in the collision that in some of the the stoichiometric considered. now Suppose steps coefficientsvip of the reactantson the left-hand sideof the reactionare different or + If the jump sufferedby this reactant is rip, then one has to from 0, 1, can be selectedout of the expressthe number of ways that vip molecules molecules i that are This Xj gives: present. rip
mechanism
1.
\342\200\224
MX,
As an
= k,,(X,
rip,
{X)} X,, {X)})

rip)
\342\226\240 \342\226\240 \342\226\240
--
(X,
- rip
vip
\\)/vip
(vip
> 0)
A0.3b)
one has for the process example,
w(X
2,E-
-\302\273
X,E) = ^(X + 2)(X +
1)
Limitations 10.2.
of Birth-and-Death
Formalism
241
whereas for the reaction

2X we obtain the different MX
It
\302\261>
+X
expression +
\\,E-
-> X,E) =
^(X + l)X
can be shown (Malek-Mansour that Eqs.A0.3)are the and Nicolis,1975) forms of w compatiblewith the requirement of having a Poissonian only distribution at equilibrium. As pointed out in Section 9.4,a system described by the Poissoniandistribution gives rise to statistical averages identical to values. Thus, the equilibrium laws of chemical kinetics the macroscopic of the master equation A0.2).We have ample becomeexact consequences to further relations A0.3)in the sequel. illustrate opportunity
10.2. LIMITATIONS OF BIRTH-AND-DEATH
FORMALISM
Becauseof its simplicity and intuitive appeal, birth-and-death formalism It is only has been widely used (Barucha-Reid, 1960, McQuarrie,1967). were the fact that the that its limitations clearly recognized. Firstly, recently transition probabilitiesare computed in terms of \"collective\"variables that only very exceptional implies Eq.A0.3)] referring to the entire system [see fluctuations are retained in the description. Moreover, by treating the system as a whole one discards important aspectsof fluctuations associatedwith such propertiesas the size, range over which they extend, and correlation length over which two parts of the that theseproperties shouldplay an system can feel eachother. One expects important role in the vicinity of critical phenomena,exactly as in equilibrium As is well known in this case statistical mechanics. (Landau and Lifshitz, the fluctuations even in a system that is macroscopically 1957), homogeneous, breaklocallythis homogeneity and generate in this way additional stochastic in the description. variables that must be incorporated Finally, becauseof the global character of the birth-and-death method, there is no way to express satisfactorily the nature of the macroscopic (nonequilibrium) state around which fluctuations are evaluated in Eq.A0.2). In particular, the question of relative closeness of this state to a local equiequilibrium is a crucialelement in the validity of the local descripof irreversible processes this monograph\342\200\224is adopted throughout
regime\342\200\224which
description
left
remedy of this is to apply the birth-and-death formalism to a subvolume AK of the entire system that is sufficiently small to permit a
A natural
open.
242
Birth-and-Death
Description
of Fluctuations
of the processes birth-and-death-like description therein and yet sufficiently to local equilibrium. Sucha volume would be coupled large to remain close automatically to the remainder of the system by the transport of matter and the surface separating AV and V AV. energy across is to develop in detail such a local The purposeof Chapters 11 and 12 theory of fluctuations. Before we attempt this, however, we devote the reremaining of this chapter to the birth-and-death formalism.The reasonfor this and substantial;most of the methodsof analysis develis both pedagogical for the solution of the birth-and-death master equationsare applicable to the more complicated local theory as well. Moreover, even in this, more refined treatment of fluctuations the contribution of chemical reactions within the subvolume AV are described by a modifiedbirth-and-death proThe latter is therefore,a basiccomponent of the dynamics of fluctuations
\342\200\224
developed
process.
in
nonequilibrium systems. It is remarkablethat near equilibrium or in systemsof unimolecular reactionsthe necessityof a local description of fluctuations is not apparent. In a sense,the entire system or different small components of it behave in an identical fashion and are both described(if the mixture is ideal) by a Poissoniandistribution at the steady state. As soon as the system deviates the nonlinearity and the nonequilibrium confrom these limiting regimes,
introduce a coupling between neighboring spatial elements.As a of fluctuations becomes a result, global description inadequate. the of this chapter and in Chapters 11 remainder we and 12 Throughout limit ourselvesto reactionsunder conditionsof ideal mixtures. Thus, we neglect the explicit influenceof intermolecularforces into the rate equations' and the transition probabilities.
constraints
10.3. SOMEMETHODSOF ANALYSIS

MASTER
OF BIRTH-AND-DEATH
EQUATIONS
in solutionsof the master equation A0.2)| are asymptotic in one of two ways:(a) either the limit of long timeS|| oo is taken and/or (b) the volume V and the total number of particles f fl| This is usually expressedby assignedto the system are macroscopic.
Here we are interested primarily

-\302\273
which
tjMfij
thermodynamic
limit:
F-oo,
AT
'\342\200\242$
oo,
AT
\342\200\224=
:'\\
finite
A0.4|
where the evolution of the system the situations encounteredin Part element. involved always somelarge-scale macroscopic
Such solutions,whenever they exist, are expectedto describeadequately
II,
10.3- SomeMethods of Analysis of Birth-and-Death
Master Equations
243
We now compilesome methods for analyzing the asymptotic solutions of the birth-and-death master equations.The presentation is rather brief, as most of these methods are illustrated later on by simple examples.
Fokker-Planck Equation
In a number of problemsinvolving Markov chains the \"spacing\" between is Brownian motion (Wax, statesis small. One of the best known examples a t hat the motion of of 1954), is, heavy particle massM in a fluid of light of M. In the mass m limit as m/M <| 0, the momentum transfer particles the from collisions between Brownian arising particle and the particlesof the medium is small with respectto the instantaneous momentum of the Brownian particle.In a system involving chemical reactions,a somewhat analogous situation can arise in that the step appearingin the birth-andto be small comparedto the instandeath master equation A0.2)is expected values of the numbers of particles. To handle this type of situation we considera smooth function Q({X^), oo and is otherwise arbiwhich goes with sufficient rapidity to zero as X( We multiply both sidesof Eq.A0.2)by Q and integrate over {Xt} con-\302\273
instantaneous
-\302\273
arbitrary.
considering
P and
them as continuous variables. Notice that this implies that both We obtain: have to be interpreted as probability densities.
8t
i
~ rip\\ },f)
A0.5a)
-f
\342\200\224
We now expandin the first term on the right-hand side,Q({Xt}) in a Taylor seriesaround Q({Xt rip}).Usingcondition (9.11) we obtain, after switching
to new integration variables X\\
= Xt
\342\200\224
rip:
A0.5b)
244
Birth-and-Death
Description
of Fluctuations
This expressionis known as the Kramers-Moyalexpansion.In order to understand better this structure, we define the transition moments
by ai.ixh~in-
the
relation:
= a,:il i,({X,})
M{Xi]
{Xt
rip})
f|
rikP
A0.6)
processis characterized by the property:
In general, all a, values are
different
from
zero.A Gaussian-Markovian
=0
Equation A0.5) now
for /
>2
A0.7)
becomes:
in the right-hand side and taking into account is an Q({Xt}) arbitrary function, we concludethat:
Integrating partially
that
ij
Mi Mj
,0
A0.8)
This equation is known as the Fokker-Planck equation (Wax, 1954). Before going further, it is interesting to comment on the meaning of this in Sections 9.2 Let us and 9.3. equation in the light of the ideasdeveloped of the transition considerthe problemof random walk. Usingthe form (9.13) and taking the time-space probabilities stepsto be Af and Ax, respectively, in rather than unity, we write the Chapman-Kolmogorov equation (9.15) the form:
F(x,f + Af) = pP(x

We now
Ax, f)
+ qP(x +
Ax, f)
A0.9)
consider the limit of a fast jump, Af -> 0, between neighboring points,Ax -> 0.Equation A0.9) can then be expandedin powersof Af and Ax. The first few terms yield:
At
.dP= (q - p Ax dP + Ax2d2P + q - p Ax33 d3P +

\342\200\224 \342\200\224
ct
ex
\342\200\224-\342\200\2243
ex
^\342\200\224-
j-j ox
\342\226\240 \342\226\240 \342\226\240
If we divide through by Af and take the limit Af -> 0, we must give a meaning such as (Af)\" x(q p) Ax and Ax2/2 Af. This problem,which to expressions for the Ehrenfest was already mentioned within the context of Eq. (9.21)
10.3- SomeMethods of Analysis of Birth-and-Death
Master Equations
245
model, can be solved in simple situations such as Brownian motion (Wax, one showsthat: Indeed,in this case 1954).
q
=0
(asq = p = %)
-\302\273 -\302\273
and that Ax2/2 Af existsfor all Ax and Af (in particular for Ax 0, Af 0) and defines the diffusion coefficientof the Brownian particle.It is, therefore, natural to admit that we couldset
Ax2
\342\200\224-
- = -p ot
2Af
= D = finite
Ax, C
= finite.
than
Thus, all terms containing powersof Ax higher Af 0, Ax 0, and we have:

\342\200\224\342\226\272 \342\200\224\342\226\272
two
in cancel
the limit
ox
ox
\302\243
A0.10)
is of the form A0.8)with a constant \"drift coefficient\" related to the differencebetween the two transition probabilities p and q, and with a conD. Thus, random walk provides a model for a \"diffusion coefficient\" Gaussian Markovian process. In this The situation is different when chemical reactions are considered. caseone deals,typically, with processes that are continuous in time (Af -> 0) but discretein the space of the stochasticvariables {X,}. Moreover, the transition probabilitiesper unit time w are perfectly well defined at the outset in the limit Af 0 [seeEq. A0.3)]. Thus, one can write a master as in equation directly for dP/dt without making additional prescriptions the case of the random walk. As a result, even for the simplest reactions condition A0.7)can never be satisfiedexactly.*Forinstance, for the reaction
which
constant
-\302\273
thejumpsr*, = +l,rX2 = -l,andw(X-> X + 1)= ktA,w(X k2X.Thus [see Eq. A0.6)]:
-\302\273
- 1)=
can never be set exactly equal to zero. At best, Obviously, this expression an to the exact solution of the master is therefore, Eq. A0.8) approximation
at In this respect we may mention a theorem (Pawula, 0 for some even /, we are actually assuming a, to
be zero
1967)according to
for all
which if we assume
/ > 3.
246
Birtk-and-Death
Description
of Fluctuations
so,van Kampen A961, 1969) pointed out that in a nonsystem,by retaining the fully nonlinear contributions in the transition probabilities ax and a2 one keepsterms of the same order of magnitude as he suggested a method for the higher transition moments. Subsequently, expandingsystematically the master equation, which leads to a FokkerPlanckequation whosecoefficientsare this time linearizedaround the values to the macroscopic evolution. corresponding The main point of van Kampen'smethod is to assumethat relations extend to nonequilibrium situations, in the sensethat: to (9.22) (9.19)
equation.Even
nonlinear
\342\200\242
t) is Gaussianin P({X},
\342\200\242
the limit of a macroscopic system, that is V oo. are distributed around their most {Xt} probable values,* {X\"(t)} with a variance of order V:
-\302\273
,
with
- XT(t)J},oc
X?(t)oc V
Thus, any deviation from XJ\" is of the order V1/z. We introduce a new variable, ^, which is independent of V by setting (for simplicity we consider hereafter and until the end of Section10.3 a single stochastic variable):
X
= Xm(t) +
V1/2\302\243
A0.11a)
or,in
terms of scaledvariables
X=Vx, Xm(t)=Vy(t) x = m+v-*\302\273t

We may now
mUb)
of the probability function ^-dependence
substitute this into the master equation A0.2)and focuson the
P(lt)= P(y(t)
_SP
dt
P: + V-1'2t;,t)
A0.12)
The time derivative dP/dt of P contains a contribution reflectingan explicit time dependence, as well as the fact that y(t) dependsgenerally on t:
ll28Pdy
<3\302\243
d dt
dt
As
before, the right-hand-side of the master equation is expanded in a series[see Moreover, the transition Eqs.A0.5b)and A0.8)]. Kramers-Moyal
* Note that, in general, <A\",> # Xf. The most probable value is expected to correspond to the results of macroscopicobservations. In general, <A\"> provides a good approximation to this,
unless
P is a multihumped
distribution.
JO
.3- Some Methods of Analysis of Birth-and-Death
Master Equations
247
moments are expandedin powers of F~1/2<i;.Equating equal powers of V\021/2 on both sideswe find: To order V1'2:
dy
Tt~y
and to
order
V\302\260:
where the transition moments are evaluated at the most probable value, which, as we see y(t). The latter evolves in time accordingto Eq. A0.13) has the the same structure as shortly, macroscopic equationsof evolution. Fora single stochasticvariable Eq.A0.14)gives a Gaussiandistribution as a steady-state solution, contrary to the equation A0.8) with nonlinear coefficients. In general, therefore, van Kampen's method cannot handle situations involving instabilities that, as we see later, straightforwardly involve deviations from the Gaussian behavior. Moreover,the method becomesawkward to apply around time-dependent states. In this case, the reducedstochasticvariable should accordingto definition A0.11), itself be time dependent to secure the time independency of the initial stochastic variable X. constitutes a powerful Despitethese limitations, van Kampen'sexpansion tool of analysis that permits sorting out of somegeneral features of fluctuain nonlinear systems. Gaussian-Markovianprocesses equation leading to a Fokker-Planck with nonlinear coefficients as in Eq. A0.8) can also be representedby a The ideais to extend the macroscopic equation Langevin equation (Wax, 1954). of evolution for the macrovariable y(t) to a stochasticdifferential equation In physical applicationsthe stochasticcharacter is usually (Arnold, 1973). a random force term, F(t): expressed through
\302\243
fluctuations
^ = fll(M) +
<F(f)>
absence
F{t)
A0.15)
in
The validity of the macroscopic can now be ascertained only description an average senseand this requires,according to the classical theory:
=0
A0.16a)
Moreover, the Gaussian-Markovian assumption is equivalent to the abof any correlation betweenvaluesof F at two different times: <F(fl)F(f2)>= 2BS(t,
t2)
A0.16b)
248 In
Birth-and-Death
Description
of Fluctuations
the bracketsdenotea statistical average over the distribution Eq. A0.16) of F values. The use of Langevin's method in nonlinear systems far from equilibrium can be criticizedon the same groundsas that of the Fokker-Planck equation and 12). also Chapters11 A0.8)(see
Hamilton-Jacobi Equation Approach

This method, which has been developed by Kubo, Matsuo,and Kitahara bearssomeresemblance to van Kampen's A973) (seealso Kitahara, 1974), method.It is, however, more general in that it can handle situations near instabilities in a more straightforward manner. One again considersa scaledvariable x corresponding to an extensive
quantity
X:
= Vx x. To
this
and expressesthe master equation A0.2) in terms of
introduces:
\342\200\242
end, one
new probability distribution:

P\\x,t)
= P(X,t)
A0.17a)
\342\200\242
new transition
probability:
Vw{x,
r)
= w(X-^X + r)
A0.17b)
\342\200\242
A \"Hamiltonian,\"
H, defined by:
H(x,p)=
Then, the
\302\243A
e\"'\"p)w(x,r,,)
A0.17c)
finite displacement operation involved in the master equation can be expressedin terms of an operator form of H, whereby p is substituted by the derivative d/dx.One obtains,instead of Eq. A0.2):
8t
\\
V8x
This is analogousto Schrodinger's equation of quantum mechanics, but to be small in a instead of h/i one now has the factor \\/V, which is expected o ne can seekfor In with mechanics, quantum macroscopic system. analogy
10-3-Some Methods of Analysis of Birth-and-Death

asymptotic solutions
Master Equations
249
of Eq. A0.18) using WKB-type methods(Courant and Thesesolutionsare of the form: Hilbert, 1962).
P oc
exp(F<\302\243(x,
t))
A0.19)
has beenestablished Their existence by Kubo,Matsuo,and Kitahara A973) and by Kitahara A974) using Feynman's path integral method.Substituting one obtains,to the dominant order in V: into Eq. A0.18) Eq.A0.19)
dt
'dx
A0.20)
This equation has the sameform as the Hamilton-Jacobi equation (Courant It can be solved by the well-established and Hilbert, 1962). method of The topological structure of the trajectories characteristicequations. of these equations in the corresponding phase space gives information about the as well as about the shapeof the uniquenessand stability of their solutions, T he distribution. method becomes probability increasinglydifficult to apply for two or more stochastic variables. Forsystems involving a single variable, some remarkable results have in the case been however, obtained,especially of transitions between multiple steady states.The probability distribution becomesthen double-humped (or multiple-humped), and the phenomena the can be expressedin a language similar to accompanying instability first-order transitions. equilibrium phase Method and Cumulant Expansion Generating-function
A still different method, usedwidely in the sequel of the presentmonograph, the master consistsin expressing equation A0.2) in the generating function
To this end we define the generating function F({.s,}, t) by (McQuarrie, space.
1967;Barucha-Reid, 1960):
F({s,},t)= Y\\s?'P({Xilt)
It
d\302\260-21)
is easy to see that F is related in a simpleway to the average values of various powersof Xt. Thus, taking Eq. (9.3) into account and defining
(etc.) X1XJP({Xk},t)
A0.22)
250
Birth-and-Death
Description
of Fluctuations
we find:
P({X{}, t) = 1
{Si}=11}
= <*;> = <(SXjJ>
'^^ ^
\302\245
\302\253
=<\302\253,\302\253.>
A0.23)
In order to construct the equation of evolution for F we multiply both We obtain: sidesof the master equation A0.2)by YJs?'and sum over {Xt}.
ti'MW,}-11U
{Xi\\
{x>+
t) njmx,},
A0.24)
In the first term we switch to the new variables X\\ = Xt rip. We also take and notice into account the explicit form A0.3)of the transition probabilities that the product
in the form: can alsobe expressed
1
-\342\200\224-
.
s|'\+r\")")
d^'\"
\342\200\224j-
Vjp
CSj'''
sf' x
(contribution of the other constituents)
We recall that rip refersto the jump sufferedby constituent j in the reaction p, and vip to the stoichiometriccoefficientof the reactants i on the left-hand side of the reaction (vip > 0).On the other hand, the secondterm in Eq. A0.24) introduces contributions of the form:
{Xt
rip\\)
which
can be expressed as:

sj'p
VIP'
\342\200\224^
sf' x
(contribution of other constituents)
10.3\342\226\240
Some Methods of Analysis of Birth-and-Death
Master Equations
251
will be written Theseexpressions symbolicallyas:
and
nsH^};{vv)rwj
Substituting
A0-25>
{
one has:
Va
back into Eq. A0.24)we obtain:
(n *-
Forinstance, for the reaction
- n***) ) ({|} (v>)f,m, ) o

*
\302\273({|};
00.26)
= 1,
vx
= 0,
r.4 =
- 1,
rx
= +1,
= L4
and
Equation A0.26) is a linear partial differential equation with variable coefIn general, its solution is an arduoustask. Still, in somesituations one can envisage systematic expansionproceduresin a way similar to the Thus, in the limit where the volume consideredis of previous subsection. dimensions and Nicolis,1971): we set (Prigogine macroscopic
coefficients.
F = exp Ni//({Si},t)
\\j/
A0.27)
where, accordingto definitions A0.23), is expectedto be of order unity. backinto Eq.A0.26)and retaining dominant terms in N one can Substituting convert the equation into a nonlinear differential equation of the first order that is somewhat similar to the Hamilton-Jacobi We seek equation A0.20). for solutions of this equation in the form
\342\200\242A
= ax(t)^ +
+
b12(t)\302\2431\302\2432
\342\200\242\342\200\242\342\200\242
an(tKn
ftn@^ +
+
...
+
Mf)y
A0.28) A0.29)
b13(t)\302\243i\302\2433
---
where we defined the new variables

fi
= s,-
252
Birth-and-Death
Description
of Fluctuations
of oneobtains into Eq.A0.26)and identifying equal powers for the expansion a set ofnonlinear ordinary differential equations coefficients a,-,bjj, and so on. Theseequationsconstitute an infinite hierarchy and can Exusually be solved only if a truncation to some finite order is possible. are given in the sequel. Examples A final remark concerns the physical interpretation of the expansion coefficients.From Eq. A0.23)and the definition A0.27)of we find:
On substituting
\302\243,\342\200\242
i/>
bu
(SX,5Xj) =
1[<X;^.>-
<X,-><X,>] (etc.) A0.30)
semiinvariants
This showsthat the expansioncoefficientsare related to the cumulants, or of the probability distribution (seeKubo, 1962). Another interesting feature is that bit and bu are related directly to the deviation of the are idendistribution from the Poissonianform, for which relations (9.32) satisfied.
identically
10.4. THE MOMENTEQUATIONS

sectionwe investigate more specificallythe relation between master equationsand the macroscopic equations of evolution. We have already that out the of the pointed properties probability distribution are determined the entire set of its moments the first and the [cf.Eq.A0.22)]. by Among these, secondmoments are of particular interest. Indeed,in several cases where the distribution is peaked around a well-definedvalue, the first
In
this
moment\342\200\224the mean\342\200\224is
directly related to the maxima of the probability distribution

<*\342\226\240,->
=s XT
A0.31)
Both <X,>and XT can then be expected to describecorrectly the evolution of macroscopic The is situation different when multiple humped quantities. distributions are involved; in this caseone expectsthat the results of a observation are related to the most probablevalues XT and to macroscopic the dispersion around those values, rather than to <X,>,<<5A\",2> and so on. Unfortunately, thesequantities are difficult to identify on the master equation. It is much more natural to obtain, from the latter, results referring to the evolution of the moments of the probability distribution.
10.4. The Moment
Equations
253
In this sectionwe derive the exact equationsof evolution for the first few moments, starting from the master equation A0.2) and discussconditions under which theseequations can be truncated to provide direct information on the behavior of the first and secondmoments. An equivalent method consistingof working in the generating function representation is illustrated on the examplesanalyzed in the subsequentsections. We first considerthe equation for <X,>.We multiply both sidesof Eq. A0.2)by X{ and sum over all values of Xt. Moreover, in the first term of the right-hand side we perform the samechange of variable as in the transforWe obtain in this way: following Eq.A0.24).
transformations
^T at
j},t)
{Xj)
Accordingto relations A0.6)and A0.22)the right-hand sideis the statistical average of the first transition moment alti:
to the nonlinearity of alti
The main feature of this equation is that it is not a closedequation;owing onehas, in general,
is identical to the right-hand side of the macroscopic Now, aUl{{(Xj)}y We see, of evolution.* therefore, that the average laws differ from equations the phenomenological ones obeyedby the macroscopic variables by terms of the relatedto the variancesor to higher ordermoments. A close inspection in connection with definition explicitform A0.3)of the transition probabilities A0.6)of the transition moments revealsone further interesting feature,which we first illustrate in the two simpleexamples:
X
\342\200\224-^\342\200\224\342\226\272
and
We
have, for the
first
example:
- k^SXSY)
* In fact, the equations of chemical kinetics refer to local quantities such as densities and mole fractions. The moment equations reduce to such local expressions if one takes into account Properly the volume dependence of the rate constants.
254 Similarly,
in
Birth-and-Death
Description
of Fluctuations
the
secondcase:
More generally,one has:
i+ terms containing (<5X,SXj>;(SXf> - <*,.>; <x,->= a, i({<Xj>}) at

\342\200\242 \342\200\242
\342\200\242)
A0.34)
law is words,the differencebetween (alt,)and the macroscopic related to the differencebetween actual values of variances and Poissonian variances. For a Poissoniandistribution this differencevanishes and one recoversexactly the macroscopic and Nicolis, equations(Malek-Mansour is in of as shown the the Moreover, 1975). examples subsequentsections, even when it is nonvanishing, this difference is weighted by a factor l/N with respectto the macroscopic contributions, where AT is a suitable size in This turn in fluctuation introduces parameter. theory the problem of size this which can chosingappropriately parameter, only be solved satisa local Such to fluctuations. an approach by satisfactorily approachis developed in Chapters11 and 12. The results obtained so far on the first moment equation are exact, as they account for the influence of the higher moments on the evolution of the to introduce someapproximations average. Quite frequently it is necessary in order to obtain information on the evolution of those higher moments that will directly influencethe averages. Let us focus on the secondmoment <A\"jX,->. We multiply Eq. A0.2) by XjXj, sum over X{ and Xj, and perform the same transformations as for We obtain in this way: Eq. A0.32). In other
Tt<Xi*j> dt
IE
P
{Xk)
(*\302\253\302\273\342\200\242;,
+ xJ'iP+ r'Pr]P)
On the left-hand sidewe switch from {X,Xj}to the variances <8Xt8Xj>= <XtXj>
<
again the definition A0.6)of the transition moments Taking into account once as we as well Eq. A0.32) obtain:
10.4. The Moment
Equations
255
The terms of the type {Xialjy can be expandedaround the averages <X,>, (flij) as follows:
8X,) x UaiJ>+
* \\CAk/<.xy
ife)
SX
Thus, the equation for the variances takesthe following form:
= YJ yExisxjy at
k
fe)
A still
khx>
<SXk
+ <a2Jj({Xk})> + 0K6X,SXk SX,)) 5Xj}\\

J
A0.35)
matrices:
more compactform can be obtained by introducing the following

<a2>:\302\253a2\302\273u
= O2.u>
=Kij\302\253X\302\273
(^
<6X 8A\">
We
A0.36a)
<\302\247X
bXyu
= <8X,5Xj}
and are,therefore, note that they all depend on the averages of {X,} the of fluctuations. independent Denoting by KT the transposeof the matrix K we may finally write Eq. A0.33)in the following form (Lax,1960):
j($\\hxy=
transform
(K-<^X8A-\302\273T
K-<\302\247X8A->
+ <*2y+ty.(&XidXkSXly)
A0.36b)
By invoking the
samearguments asthoseleading to Eq.A0.34)wecan further into a form displayingthe deviationof the higher order Eq.A0.36b) variances from the Poissonian form:
<5X 8X> = (K ^ at
\342\226\240
<,5X
8X\302\273T
\342\200\242
<<5X
8X>
+ a2(K-Xj>}) + terms containing ky,<8Xf> ?>
3<\302\2535X,2>
\342\200\242 \342\200\242
<*,\302\273;
\342\200\242)
A0.37)
256
Again, this is not
Birth-and-Death
Description
of Fluctuations
higher
matrix
a closedequation.However,insofar as the terms containing one has the closedset of equations order variancescan be neglected,
which
A0.34) and A0.37) from

<<5X hX~)
could be evaluated. Whenever the system has a single steady state, this truncation procedure asymptotically stable macroscopic is legitimate.The solution of the moment equations then represents a stationform. probability distribution, which may or may not have a Poissonian of asymptoticstability. Formarginally The situation is different in the absence the Lotka-Volterramodel) we expectthe solution to stable systems (e.g., For systems underalways remain time dependent(seealso Section10.6). bifurcation, on the other hand, after a transient periodof evolution we that is representative of expecta new asymptotic solution to be established the new regime beyond instability. One can really speakin this secondcase of \"orderthrough fluctuations.\" states,the Clearly, in the absenceof asymptotically stable macroscopic higher order moments becomeincreasinglyimportant. Thus, the results of the calculation basedon the truncation of the hierarchy of the moment equacould only be regardedas short-time approximationsof the system's behavior, starting from an initial distribution of the Poissonianform. This is sufficient to provide a rudimentary idea of the behavior of the system in the vicinity of the macroscopic steady state. Oneof the featuresof the local theory of fluctuations developed in Chapters 11 is to introduce a new parameter in the moment equations, and 12 related
stationary
the mean value vector (X) and the variance
undergoing
equations
to the ratio between the diffusion coefficientand a suitable combination of the rate constants.This parameter weights the relative contribution of the Poissonian and non-Poissonian terms in the moment equations and thus proa means for systematicexpansion f or these procedures solving equations. Finally, Eqs. A0.34) and A0.37) illustrate in a striking way the roleof fluctuations in the onset of instabilities. Supposefor a moment that the truncated forms of these equations are valid to a good approximation. Let be a steady-state solution. By varying slowly the bifurcation denoted parameter by A in Part IIwedrive the system to the threshold for an instability. Obviously, if the descriptionbased on the truncated equations remains valid, the system is not going to evolve spontaneously to a new state, but is going to remain on the unstable branch of solutions.According to the completeform of Eq. A0.34),however,we see is going to that d(Xj}/dt build up to a finite value\342\200\224meaning that the system will be able to evolve spontaneouslyfrom the unstable solution\342\200\224provided the fluctuations may values. increasein time and take appreciably non-Poissonian Theseconsiderations shed some light on the very meaning of stability, the purpose which is one of the central notions of Parts I and II.In essense, the test these to out in was of the macroscopic carried response parts analysis
provides
{X\302\260j}
10.5- Simple Examples

to
257
of the system to an external disturbance,which, although weak, was assumed be present initially in the system with a macroscopically observable amplitude. The view adoptedin fluctuation theory, on the other hand, is that the system has to generate spontaneously this deviation from the average regime,which could then trigger further evolution to a dissipative structure a \"perturcontribution. In essence, provided it contains a non-Poissonian is identified here to the non-Poissonian (see part of a fluctuation
\"perturbation\"
Chapter11.)
SIMPLE EXAMPLES 10.5.

illustrate the ideas and techniques developedthus far on simple to linear and to nonlinear sequences modelsreferring,successively, of chemiit is reactions. to here two between Actually, necessary distinguish types of nonlinearity that one may encounter in a physicochemical problem: of the rate laws on the (a) the kinetic nonlinearity, related to the dependence macrovariables and (b) the phenomenological nonlinearity, related to the to the deviation from the linear range of distancefrom equilibrium (i.e., This type of nonlinearity stems,therefore, from the irreversible processes). of of the rates on the affinities and can even arisein a sequence dependence reactions where the rate laws themselvesare linear. In Section 9.3 we see that at equilibrium the fluctuations of the numbers of in a distribution. The purpose dilute mixture particles obey to the Poissonian of the presentsectionis to investigate possibledeviations from this regime due to the influenceof the kineticsand/or the distancefrom equilibrium.
We now
chemical
UnimolecularReactions
We
considerthe following sequence:

A-23
*21
*32
A0.38) A0.39a)

A
<
has an affinity
c
with
A0.39b)
the equilibrium constant
= kl2k23
k2lk32
A0.39c)
258
Birth-and-Death
Description
of Fluctuations
The system {X}is supposedly in contact with two large reservoirsof matter containing A and E, such that the content of the reaction volume in A and E is renewed instantaneously, thus maintaining a fixed concentration of A and E therein. Standardchemicalkinetics would describethe system by
A,
= const
dX
\342\200\224
= (k12A + k32E)
(k21 +
k2i)X
A0.40)
value of X where the bar indicatesthat we deal with a \"phenomenological\" determined by the macroscopic equations of evolution. Equation A0.40) predictsthat the system tends,as t -> oo, to a unique asymptotically stable steady state
In the standard description In order to study their fluctuations are neglected. effectwe introduce the probability distribution P(A, X, E, t) and assumethat the reaction under considerationdefines a Markovian birth-and-death process. Equation A0.2)now takesthe following form:
\342\200\224
dP =
kl2(A
+ l)P(A +
\\,X-\\,E,t)~k12AP
A0.42) This is a finite-difference The finite-difference equation with linearcoefficients. is a the the result of discreteness of stochastic property the linearity of the coefficientsis a consequence numbers of of the unimolecularcharacter of the reactions A0.38). The study of this equation is performedmost convenientlyin the generating function representation. Defining [see Eq. A0.21)]
variables\342\200\224the particles\342\200\224while
+ k21(X+ \\)P(A \\,X + \\,E,t) k21XP E + k23(X + \\)P(A, X + 1, 1, f) k23XP E + 1, + k32(E + \\)P(A, X 1, f) k32 EP.
- -
F(sA,sx,sE,t)=
dF =
A,X,E=0
sis$s%P(A,X,E,t)
A0.43)
we see that Eq. A0.26)takes the following form:
dF
k12(sx-sA)\342\200\224
dF + k21(sA-sx)
\342\200\224
dF
k23(sE
-S]C)\342\200\224
dF + k32(sx sE)^-
A0.44)
10.5. Simple Examples

that
259
If onesolves this equation subjectto the normalization condition, onefinds as f -> oo the only steady-statesolution is given by the equilibrium This is natural, as the system {A + X + E} has distribution of Section been treated thus far as a closedsystem. Eventually, such a system is bound to reach a singleequilibrium state.However, our problemis to study the evoluof an opensystem {X} in contact with large external reservoirs {A} and To this end we introduce the reducedprobability distribution {E}.
9.3.
evolution
P(X,t)=
and
\302\243
A,E=0
P(A,X,E,t)
f(s,t)= X sxP(A,X,E,t) X,A.E = 0 to: Equation A0.44)reduces

df
<3f
A0.45)
'2
*
vh n
EP
A,E=0 A,E=0
A0.46)
This equation for/is closedonly when Y,a,e=o EP 1S expressed AP, Y,a.e=o in terms of/ To achieve such a closure we appeal to physical assumptions that are expectedto be quite realistic for the type of system considered What we want to describehere is a non(Nicolisand Babloyantz, 1969). equilibrium steady state; under theseconditionswe have to ensurethat the state of the reservoirs {A} and {E} varies in a much slowerscalethan the state of the system {X}. This scaleseparationnow permits the assumption that AP (etc.), which are conditional averages,do not dependon the state of {X}. In other terms, the statistical correlation between {A} and and the \"small\" system {X} is negligible:
\302\243\",\302\243=0 {\302\243}
A,E=0
A,E=0
P=(A}P(X,t)
A0.47)
Suppressingthe average value symbol for the initial and final product particle numbers, which appear now as simpleparameters,we may reduce Eq. A0.46)to:
^= A
s)\\(k23
)^ - (k12A + k32E)f
A0.48)
260
Birth-and-Death
Description
of Fluctuations
This equation can be solved straightforwardly at the steady state. Taking conditions A0.23) into account we find a unique, properly normalized
solution:
^ ^1
+
A0.49a)
This solution predictsa steady-state average [see Eq. A0.23)]:
Thus
A0.49c) This identity between statistical average and macroscopic value is a conthe the of of scheme. It can alsobe from the first inferred consequence linearity moment equation A0.32),where a^X) is now a linear function of X obeying
the
f(s) = exp[(s 1)XO]= exP^
- 1)<*>]
(k21
property:
<\302\253,(*)>
+ /c23)<X> A0.50) to physicalvariablesand using Eq.A0.45)weobtain a Poissonian Returning distribution for P(X)(Nicolis and Babloyantz, 1969):
\302\253,\302\253*\302\273
= (ki2A + k32E)
fluctuations
ô reducesto a Gaussiandistribution Equation A0.51) P(X) = BnX0)-112 exp|~L

\342\204\2421
It is well known (Landau and Lifshitz, : SX _ X
that 1957)
in
the limit of small fluctua-
Xo
ao
ZAoJ
A0.52)
On the other hand, from Eqs. D.29) is and (8.14) we see that ~5X2/2XO the to second-order the excess around equal entropy steady nonequilibrium state Xo. Equation A0.52),therefore, reducesto
P oc
We
(S2SH\\ expQ-
A0.53)
obtain a formula of the same structure as the Einstein formula (9.27). The difference is that here the excess entropy is computed around a non-

equilibrium referencestate.It is only in the limit ofzero affinity
that
261
Eq.A0.41)
gives
^0 = êq = -,
and the nonequilibrium
probability function becomes identical to the formula. Einstein Nevertheless, even far from equilibrium the effect of fluctuations remains small and doesnot influencethe macroscopic behavior, which extends to the nonequilibrium situation. by virtue of relation (9.34), The conclusionthat the theory of fluctuations around nonequilibrium least for our simpleunimolecular states can be terms of thermodynamic functions, is intuitively very appealing.Indeed, the local equilibrium assumption, which has been the starting point for the extension of thermodynamics to nonequilibrium situations, suggeststhat such a reduction shouldbe possible,at least within a certain well-defined range of phenomena.
formulated\342\200\224at model\342\200\224in
Nonlinear
Model
We now
1971;Nicolis, 1972):
considerthe simplebimolecular scheme(Nicolisand Prigogine,
*'
\302\273
+M
A0.5*)
The system {X} to be opento large reservoirsof A, M, E, D. is again assumed This time, however, inverse reaction rates are neglected,and the system operatesautomatically far from thermodynamic equilibrium. One can show that by taking back reactions into account in the vicinity of equilibrium, the master equation admits the Poissoniandistribution as long-time solution. In this subsection,however, we are interested exclusively in the nonof the model. equilibrium properties The overall reaction
is:
2A and the
>
+D
rate equationsread,for an ideal mixture: macroscopic
-r=klAM-k2X2 at
A,
AY
A0.55a)
= const
262
Birth-and-Death
Description
of Fluctuations
The system admits a singlesteady state

I \302\273,f\\l/2
A0.55b)
is asymptotically stablewith respectto arbitrary perturbations. In order to study the effect of fluctuations we introduce a probability distribution P(A, M, X, D, E, t) and assume that Eq. A0.54) defines a in the spaceof thesestochastic Markovian birth-and-death process variables. to the discussion in Section this assumption We recall that, according might well be unrealistic. Nevertheless,we pursuehere our analysis with the the basicideasand techniques of the stochastic primary aim of illustrating
which
10.2,
method.
The next stepis to reducethe master equation A0.2)for P(A, M, X, D, E, t) to a closed equation for the reduced probability distribution P(X, t) by invoking the same physical assumptionsas in the precedingsubsection. We obtain in this way the following equation, which now definesa birth-anddeath processin the subspace of the single stochastic variable X:
at
= kxAMP(X
-l,f)\\)XP(X,t)
kxAMP(X,
t)
y (X + l)(X + 2)P(X+ 2, f)
- y(X We switch
A0.56)
the equation
to the generating function
f(s,t) and find

\\)f
also [see
A0.57)
Eq.A0.26)]
\342\200\224
= kxAM{s
\342\200\224
\342\200\224
\342\200\224
s2)-r-j
The nonlinearity of the coefficients,as well as the fact that we have a secondorder of the bimolecular partial differential equation for/is a consequence (i.e., nonlinear) character of the reaction. Equation A0.57)can be solved exactlyat the steady state as follows(Mazo, 1975). Dividing through by A s) and taking Eq. A0.55b) into account we
\342\200\224
obtain:
=0 {l+s)dl-2X2f ds2
\302\260'
A0.58)
This is a second-order equation and requires two boundary conditions. of generatingfunctions,|s(| must not exceed Accordingto the definition A0.21)

\342\200\224
263
for F({s,}, unity, in order to ensureconvergence of the seriesexpression f). One Thus, we seek here for boundary conditionsat s = 1 and at s = of these is obvious and follows from the first relation A0.23): /(I)= condition we considerthe quantity In order to find the second
1.
1.
I P(X)- I P(X)
^s +
1) and
write
On the other hand, one can seeby writing the master equation A0.56) for that there are equal probabilities dP(\\)/dt (etc.) successivelyfor dP(O)/dt, having an even or odd number of X particlesin the system as X -> oo. We
that conclude
equation for g(z) = f(s):
We may
1)= 0. /(now introduce the new variable z =
the
with
3@)= 0, The solution to Eq. A0.59)satisfying
A0.59) is (Morseand the boundary conditions

0A)
=1
Feshbach,1953)
LM
where Ix is the Bessel function of Bessel f unctions property
(ia60)
of imaginary argument. Usingthe following
+ v/v(z) = z/v_1(z) TUz) dz

one has:
= <*>
7,DX0)
In a macroscopic system Xo is a very large number. Thus, we may usein the above relation the asymptotic expansions This yields: of 70 and
/,.
A0.61)
264
Birth-and-Death
Description
of Fluctuations
This result showsthat the macroscopic descriptionleading to Eq. A0.55) is valid up to terms of order one. In order to compute the variance of the fluctuations one may evaluate the second derivative of from the exact solution A0.60).However, it is just as well to considerthe first moment equation A0.32)for the model.At the steady state one has:
<aiW> = o
or
k,AM
- k2(X(X - 1)>= 0
A0.62)
Usingagain Eq. A0.55b),we find: <X2>-X20= (Xy on substitution of Eq. A0.61) in Eq. A0.62): Hence,
EX2) = {X2}
^\302\260
0A)
^
4
+ 0A)
A0.63)
Clearly, Eq. A0.63) is incompatible with a Poissoniandistribution and, form A0.53). The factor f in front of <X> therefore,alsowith the Einstein-like is model-dependent. The fluctuations in many other nonlinear models involving a single stochastic variable have been tested (Nicolis, 1972; Van Kampen, 1976). The Gardiner,McNeil,Walls and Matheson,1976; answer is a non-Poissonian distribution with mean quadratic fluctuations on the individual kinetic steps.Thus, no general statement comdepending to to be possible for nonlinear systemsoperating far comparable Eq.A0.53)seems from equilibrium, provided a description basedon the birth-and-death master equationsis adopted.We discussthis most important point further in the
sequel.
10.6. SYSTEMS INVOLVING

LOTKA-VOLTERRAMODEL
VARIABLES: THE TWO STOCHASTIC
The next type of example we analyze refers to systems involving more than one variable. The main difficulty here is that the master equations can no longer be solved exactly.Thus, in order to analyze the effectof fluctuations we must appealto the asymptotic methods reviewedin Section10.3. The model we choose for illustration of these techniques is the LotkaVolterra model,discussedfrom the macroscopic viewpoint in Section8.2. The motivation for this choice is twofold.Firstly, the importance of this model
10.6. Systems Involving
Two Stochastic Variables: The Lotka-Volterra Model
265
in problems involving interacting populations is considerable(see also And secondly, as we saw in Section8.2, the steady state and the Chapter18). solutionsof the rate equations for this model lackthe property time-periodic of asymptotic stability. In this respectthe Lotka-Volterrasystem may be as prototype of any systemin the vicinity of an unstabletransition. considered As in the preceding we assumethat the chemical steps section, A
*' '
2X
A0.64)
In the define a birth-and-death processin the number of particlesspace. reducedform wherea summation over the initial and final productvariables {A, B, E} is performed, the master equation A0.2)becomes*:
dP(X
,' at
t)
= A(X
\\)P(X
+ (X + \\)(Y \\)P(X + B(Y + \\)P(X. Y
- \\,Y,t)- + 1, - 1, - XYP(X, + 1, - BYP(X,

AXP(X,
Y
Y,
t)
f)
Y,
t)
f)
Y,
t)
A0.65)
Forsimplicity, all reaction rates have beenset equal to unity.

In the generating function
representation
sxxsYYP(X,Y,t) F(sx,sY,t)= Y.X = 0
the master equation reads
dF =
Ct
( (n
+ l)fa
f)
d2F
r
CQCt]
dF dF +^+\\)Ar]B +^+\\)AB CQ
Or]
A0.66)
where we used,instead of sx,sY, the variables:

*
n
= Sx ~ = sY l
A0.67)
An important point to bestressed at the outset is that Eqs.A0.65)or A0.66) cannot admit factorizable solutions. Even if one starts initially with a factorized probability distribution, the term containing (X + 1) (or the
\\)(Y\342\200\224
* We here formulate the analysis of fluctuations for the chemical analog of the Lotka-Volterra model.The results can be applied straightforwardly to the population dynamical version of the
model, which is discussed in Chapter
18.
266
\302\243,
Birth-and-Death
Description
of Fluctuations
secondderivative in and in the generating function representation) introcorrelations between X and Y. This point is at first sight reasonable in Y coupling appearing in the chemicalscheme view of the X itself.Neverthethis is surprisingin terms of both kinetic and thermodynamic theory of nonequilibrium phenomena.The very basis of the local formulation ofirreversiblephenomena adoptedthroughout this monograph is the concept of local Maxwellian equilibrium, which is assumedto prevail within small volume elements of the system.Now, a Maxwellian equilibrium in an ideal the factorization of the probability distributions system implies necessarily
r\\
introduces
\342\200\224
Nevertheless
of the individual particles! The resolution of this difficulty amounts to realizing that the birth-anddeath descriptionneglectsthe local aspects of a phenomenon and deals of this, the individual exclusivelywith fluctuations in large volumes. Because are lumped degreesof freedom, which locally are statistically independent, at the benefit of the macrovariables such as X and Y that refer to the entire system and, therefore, neednot yield factorizable distributions. Bearing this point in mind we now investigate the asymptotic solution of Eq. A0.66)by introducing the auxiliary variable i/>, Eq. A0.27),and the limit N -* oo.The equation for the generating function becomes:
1 d2i N
d\302\243
<
We
have set:
A
= olN B = $N t = Nt
A0.69)
Clearly a, /? = 0A). In Eq. A0.68)the secondderivative term is multiplied by as a small quantity for N large. We seek \\/N and, thus, may be considered solutions of this equation in the form A0.28): A0.70) where the expansion coefficientsare related to the momentsof the probability distribution by Eq.A0.30).
267
into Eq. A0.68) and identifying equal powers of I, and rj Substituting we obtain a nonlinear system of differential equationsfor the expansion coefficients: da^ = b12
and, using a matrix notation for compactness: '20Mi \\
d^bf
-2a!
aal-a1a2--Y
A0.71)
\\2ala2j
/2(<x.-a2)
A0.72) Hadweneglected the term containing l/N in Eq.A0.68),the first two relations would be a closedsetof equations Moreover, independent of the variance bi2.
the matrix
multiplying
I b12 I
in
hand, higher orderterms in the expansion A0.70)of would have introduced new contributions in the equationsfor the variance, reflecting the influence of triple or higher moments. Thesecontributions would all be multiplied by l/N in the equationsand would, therefore, be negligiblein the limit N oc. Let us carry out further the consequences of the limit N -> oo by then first two droppingall terms proportionalto l/N.The equationsbecome identical to the macroscopic rate equationsfor the model [seeEq. (8.2)]. They admit the steady-state solution
i/>
\342\200\224\342\226\272
W/
Eq. A0.72) would
simplify.
On the other
ax Substituting
= p,
0 a 0
a2 = a
A0.73)
into the
equationsfor the varianceswe find the simplified form:
-2^
0 2a
0\\/ftnN
-\302\243)
0/U,
U12I
A0.74)
268
Birth-and-Death
Description
of Fluctuations
The important point is now that these equations do not admit a timeindependentsolution.To seethis, we add the equations for bn and b22.
We
obtain:
jt
On the other hand, we obtain:
(\302\253ft,,
+ pb22)= 2ajS(a+ p)
A0.75a)
the equation for bl2
by differentiating
oncemore
P dx
db22
d2b12_
dx2
~adb^ dx
By eliminating the derivativesof bl x,b22from the first and the third equations A0.74)weobtain a singleclosedequation for b12:
d2b 12 = 2aj?(a + 4ajSb12 dx
ft
A0.75b)
Tosolve the differential
equationswe must specify the initial conditions. Assume that at f = 0 the system was described by a factorizable Poissonian distribution for X and Y. This means that:
(SX SY),= o = 0
According to Eq. A0.30)theseconditions imply for the
bu{t bu
A0.76a) values: A0.76b)
= 0) = 0
these initial conditions is
2a\302\243(a
The solution of Eq. A0.75)satisfying and bi2

We
o*u+ Pb22=
=
P)x
A0.77a)
a^ [1-
cosB(ajSI/2T)] liapI12 sinB(ajSI/2-r) A0.77b)
Poissoniandistribution and the fact that, the speaking, system is at a steady state, the variances macroscopically in time, deviate immediately from the Poissonian <<5A\022> and <<5V2>increase regime, and cannot reach a new steady state. Stochastically, therefore, the even in the limit of small fluctuations steady state A0.73) is meaningless, earlier to the truncation performed on the moment equations corresponding in this sectionby neglecting the 1/JV terms. The system exhibits abnormal fluctuations that increaselinearly in time with a periodic\"background
initial
seethat, despitethe

macroscopic
269
noise\"whose frequency2(a/?I/2 is the doubleof the frequency of the macromotion. Eventually, thesefluctuations alter the order of magnitude of As in the moment equations. the \\/N terms that couldno more be neglected a to a result, the average values are driven by the fluctuations time-dependent This is also regime far from the steady state (Nicolisand Prigogine, 1971). confirmed by a numerical analysis of the completemaster equation A0.65) The and Walker, 1976). 1973; (Malek-Mansour, Langlois,Van Nypelseer, that leave latter suggests (seeFig. 10.1) the trajectories systematically the and after few tend, spirals,either to comsteady-state solution performing,a extinction or to a state where Y is absent(seehowever Turner, 1977). that the master equation canalso,onecan show (Reddy, 1975) Analytically admit a steady-state solution centeredaround nontrivial values of X
complete cannot
andK
phenomenon
This \"chaotic\"behavior is strongly reminiscent of the well-known pheof turbulence in fluid dynamics, where the fluctuations also play a
55 54 53 52 51 50 49 48
47
I
0.0320 0.0348 4 0.0256 0.0448 \\ 0.0512 o.oooo0.0576
\\
\342\200\2420.0192
Time
0.0640^
0.0704 0.0768
o
_Deterministic_ steady state
46 45 44 43
0.0832
\342\200\242-*
0.0912 0.0960
I
42 44 45 46
Figure
47
48 49 50 51 52 53 54 55
model. Initially the system is Poissonian distributed around
for stochastic averages of X and Y in Lotka-Volterra deterministic steady state. Arrows indicate values of time corresponding to different points along trajectory.
10.1. Phase-space trajectory
270
Birth-and-Death
Description
of Fluctuations
decisiveroleby altering qualitatively the predictionof the macroscopic analysis.We refer to this situation as generalized turbulence (Nicolisand
1971). Prigogine,
fluctuations
of spontaneous deviations from the regime of Poissonian The possibility provides a striking illustration of breakdown of the laws in Section 9.2. we return to this point of large numbers discussed Although and 12, we may already point out that this entirely new in Chapters 11 of the coupling inducedby the chemical reactions, situation is a consequence variablesare as a result of which the transitions undergone by the stochastic not statistically independent events, even in the limit of a large system N oo. These results may well be comparedwith the analysis of the moment Indeed,the structure of the system of equationsperformed in Section10.4. for is equations A0.72) bti identicalto the structure of the generalsystemA0.37) in this equation for the variances.On the other hand, the matrix K appearing to the matrix of the linearized coefficientsof is, in fact, identical system of the Let equations[cf. Eq. F.6)]. A^, u^ be eigenvaluesand the macroscopic K: of (orthogonalized)eigenvectors
-\302\273
where the superscript j in the definition of the scalarproduct refers to the chemical species We expand5X and <5X 5X> in Eq. A0.37) in terms of
u^. We obtain:
j.
and
<5X 5X>
=
\302\243
<a/iav>u/iuv
\302\243
(Tûû,.
Note that the indices i,jidentifying [i, v are not to be confusedwith the indices chemical speciesin the equationsof Section 10.4. Performing the matrix product K <8X 5X> and utilizing the orthogonality of um we obtain, at the steady state, the following form for Eq.A0.37):
\342\226\240
Two Stochastic Variables: The Lotka-Volerra Model
271
Thus solving for a^. we find:
and
<5X 5X>
X <fl2.,v>u,uv
y-^j
A0.78)
real part. Let the eigenvaluesbe real, and supposek^ is the critical eigenvalue with Eq. A0.78)we vanishing at the point of marginal stability. Comparing that the variancematrix contains at least one conclude diverging contribution, to the term \\i = v in the sum. This reflects namely, the onecorresponding the fact found earlier in this section,that the evolution equationsfor the The variances admit no physically reasonablesteady state (Mazo, 1970). can be if the is analysis repeated eigenvalue complex. If the referencestate is an equilibrium or a near-equilibrium steady state, then for a suitable choice of variables, the matrix K is symmetric and any macroscopic perturbation decays monotonously to this state. However, in a general nonequilibrium situation the symmetry of K is not guaranteed. The regression to the referencestate can then either be oscillatory or not occur at all. The argument just developed showsthat at the same time the behavior of the variance matrix tendsto be pathological. whenever the macroscopic rate equationshave an oscillatory Actually, mode, the fluctuations are themselves rotating, as one can see by a closer analysis of the equation for the variances. Tomita and Tomita A974) (see alsoTomita, Ohta, and Tomita 1974) that the rotation of fluctuasuggested can be characterized by the angular momentum-like quantity
fluctuations
As we saw repeatedly in Chapters6 and 7, at a state of marginal stability the matrix K has onezero eigenvalueor a pair of eigenvalueswith vanishing
Mi} =
(SXf SXj) (SXt dXj}
A0.79)
where the averages are evaluated at the reference state, and SX is formally defined by the right-hand sidesof the macroscopic rate equationsexpanded around the referencestate. They show that M is related to the variance matrix
by
= (K
\342\200\242
<r)r
(K
\342\200\242
<t)
A0.80)
The physical meaning of these relations can be seenbetter by switching to new sets of variables displaying the \"radial\" and the \"angular\" parts of the fluctuations (Kitahara, 1974).
272
Binh-and-Death
Description
of Fluctuations
10.7.CONCLUDING REMARKS
a system in the vicinity of an instability in Section 10.6, structure behaves in much the same way as the to a leading dissipative Lotka-Volterramodel.Firstly, the linearizedrate equationsacquire a mode with a vanishing real part of the corresponding eigenvalue of the coefficient matrix K. This results in an increasein the life time of this mode,which reminds strongly the phenomenon of \"criticalslowing down\" familiar from the evolution of the equilibrium phasetransitions (Stanley, 1971). Secondly, This results in variance matrix is also dominated by this long-living mode. abnormal fluctuations that increasein time and systematically drive the regime. probability distribution away from the Poissonian These conjecturescan be verified explicitly on examplesinvolving ininstabilities leading to spatial patterns or to limit cycles(Nicolis,MalekMansour, Kitahara, and Van Nypelseer,1974;Nicolis,Malek-Mansour, and to multiple steady Van Nypelseer, and Kitahara, 1976; Nicolis,1974a) states (McNeiland Walls, 1974;Matheson, Walls, and Gardiner, 1975; J.S.Turner, 1975). Janssen,1974; Nevertheless,as we pointed out repeatedly, the analysis of instabilities basedon the birth-and-death master equations is subjectto seriouslimitations; hence we discussthe problemof instabilitiesin further detail in Chapters11 and 12, after having developed a basisfor a local of fluctuations in nonequilibrium systems. description
As
pointed out
Chapter 11
Effect of Diffusion:Phase-space and Multivariate Description MasterEquation

11.1. NECESSITY FOR A LOCALDESCRIPTION OF FLUCTUATIONS
from the arguments Let us try to deducesomemore quantitative conclusions in Section 10.2 on the limitations of the birth-and-death formalism. developed
To understand the onset of a chemicalinstability* we analyze the behavior of fluctuations in macroscopic systemsinvolving a large number of particles, N -* oo in a macroscopic volume, V oo (N/V finite) and subject to constraints.We want, moreover, to be able to handle small macroscopic and intermediate fluctuations, which are expectedto be the most efficient ones in driving the system away from the unstable state. Supposefor a moment that, in spite of the fluctuations, the system remains homogeneous in space. Below the critical point of instability, the probability distribution a takes Gaussianform:
\342\200\224 -\302\273
where x is the intensivevariable x = (X/V) corresponding to the number of X a The of variance certain constituent. particles dependson the of is of From x and of the size the average Eq. A1.1) independent system.
cr\302\253x\302\273
we see that
dxaz V~m
we concludethat dimensions, macroscopic
* The same arguments should hold for fluctuations systems subject to macroscopicconstraints.
A1.2)
Realizing that
stands here for the size of the entire system, which is of a fluctuation obeying Eq. A1.2)
in fluid dynamics
and, indeed, for all
273
274
Effect
of Diffusion: Phase-space Description
and Multivariate
Master Equation
is exceedingly small and cannot
possiblyinfluence the behavior of the
system.
Conversely,if a fluctuation
ExocO(l)
A1.3)
is to occurwith a finite probability, it is necessarily local, in other words, refersto a small part of the big systemhaving a volume A V, such that (A V)~112 is of 0A). But oneshouldhave to account for the coupling between this small subvolumeand the remaining part of the big system,arising from, for instance the exchange of matter (through diffusion) and energy (through heat conacrossthe surface separating AV and V AV. In different terms, conduction) becauseof the density fluctuations, the system becomeslocally inhomoand the description basedon the birth-and-death master equation geneous A0.2)breaksdown. This argument alsoshowsthat if one wants to maintain the picture of a in a coherent way, one homogeneous large system fluctuating appreciably must introduce large-scale fluctuations of small probability. In linear close to equilibrium both ways of treating fluctuations systemsor in systems are equivalent. This remarkable\"similarity\" property, by virtue of which thus of homogeneity\342\200\224do not matter, is a direct questionsof of the absence of correlations between the individual stochastic consequence variables.*Thesefeatures are no longer found in nonlinear, nonequilibrium
\342\200\224
size\342\200\224and
systems.
11.2. PHASE-SPACE OF FLUCTUATIONS DESCRIPTION
volume\" sectionwith a single variable intermediate) in a phase-space the around state a. This state the coordinate includes r, the: AFj, position momentum p and all the internal degreesof freedom {e,} that may play a i rolein the problem.For simplicity, we first argue as if a could only take discretevalues, although the passageto the continuum presentsno special'jj difficulty. In terms of the velocity-distribution function fa of kinetic theory Xx can be given by: (Chapman and Cowling, 1952), ]
in this
\\
!j
the necessityof a local descriptionof fluctuations far Having recognized from equilibrium we first adopt a phase-space descriptionwhere this local character is manifestly preserved. as stochastic* In other words,we choose variables the number of particles,Xa, of speciesX (for simplicity, we deal;!
||
Xx
= /.Ar
Ap{A\302\243i}
* We recall
that we deal here with \"ideal\" mixtures where the intermolecular
interactions
(H.4)j '
do
not modify explicitly the thermodynamic
relations between state variables.
11.2. Phase-space Description of Fluctuations

f(v)
275
Figure
11.1. Instantaneous
velocity distribution
f{v).
wherefx is the instantaneous valueof the distribution in velocityand position
space(seeFig.11.1).
A
random fluctuation
of the macrovariable X is expressed as
3X =
A1.5)
compact form:
state These fluctuations perturb continuously the reference macroscopic variables X,,. The latter obey a kinetic equation of the Boltzmann type Ross and Mazur, 1961; which we write in the Eu, 1974), (Prigogine, 1949a;
dt
A1.6)
term the effectof reactive collisions. The elasticcollision Here,Jr describes from be set to minus the contribution arising (dXJdt)el may approximately the free motion of the particles, {dXJdt)now, if onedealswith systems near a
We assumenow that in the spaceof the variables {Xx} the fluctuations define a Markovian stochasticprocess of the birth-and-death type. The of this for the Boltzmann validity equation has been justified conjecture and Kac this by Siegert A952) A959).Intuitively, appearsto be quite reasonas one now dealswith small coupledsystems for which the objection raisedin Sections10.2 and do not apply. The corresponding generalized master equation has the form
reasonable,
local equilibrium regime.
11.1
dpgxj, t)
dt
A({Xfi}
},t)
A1.7)
276
Effect
of Diffusion: Phase-space Description and Multivariate
Master Equation
where the transition probabilitiesper unit time In particular, relations as in Eqs.(9.8) to (9.11).
A must satisfy
the
same
=0 l->{Xa})
A1.8a)
A1.8b)
A({Xf}
-\302\273
>0 {Xx})
* {Xa}) ({X,,}
->{Xa})\302\2430
over Xa one should obtain, by making Moreover, on averaging Eq. A1.7) the Boltzmann-like equation assumptionssimilar to those in Section10.4, as a first approximation: A1.6)
+ terms containing ((SXX SXpy (etc.) A1.9) A final averaging over a has to producethe macroscopic rate equationsof chemical kinetics.
A SIMPLE MODEL 11.3. this sectionwe analyze the solution of the phase-space master equations on a simple but representative model and comparewith the results basedon the birth-and-death description of fluctuations. We again considerthe nonlinear model A0.54). Contrary to the birthand-death analysis, where the only stochastic variable was the total number of particles,within the framework of phase spacedescriptionwe have to derive a master equation for the probability function P({XX},t). There are two basically different processes present. Firstly, there are elastic collisions,which do not change the total number of particlesof constituent X but tend to redistribute the initial Xx values (seeFig. to the Maxwell-Boltzmann law (seeFig.11.2). there are according Secondly, reactive collisions, which change the number of particlesof X presentand modify the velocity distribution. A central problemis, therefore, to account for the combined effectsof thesetwo processes. Severalcases are conceivable, on the of the elastic and reactive effects. depending comparative strengths We can delineate three different limiting regions.
In
11.1)
Are Dominant ReactiveCollisions
This correspondsto such problemsas strongly exothermic reactions,or reactions in a rarefied mixture. The relevant equation is that of a stochastic processin phaseand number space,but onewhere the velocity distribution
A Simple Model 11.3.

f(v)
277
Figure velocity
11.2. Maxwellian
space.
distribution for stochastic variable
X,,
in the various regions
of
centeredon a Maxwelliandistribution. Essentially,the various velocity regions,and hence also the populationsin the various internal states and positions,are coupledvery loosely.We are not interestedin this regime, as it is remote from the range of validity of the local description
is in no way
adoptedthroughout
this
monograph.
Elastic Collisions Are Significant

In this is centered case the stochastic around Maxwellianequilibrium. process The Boltzmann-likeequation A1.6) appropriatefor A0.54)
is:
UA*
_y
S^klXaXj +
A1.10)
with
j, Mk = const
are the transition probabilities for scattering between two T,j_kl and Su-,k, molecules in states (i,j) into two molecules in states (k, /) for the reactions to the two stepsin the sequence The systemis assumed corresponding A0.54).
278
Effect
of Diffusion: Phase-space Description and Multivariate
Master Equation
to be macroscopically and to behave as a dilute mixture. In homogeneous the sequelit is convenient to define the following coefficients;
kl
conditions:
*;,\342\226\240.\342\200\236
We may
also note
that
in
a scattering process one has the following
= o;
=o sH.u
(]U2)
Theseconditionsexpressthat two particlesin exactly the samestate cannot

undergo a collision.
noting
that
We may now write the
the reaction sequence A0.54)has to
master equation corresponding to Eq. A1.10), be interpreted as
+x
-^
'
ll\\\"-jl
\"^
f +n
AU3)
Using the form of the birth-and-death transition probabilitiesfor the variables {X^} we have
, t)
dt
^
\342\226\240<?\"
W{X _ u {xrf) _
^
i
i
r.
\"-'a/fLV'1*
1)* (î
dt
) Jei
+()
\\
dt
A1.14)
yrlow
where the prime indicatesthose particleswhosestate has not been affected and the factor 1/2accountsfor the indistinguishby the reactive collisions, the of X-molecules. ability colliding In principle onehas to solvethis equation by taking into account explicitly We the effectof elasticcollisions. Here we adopt an alternative procedure. first recall that elasticeffectsserve essentially to establish,approximately, a Maxwell distribution;therefore, we neglect their explicit influenceon the master equation (Nicolisand Prigogine, 1971; Also, the flow Nicolis,1972).
A Simple Model 11.3.
279
term servesto establish a uniform distribution and is henceforth not included
becomes: explicitly.Equation A1.14) dP({x},0

dt
i
^
i
- XlX'fiP(Xl,
},t) {X'e}, r)]

A1.15)
X%,
e denotesthat the variousmolecular populations The superscript are centered around a Maxwellian(seeFig.11.2). Noticethat small fluctuations around the Maxwellian are taking place continuously, and are in fact essentialto keep all of the stochastic variables {X}independent.This equation is in detail in Section11.4. discussed
ElasticCollisions Are Dominant

In this limit thermal equilibrium is always rigorously maintained, that is, one neglects fluctuations around the Maxwellian distribution. Thus, a chemical reaction can only provoke changes between spatially uniform As an example, equilibrium states with different total numbers of particles. the first step of the sequenceA1.13) one particle of X in some produces but state the distribution velocity vh velocity immediately relaxesfrom
Xv2
exp(-mv2/2kBT)
Z~o
to (X
\\)v2
exp(-mv2/2kBT) __
where Zo is a normalization constant.Thus, the whole processis insensitive to which velocitystate in fact receivedthe particle. As a result, the stochastic to a process processin phasespacedegenerates involving a single variable, the number of particles of constituent X (Kuramoto, 1973; Nitzan and Ross, The master equation 1974;Nicolis, Allen, and Van Nypelseer, 1974).
becomes:
u
u
dt
'= I UP({x
\\XU(X
+ i}M, t)
- P({xM}, 0]
2}M,r)
\\f(X + 2)MP({X+
\\)MP({X}M, f)]
A1.16)
280
Effect
and Multivariate
Master Equation
where, for example,
(X
We now
+ 1)
Av2,--->
J
A1.17a)
define the quantities

kxAM k2
= ^Ta =
a/i
becomesidentical to the birth-and-death master equation Then, Eq. A1.16) A0.56).This implies* the validity of the non-Poissonianmean-square deviation A0.63). that the birth-and-death result is obtained We see by \"freezing\" the velocity distribution to Maxwellian equilibrium. We expectthis type of behavior to be representative of large-scale fluctuations,which evolvemuch more slowly than the processes related to the relaxation of the velocity distribution. In contrast, local fluctuations evolvetoo rapidly for this type of behavior to be In a sense, is not therefore, the usual birth-and-death description applicable. representativeof the dynamicsof a chemical system,but only of the evolution of the large-scale fluctuations. The latter are expectedto be exceptional events, as long as the system is far from an instability.
4 S., ^0
vl\302\273l
exP
- ^f
ZKB
{v\302\260
+ vfU Ay* J
Avp
U7b)
11.4. APPROXIMATE
We now
SOLUTIONOF MASTER EQUATION
(where elastic place ourselves in the secondcaseof Section 11.3 to correspond collisions are significant), which is expected to the behavior of small local fluctuations.Our purposeis to analyze the solutions of the master in a certain well-definedlimit consistent with the premises equation A1.15) involved in the phase-space description. The difficulty in solving the phase-Space master equations arisesfrom the infinite number of coupledterms contained in the sums over states on the right-hand side.On the other hand, this very complexityenablesus to expand the limit systematically such equationsfor small fluctuations; in this case of small deviations from the macroscopic distribution function Xa makes
constant Zo. Thesefactors ensure the correct form on averaging over the microscopic states. obtained
normalization
* Note the existence of volume factors appearing
implicitly in
Eq.C.16) through the normalizaof the macroscopicrate equations ob-
11.4. Approximate Solution of Master Equation

sense,as we deal with the evolution of the
Setting
Xk
281
individual
degreesof freedom.
= Xk + 3Xk = Xk + Exk,E< 1
A1.18)
following the expand both P and the coefficients in Eq. A1.15) terms dominant methods outlined in the first part of Section10.3. Keeping and Prigogine, 1971; in we obtain (Nicolis Nicolis,1972): we may
\302\243
8P({x},;
dt
xkP + Xk-~x,P
dP
wherewe have taken into account the fact that Xk satisfies,to this order,the Boltzmann-likeequation A1.10). This simplified equation is now integrated over all x values but one. Defining the reducedprobability functions
...,xs,t)= t) Pu...,s(xi, jdxs+1 P({x},

\342\226\240 \342\226\240 \342\226\240
A1.20)
and taking into account relation A1.12) we obtain:

t) 8Pi(xa,
1
t) [V 82Pi(xa, y
Fy
d2PAxx,
Ql
A1.21)
We
to Pi2 and, similarly,
seethat Eq. A1.19) gives rise to a hierarchy of equations relating dPJdt an to Pi23 (etc.). 3P12/dt Supposenow that we choose initial condition corresponding to factorized reducedprobability functions:
Pi S({XJ, 0) =
i= 1
[]pi(xh 0)
s = finite
A1.22a)
282
Effect
of Diffusion: Phase-space Description and Multhariate
Master Equation
Because of the dominance of the flow terms over the reactive collision terms, we exceptthe factorization condition to be maintained to a goodapproxiapproximation,
as long as we deal with small fluctuations. This is also supported have the same structure as the that the operatorsin Eq. A1.21) Boltzmann operator in that they connect two states without spatial corcorrelations between particles.We conclude, therefore, that within terms of order e:
by the fact
Pi...J{X.},t)= f[P,(*,,r) ;=
i
A1.22b)
of the fluctuations, implies that the This, together with definition A1.18) last term in A1.21) vanishes. The coefficients of the second derivative of this equation may be further simplifiedby taking into account d2Pl/dxl One finally again that Xx satisfies the Boltzmann-like equation A1.10).
obtains:
+ V (?sx) xp*xl)
sxx)
This equation has the same structure as the linearized At the steady state it reduces to the form equation A0.14).
^-
L23)
Fokker-Planck
as the transition probabilities SajXjcancel in Eq. A1.23). By integration

\302\243,-
we obtain
\022
expf-^pj
A1.24a)
This gives rise to a variance compatible with a Poissonian distribution (see also Klimontovich, 1958):
<xl> = Xa
Similarly, for the higher
A1.24b)
orderdistribution function:
to the expansion of entropy carriedout repeatedlyin Chapter Now, according 4 and also in Sections10.5 and 9.3, the exponent is just the second-order excess entropy evaluated around the reference state.Thus
P.
oc s({*})
exp(^)
A1.25)
Molecular Dynamics 11.5.
Studies
of Fluctuations
283
seethat in the nonlinear, nonequilibrium model discussed in this section, small fluctuations behave in agreement with the generalizedEinstein formula provided the system remains near a local equilibrium regime and can be treated as a dilute mixture. Moreover, the correlationsbetween fluctuations in different regionsof spaceand for different velocitiesvanish. This is quite different from the result based on the birth-and-death master variance of the fluctuations in equations,which predict a non-Poissonian large volumes (seeSection11.6).
We
MOLECULAR 11.5. DYNAMICS

A
STUDIES OF FLUCTUATIONS
computer simulation of the dynamics of a reacting mixture is, per force, a It should,therefore, be able to illustrate local descriptionof the reactions. the difference between phase-spaceand birth-and-death type theories. Moreover, in a machine calculation, the fluctuations are predominantly small in extent, and hencethe results of the calculation decide directly on the behavior. question of Poissonian for the reaction Portnow A974, 1975) conductedcomputer \"experiments\" with as chemical hard schemeA1.13), speciesrepresented spheres (with carried out at T = Ar mass and radius) and the experiments and with the walls are specular at a density of p = 0.001 7837 g/cm3. Collisions to the chemical reflections.The particlesare given identities corresponding t heir identitiesare modified two Whenever involved. collide, particles species in accordance collisions b etween with the reaction scheme. all Thus, reacting there is no activation energy for any of the speciesare reactive collisions; reactions,and all rate constantsare equal. Sincemany reactionsproceed without an activation energy (e.g., ion-molecule reactions),the model is not without reality. As the reaction proceeds the number of particlesof X is determined at different times. Sufficient time is allowed to elapsebetween measurements for memory effects to be unimportant. Moreover,it is verified that the to the Maxwellian distribution. The velocity distribution remains close mean and the variance of X are deducedand a test for goodnessof fit to a Poissoniandistribution is made on the observedparticle number distri273\302\260K
distributions.
For model A1.13), 25 M particles,and 25 A particleswere 25 X particles, x 10 The ran for 3.146 ~8s, and there were initially. experiment 1941reactive and 4067 unreactive collisions. After 30 observations the mean and the variance were,respectively,25.2 values The expected and 23.3. for both quantities, if the distribution were to be Poissonian,were 24.5, whereas if the birth-and-death descriptionwere valid, the variance should
taken
284
Effect
Description of Diffusion: Phase-space
and Multivariate
Master Equation
= 18.3. have been f x B4.5) Thus, the molecular dynamics results are and they underscorethe compelling evidence for a Poissoniandescription, of fluctuations in nonlinear, nonequilibrium importance ofa local description
of fluctuations
systems. are currently Computerexperiments

in
been reportedby
in progress to investigate the growth of instabilities. Someresults have already Ortoleva and RossA974b).
the
vicinity
11.6. DISCUSSION
From the procedurefollowedin Section11.4 it shouldalready be clear that Einstein-like result A1.25) concerning the behavior of small local fluctuais quite general and is, in fact, independent of the chemicalmechanism. This can be verified explicitly,even for systemslacking asymptotic stability such as the Lotka-Volterra* or trimolecular models(Nicolisand Prigogine, We conclude, Nicolis,1972). 1971; therefore, that a system in the vicinity of a point of marginal stability cannot evolve by a mechanism of small local fluctuations. On the other hand, experiment showsthat there exist systemsthat present Forsuch systems spontaneously instabilitiesleading to dissipativestructures. fluctuations of a certain type should,therefore,presentan abnormal behavior as summarizedin similar to that predicted by the birth-and-death description, Section 10.6. The results of Section this should be the suggestthat caseof large-scale fluctuations\342\200\224in a sensebetter defined can t he state of \"see\" the and be can, therefore, amplified if only average system of the macroscopic evolution equations predicta point of marginal stability. that the onset of a self-organization processes We conclude implies that there existsa volume element within the system of dimensions much larger than the characteristicmolecular dimensions but smaller than the total volumeof the system,within which fluctuations behave coherently, and that they add up to a sizableresult and subsequently modify the macroscopic behavior.
the
fluctuations
11.3
below\342\200\224that
that in the Lotka-Volterra model (&2SH is may recall, from the analysis in Section 8.2, related to the constant of motion or, more precisely, to its expansion for small deviations around the steady state. Thus, relation A0.25) becomes:
* We
Pacexpffii')
where A957,
fl
A1.25a)
is a parameter. In this limit our result agrees with the statistical analysis of Kernpr based on the derivation of a \" Liouville-like\" equation for conservative systems 1959) a but even number of variables. For finite fluctuations Kerner's results differ large involving
qualitatively from the predictions based on the stochastic master equations. surveys of Kerner's approach, we refer to Nicolis A972) and May A973).
For recent
critical
Reduction 11.7.
to
a Multivariate
Master Equation in Concentration
Space
285
The passagethrough thermal fluctuations to this macroscopic coherence as a specifically volume may bedescribed nonequilibriumnucleation phenommaster equations of a new kind. In principle, by solvingthe phase-space for finite fluctuations one should be able to display this phenomenon
phenomenon
explicitly. The molecular dynamics methods shouldalso provide a means volume. for calculating the critical dimensions of the coherence We now adopt a different strategy. Because of the complexityof the phasewe try to define conditionsunder which the phase-space spacedescription, equations can reduce to simpler ones,by retaining only those variables measurement.This enablesus to estimate directly accessible by macroscopic of the coherence the dimensions volume and to relate it to the system's
parameters.
11.7. REDUCTION TO A MULTIVARIATE CONCENTRATION SPACE

A
MASTER
IN EQUATION
macroscopic system can always be viewedas a set of cellscommunicating between themselves via a transport of energy and matter. Let X be the characteristic length of each cell, and for simplicity let us assumethat we We want to set up a deal with transport along a single spatial dimension. stochasticdescriptionwherein the variables are the numbers of particles within the various cells,independently of their momenta or their internal states.This will constitute an \"intermediate\" level between the birth and death description, where all cellsare lumped into one,and the phase-space where the cellsare of microscopic dimensions. We imposeon X description
the following
conditions:
In each cell the average number of particles is significantly larger than one. This implies that X is at least of order of ctr = lr, where c is the thermal speed and tr is the relaxation time of the system. Hereafter, the length lr = ctr is referred to as mean freepath. The individual cellsare not experiencing the macroscopic inhomogeneities that may appearin the system. This implies that X <? tchc, where fch is the time betweentwo successive us to go,in the reactivecollisions. This enables sense,even sequel,to the limit of a continuous system in a macroscopic
X cannot be strictly though that the descriptionwe attempt
zero.Combining these conditionswe find

this
is the
case of all the chemical reactionswhich

balanceequations usedthroughout
here breaks down unlessrch > tr. This can be treated by the mac-
macroscopic
monograph.
286
Effect
and Multivariate
Master Equation
In orderto advance from the phase-spacedescriptionto the reduced descriptionin terms of cells,we may start from an equation of the type within the and sum over all values of the occupationnumbers {X,} A1.15)
individual
cells. We
define the multivariate
probability
= X p{X1,...,Xn,t)
jX,J:(Ecell
PHX,},t)
A1.26)
where Xt now denote the numbers of particleswithin the cells 1, n, irrespectiveof their velocities,and the operationincluded in the sum has the
following
{.Yj}:
2,...,
meaning:
=
{X{r,
\342\226\240
tecell
such that: p,...)}
-x < px.
py, px
< + oc rx, ry, rz: within
cell
,....n
words,we sum over all occupationnumbers in velocity spaceand over those occupation numbers in ordinary space whose Cartesian cocoordinates rx, ry, rz are included within oneof the cells1 to n. The generalizato an arbitrary number of reacting chemicalsis straightforward. By master on the phase-space performing the operation indicated in Eq. A1.26) to a term the side left-hand rise dp/dt. equation, gives straightforwardly In the righ-hand side we analyze, successively, the structure of the flow and reactive terms.
In other
generalization
Flow Terms
between the effectof the free flight of particles Originally,theseterms describe elasticcollisionson the probability function P. In a dilute mixture, and provided ?.satisfies the two conditionsenunciated at the beginning of this an additive contrisection,this term gives, on summation over X(r, p,...), over cells. Fora given cell, this contribution expresses the frequency of change of the cell's content in X due to freemotion. It is well known (Wax, that this motion has all the characteristics of a random 1954; Kac, 1959) from walk, provided the state of the system does not deviate significantly the Maxwellian. Hence, we may write:
contribution
Ft
=
{Xi}:
Yj
fl\302\260w
term
Ic cell,.
- \\,Xi_l + -+Xi,X,_1) + l,X,-\\,XI+u...) p(Xl,...,Xi.l - ...,*,-_!, X,, Xi+l,...) A1.27)

+
w(X(
+ 1,...) l,Xi+1 p(Xl,...,Xi-i,Xi1
w(X(
-\302\273
Xi
\\)p(Xu
Reduction 11.7.
to
a Multhariate
X X
Master Equation in Concentration

X X X
Space
287
X stands for Particle transport between adjacent cells,i, in configuration Figure space. characteristic length of the cells, and dotted line indicates axis along which transport takes
11.3.
i-
;+ 1
place. In
that:
order to calculate the transition probabilities per unit

w(Xf
time,
w,
we recall
-> Xt
- 1)= 2 Cdu (dl.xvfx\\i,

dv
v, t)
A1.28a)
momentum
where Zx is the boundary surfacebetween two distribution function in the ith cell, such that
cells,and is the
fx\\i,-v,r) =
-iX,
A1.28b)
f*(i) to be nearly Maxwellian, but allow for the number of particlesX to In a sense,contrary to the birth-andfluctuate and vary from cell to cell.* death description,we assume that fluctuations remain in Maxwellian equilibrium in velocity space but allow for spontaneousspatial inhomogeneities caused by the random thermal motion of the particles.Relation
v is the component of the velocity along the direction of transport (see Fig.11.3). imposedon the dimension k we take Invoking onceagain the conditions
becomes A1.28a)
J\\dJ.xv~ Jo where has beennormalized within each cell,which is taken to be a cubeof sideX. Finally, invoking homogeneity within each cellwe obtain:
w(Xt
t Xi<My,
1) = 2 f
dv
t)
*\342\226\240
-\\) = 2dXt
dv vo
A1.29a) A1.29b)
where
d=
* In
Tosimplify
general, the internal energy and the momentum of the center of mass ofcelli alsofluctuate. the analysis we consider here exclusively the problem offluctuations ofcomposition.
288
Effect
and Multivariate
Master Equation
By construction, d is independent of the labelof the cell. Moreover,because 4> is nearly Maxwellian,the kinetic theory of gasesprovides us with the relation*
(Chapman and Cowling, 1952)
Jo
a a. avvcp =*
D
\342\200\224
diffusion coefficientand where D is Fick's
lr
the mean free path. Thus
Now, k itself is of the order of a few mean free paths. Moreover, k = (l/n), where / is the total length of the system and n the number of cells. Thus D= d ^--2
finite
A1.30)
Similar expressions hold for the other transition probabilities appearing

in
Eq. A1.27).
ReactiveTerms Coming now to the reactive terms we obtain, on summation of a master an expression over X(r, that in the case equation of the type A1.15) of a bimolecular reaction is of the following form:
p,...),
*\342\226\240\342\226\240=
tXi}:l\302\243
celli xp
T.SafiXaXllP{Xa,Xfi,{X'},t)
A1.31)
The difficulty with this term is that the summation refers to a contribution that is nonlinear in the occupation-number distributions. Moreover,these distributions appear explicitly within the probability function P. Again, on the sizeof the cellswe expectthat however,by invoking our assumptions
* Kinetic
theory
is ideal. Naturally, the reaction takes
ofgases isinvoked here on the basis of our assumption that the reacting mixture of the system's parameters if Z>, lr, and so on are very complicated functions a solvent. dense in place
Multhariate 11.8.
Master Equation in
a Model
System
289
can be approximated by a Maxwellianwith a fluctuating number of definition into account we then have: T aking A1.17b) particles.
Xa,
Xp Rt
= k2
IX,}:
(rx,ry, rz) within cell i
r,.T2
I X(ri)X(r2)
x
IXi):
oc
< px, py, pT< + oc
P(Xa,Xfi,{X'},t)
A1-32)
where k2 is the
has been rate constant and the sum over {X,} macroscopic into two in to parts referring, respectively, occupations velocity and split and the restrictions ordinary space. Taking into account definition A1.26) on in we obtain: imposed tu r2 Eq. A1.32), finally
R,
= k2Xfp(Xu...,Xi,...,Xn,t)
A1.33)
and A1.33) and summing over cells, Combining now expressions A1.27) we obtain a multivariate master equation for the reduced probability function Xn,t). This equation can be written in a system that is macroor inhomogeneous, scopically homogeneous provided the dimension of the the beginning of this section. satisfies the discussed in cells requirements from this can calculate such quantities as the means one Starting equation The latter or variances within a cell as well as the variances betweencells. about in the information the correlations system.This provides spatial Our calculation is carriedout explicitly in Section for a model system. main purposeis to analyze the behavior of the fluctuations as the system is preparing to approachthe instability point from the pretransitional region.
p(Xi,...,
11.8
11.8. MULTIVARIATE
Here and
in
MASTER
IN EQUATION
MODELSYSTEM
we want to investigate closelythe Sections 11.9 and between fluctuations. and relationship stability Starting from an asympstable situation, we first obtain information about the origin of the non-Poissonian behavior of fluctuations. We next considerthe limit as the critical point of instability is approached. We show that in this limit the non-Poissonian behavior givesriseto somenew and unexpected phenomena, such as the building up of long-range correlations. The model we choose to illustrate these phenomena is the trimolecular model discussed the extensivelyin Chapter7. In the notation of Section11.7, solution on the thermodynamic branch readsfor this model: macroscopic
asymptotically
11.10
Xi,0 = A
YL0
=^
A1.34)
290
Effect
Description and Multivariate ofDiffusion: Phase-space
Master Equation
or no-flux boundary assuming fixed boundary conditionsof the type G.14) on we concentrate fixed conditions. conditions Hereafter only. Much of our analysis is devoted to the behavior of the solutionsof the multivariate master equation appropriatefor our model around the macroForreference however,we first compilethe results of a state A1.34). birth-and-death analysis of the trimolecular model,where it is assumedthat fluctuations remain uniform in space.
macroscopic
HomogeneousLimit Let p(X, Y, t) be the probability function for the two-variable intermediates. the master equation for p(X, Y, t) According to the results of Chapter 10,
reads:
l)(X 2)(Y +
\\)Yp{X,
Y,t)
+ B(X + \\)p(X + 1,Y + (X + l)p(X + 1,X f)
- 1, + 1, - 1,0 - BXp(X, - Xp(X,

\\)p(X
Y
t)
X t)
K t)
A1-35)
This equation can be handled by the cumulant expansion technique described in Section10.6 on the birth-and-death analysis of the Volterra-Lotkamodel. This gives us a set of equationsfor the average values of X and Y and a set of equations for the variances that will dependnonlinearly on <X> and <Y>. As long as the variancesremain of the same order of magnitude as the mean values (fluctuations not far from the Poissonianregime) and the latter are the equationsof evolution for the averages reduce large enough (X, Y > 1), to the macroscopic equations.*Becauseof this, the equations for the variances of the secondorderreduceto a linear set of equationsof the form the variances of the third and higher order are A0.35)provided, of course, if Furthermore, we want to describe the early stages of the neglected. spontaneousevolution of the variances starting from the homogeneous The steady state, we can fix (X), <Y> to the values given by Eq. A1.34). of with for the then reduces variances to a linear system equations system constant coefficientsof the form A0.74). seein subsequent sections, the system is bound to remain in the vicinity ofa Poissonian regime if the diffusion dominates over the chemical reactions. By neglecting the effects of difas one does in the birth-and-death treatment, one can no longer dispose ofa systematic diffusion, of from the Poissonian distribution. deviations measuring way
* As we
Multivariate 11.8.
Master Equation in
a Model System
291
Defining a \"matrix of variances\"
I)
we obtain
in this way
AL36)
the following set of
equations (Lemarchand and
Nicolis,1976):
~=T+CM at
which
A1.37)
is reminiscentof Eqs.A0.35)or A0.74)derived previously in a different context. The meaning of the various symbolsis as follows:
T is a constant matrix equal to
\342\200\242
The object C has the structure of a tensor of fourth

written
orderand
may
be
formally
as
C=
rx/ + /xF
(B
A1.39a)
Eq. G.20)]: equationsin the absenceof diffusion [see
where F is the matrix of linearizedcoefficientsof the deterministic system of
~{-B
and / is the
unit matrix
-A
n\\
A2
/1
A1.39c)
in Eq. A1.39a) is calledthe exterior The-operation represented product (or tensor product) and converts a 2 x 2 matrix operatedon by C into another matrix. In an explicitrepresentation, C has four indices and its elements are given by:
2x2
A1.39d)
where 5*rq is the Kronecker delta.
292
Effect
and Muttivariate
Master Equation
Note that for Poissonian fluctuations one would have: o
a system of equationssuch as Eq. A1.37) However, as seenin Section10.6, deviations from the for the variances generally predicts macroscopic At the steady state these deviations are given by the Poissonianregime.
following
equation:
PI
or, taking
into account Eqs. A1.36) and A1.39) as well as the symmetry of the matrix Mpq:
(B - 2(B
1
\\)MXX
A2MXX
A2)MXX
+ (A2 + + (A2
B)MXY
+ (B
- 1
A2)MYY A2MYY 2A2MYy
B)Mxy
= -2A(B + 1) = 2AB = -2AB

A1.41)
is easilyseenthat this setof equations cannot admit Poissonian fluctuations Moreover,as the point of marginal stability B = A2 + 1 [Eq.A1.40)]. to the bifurcationof the limit cycleis approached (seeSection corresponding of t he matrix the coefficientsof becomes: 7.4), Eq. A1.41)
It
2A2
A2
_j
0
0
A2
_ J -2A2
This matrix is singular. In other words,the steady-state variances tend to diverge as the critical point is approachedfrom below.We return to this sections. important point in the subsequent Effectof Diffusion on MasterEquation
We now
adopt the more realistic picture of a birth-and-death processin the of the variables Xu Yu space Xn, Yn referring to the n number of cellsin which the system has beendivided. In order to express the constraint of fixed conditions we the consider t hat is boundary system interacting at its endswith and two cells, 0 and n + 1, where the concentrations of X and Yare imposed
...,
Multivariate 11.8.
|{ |
=
+
i =0 Z
Master Equation in
a Model System
293
The master equation for the probability function equal to Eq. A1.34). Yn + t) reads(Lemarchand and Nicolis,1976): p(X0, y0, Xu Yu...,Xn+u
i,
iV.
\342\200\224
\"!)-(\302\253+
2)p]
I ^^.-i)(A-,-2)(yf
O
n+1
i
-^
B\\\\
(X, Li=0 L
\302\243
+ 1)P(X, +
1,Yt
,=0
i=0
dJ(X0+
(Xo
\\)p(X0
+ (Xn +\\,Xl-\\)
i= 1
1+
\\)p(Xn
+ Xn+1)p +
(X,
i, y, - i) + (yn+1 + i)P(yn - 1,
yB+1
-(yo+ yn+,)p+ t(y,
We havenoted explicitlyonly thosearguments of p whosevaluesare different from Xo, Xn+l, Yn+1. Similar multivariate equations have been
systems and for systems undergoing transitions between multiple steady states and by Kuramoto A974) for the bimolecular model A0.59)discussed extensivelyhere and in Chapter 10. can be handled in a manner similar to the homogeneous Equation A1.42) birth-and-death equation A1.35), in order to get a closedset of equations for the variances around the macroscopic The calculations state A1.34). leading to these equationsare long and are not reproducedin detail. We
developedby Gardiner,McNeil, Walls, and Matheson A976) for linear
Yo,...,
294
Effect
ofDiffusion: Phase-space Description and Multivariate
Master Equation
only outline the analysis of the terms arising from the transport of particles acrosscells. The complete final result is obtained by combining these Within each contributions and those arising from the chemical reactions. derived in the first subsection the latter are identical to the expressions cell,
here (homogeneous limit).
Contribution of Flow terms to Averages the last two termsof Eq.(l 1.42) by Multiplying over cell occupations we obtain:
Xt(i
# 0, n + l)andsumming
flow
Xj + 1) =d>t H {Xi(Xj + VWXj-1 - 1, j=l + p(Xj+ \\,Xj+1-l)-]-2XiXjP}

{Xj}
In the
first X'j
term we may switch to the new summation variables
= Xj + 1,
1 is
X'j-i= Xj-i ~ 1'

different only surviving
X'J+l
= Xj+l
\342\200\224
1 the curly
If
bracketwill sum to zero. Thus, the

\"f
j,j 1,or j +
\342\200\224
from i, the two contributions
in
terms are:
/flow
X,
+ (X, + l)Xi+l + X{Xi+l +
(Xt
-2XtXi+l -2XiX,._l}
A1.43)
On the right-hand sidewe multiply
cell, keepingin
mind that k
= l/n. We obtain:
->
>
and divide by the squareof the length of a
dt \"r
I /flow
'
AL44)
The secondfactor on the right-hand sideis the well-knownfinite-difference The first approximation of the secondderivative operator (Krank, 1970). term is related, accordingto Eq. A1.30), to the Fick diffusion coefficient, Du of the productX provided X ^ lr. Thus, in the limit ofa continuous system the rate of the transport of secondlaw describing X/l -* 0, we recover Fick's matter in the vicinity of a point in space. This is in agreement with both the about models macroscopic analyzed in Part IIand the remarksin Section11.7 the passagefrom phasespaceto multivariate master equations.
Multivariate 11.8.
Master Equation in
a Model System
295
Contribution
of Flow terms to Variances
The contribution of the flow terms to the variances is handled in a similar and sum over way. We multiply both sidesof Eq.A1.42) by XtXj, Xt We define [cf. Eq. A1.36)]: cell occupations.
Y,-,...,
MXlX}
= <(Xi
y y y
<Xi\302\273{Xj
<*,\302\273>
A1.45)
with i
and similarly for

XjXj\\
MX.Y.
We obtain, for instance, for MXiXj (etc.).

V (V
i \\\\
# j:
, J
dt
/flow
l(X,l k= 1
_!
(Xi(
- l,Xk + l) + p(Xk+
)
'flow \\
\\,Xk+i
- 1)]
A1.46)
k=i
Ul
/flow
we see that the first same arguments as in the previous subsection, or k + 1 is equal to i orto This yields, bracket vanishes unlessif k, k 1, remembering that i #
By the
\342\200\224
j:
j.
i
flow
- 1)- 2XfXj +
(Xt
\\)Xt+1Xj
XiXj
+ XtXi+iXj +
- 2XiXjXi+1- 2XiXi-1XJ+
\\ /flow \\
(Xi
+ VXt-iXj + XtXt-iXj
symmetric terms} at
yflow
into account: or, taking Eq.A1.43)
flow
A1.47)
25*6
Effect
Description and Multivariate ofDiffusion: Phase-space
Master Equation
In the
to
reducesto a form similar of a continuous system this expression from the macroscopic law A1.44) by a factor of two. Note that this result involves no approximation related to higher order variances, which can only arisefrom the chemical terms.
limit
Fick's law, differing
Equations for Variances Taking into account the explicit resultsderived in the previous subsections we may write the system of equationsfor the variances in the following compact form (for details,seeLemarchand and Nicolis,1976)
i
ax
Mu
= Eu + ZKijklMk,
u
i,j=l,...,n
My l
yJ
*
A1.48)
In
of M[Eq. A1.36)]:
the definition of the variance matrix is the obvious extension Eq.A1.48)
A1-49)
The objectsEtJ and Kijkl are, respectively, matrices having the same structure as F, T, or S, and B x 2) x B x 2) tensors having the same structure as C.They differ from T and C defined in Eqs.A1.38) and A1.39) terms related to diffusion. More one finds for constant by explicitly, boundary conditionsthat (Lemarchand and Nicolis,1976):
(i)
2x2
The only nonvanishing elements of the matrix of E are:
where A is the matrix of the coefficientsdt: o

(ii)
The only nonvanishing elementsof K are:
;j
= C 2(A x / + / x = KijJ + 1J= Ax I Ki+ulij = fîj.i.j+1= / X A Ki.j+l.ij

Kihij
A)
A1.51)
Note that these propertiesof K confer to the contribution arising from the the familiar structure appearingin Fick's transport of matter in Eq.A1.48) for in diffusion, agreement with the remarksmade in the preceding equation subsection.
11.9. Spatial Correlations in the Trimotecular Model 11.9. SPATIAL

straightforwardly.
297
MODEL CORRELATIONS IN THE TRIMOLECULAR
Relation A1.48)is a linear set of equationsthat can be solved straightTo this end, one must determine (seeChapter 7 for a similar the eigenfunctions and eigenvalues of the operator K which, discussion) as we just pointed out, has the structure of a diffusion operator in a finite differencerepresentation. Considerfirst an operatorL, such that
ISj = fJ+x+fj-x-2fj
Let
We
\342\200\224
A1.52) A1.53a)
kk,
uf] be the eigenfunctionsand eigenvalues:
Luf = -Xkuf uf = c sin into account: A1.52) + 1)+ sin /ik(j 1) 2 sin /ikj}
take fixed boundary conditions and seekfor solutionsof the form:
We find, taking the definition

nk(j Luf = c{sin
= 2c{cos sin \\ikj = 2(cosjufc \\)uf

fxk
- -
sin nkj)
is satisfied. In order to satisfy the boundary conditions Thus, Eq. A1.53a) as well, we need to have /xk = (kn/n + 1).We concludethat
(*) uf 1 = c sin n +
\342\200\242
kn
\\
\342\226\240
= l(\\
- cos-kn-)> 0
A1.53b)
of the If instead of L we have an operatorhaving a matrix structure because the effect of more than one chemical, then the operatorexpressing presence of diffusion on the equations of evolution is of the form (see Section7.4 for a similar problem) 0 0
d,LY
and its \"eigenvaluematrix\" is [cf. definition
A1.50b)]:
298
Effect
ofDiffusion: Phase-space Description and Multhariate
Master Equation
If, in addition, one has the contribution Y [see Eq. A1.40b)]coming from the linearized chemical kinetic equations, then the \"eigenvalue matrix\" of the operatorappearingon the right-hand sideof the differential equations is Ak
= Y-kkA
A1.54)
We may now return to
operatorK whose structure is that of a linearized chemicalkinetic operator plus a diffusion operator. To this end, we seekfor a linear operator P transforming Eq. A1.48) to
the form:
ivi iii
\342\200\224
To solvefor Mu we have to invert the systemA1.48).
<*kl
'
kl
kl
^^
\342\200\242-)-))
with
Mij
= Y.pUkiM'ki
A1.56)
Moreover,we require that P possessan inverse. Substituting Eq. A1.56) we deducethe following into Eq. A1.48)and comparing with Eq. A1.55),
relation between P and
i\302\243:
mn
/ . ^rsmn'mnpq
^rspq~&
pq
{ll.Jlf
Keepingin
JSfp,
mind the structure A1.51) of K we seekto determine P when has the following form:
i\302\243pq
=C
Xp
kql x
A1.58)
where kp is the eigenvalue [Eq. of the diffusion operator in finiteA1.53b)] now reads: differencerepresentation. Forfixed p and q relation A1.57)
{A
- 5r0)Pr_
!.,.\342\200\236,
+ + +
(kp
{A A
-2 +
\"
<5s.n
dr0
dr,n+1)Prspq
+ (A, \" 2 + <5s0+ Kn+l)PrSpq 5,o)P,.,-l.M

+
x A =0 1)Pr.s+1.M}/
(U 59)
The operation described insideeach bracketis identicalto the finite-difference This enables refers to the indicesr and s successively. a nd A1.52) operation us to seekfor solutionsof Eq. A1.59) in the following factorized form:
*\342\226\240
prspq =i r prpr psq
11.9. Spatial Correlations in the Trimolecular Model

following for expression
299
Thus, the equation satisfied by Prs has a structure similar to the eigenvalue We have, therefore, for fixed boundary conditionsthe problem A1.53a).
F:
Prspq
= c sin
-^ -^
rpn
\342\200\224J\342\200\224-sin\342\200\224\342\200\224-
+ 1
. sqn sin
n
+ 1
A1.60a)
l
where c is an arbitrary constant. The elements of the inverse operator P are easily found to be:
--1-
[2(n + l)]2c
-:-JHLs[nJVL w + 1 w + 1
in
i.6ob)
Knowing F\"'we can easily compute A'kl for E. We find: A1.50a)
Eq. A1.55) using the expression

4
A1.61) + l)c + 1 G+ AS) b*/We are now in positionto solve Eq. A1.55) for M'kl. Knowing M'u we can next determine Mkl from Eqs.A1.56) and A1.60b). We are first interested in solutions. A fter a few steady-state straightforward computations we find:
\302\253
A1.62a)
The diagonal element of the operator <gu, and A1.40a)]: [cf. Eqs.A1.54) expression
5\302\243kk
is given by [Eq.A1.58)]
Ak
the
A1.62b) It has, therefore, the structure of a B x 2) x B x 2) tensor and represents the combinedinfluence of chemical reactionsand diffusion. The operator
kk
= Ak
I+ I x
S\\
on the other hand, is the
s = r + rs + srT
i\302\243k~k
Bx
2) matrix:
(ii.62c)
Tr being the transposeof the matrix F.It dependssolely on chemicalkinetic contributions and is, therefore,independent of the labeling i of the cell. Note that the inverse operation in terms of Ak may be expressed and of its scalar eigenvaluesa>kl, a>k2 that correspondto the eigenvalues of the linearized problemdealt with in Section7.4. One finds (Lemarchand and
Nicolis,1976):
x {a)kla)k2I x + [Ak (Mi, x [A + (<utl <otl)/]}
+ co^)/]
A1.63)
300
Effect
Master Equation
Let us now discusssomequalitative propertiesof the steady state solution to a Mfp contains one contribution corresponding Poissonianvariance and one additional term expressing correlations spatial In order to analyze the relative importance of these two between cells. contributions we display explicitly the size of each cell and then go to the limit of a continuous system. Let / be the total length of the system. The size is obviously equal to l/n = A. Forthe chemical reaction of each subsystem occurring within each cell,this size appearsexplicitlyin the kinetic equations Forthe trimolecular model one has: for the numbers of particles.
We see that A1.62a).
jy\\
dt
dY\\
y2v
A2
oy
X
)ch
A1.64)
_BX
X2Y
The coefficientsI/A, and I/A2 do not change the structure of the equations for the variances, but the three matrices F, 7, and S defined in Section
must
11.8
Thus, these matrices are independent of the size of each cell.Then, the is obtained by writing AS and XT in placeof S and T solution of Eq.A1.48) in expression This implies that & [see definition A1.62c)] is to be A1.62a). the XS. now takes form: Relation A1.62a) replacedby following
be redefined as follows.The same expressions as before hold, but each now concentration instead of a number of particles. a symbol represents
x Dividing
{(F-
Xk
A)
/+/
X2
x (F
XkA)}-l\302\243
A1.65)
through
both sidesby
and introducing
<*,\342\226\240\302\273
= /(X,
(Xj
\\\342\200\224x
~~x-^~
A1.66)
<Xj-\302\273
where <x>now denotesthe concentration of X, and similarly for m*,^, we obtain:
<y8f; + -lGxiix
A1.67a)
11.9. Spatial Correlations in the Trimolecular Model

with
301
{(F-Â)x /+ / x (r-Â)}\021^
A1.67b)
The function
when n
on n, but it may be shown that it remains convergent Gtj depends tends to infinity, that is, when the limit of a continuous system is taken, providedthe coefficients dx and d2 remain finite. It appears,therefore, that in this limit the system is dominated within each cell by Poissonian-type fluctuations, in completeagreement with the results of the phase-space of fluctuations. description One can obtain a more explicit form in the limit as n -* oo by taking into between the transport frequencies account the relation A1.30) diffusion coefficients Fick's D2.Introducing the matrix
\302\243>,,
d,,d2 and
I)
we may
write
the factor F
\342\200\224
Xk
appearingin Go as:
On the other hand, in the limit
-* oo one has, far from the boundaries:

k2n2
.
or
k\"(n+IJ
01.39)
^-ji^-p\342\200\224 ->\342\226\240
This expressionis to be compared with the eigenvalue of the secondderivative operatoranalyzed in Section7.4. The final transformation we need is that of the term n dff in expression In the limit n oo this tends to / d(rl A1.67a). r2), where 5 is the Dirac function. As a result, calling ru r2 the coordinatesof cells Uj as their size relative to the length / goesto zero:
r2) = <x}8(ri m**(n.
r2)
- Gxx(ri,r2)
l.70a)
302
Effect
Description and Multivariate of Diffusion: Phase-space
Master Equation
where
\"u
ri)
\342\200\224
Z cos
~^~1\342\200\224~
kn
\342\200\224
cos
-^\342\200\224-\342\200\224-
kn
S A1.70b)
we have pointed out, the influenceof spatial correlationson a given is cell small compared to the effect of the Poissonian-like contribution, small.However, the situation can change if the size of the cell is sufficiently completelyif the diffusion rate can be neglectedas comparedto the chemical the expression for GtJ reducesto: term. In this case,
As
G,
= =
A >
cos(i-(-j)
kn
\342\200\224
cos(; j)
\342\200\224
kn
-(n+ l)df/(r x / + / x T)-lS

T
\"
A1.71)
x
contains, then, two terms of the same orderof magnitude: Expression A1.70a) 8 8f?Ux>
[(F x / + /
D\"
Wxx}
A1-72)
This is the result obtained from the birth-and-death description, where the system is lumped into a single cell and diffusion is neglected. In the oppositelimit when the diffusion is very fast the spatial correlation term A1.70b) becomesstill smaller relative to the Poissoniancontribution, as it is inversely proportionalto the magnitude of the diffusion coefficients. It is striking to see from this discussionthat the birth-and-death and phase-spacedescriptionsappear to be two facets of the same problem, corresponding simply to different limiting situations.
BEHAVIOR 11.10. CRITICAL
We want
the state of marginal stability corresponding to the as the system approaches onset of a steady-state spatial dissipative structure or of a time-periodic solution. In both cases we assume that the critical point is approached values of the confrom below.This enablesus to pose the macroscopic
concentrations
to investigate the behavior of the correlation function
Gxx(ru r2)
equal to the uniform steady-state solution A1.34). The transition to a dissipative structure in the trimolecular model is analyzed at length in Chapter7 from the standpoint of a purely macroscopic As in the beginning of Section11.9, we outline here briefly the description. in in a modifications description terms of discretecells. principal arising
Critical Behavior 11.10.
303
Part that linear stability is determined by the sign of the the real of parts eigenvaluesof the operatorappearingin the linearized ofevolution. In the trimolecularmodeland for a continuous system equations is L and its propertiesare discussedin this operator, given by Eq. G.20), in In Section 7.4. the discrete detail representation the corresponding in is defined more or, Eq.A1.54) operatorAk explicitly:
Firstly, we recall from
II
) -A2-AkdJ
A1.73)
The eigenvaluesa)ki, cok2 of this matrix can where kk is given by Eq. A1.53b). similar to Eq. G.28). be constructed explicitly and are given by expressions of the quantity In view of the explicit form A1.63) appearingin the correlation function, we are only interested here in the product and the We find straightforwardly: sum of these roots. = trace of Ak = B 1 A2 kk(dx + d2) wkl + o)k2 = determinant of Ak = A + kk dt)(A + Xk d2) kkB d2 A1-74) cokiwk2 The macroscopicequations of evolution in the discrete representation n present an instability wheneverthe sum or the product involving cells1, of the two roots crosses the value zero. KeepingA, du d2 fixed,we seefrom the to t hat condition leading an instability is written in terms of B Eq.A1.74) as follows:
5\302\243lk
- - -
B> 1 + A2^
B
d2
Xk
dl
+~ =Bk
/* d2
A1.75a)
for bifurcation of a steady-state structure and
+ d2) = Bk A1.75b) for bifurcation of a time-periodic structure. Theserelations are represented which replacesFigs. 7.1and 7.2of the continuous graphically in Fig.11.4,
> 1 + A2
kk(dl
formalism. for an
that from Fig.11.4 more specificallyrelation A1.75a), we see Concerning it is that to lead to a stationary spatial structure necessary instability be curve.The the the valuesof minimum of Bk larger than marginal stability similar to K and Bk corresponding to this minimum are given by expressions
Eq.G.35):
L=(d,
A1.76)
d2)1/2
304
Effect
Master Equation
+A2
Figure
11.4. Marginal
in
stability
spatial structure (Bk) and onset
of oscillations
curves for trimolecular model corresponding to onset of a (Bk) in representation in terms of discrete cells.
Finally,
drawing
that
waslower than
holds:
we have supposedthat the minimum of Bk Fig. 11.4 of Bk. This is satisfiedwhen a relation similar to Eq.G.36)
A1.77)
the transition to a steady-state dissipative and implies that as B increases, structure occurs pattern. beforethe transition to a time-periodic Coming now to the behavior of the correlation function G*x we first on k of the coefficientykkl<$ in the trigonometric analyze the dependence of seriesrepresentation G*x.This quantity plays the role of a \"form factor\" and would be identical to the Fourier transform of the correlation function Subif the system were taken to be infinite (Landau and Lifshitz, 1957). of the i nto definitions the to Substituting explicit expressions A1.74) A1.77) and given in Section11.9 one finds for a discretesystem:
S\"
5\302\243kk
5\302\243kkl&
= 2AB{'Al 2
A2
~'
B
dl
(A2
+1
-A2dl-d2
B)d2
-A2dl
d2
Bd2
+
x
IB- 1 - A2 -Wx +d2)Yx

+
lk(A2
-d,d2
+ di d2
-dt
0
x [A2
d,
- (B
\\)d2)
X2
d,
305
\302\243\302\243^3
obvious that and from Eq. A1.75) it becomes From this expression sharperas B approachesBc.At B = Bc presentsa maximum that becomes the form factor diverges.This impliesaccording to expressionA1.67b) for Gtj that the range of correlationsis increasing as one approachesthe describes the shapeof the form factor for a system critical state.Figure 11.5 to the cellsand for various values of B up to the value corresponding of 100 state of marginal stability. The increaseof the range of correlationsin the critical region is also The numerical confirmedby a direct analysis of the correlation function G*x. of for 100 cellsgives the results displayedon Figs. evaluation Eq.A1.67b) B and 11.7. For well below are maximum for 1\\.6a,b critical, the correlations = and then decrease a i j sharply beyond small distance.As B increases an there appears undulatory pattern which, however, is damped quickly. in the immediate feature Finally, vicinity of the critical point the correlations an oscillatory distribution that is damped only linearly with distance,as
shown
in
The correlation function can also be computed analytically in the limit of a continuous system [see A1.70b), Eq. A1.70)]. According to expression
Fig.11.7.
50
B = 4.0
40
30
20
10
0
Figure
\342\226\2404
50
form
K number in trimolecular model for
= 2,d, = \\,d, = 4.
11.5. Dependence of the
factor
if^'S'on wave
304
Effect

Bi
Master Equation
+A2
Figure
11.4. Marginal
in
stability
spatial structure (Bk) and onset
of oscillations
curves for trimolecular model corresponding to onset of a (Bk) in representation in terms of discrete cells.
Finally,
drawing
that
was lower than
holds:
we have supposedthat the minimum of Bk Fig. 11.4 of Bk. This is satisfiedwhen a relation similarto Eq.G.36)
A1.77)
the transition to a steady-state dissipative and implies that as B increases, structure occursbeforethe transition to a time-periodic pattern. Coming now to the behavior of the correlation function G*x we first on k of the coefficient in the trigonometric analyze the dependence G*x. T his the role of a \"form factor\" seriesrepresentation of plays quantity be the Fourier of and would transform the correlation function identical to Subif the system were taken to be infinite (Landau and Lifshitz, 1957). of i nto the definitions the to A1.74) A1.77) Substituting explicit expressions a & in o ne finds for discrete and Section 11.9 system: ykk given
!\302\243kk$
'\342\226\240kk
= 2AB
-A2' ,..,.!
A2
f (A1
\\2
d\\
-A2di-d2 i + dx d2 -dxd2
~dxd2
B)d2
-A2di
d2
Bd2
x x
IB- 1 - A2
\\_A2
-Xk{dx+d2)T1 + Xk(A2d1 \\)d2) + X2
-(B-
dx
A1.78)
305
\302\243\302\243kk$
and from Eq. A1.75) obvious that it becomes expression becomes B a maximum that sharperas approachesBc.At B = Bc presents This form factor the diverges. implies accordingto expressionA1.67b) for Gu that the range of correlationsis increasing as one approachesthe describes the shapeof the form factor for a system critical state.Figure for various to the 100 c ells and values of B up to the value corresponding of of state marginal stability. The increaseof the range of correlationsin the critical region is also confirmedby a direct analysisof the correlation function G?jX. The numerical for 100 cellsgives the resultsdisplayedon Figs. evaluation of Eq. A1.67b) For B and 11.7. well below are maximum for l\\.6a,b critical, the correlations a small As B increases i = j and then decrease distance. sharply beyond is there appears an undulatory pattern which, however, damped quickly. feature Finally, in the immediate vicinity of the critical point the correlations an oscillatory distribution that is damped only linearly with distance,as From
this
11.5
shown
in
The correlation function can also be computed analytically in the limit of a continuous system [seeEq. A1.70)]. A1.70b), According to expression
Fig.11.7.
B = 4.0
50
Rgure
\342\226\2404
K model for
= 2,</,
11.5. Dependence of the form factor

= \\,d2 = 4.
&
on wave number in trimolecular
B=3
500
10
Distance dependence of spatial Figure correlation function G** well below critical point. Values of A, dt, d2 areas in Fig.
11.6a.
11.5.
B = 3.5
103
Figure
approaches
10 306
20
slightly
11.6a.
parameter aprange of G** increases' in respect to behavior shown in Figure

bifurcation critical value,
11.6b. As
307
'
XX
G1j
A
Critical
B=4
state
10\"
-\342\200\242
!\\ A
5.103
V
V V
0
Figure
50
G\342\204\242
100
as in
behavior of spatial correlation function for same values of parameters function displays both linear damping with distance and spatial oscillations with wavelength equal to that of macroscopicconcentration pattern.
Fig.
11.7. Critical
11.6a. Correlation
G(r1? r2) is a trigonometric serieswhose coefficientsare rational fractions of k2. Thesefractions can be split into simple elementsof the form H/k2 + K2, whereK is generally a complex number and each subseries may besummed. The calculations are straightforward, and one finally finds for the XX component of G(ru r2) (Lemarchand and Nicolis,1976):
i
r2)
A1.79)
and
where G*rx is a short-range part exhibiting exponential decay with distance, Gfrx a long-range term. This term has the form (keeping rx fixed and
308
Effect
and Multivariate
Master Equation
displaying only the r2-dependence):
+ b(K)Kn(\\
- y\\x>s
Kn(\\
-j)
+ c(K) A1.80)
where the coefficientsa, b, c dependon K as well as on A, B and the diffusion coefficientsD,, D2.In the critical state the wave number K is given by the
expression
where/?, a are the concentrations of A, B related to the corresponding particle numbers by P = (B/Q),a = (A/Q), Q being the size of each cell [seeEq. for fic we A1.64)]. A1.76) Taking into account the approximate expression find:
with the macroscopic Comparing analysis of the trimolecular model carried out in Section7.4[see we conclude that the wavelength Eq.G.35)] especially
of the correlation pattern is identical to the wavelength of the macroscopic concentration pattern itself. If the system is slightly below the critical state then K will have an an exponential decay of the correlationswith a imaginary part describing small damping factor. One finds in this case:
==
K' +
iK\"
A1.83)
\342\200\224
the critical state, expressionA1.80) predicts a linear damping of the correlations the factor K(\\ expressed by (r2//)) in front of the cosineterm, in agreement with the numerical results reportedon Fig.11.7. to A1.83) can be regardedfrom a still The results given in Eqs. A1.80) different viewpoint, which is frequently adoptedin the analysis of equilibrium critical phenomena (Stanley, 1971; Wilson, 1973). Firstly, we see that in the vicinity of the critical point all spatial coordinatesappearingin the longrange part of the correlation function are scaled by the parameter K/L
At
//.//. Concluding
Remarks
309
as b approaches the threshold value bc,this ratio or, Accordingto Eq.A1.83), alternatively the equivalent lengths
r =K
-\302\273
i'
r = -L *| b
/C
i
\342\200\224
\\
bc\\
,171
A1.84)
are intrinsic parametersof the system, independent of the size /, the size of the cellsQ, the boundary conditions, or the microscopic parametersin the atomic scale. Forb bt. these lengths behave as follows:
and A\"-+oo
A1.85)
where A,, is the wavelength of the macroscopic concentration pattern. fixed ri the correlation function A1.80) can, therefore, be written as:
For
+ const Gr(r,, r2) = g\\j\\9n[j,\\
A1.86)
This relation is strongly reminiscent of the scaling hypothesis familiar from we have demonstratedhere for equilibrium phase transitions. In essence, our model a scaling law for the correlation of fluctuations around a nonequilibrium steady state. Moreover, we have identified two intrinsic lengths, which can be appropriately referred to as correlation lengths:
\342\200\242
\342\200\242
The length A', which takesa finite value A,,at the critical point and expresses This pattern is macrothe structure of the correlation pattern in space. as At. itself is a macroscopic length. the The length A\", which diverges at the critical point, thus expressing fact that the correlationsare not damped in space but attain, instead, a self-maintainedregime(we discuss ofthese lengths further the significance
macroscopic,
in
Section12.5).
U.ll.CONCLUDING REMARKS
state, chapter we show that in a system initially at a homogeneous correlationsbetween macroscopic fluctuations emerge in the and vicinity of and below the critical point of a nonequilibrium instability conferto the systema distinctly non-Poissonian behavior. We are witnessing, of the \"laws of large numbers\" of probability therefore,a striking breakdown
In this
\342\200\242ong-range
310
Effect
and Multivariate
Master Equation
to the fact that different macroscopic theory, corresponding regionsin the system do not evolve independently but instead,they becomecoupledvia theselong-range correlations. In contrast to this, if one evaluates the fluctuations within a small box whosesize A/ is much smaller than the characteristic length kc, one finds deviation is still described that the mean-square distribution by a Poissonian to a goodapproximation (Gardiner, To McNeil, Walls, and Matheson1976). for the cumulants in the continuous limit, seethis, we considerthe expression and A1.80), and compute the quantity: Eqs.A1.70)
dr^
dr2mxx{rur2)
= A/<x> +
in
J&i
drx
dr2Gxx(rur2)
weobtain only the longrange contribution of Gxx{rur2), Eq.A1.80), Keeping the vicinity of and below the critical point: <SX2)AI = (X\\,(\\ + 0(A/2)) A1.87) Thus, as long as the boxis sufficiently small, it doesnot \"feel\" the long-range correlationsand remains in a Poissonian-like regime,provided the steadystate expressions for M or G used throughout the last two sectionsremain meaningful. Inasmuch one is interestedin the pretransitional phenomena accompanying the instability, a steady-state approachis certainlyjustified. On the other hand, when the critical point for the macroscopic equations
in the function
cell representation [seerelation A1.75)] is crossed, the correlation behaves pathologically becauseof the divergenceof the form factor At this stage, therefore, time-dependent solutions of Eq.A1.55) A1.78)]. [Eq. have to be envisagedto describe the growth of the critical modein the vicinity of and above the instability. As this growth will continue, the deviation of Mu from the Poissoniandistribution value, S 5ff becomesincreasingly marked.Thus, a new nonnegligible contribution appearsin the equations of evolution for the average values of X and Y:
A V \\
\342\200\224-\342\200\224
= (macroscopic + (deviation from Poissonian) A1.88) expression)

l/(\302\253
the early stagesof growth, the influenceof this new term on <X>,< Y> remainssmall because of the factor + 1)(or 1//in the limit of continuous for the nonsystem) weighting the correlation function which is responsible time a Poissoniancontributions. the of after macroscopic lapse Eventually, interval, thesecontributions take over and drive the average to a new macroregime. The situation is somewhat reminiscent of nucleation theory
At
macroscopic
11.11.
point
Concluding
Remarks
311
liquid-vaportransition at equilibrium. We return to this where a simplified formalism to treat the effects of in Chapter diffusion is developed. A striking Monte-Carlosimulation of the kinetics of fluctuations in the
familiar from the
12,
A976).This author postcriticalregion has beenreportedrecently by Hanusse considers an autocatalytic model presenting multiple steady-state transitions and investigatesthe evolution of an initial probability (seealsoSection12.6) distribution peaked around one of the (macroscopically) stable branches.
(a)
100
Figure evolution
200
Time
300
(b)
in model system involving multiple steady states, (b) shows time of the mean, (a)shows time evolution of the variance. Latter begins to increase sharply as soon as sufficiently large \"germ\" appears in the system through fluctuations [points A, B on curve (b)].
11.8. Nucleation
312
Effect
and Multivariate
Master Equation
When the values of the diffusion coefficientsrelative to the chemical rates are small, one observes a rapidtransition to a secondstablebranch, provided to the Maxwell rule (see Sections8.4 the transition point corresponding and 12.6) has been exceeded. When, on the other hand, the values of the a finite life time. After diffusion coefficientsare large, the initial state displays a variable time interval one or several domains appear, where the conto that corresponding to the concentration of the chemicals has a value close these \"germs\" grow and entrain, by diffusion, other branch.Subsequently, the remaining of the system to the new branch of solutions. deviation representsthe time evolution of the mean-square Figure 11.8 and the average value in such a numerical \"experiment.\" At point A (on the plot for the average) a first germ emerges, and a secondone follows at point B. At point C the two germs attain almost simultaneously the of the system,whereupon two convergingwave fronts are formed boundaries that finally disappear when state D (corresponding to a value of the mean on the other branch) has been reached. Finally, when diffusion is very fast the initial state is maintained as long as desired.This correspondsto the property of metastability familiar from equilibrium phasetransitions.* We believethat it should be possible to test directly the resultsconcerning the emergence of long-range correlationsby experiment, in particular by appropriate scattering measurements involving volumes of variable sizes within the system. To our knowledge, no experiments of this type have been undertaken so far for physicochemicalor biochemical systems undergoing instabilitiessuch as those analyzed in Part IV.
* This nucleation phenomenon has been recorded on a film

Paul
available at the Centre
desRecherches
Pascal. Talence. France.
Chapter 12
A
of
Nonlinear Fluctations: MasterEquation
\"Mean-field\" Description
12.1. INTRODUCTION
The description basedon a multivariate master equation correctly represents the behavior of a macroscopic In this system if the number of cellsis large. the number of stochasticvariables is also very large, and the solution case, in terms of the master equationsgoverning the evolution of the probabilities of these variables is greatly complicated. we develop in this chapter, a simplified formalism by treating the Hence, system as a set of two interacting subsystems: (a) a small volume AV and (b) the rest of the system, V AV as illustrated in Fig. does This, of course, not imply that the particular AV chosenin such a decomposition plays a In fact, one can imagine that the entire spaceis filled with privileged role. such subvolumes AV, which undergo simultaneously fluctuations of various kinds.In subsequent however, we only analyze explicitlythe situasections, in of one these volumes by averaging over the rest of the prevailing In are interestedin a reduced rather than global other we words, system. of fluctuations. description An analysis based on this picture is especially adapted to the study of localized fluctuations having a well-defined range. The latter could be identified to the size of AV and be in this way incorporated explicitly in the that the range is, From the 11.7 t o werecall of Sections theory. analysis in fact, determined by the properties of the correlation function G(ru r2). In therefore, also particular, in the vicinity of an instability the o f the individual to become much than the dimensions expected larger cellsconsidered in the multivariate formalism of Chapter
\342\200\224
12.1.
situation
11.10
range\342\200\224and,
AV\342\200\224is
11.
5/5
314
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
Transport of particles acrosssurface AE separating a small subvolume AV within a macroscopic system, n: outward normal to AI. v: velocity ofa particle directed toward A V. Dashed region indicates an area of width of order of mean path, lr, surrounding surface AZ.
Figure
12.1.
12.2. DERIVATION
We
OF NONLINEAR
MASTER
EQUATION
refer again to Fig. 12.1 and assumethat the system remains macrofluctuations scopically homogeneous, although the density and composition continuouslybreak this homogeneitylocally,within smallsubvolumessuch as AV. If the referencestate is inhomogeneous, then the analysis we outline in this sectionmust be modified by suitably redefining the various transition This extended formalism can then beusedto study fluctuations probabilities. in fluid-dynamic systemsas well (Malek-Mansour, Brenig and Horsthemke,
1977).
in
As A V
the various constituents

corresponding
is finite, our treatment of fluctuations, although local, is formulated terms of discretevariables, namely, the number of particlesXin, Xout of
within AV and V intensivevariables are defined as:
\342\200\224
AV,
respectively. The
cor-
whereas
AV
A2.1)
A2.2)
We
expectthat
lim
AK->0
= finite
\342\200\224
but that function
the
fluctuation of AV.
Spx.n = pXtn
<pxin)
be, in general, a nonsmooth
12.2. Derivation
of Nonlinear
Master Equation
315
Let P\\v(X{n, t) be the probability distribution* within AV and P(Xin, Xout, t) the probability within the entire system.We denote by R the contribution of the chemical reactionsto the evolution of P, and by F the contribution of the transport processes the surface AT.. As in across Chapter we take into account only the transport of matter by assuming a The extension fast thermal relaxation to a constant temperature distribution. to the nonisothermal case has beencarried out by FrancksonA975). The master equation takesthe following form:
11,
-rr
= Âv(în) + FAv.v-Av(Xin,
Xout)
A2.3)
In writing this relation we have introduced once again the Markovian assumption accordingto which the contribution of chemical reactionsin AV dependsonly on the stochastic variables insideAV. As a matter of fact, in what follows we assumethat the stochastic within AV is of the process birth-and-death type, although this is not generally the casefor the stostochastic process within the entire system V. The transport term F,which is responsible for the coupling betweenAV and V from the analysis of Eq.A1.27). We have: AV, can easily bededuced
\342\200\224
F&V.V-AV
\342\200\224
Z, {wout(în
Xout
\342\200\224
Xout
+1
-\342\226\272
Xin, Xout)
P(Xin- hXoul+ l,f)

win(Xin
- [w0JXin,X0J + -f
<f>
1,XBut
-l^Xin,
X0Ut)P(Xin
1,Xout
t)}
- 1,0
A2.4)
win(Xin, Xout)-]P(Xin,
XBut,
the frequency The transition probabilities per unit time wou, and win describe similar to of passageof X particlesacrossAS and are given by expressions here the of a to take into account We have Eq. A1.28a). simply possibility three-dimensionaltransport.We have (seeFig.12.1):
wout
= =
dS f
\\
dw n/oul(r, dw n/in(r,
v, f)
win
<f
dS f
v, f)
by X
A2.5)
the entire vector of all
chemical
Throughout this section we adopt a compact notation and denote constituents present: X = (Xx, . . . , Xn).
316
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
The requirement of macroscopic with the arguments homogeneity,combined on the validity of the local equilibrium description in Section11.7, developed the form permits us to express/in
/out
= =
2\\y 0out(V, t)
A2.6)
0in(V, f)
./in
-^
with
Then, expression A2.4) reducesto 7av.v-av
1
x
I--77\342\200\224l^T
<P
ds
dvvn0out. 'vi<0
dS
V
P(Xin-\\,Xout+
+
l,
f)
r
\\
Jvi>0
dvv
n0in
x P(Xin
1,Xoul
- 1, - inverse terms
t)PvÂV(X0Ut,
A2.8)
On the right-hand sidewe introduce the decomposition

P(ATin, Xmt, t)
= PAV(Xin,
t)
G(Xln, Xout, f)
\342\200\224
A2.9)
where G is the correlation function between AV and V AK According to Section11.9, G is generally nonvanishing, but its importance relative to the contributions coming from the local processes inside AV dependson the sizeof the cell and the relative magnitude of diffusion and chemical rates. Following this analysis we assumehere as a first approximation that the contribution of G remains small,that is,that AV and V AV are statistically that this assumption can only hold if independent.It must be emphasized small and the is are sufficiently short-ranged. correlations (AVIV) sufficiently of In particular, in the limit (AV/V) 0 it would be a rigorousconsequence the phase-space master equations. On the other hand, assoonas A V becomes an appreciable part of V the assumption breaks down completely (seealso Gardiner,McNeil,Walls, and Matheson,1976).
\342\200\224 \342\200\224\342\231\246
12.3. Further
Bearing
transform
Properties and Moment Equations this in mind
317
and
Eq. A2.3) into a closed-form equation (Malek-Mansourand Nicolis,1975; Prigogine, Nicolis,Herman and Lam, 1975):
utilizing
relations A2.7) and A2.8) we may
= Rav{X) + @<a:>[pak(xi,r)
\\)pAV(x
- - pav(x,r)] + l, - a:pak(a:, A2.10) r)]

f)
where we have dropped the subscript\"in\" from X and introduced the

coefficient
co-
= _L
AF JAE
dS
(* Jv.n>0
dvvn0(v,f)
A2.11)
This coefficient,which is to be comparedwith the coefficient introduced in Section11.7 [seeespecially Eq. A1.29b)], plays the roleof an \"effective diffusion frequency\" of passage of particles acrossAS.In this respectwe may note that the distribution /out used in the evaluation of the transition probdescribesthe motion of particlesdirectedtoward AV and coming from a layer of a width lr, that is, of the order of the mean free path of X This specieswithin the reaction medium (Chapman and Cowling, 1952). if is evaluated the Maxwellian becomes more obvious Eq. point A2.11) using form for 0.One then obtains [see relation A1.29c)]:
probabilities
this quantity
description
where / is a characteristicdimensionof A V. As we pointedout in Section12.1, reflectsthe range, or coherencelength of the fluctuations. Equation A2.10) provides a generalization of the birth-and-death descripthat displays the qualitative features of the more completetheory of the outlined in Chapter 11 and at the same time is free of the complexities multivariate master equation.
12.3. FURTHER
AND MOMENTEQUATIONS PROPERTIES
The most characteristic property of the master equation A2.10) is its nonThis is due the side. the factor on linearity, arising through <X> right-hand to the passagefrom a globaldescription to a local one.In this respect,it has the same origin as the nonlinear terms of the kinetic equationsof statistical mechanicssuch as the Boltzmann or the Vlassov equations(Balescu, 1963). For this reasonwe may refer to the description basedon the nonlinear master equation as a mean field descriptionof fluctuations.
318
A \"Mean-field\"
Description ofFluctations: Nonlinear Master Equation
An alternative way to understand the nonlinearity is to point out that the external environment of AV has been taken into account in an average fashion and that the macroscopic homogeneity condition A2.7) has related this average to an average over the small system itself. As we see in the subsequentsectionsthis \"competition\" between subsystemand external for the propagation of fluctuations leading to an environment is responsible instability. The similarity between this description and the PrigogineHerman theory of vehicular traffic (Prigogine and Herman, 1971) shouldbe pointedout. of any physicalcontext, it would be of interest to characterIndependently more preciselythe type of stochasticprocessdescribedby the master It is likely that this equation belongs to the classofsituations equation A2.10). referred to by McKeanas \"nonlinearMarkov processes\" (McKean,1969). remains Markovian, it certainly looses its stationary Even if the process character. Indeed,one of the transition probabilitiesnow dependson the which is an explicit function of time. average value (X~), The final point we want to develop in this sectionconcerns the moment equationsgeneratedby the nonlinear master equation. Multiplying both sides by X and summing over all values of X we find, in the notation of
characterize
Section10.4:
^ = <a>+
+
\302\256<*>
t *C>V(X - 1,0-P(X,f)]
t)]
2 A-=0 X [X(x + 1)Pav(X +1,0X2PAV(X, 2

d<xy,
dt
Performing the by now familiar change of variables within the sums over X we find:
d
it
in
XPAV(X, t)
other words,
A2.13)
Thus the first moment equation is independent of in agreement with the requirement of macroscopic homogeneity. To find the equation for the secondmoment we multiply both sidesof the master equation by X2 and sum over X. We find by a similar calculation:
AV
2,
at
= (a2x)AV +
(Xalx}AV
2\302\256[<SX2)AV
<X>AK]
A2.14)
12.4.Onset ofa Limit

contributes
Cycle
319
where (SX2}AV is the mean-square deviation. We see that diffusion contriexplicitly to the evolution of fluctuations through a term expressing the deviation of the probability distribution function from the Poissonian In the limit 9) -* oo the diffusion term dominates in Eq. A2.14). The regime. variance, system evolvesthen to a steady state characterized by a Poissonian since(SX2}AV = (X}AV. This is in qualitative agreement with the results of of fluctuations, Chapter Note,however,that in the multivariate description the evolution of variances Mu to the steady state is not, in general, Eq.A1.43), of the finite differencestructure given by a simpleexponential decay,because of the operatorKijk, on the right-hand sideof this equation.In contrast, the contribution of diffusion to the evolution of the mean-squaredeviations AV [see within Eq. A2.14)] always tends to induce an exponential decay in time (Gardiner, McNeil,Walls, and Matheson,1976).
11.
12.4. ONSETOF A
We now return
LIMITCYCLE
to the onset of instabilitiesand analyze the nonlinear master for a equation simple system giving rise to dissipative structures.We again work on the trimolecular model, whose critical behavior is analyzed in Section from the standpoint of the multivariate master equation.Our is now to discuss the emergence ofa limit-cyclebehavior, postponing purpose the case structures. until Section of steady-state space-dependent As we saw in Sections 7.4to 7.14, the nature of the solution that bifurcates the first from the thermodynamic branch depends on the diffusion coefficients and the on conditions. I n Du D2 boundary particular, for zero flux or for leadsto a limit first conditions the bifuraction periodicboundary necessarily = from D2, a is smaller if on the other hand, D\\ sufficiently cycle D, D2. If,
11.10
12.5
symmetry-breakinginstability becomes possible. In principle,some of these features could be altered by the stochastic treatment, which goes beyond the macroscopic analysis carried out in 7. we interested in are Hereafter, however, asymptotic solutions of Chapter the master equation which, as discussed are well adaptedto in Chapter 10, discuss the early stagesof instability. This enables us to truncate the hierarchy of moment equations of this, to thosefor the second-order variances. Because the equations for the variancesinvolve the sametime and length scales asthose for the averages.The latter reduceto the macroscopic solutions if average and most probablevalueare close is of all problems This enough. certainly the case of \"soft\" that the is, transitions, involving appearance patterns whose amplitude vanishes as one approachesthe bifurcation point from above. A where the varistriking confirmation of these ideasis found in Section10.6, in the Lotka-Volterra model vary at twice the frequency of the
variances
320
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
where the range of the correlation motion, and in Section11.10, macroscopic function was determined by the parametersappearingin the macroscopic
equationsof evolution. We conclude that if we are interested in the early stagesof formation of a limit cycle in a small subvolume, AK of a large (infinite) system, we may take formalism by the equality D, = D2.This can be translated in the stochastic
where but they The equations for the varianceshave a form similar to Eq.A1.37), are now supplemented It by diffusion terms, in agreement with Eq. A2.14). is also convenient to switch to reducedvariables:
\302\243?,
= 9X, 92= 9Y.
2i = 92 = 9
A2.15)
X x = ~~~,
A2.16)
y
Y
\342\200\224
where No is of the orderof the total number of particles within AK. Moreover, we introduce instead of the variance vector M = {(SX2}, (SX SY}, the vector b = {biUb12, the deviations from the Poissonian b22)expressing regime, as in Eq. A0.30):
<<5Y2\302\273
b22=No l(SY2} <Y>]

\342\200\224
A2.17)
We
write
obtain in
this way in matrix form
we the following set of equations, which for conciseness
as
in
Van Section 11.26 (Nicolis,Malek-Mansour,
and Kitahara, 1976): Nypelseer,
'2(P 1) 29
/?
- -
- a22a2 - - 29
1
-2/J
-2a2-29/
A2.18)
0 a2
12.4. Onset ofa Limit

properties
Cycle
321
where t is a reducedtime variable. It shouldbe evident by now that the propof this system are determined by the eigenvalues of the matrix of the coefficients.Working out the characteristic equation, we find:
Wl
co\302\261
= =P
1
~~
\342\200\224
\342\200\236
a, a
l
1
~W
\342\200\224
\342\200\224
r^ 29 sjM
\302\261
A2A9)
where
M
= (P = (p
- a2 - - 29J- a2 - IJ - 4a2
0
4fj3>2
+ (a2 + 1
- P)9 + a2]
A2.20)
if coi admits a stable steady-state solutions Equation A2.18) This happens:
< 0,
Reco\302\261
<0.
(i)
For any 3>, if
< p < a2 +
\\ if
A2.21)
A2.22)
(ii)
For
9>
(iii)
\"
\342\200\224~
a2 +
< P < (a + IJ
it
For
9>
state
\342\200\224
p > (a + 1) A/./3)
In these regions,a local fluctuation
does not increase. Thus, the reference

A2.24)
<*>~a, (y)â
remains unaffectedduring a macroscopic periodof time.
We may now
coherence length of the

relation
combinethese relations with Eq. A2.12) relating 9 to the

fluctuation. We define a critical length,
\\c,
by
the
inn
\\
A2.25) where3icis given by Eqs.A2.22)and A2.23)when the equality sign is satisfied. the relation between lc and the chemical parameter p Figure 12.2 represents for 3>c. The curve Ic IC(P)has an asymptote at appearingin the expression
\342\200\224
322
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
a+ 1
Figure trimolecular
<\302\253
1)
12.2. Coherence length
and L2 oc {/?
of fluctuation at critical point versus chemical parameter a2 model under macroscopically homogeneous conditions. HereL, oc (/I a2 1 + [(/? sr2 4a2]\022)-'.
- -
- - IJ'r
- -
fl in
I)\021
ft
= a2 +
1. At )8 = (a + IJ the two branches (a) and (b) given respectively
by:
- a2
1+
2(D//r)
A2.26)
and
- a2
infinity.
2(D//r) a2
with
- - IJ - 4a2
the
right
A2.27)
merge,and this resultsin an angular point
derivativetending to
It is instructive to phrase these results in the language of equilibrium We first observe that the transition to critical phenomena (Stanley, 1971). is reflectedby the appearance of a limit cycle having a nonvanishinstability ing radius, r. Thus, it is natural to define r as the order parameter in the r varies in terms of /? as: to Section7.12, system.Now, according
rcc(p&I/2
r =0
for for
p > pc p < pc
occuring\342\200\224the
A2.28) analog of the A2.29) A2.30)
where pc is the point where the first instability is critical point of equilibrium phasetransitions:
pc = a2 + 1
Relation A2.26)becomes:
lc
x (p - pe)
12.4.Onset ofa Limit

We
Cycle
323
have, therefore, found a critical exponentof 1/2for the order parameter and of 1for the quantity lc that plays the role of the correlation length in the theory. The corresponding exponentsin any theory of equilibrium critical phenomena based on Landau ideas-knownas a self-consistenttheory of critical phenomena\342\200\224would be, respectively, 1/2 and Thus, despite there emerges the self-consistentfield character of the master equation A2.10), a \"nonclassical\" shows An inspection of Eq. A2.12) exponent,namely, that this nonclassical behavior stemsfrom the appearanceof the relaxation length in the equation relating 3) and /. This, in turn, is related to the noninto the theory equilibrium character of the phenomenon, which introduces the effectof excitations such as soundwaveswhose velocity is related to the mean free path lr and whose wavelengths are \"intermediate\" between the short wavelength scalerelated to atomic dimensions and the macroscopic scalerelated to the coherence length of the fluctuations. It is instructive to realize the analogy between this picture and the ideasunderlying Wilson's theory of equilibrium phase transitions (Wilson, 1973). Analogies between chemical instabilities and phase transitions have also been pointed out by Nitzan, Ortoleva, Deutch and RossA974) and by Kuramoto and Tsuzuki A975). Bearingthese points in mind one may now interpret the diagram of Fig.12.2 as follows. Supposea fluctuation appears at the vicinity of a point inside a AV. If the range of this fluctuation, that is,the length over which it preserves coherent character, is in the dashed region of the figure, then the decay of this local fluctuation (roughly measuredby S>~') take over the processes amplificationmechanisms,and the fluctuation diesout. Forp < a2 + 1 even
\342\200\2241/2.
\342\200\224
1.
whose range exceeds lc are amplified p > a2 + 1 those distrubances the system. The latter remain stable with respectto and spreadthroughout < lc. Thus, diffusion plays a stabilizing role for certain fluctuations with the supercritical region. Forp > (a + IJ the range of even in fluctuations, and fluctuations decreases rapidly finally, far in the unstable region decaying -> a2 0 and the evolution > + (P 1),lc away from the reference state is
But for
I
if
an
infinite
coherence length
is
imposedinitially, the
fluctuation
decays.
This picture is reminescent of the phenomenon of nucleation spontaneous. familiar from equilibrium phasetransitions (Zettlemoyer, 1969). We close this section fluctuations by a remark concerning the composition that the variances themselves within AV. We first observe from Eq. A2.18) of the critical point, as the eigenvalueco^ of the diverge in the neighborhood coefficientmatrix vanishes at this point.Thus
<<5A:2>oc\342\200\224
A2.31)
324
'\342\226\240'\342\226\240Mean-field'\"
Description
of Fluctations:
Nonlinear
Master Equation
and similarly for <<5Y2>(etc.). we seethat at the critical Now, from Fig.12.2 3> 0. Thus in other words, point
\342\200\224\342\226\272
\\c
x,
\342\200\224\342\226\272
A232)
is equal the divergenceof (SX2} seethat the critical exponent expressing the way the order to twice the value of the critical exponent expressing parameter varies in the supercritical region. Again, this relation is analogous to those prevailing in equilibrium phasetransitions.
We
12.5. ONSETOF A
We
SPATIAL DISSIPATIVE STRUCTURE
in the trimolecular model are coefficients3>i and 3>2-As recalledin the the macroscopic Section12.4, in this case balance equationsadmit solutions a Here structure. we want to understand the onset displaying regular spatial of these patterns through fluctuations, starting from an initially uniform system at the steady state A2.24). and truncating the hierFollowing the sameprocedureas in Section12.4 to the levelof second-order variances,one obtains hierarchy of moment equations a differential system for mean quadratic fluctuations that has the same form as in Eq. A2.18), exceptthat the matrix of the coefficientsis now given by:
considernow the case where X and Y

different
characterized by two
2@- 1)-2S
-0
0
0 -a2
-1-0, -20
(\302\251,
2a2
\342\200\224
0 a2 2' a2 -
A2.33)
The eigenvaluesof this matrix are to,

oi +
with
=p =P
- a2 - 1 1 1
22) - a2 - - @, + + 92)
\302\261
^/M
A2.34)
= IP
- a2 - - @, + - /?0j +
2
\302\261,
\302\2562)]2
S>2 +
a2\302\256,
+ a2)
A2.35)
The secondmoment equation admits a nonoscillatory instability of the steady-state solution if one of the rootsco a>i vanishes.This happensunder
12.5. Onset of a Spatial

the following
encountered in
Dissipative
Structure
325
conditions,which have the same structure as relations enSection7.4:

67)
A2.36) P < pc = 1 + a2 + Introducing the coherence length

/ through
9, + 92
the relation A2.12):
A2.37)
A3.38)
we finally
obtain:
A2.39a)
+ A\302\253l+a!+^l
Figure
ri
/?\302\260
(,2.39b)
^\302\243>2/U-
of the referencestate involves fluctuations offinite coherence length. In this same region, the imposition of large-scale fluctuations (/ -> oo) stabilizes the steady state.Beyondp = p], however,that is, beyond the asymptote of the curve p = p~c, the behavior becomes similar to that outlined in Section12.4.
12.3 the critical curves lc = lc{P)corresponding to relations represents = in the (/, /?) plane for a = 2 and (D,//ri) A2.39a)and A2.39b) The important new point is that in the region < P < P] the instability
Unstable
e\302\260c
el
el-2
of fluctuation at critical point versus chemical parameter ji in model, a = 2, and ratio DJD2= is compatible with emergence of steady-state dissipative structures as deduced from deterministic analysis.
Figure trimolecular
12.3. Coherence length
326
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
In contrast, the \"order parameter\"behaves in exactly the same way as in the 7.6and 7.7, the amplitude of the Indeed,as wesaw in Sections limit-cyclecase. varies as: emerging dissipative structure beyond the first instability at
A2.40) of a finite coherence At first sight, the occurrence length and continuous and difficult to fit in the framework of the orderparameter seems paradoxical A closer more familiar equilibrium critical phenomena. however, inspection, ofa second characteristiccoherence revealsthe existence length* that diverges as one moves to the critical point from the pretransition region. In this resembles closelythe crystallization way the problemunder consideration In the latter, in the ordered phase, there exists a problem (Brout, 1965). finite characteristic length (the lattice parameter), whereas in the disordered phase there appear long-range correlationsup to the solidification point. To seethe appearanceof the secondcoherence length in our problemwe as in the end of Section We considerthe marginal stability proceed equation A2.39a)in the equivalent form:
P\302\260V2
/?\302\260
||x|| ac.(p-
/?\302\260
11.10.
+
where
'ri
'r2
=0
A2.41)
From the results of Chapter 11 we expectthe quantity 1//to scalethe spatial r, appearingin the correlationfunction G(AVU AV2) between two spatial regionst:
coordinate r2
\342\200\224
U AV2)
g(\"-Â
A2.43)
If
In contrast, a complexvalue of macroscopic range between spatial regions.
1//is real, the
function G then
describes a self-maintainedcorrelation of
the form of evanescentwaves emanating from The point is that Eq.A2.41) gives rise to complex/ values in the \"dis\" \"disordered region /? < Onefinds, in exactlythe same way asin Section
1//impliesspatial damping in
/?\302\260.
AK
alsothe work by Lekkerkerker and Boon A975). t Note the change in notation between this and Chapter / denotes Thus, in Section the length of the system, which in the present chapter is taken to be infinite. The coherence is now denoted by /. length denoted by ). in Section
* A similar remark has been made for the Benard problem
11.10:
\302\2614
by Zaitsev
and Shliomis A971).See
11.
11.10
11.10
12.6. Multiple
where
Steady-state Transitions and Metastability
327
\\
1_
1
\342\200\224
_
1
I/J
/
\342\200\224
0,
\342\200\224
'
\342\200\224
#1
/?\302\260|1/2(/?
/?_I/2
A2.45b)
and
A2.46)
If p is slightly subcritical, then
P_ and
/\"
<P <
P\302\260c
A2.47)
p\302\260
length
is approached, the is,indeed,a real quantity. As the critical point and A1.81)]: /\" diverges as [see also Eqs.A1.80)
(P-p-)\"iir rc'
that
to a \" classical is,according exponent\"equal to \\, which is the same as the in the order Thus, the waves exponent appearing parameter equation A2.40). A a from Fare evanescent but no give rise,instead, to emanating region longer A a sustained characterized /'. calculationidentical the length regime by simple to the one reportedin Section11.10 showsthat /' is identicalto at the critical point (seeFig.12.3).
/\302\260
12.6. MULTIPLESTEADY-STATE
We illustrate the
AND METASTABILITY TRANSITIONS
basicideasdirectly on a simplemodel.Considera lattice surfaceelement with N binding sites.The systemis in contact with a reservoir of a constituent Xe whereconcentrations are held fixed.Xe may combine with a free site, and beadsorbedby the lattice. We shall call X the corresponding variable. On the other hand, X can undergo a desorptionprocomposition and again becomeXe.Thesephenomena can be represented as:
process
X X
\342\200\224\302\243*-\302\273
XP+F
A2.49)
328
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
where F denotesthe free sites.The rate equationsare:
dK-kFX -kX--dF dt dt
observedvalue of X. where X denotesthe macroscopically Now, X + F = const = N
and dX__ ~
dt
iy
Introducing the absorption-desorption equilibrium constant k and setting k^Xe a, we have:

\342\200\224
= k2/k1Xe,
A2.50a)
A Y^
\342\200\224
dt
= a[N
k)X~\\
is cooperFurthermore, we assumethat the adsorption-desorption process that is, that k is influenced by the number of X already adsorbed. We for illustrative purposethe relation choose
cooperative,
= k(X) = k exp
- ~-
A2.50b)
where K and n are constants.Note, however, that this expressionis not arbitrary. It can be attached to a mean-fieldtype of treatment of the lattice, as is frequently done in the context of equilibrium phase transitions (Brout,
1965).
that Lefever,1975) (Prigogine, Lefever,J. S.Turner, and J. W. Turner, 1975; when n > 4 there alwaysexistsan interval Kt < K < K2 where, for each K, the equation admits three equilibrium solutions(seecontinuous S curve in Fig.12.4). Two of them are stable,the third one(intermediate branch in Note that the instabilities found here do not require Fig.12.4) beingunstable. Thus, in this sectionwe deal with a necessarily nonequilibrium constraints. that is not to problem specific nonequilibrium situations, in contrast to the studied in Sections12.4 and 12.5. problems of this have been studied extensively from the stochastic Systems type the birth-and-death formalism (Landauer,1962; Janssen, viewpoint, using and Onefinds that at a certain value Matheson, 1974; Gardiner,1975). Walls, of the parameter determining the stability propertiesof the macroscopic the system displays a bimodal distribution with two equal heights equations,
EquationsA2.50)can bestudiednumerically at the steady state.One finds
12.6. Multiple
Steady-state Transitions and Metastability
329
N= 200
In K, 2.55
2.75
In Kc 3.15 2.95
3.35 inK7
lnK Figure 12.4. Bottom: branch of macroscopic steady states calculated from Eq. A2.52) as function of In K for N = 100and i\\ = 6 (continuous curve); dashed line: branch of average In !2)c asfunction of K for N 50, values calculated from master equation without diffusion. Top: 200. Dashed areasindicate domains where value of <X}/N lies when 3) @c. 100,
>
For to a simultaneous occupation of the two stablebranches. corresponding the model of this sectionthis critical value is
A2.51)
The analogy with the van der Waals theory of first-order phasetransitions is striking and has been repeatedly emphasized. ForK # Kc (Brout, 1965) the distribution evolvesto a singlebranch, although the time of evolution gets
330
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
longer with larger N. Although this is somewhat reminiscent of the phenoof metastability, the correspondence is difficult to establish. Prigogine, Lefever,J.S.Turner, and T. W. Turner A975)have investigated this phenomenon by a local approach to fluctuations based on a master it is clear that only by this treatment, equation of the type A2.10). Intuitively, the conceptof the range of a fluctuation, couldone tackle which introduces the problemof metastability. The master equation reads:
phenomenon
, t)
dt
,{N
x + 1)p(x l / (x + n\\
ri
t)
(N
_ X)P(X,t)
1,0
- XK
A2.52) we deal
-1,0P(X,t)]
\\)P{X with
XP{X,0] +1,0with
Here the expression for 3) has to be adaptedto the fact that A2.12)
a surface AS rather than
a subvolume AV. Consequently: A2.53)
3*^
where AP is the perimeter of the surfaceelement AS. In dealing with Eq. A2.52) one must be aware of the fact that all of the used in the precedingsections techniquesbased on asymptotic expansions breakdown completely.This is due to the fact that the transitions associated \" with a multiple steady-stateproblemare hard,\" in the sense that the distance between final and reference states is finite. In other words,the stochastic average (X) (which appearsin the master equation) and the most probable value X (which appears in the macrosocopic rate equation) differ by a amount. one has to solve Thus, macroscopic Eq.A2.52)as a whole and avoid moment truncations. Fortunately, thanks to the validity of the detailed balancecondition, the master equation for this model can be solved exactly at the steady state by iteration. One finds (Prigogine, Lefever,J. S. Turner, and J. W. Turner, 1975):
\302\243
A2.54)
For3> = 0 one recovers the birth-and-death description, and in particular one showsthat the first moment <X> is always a single-valuedfunction of K dashedcurve). In contrast, if 3) is greater than somecritical value (Fig.12.4,
\302\256c,Eq.
A2.54)yieldstwo equilibrium solutions in the interval Ki K K2In addition to the distribution corresponding to the stablebranch found in
< <
12.7.Asymptotic
Solutions
of Nonlinear
Master Equation
331
the birth-and-death description, onefinds a new distribution with an average near the value of X on the other branch, which hence appearsas a metastable branch in the usual senseof the term. One can show that 3)cdependson K. On the other hand, according to Eq.A2.53)3> dependsalsoon the size N, as Thus, the value of 3) at the critical state where the new AP/AS oc N~112. branch appearsgives information about the size of the fluctuations beyond which the transition from the metastableto the stablebranch becomes possible. This corresponds to the critical nucleus of germination. Theseideascouldbe interesting to a broadclassof phenomena in which metastable statesare involved, such as the formation of fractures in metals or the ignition of explosive reactions.
12.7.ASYMPTOTIC SOLUTIONS OF NONLINEAR
MASTER
EQUATION
of the meanHaving now beenacquainted with the practiceand predictions field theory of fluctuations, we return to the nonlinear master equation and to analyze somegeneral features of its solutions.As we saw in Section an exactsolutionof this equation isgenerallyan arduoustask.Therefore, to develop approximate but systematic schemes it would be highly desirable for calculating thesesolutions. The resemblence of Eq. A2.10) to the equationsencounteredin kinetic couldseek for asymptotic solutions of a kind similar t hat one theory suggests to the Chapman-Enskog solution of the Boltzmann equation (Chapman and These,known also as normal solutions, are based on the Cowling, 1952). in the Boltzmann o f to two time scales presence processes evolving according the free of the one associated with motion equation: (a) particlesand (b) the other associatedwith collisions. Now, this is exactly what happensin the nonlinear master equation A2.10) and, indeed,in the multivariate master the role of the reactionand diffusion contributions as t hat well, equation except are somewhat the \"inverse\" of the collision and free particle contributions in the Boltzmann equation.Indeed,in our case the reactive collisions tend to in of local the distribution\342\200\224the Poissonian equilibrium analog destroy diffusion tendsto reestablish this distribution. Insokinetic theory\342\200\224whereas
12.6,
12.4
Insofar
as
RAV(X)
cc rjh1
and
fchS>
oc 'f- > 1
332
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
where rch is the characteristic scaleof (macroscopic) evolutionof composition variables due to the chemical reactions,onecan introduce in Eq. A2.10) a dimensionless smallness parameter e=
-^\342\200\224
= t9 = {-^\\DtJ ly<\\
)
\302\253y[AV(X
\\)PAV(X
A2.55)
'
The master equation takesthe form [setting t
= (r/rch)]
^f
P
\\
+ (X +
- 1,0 - Pav(X, 01 + 1, r)
XPAV(X,
t)}
A2.56)
and we want to investigate the existenceof asymptotic expansionswith respectto this parameter:
= P@)(X, t) + eF^X, t)+
\342\226\240\342\226\240\342\226\240
A2.57)
where we drop from now on the subscriptAV. A similar procedurecan be envisaged for the multivariate master equation. As is frequently the case with asymptotic expansions, it is very difficult to In particular, onewould like determine the range of validity of Eq.A2.57). solution in ehas a finite radiusof convergence, to know whether a power-series in or if not, whether an asymptotic (and generallynonconvergent)expansion ofe exists, orfinally, whethereis not a goodexpansion powers parameter at all. Hereafter, we regard Eq.A2.57)as a formal seriesand try to determine the into successivecoefficients PA) from the master equation. Substituting Eq.A2.56)and taking into account that R dependslinearly on P(X)and that and Hayez, Malek-Mansour it always remains finite, we have (Horsthemke,
1977):
To order e^1
-i,r)-p@)(x,r)]
+ (X +
\\)Pm(X
+l,f)-XP@)(X, 0 = 0
A2.58)
To order
e\302\260:
-^\342\200\224
at
= r(p{0)) + Kxyo)[p(i)(x
+ (X + \\)pA\\x + (Xyl)\\_P@\\X
- i,o - p{1\\x, o] + i,o- xp{i)(x,t) - 1,0 - 0]} (etc.)

P@)(X, <X>
A2.59) A2.60)
Here we have also expanded formally
as:
+
\342\200\242\342\200\242\342\200\242
72.7.
Asymptotic
Solutions
of Nonlinear
Master Equation
333
The point is now that the equation at the dominant order, Eq. A2.58) admits a Poissonian distribution as the only solution, with an as yet undetermean <X>@):
undetermined
p@)
e-<x><\302\260>
_Â/
'
A2.61)
order to compute (X)*01 we go to the next order,Eq. A2.59),multiply both sidesby X, and sum over X. We find, in the notation of Section12.3:
In
sincethe effectof diffusion cancels. Moreover, as the average is taken over a Poissoniandistribution one can, accordingto the results of Section 10.4, to the macroscopickinetic law: identify the right-hand side (a1A-><0)
@)
A2.62)
Thus, <X>@) and P<0) are now entirely determined, thanks to the macroequationsof evolution.The situation is strongly reminiscentof kinetic theory of gases,where the parametersappearingin the local Maxwellian determined density,and convection distribution\342\200\224temperature, by the equationsof fluid dynamics. The next step is to determine PA) from Eq. A2.59),keepingin mind that both P@> and <X>@) are known. We have:
macroscopic velocity\342\200\224are
- l,o - pa\\x,0]+ {x + - 1, - tj] [P@\302\273(X
\\)P{l\\x
i,r) - xpv\\x, t)
dPi0)
\342\200\224r-
r)
P@)(X,
R(P{0))+
dt
A2.62a)
The finite-differenceoperator appearingon the right-hand side is always invertible. Forinstance, in the generating function representation it would give rise to the extremely simpleexpression
<X>@)FA1
= right-hand side = M(F@), <X>A))

A2.63)
where
F^\\s,t)= Y,sxP{1)(X,t) (etc.)

x
Thus, FA1 can be computedstraightforwardly provided (X}A)can bedeterThis is achieved by working out the equation to order e, which yields
determined.
334
A \"Mean-field\"
Description
of Fluctations:
Nonlinear
Master Equation
a differential equation for (X>A). As PUI is,in general,different from Poissonfrom the macroscopic law: ian, the equation for <X>A1 contains corrections
at
+ corrections
A2.63a)
terms to This schemecan be continued to get as many correction and Pi0)(X,t) as desired.Having P onecan then compute the variances, for
instance:
= CX2)
+ eEX2y^ + = (XyO)+IyCX2y^ + --<<5X2><\302\260>
\342\226\240\342\226\240\342\226\240
A2.64)
The remarkable point that appearshere is that the propertiesof fluctuations A V in a volume dependexplicitlyon the sizeof this volume. When the latter
goesto zero one recovers a Poissonianvariance. Otherwiseone obtains terms.This illustrates in a very transparent way the passagefrom correction
in
Section11.11 from the multivariate master equation by integrating the alsoGardiner,McNeil, function correlation G(rl,r2) over a finite volume (see This featureof and fluctuations in Matheson,1976). extremelystriking Walls, testable should be nonequilibrium systems directly by scattering experiments
from
limit of the phaseshort-range fluctuations, describable by the Fokker-Planck to large-scale master equations, fluctuations.A similar result is obtained space
a reacting fluid.
manifestsitself exclusivelythrough the equationsfor the successive approxito the average value <X}. The corresponding (X}@\\ p robability distributions PA) merely \" adjust\" to the evolution of the averages,although distribution. One they are at the same time deviating from the Poissonian can expect,however, that in the vicinity of the instability the successive become corrections increasinglyimportant, partly becausee itself would no be a small longer owing to the long-range character of the correlaquantity, the Eventually expansionbreaks down and the dependenceof the and not necessarily solution on / becomesmore complicated analytic.
approximations
correlations.
A final remark concerning systems giving Within the framework of the e-expansion,
...
[Eqs. A2.57)-( 12.60)], instability
rise to instabilities is in order.
12.8. CONCLUDING REMARKS

The theory of fluctuations in nonequilibrium systemsoutlined in this and precedingchaptershas enabledus to draw some definite and unexpected conclusions. Firstly, we have seen that the propertiesof fluctuations in a in the finite volume dependexplicitly on the size of this volume. Secondly, of an correlations, the vicinity system develops long-rangespatial instability
12.8. Concluding
Remarks
335
Thesecorrelations even if macroscopically it remains homogeneous in space. are characterized by a coherence intrinsic is an that parameter of the length and that as critical one the point. Thirdly, the system diverges approaches onset of nonequilibrium instabilities in macroscopic systemsis due to the deviation of the fluctuations from the Poissonian distribution. Despitetheseadvances, oneshould be aware of the fact that many imporproblemsremain unsolved.The main reasonfor this is the difficulty to solve the completemaster equation without truncating the hierarchy of moments, save for a few particular cases involving a single variable. As a result, onecannot yet estimate satisfactorilythe a priori probability of having a fluctuation of a certain size and range appearingspontaneously in the system, nor the rate of growth of such a fluctuation beyond instability. Similarly, a number of quantitative predictionsbased on asymptotic solutionssuch as truncated moment expansions couldconceivablybe modiby a more refined treatment. We have in mind, in particular, the ococcurrence of \"classical\" exponentsarising in the analyses of Sections and 12.5. This couldwell be the consequence of having neglected 12.4, triple in the multivariate master-equation treatment of Section correlations and of having a mean field theory of fluctuations in the analysisof the present chapter.A more satisfactory treatment of correlationsmight well produce nonclassical exponentsin a way similar to Wilson's extension of Landau's mean field theory of equilibrium critical phenomena.
important modified
11.10, 11.10,
Part IV
ControlMechanisms in Chemical and BiologicalSystems

We come now to the main object of our study. We want to show how the methodsand techniques developed so far and illustrated on modelsmay be appliedin the analysis of concrete problemsin a wide variety of subjects. In this part we first treat various topics related to self-organization in is devoted to the analysis of dissipative chemistry and biology.Chapter 13 we are concerned structures in singlereaction chains.In Chapters14and 15 with biochemical reactionsat the subcellular and cellular levels.Finally, in 16 we level considermore complexsituations at the supercellular Chapter In Part V the cells. of of \"collective\" behavior populations coupled involving the concept of self-organization is extendedto evolutionary problemsinIn Chapter17 the evolutionof interacting and we discuss involving competition. Our is macromolecules. replicating purpose to investigate whether such a can attain states characterized population by an order similar to that of the This is the of the code. genetic origin of life. Finally, in Chapter 18 problem we analyze self-organizationphenomena at the level of interacting populain an ecosystem.
populations
Chapter 13
in Self-organization ChemicalReactions
13.1. INTRODUCTION
ourselvesto a discussionof reactions in homogeneous phase, of spatiowhere the breakingof spatial homogeneity and the emergence temporal order are most striking. The earliest reportedperiodicchemical of hydrogen reaction in homogeneous solution is the catalytic decomposition oxidation couple (Bray, 1921). Despitethe peroxideby the iodicacid-iodine mechanism of the many experimental studiesof this reaction, the detailed itself a of until remained matter oscillation recently (Nicolis controversy Sharma and Noyes,1976). and Portnow, 1973; Noyesand Field, 1974; of an oscillatory chemicalreaction BelousovA958)reporteda secondcase in homogeneous is the main solution, which subjectof the presentchapter, oxidation of t he citric acid by potassiumbromate catalyzed by specifically, the ceric-cerous ion couple. ZhabotinskiA964) pursuedthe study of the reaction and demonstrated that the cerium catalyst could be replacedby manganeseor ferroinand that the citric acid reducingagent couldbe replaced a methylene group either possessing by a variety of organic compounds, or easily forming such a group during oxidation (e.g., malonic or bromomalonic acid). Usual experimental studies involve a reaction mixture at about of potassiumbromate, malonic or bromomalonic acid, consisting and eerie in sulfuric acid. sulfate (or someequivalent compound) dissolved the the different on conditions on the phenomena Depending imposed system, observed are compiled in Section13.2.
We limit
25\302\260
13.2. REACTION: EXPERIMENTAL BELOUSOV-ZHABOTINSKI

Spatially Uniform Mixture
When the
in
composition
FACTS
reaction occurs in a well-stirred medium, sustainedoscillations the chemicalconcentrations appear for certain rangesof initial composiof the mixture. Figure describesthe temporal evolution of the
13.1
339
340
Self-organization in Chemical Reactions
10
Minutes
\302\273-
15 17.0
24
+ + of log[Br~] and log[Ce4 Potentiometric traces at /Ce3 ] versus time during = Belousov reaction: [malonic acid] = 0.032M. 0.063M, [KBrO3] [Ce(NH4J(NO3M]0 = = 0.8M,and [KBr]0= 1.5x 10\025M [from R. Field A972), Chem. 0.01M, [H2SO4] Educ. 49,308].
Figure
13.1.
25\302\260
J.
J.
+ concentrations of Br\" and of Ce4+/Ce3 . The period is of the order of the
of the minute, whereas the life time of the phenomenon is of the order Eventually the oscillationsdie out, as the system remains closed to
hour.
mass
transfer and the raw materials necessaryfor the reaction are exhausted. Thus, although the initial mixture may be removed very far from thermodynamic equilibrium, it finally tends to the state of equilibrium where oscillatory behavior is ruled out. Recently,however,Marekand Stuchl A975) and Marekand Svobodova( for this reactionunder 1975) reportedoscillations conditions. Note that with bromomalonic acid presentinitially, open-system oscillationsin the ceric-cerous concentration begin immediately, whereas with malonic acid there is an induction period. The sharpness, and stability, of the the oscillations a nd existence of a of threshold chemical reproducibility concentrations necessaryfor oscillatory behavior prove that the chemical oscillationsshown in Fig. 13.1 belongto the class of temporal dissipative structures.This is substantiated by the mathematical model of the reaction analyzed in Section13.4. Mixture in One Dimension Spatially Inhomogeneous reaction is carriedout in a thin, long vertical tube (Busse,1969; there appearhorizontal bandscorresponding Herschkowitz-Kaufman,1970) to alternatively high concentration regionsof the chemicals (seeFig.13.2). The analogy with the spatial dissipative structures displayed in Chapter7 is tempting. Recently,however,Kopelland HowardA973b)and Thoenes A973) pointed out that under usual experimental conditionsthese patterns are rather than likely to becausedby external temperature and density gradients and a induced diffusion also Beck Varadi, (see by symmetry breaking by that and Svobodova i t should mentioned Marek be Nevertheless, 1972). of steady-state, A975) have recently reportedresultsindicating the existence s olutions in flow a reactor space-dependent undergoing the BelousovWhen the
Zhabotinskireaction.
Horizontal bands in the BelousovFigure Zhabotinski reaction. Light strips correspond to regions where oxidation steps are predominant (after M. Herschkowitz-Kaufman, 1970).
13.2.
Mixture in Two and Three Dimensions Spatially Inhomogeneous reaction takesplacein an unstirred shallow layer (e.g., in a a usual container, various forms of wavelike activity are observed(Zaikin and Zhabotinski,1970; In the thin Winfree, 1972, 1974b). layer the most common ones are concentration waves with cylindrical showsthe successive consymmetry or rotating spiral waves. Figure 13.3 concentration patterns in the latter case. of It is noteworthy that the appearance
Finally, when the
petri dish) or
in
342
Figure
(after
13.3. Spiral wave activity in Belousov-Zhabotinski A. M. Zhabotinski, 1974).
reaction carried out in petri dish
On the thesewavesdoes not necessarily require a locallyoscillatingreaction. other hand, a leadingcenter area exceeding a critical dimension seemsto be the spiralstake the form of an always involved.In the three-dimensionalcase into itself.The reaction scroll. Sometimes the scrollaxiscan close unfolding It is generally remains oscillatoryeverywherein spaceexceptalong the axis. that the emergence of thesepatterns is likely to requirean instability accepted
Mechanism 13.3.
343
causedby diffusion. We have, therefore, a striking experimental illustration of a spatiotemporal dissipative structure. Equally striking is the resemblance of the patterns of Fig. 13.3 to the patterns deducedfrom the theoretical modelanalyzed in Chapter7 on the one hand, and on the other hand, to the with biological type of activity onetendsto associate systems.
13.3. MECHANISM
order to interpret these fascinating and extremely spectacularpheon a theoretical basis,it is necessary mechanism to have the detailed of the reaction. and co-workers Field,Koros, Noyesand Recently,Noyes, (see 1974 for a recent survey) completed an extensiveseriesof experiments Field, on the malonic acid-bromate reaction and proposed a detailed kinetic mechanism comprising not less than 11 steps.Fortunately, they were able in to simplify their more detailed mechanism and interpret the oscillations in solution terms of the of three substances: homogeneous key properties (a) HBrO2,which seemsto play the roleof a switch intermediate, (b) Br\", which seemsto play the role of a control intermediate, and (c) Ce4+,which can be regardedas a regenerationintermediate in the sensethat it is rapidly producedwhen the system is switchedin onedirection and permits thereafter Moreprecisely, the following the formation of the control intermediate Br~. to the abundanceof Br\" : reactionsseemto dominate, according
In
phenomena*
\342\200\242
With
enough Br
:
kl
\342\200\224^-> >
(i)
(ii)
\342\200\242
BrO3- + Br + 2H+
HBrO2+ HOBr
With
(iii) (iv) (v)
2HOBr HBrO2+ Br~ + H+ + small quantities of Br~ left, Ce3 is oxidized accordingto: k' 2BrO2-+ H2O BrO3 + HBrO2+ H+
>
The first
combining
with
a concentration
+ HBrO2+ Ce4 + 2HBrO2 BrO3\" + HOBr+ H step is rate limiting, whereas HOBr disappearsquickly by comstate is reachedwith malonic acid.From (i) and (ii), a quasisteady
BrO2- + Ce3++ H+
ki
>
\342\200\224^->
where kjk2 ~
\342\200\242
10\"9.
A nice feature of this reaction is that it can be carried out extremely easily. The interested reader is urged to try to apply oneofthe recipes given by Winfree or by Herschkowitz-Kaufman.
344
Step (iii) is rate limiting. Steps(iii) and (iv) taken together are equivalent to an autocatalyticgeneration of HBrO2 A new quasisteady state is reached
\342\200\242
with
where
r^ ^
It which processes
10\024,
k3
= l0*M~h~l.
is gratifying to see, in
this concrete system,the importance of autocatalytic was anticipated in the analysisof the mathematical model of
Chapter7.
Autocalytic
for Now from (ii) and (iii) it appearsthat Br~ and BrOjcompete as long as productionof the latter will be impossible
HBrO2.
A3.3)
> /^[BrOj] /c2[Br\"]

Thus, at the critical concentration value
= ~ [BrOj [Br-]f ] =* 5 x lO^BrC^] k2
A3.4)
the reaction switches from pathway (i)-(ii) to pathway (iii)-(v).As [HBrO2] then from (ii) Br\" is consumed, and [Br~] increases, dropsbelow the critical value A3.4). Br^ accordOn the other hand, the producedCe4+regenerates to the global reaction:
according
4Ce4++ BrCH(COOHJ + H2O + HOBr k\" 2Br\" +4Ce3+ + 3CO2 + 6H+ exceeds the threshold value A3.4)and [HBrO2] comes [Br\"] Subsequently, In this way the occurrence of oscillations backto the levelgiven by Eq.A3.1). is explainedqualitatively. A quantitative study of the model based on the mechanism just outlined confirms the existenceof oscillationssimilar to thoseshown on Fig.13.1, as shown in Section13.4. This successfulanalysis of the mechanism of the Belousov-Zhabotinski reaction has motivated a number of further investigations on nonbiological reactionsgiving rise to dissipative structures.Thus, recently Pacault, de have conducted experimentson the Kepper, and Hanusse A974, 1975) This Briggs-Rauscher oscillating reaction (Briggsand Rauscher, 1973). reaction involves hydrogen peroxide,malonic acid, KIO3, MnSO4, and In addition to and can be carriedout under open-system conditions. HC1O4 sustained oscillationsone observes abrupt transitions in the chemical
(vi)
>
13.4. The\"Oregonator\"
briefly in
345
of multiple steady statesasdiscussed concentrations,indicating the existence
Section13.7.
Stroot and Janjic, Janjic and colleagues (Janjic and Stroot,1974; a series of studies on oscillating reactionswhereby a number 1975) report of ketoniccompoundsgenerate oscillations in Belousov-Zhabotinski-type reactionsinvolving bromate as well as a catalytic agent.
Finally,
13.4. THE \"OREGONATOR\"

deal exclusivelywith modelsbasedon the reaction mechanismoutlined Section13.3. A different classof modelsbasedon a mechanism suggested Zhabotinski has beenworkedout by Zhabotinskiand co-workers by (see 1 974 for a recent survey), ClarkeA973),Tomita and Kitahara Zhabotinski,
We
in
A975),and Othmer A975). The model discussedbelow has been introduced by Field and Noyes and is frequently referred to in the literature as the \"Oregonator.\" A974,1975) Let
X
Y
= [HBrO2] = [Br~] = 2[Ce4+]
A3.5)
be the concentrations of the three key substanceswhose behavior was in Section13.3. described Moreover, we set A = B = [BrOj]
A3.6) the conversionof Y that reaction (i) describes from Section13.3 Then, we see to X, reaction (ii) the simultaneous inactivation of X and Y, reactions(iii) and (iv) the autocatalytic generation of X, reaction (v) the bimolecular of X, and the global reaction (vi) the transformation of Z decomposition into Y. Hence, we write the following steps:
A X
concentration P,Q= waste-product
+ +
Y Y
\342\200\224^-\302\273
A3.7a)
346
Here / is a suitable stoichiometric coefficient,*the

1976b): /A + 2B
for
*
rate constantskY to k 34 contain the effectof the concentration of H + , and k6 contains the effectof The overall reaction is a linear combination of (Noyes, bromomalonic acid.
/P + Q
A3.7b)
any/
(/ - 1)A + 2B
2B
B
\342\226\272
(/ + 1)P
2/P+ A
P
\302\273
- /)Q
\342\226\272
/ >1 for / < 1 for / =

for
1
Note that all reactions are taken to be irreversible.The reversibleOregonator was recently studied by Field A975). A comparisonwith the detailed the following values for the rate constants: mechanism suggests
k1 k2
= 1.34M-V = 1.6 x 109M-V
V Ic5=4x107M\"
The values of k6 and/areusedas parameters. Finally, in the region studied = = = = 0.8M. A B Herewhereas [BrO3~] 0.06M, experimentally [H+] thesevaluesare taken constant, and this amounts to treating the system as open.Because of this, of the (quadratic) nonlinearity of three of the steps and the large distance from equilibrium, the system has the necessary ingredients for presentingcooperative behavior. We also note that such a behavior would be perfectly compatiblewith the Hanusse-Tyson-Light three variable intermediates. theorem, as the model comprises first a spatially uniform mixture. The rate equations Consider are:
Hereafter
~
_
\342\200\224
at
\342\200\224
V ftjjii
V A
K2J\\.
W I
_l_
T\"
b BV K34.D-A
b Y2 1. 5
\"I
j\\
dt
= -kyAY
k2XY
+ fkbZ
A3.9)
~ = k3ABX-k(,Z at
one. See Faraday
* Actually, the regeneration step for Br^ described
Symposium on Oscillatory
by
Theseequationsdisplay widely different constantswith ordersranging from 1 to 109. to two time scales Thus, we expectthe system to evolve according
A3.7a) might not bethe most appropriate
Phenomena,
1974.
13.5. Oscillatory
Behavior
347
in a way similar to the and perform, in particular, relaxation oscillations To see of Section8.10. this, we cast the system treated in the first subsection in terms of the dimensionless variables x,y, z and t and differential equations the dimensionless parameters q, s, w defined asfollows:
A3.10)
and
rr4
\342\200\224
k2k34B
The balance equationsA3.9)become:

dx l = s{y
xy
+x
2^ qxA)
+ fz) dl=X-(-y-xy
dz
A3.12)
Jx
= w(x
z)
s = 77.27 and For the estimates given above, one has q = 8.375x 10~6, the indeed two w = 0.1610 We see that involves kb. system immediately time scales, sincethe evolutionof x is determined by the inversetime constant
or lessthan
unity.
s, which is large, whereas that of y and z by inverse time constantsof orderof
BEHAVIOR 13.5. OSCILLATORY
Equations A3.12)admit a trivial solution x0 = j0 = z0 = 0 which is always unstable, and a single positive steady-statesolution.This solution can be evaluated explicitlyfrom Eq. A3.12): z0 = x0
y0
= t~~ i[U+
/) - <7*ol
A3.13a)
348
where of having chemical oscillations We want now to investigatethe possibility of such solutionsis if of the limit-cycletype. An indication of the existence A an unstable critical linear about this point can is point. analysis (x0,)>o>zo) in Chapter6 and applied becarriedout explicitly,by the methods developed of Chapter7. Setting on the example
x
= x0 + xeM (etc.)
one finds the characteristic equation (Fieldand Noyes,1974; Murray, 1974; Hastingsand Murray, 1975):
a>3
Ta>2 +
dot
=0
A3.14)
where T, S,A dependon x0,y0, z0 and on the parameters s, w,f, q of which w and/aretaken to vary whereas s and q are kept fixed. We want at least one of the necessary and sufficient conditionsfor the roots of Eq.A3.14) to have negative real parts be violated. Theseconditions are (Abramowitz and Stegun, 1964): A < 0, A T3 > 0 A3.15)
T<0,
One can seethat for all realistic values of the parametersthe first two conconditions are satisfied. After some algebra,the instability condition which is the inverseof the third inequality can be cast in the form
0 where the
stability
< w < wc{f)
A3.16)
wc(/)=
-^
^
curve wc(f) is given by

[\302\2432
+
2
/d /(I
*\342\200\236)]
- xo)Y - 4E2[2qx20+ xo(q - 1)+ /]}1/2

A3.17) /
-\\
with
= sy0 + l~ + 2qs\\x0
Vs
if
s sideis positive and this
This relation is meaningful only
the right-hand
requires:
2qx2 + xo(q
- 1)+ / < 0
A3.18)
J3.5.
With
Oscillatory
Behavior
349
for q, s and
x0 as a function
A
the last
and for the numerical values chosen of/(see A3.13b))

inequality
gives:
fu
where
< f <fic
A3.19)
flc^ 0.500; /2c~2-412

where k6 to A3.19), representsgraphically inequalities A3.16) Figure 13.4 of this has beenusedas parameter instead of w. It is worth noting the steepness 7. as thosediscussed in to stability diagram, Chapter compared Forvaluesof k6 (or w) and/within the unstable region, sinceby Eq.A3.15) the product of the rootsis alwaysnegative there is at least one root, say col, alsodiscussion which is negative.There exist,therefore,exceptional paths (see to the back which the in Section steady state 6.5) along perturbations decay
first
Coming now to the behavior of the systempast the instability, one should quote a general result due to Hastingsand Murray A975) who proved, using topologicalmethods,that the model equationspossessat least one finite-amplitude periodictrajectory. The periodicsolutionshave been conconstructed Tyson, 1976) analytically using bifurcation theory (Erneux, 1977; 480.0
@.9935, 450.05)
360.0
Stable
240.0
120.0
1=1
0.0 0.0
Figure
iv
1.0
diagram
2.0
for q
3.0
= 8.375 x 10~6,s = 77.27,
0.1610**.
13.4. Linear
stability
for Oregonator
350 7.0
6.0 5.0
6 4.0
3.0
\\\\
\342\200\224
\342\200\224
\\i
2.0 1.0
0.0
\342\226\2401.0
~l
1 1 1
35.8'
k\\
r
fv
\302\273
X
V> V\\
W3
N? *o 268
1 1
50
A
-4.0-3.0 -2.0-1.0 0.0 1.0 2.0 3.0 4.0

log
| -3 -2
1
-1
1
| 0
\\ny
|
1
| 2
| 3
[Br~] + 6.5228 (A)
(B)
of logarithmic (A) Projection of limit-cycle solution for Oregonator in space Figure variables X and Y. (B) Characteristic curve in the X-Y plane obtained by applying the quasisteady-state relation, Eq. A3.20).
13.5.
fu and/2c the singular
or asymptotic methods(Stanshine, 1975). One finds that in the vicinity of point behaves like a focus, unstable (if/lc < <f2c)or stable (if/</lcor/>/2c). Within the unstable region the asymptotic analysis yields a limit cycle of a finite amplitude, whereas for <fu one finds a small-amplitude unstable limit cycle surroundedby a stable one of It is large amplitude. A similar situation is encounteredin Chapter 15. possiblethat both limit cyclesin this region belongto subcritical branches bifurcating from/lc (for the unstable cycle)and from/2c (for the stablecycle). The results of computer simulations (Fieldand Noyes,1974) confirm the theoretical predictions and illustrate the almost discontinuous character of the oscillations the from occurrence of two time scales. arising Figure 13.5/4 the of the limit in the X-Y plane. This shape, represents projection cycle with a that reasonable together Eq.A3.12) suggests approximation would be to assumethat x adjusts instantaneously to the concentration of y. The validity of this \"quasisteady-state assumption\"is basedon the fact that the first equation A3.12) can be written as:
/ /
1 dx s ax
\342\200\224
xy
+x
\342\200\224
qx
13.6. Spatial Patterns

I I I
351 5.0
\342\200\224
3.0
Inx
\342\200\224
\342\200\224
1.0
1
0.0
150.0
300.0
r
450.0 600.0
steady-state solution.
Figure
13.6. Logarithmic
Perturbation applied at t
= 153.
plot of In x following
a 6.5% decrease of y from
s Since
in
^> 1 the left-hand sidecan be set equal to zero, and x can be expressed terms of y by the algebraic relation
x
which
= {A
y)
+ [(i
- yJ +
2<z
A3.20)
One can show numerically that the representedin Figure 13.5B. model and for of the limit cyclein the Y-Z plane for the complete projections similar. the model where assumption A3.20)has beenmadeare quite Finally, the numerical analysis showsthat perturbations around a stable steady state decay back to this state after displaying a flash of activity which can last a very limited periodof time, as shown on Fig.13.6.
is
13.6SPATIAL
PATTERNS
When diffusion is taken into account, the rate equations for the Oregonator to analyze. Stanshine A975) performed an asymptotic become more complex He obtains analysis of these equations,as describedbriefly in Section8.5. solutions in the form of spiral waves emanating from a \"leading center.\" It would be very desirableto completethese considerations with linear
stability-
analysis to determine the role of diffusion in the initiation of the This would settle the point raised in Section13.2. spatial patterns described Smoesand Dreitlein, 1973) by someauthors (e.g., Thones,1973; according
i52

waves\342\200\224can
to which all spatial patterns\342\200\224including be interpreted spiral in terms of the dependence of the frequencyoflocal oscillators on temperature and concentration. In this respect,however, we may note that the analysis of Chapter 7 and Section suggeststhat spatiotemporalpatterns can in chemical notably systems involving more than two systems, appear variables,as a result ofa symmetry-breakinginstability causedby diffusion. A general analysis of the equations governing the wave front in the Oregonatorhas recently been reportedby Murray A976).Wave solutions, to moving bandsof concentration, are shown to exist, and which correspond upper bounds for the wave speed are provided.Numerical results with parameter values obtained from experiment, compare favorably with the observations on the Belousov-Zhabotinski reagent.
8.6
13.7.BRIGGS-RAUSCHER REACTION
Pacault and co-workers de Kepper, (Pacault, de Kepper,and Hanusse,1975; have realizedan open homogeneous reactor for Pacault, and Rossi 1976) the study of the Briggs-Rauscher reactionmentioned at the end of Section13.3. In addition to parameterssuch as the rate of stirring, the temperature, and rate of influx within the reactor, they control the concentrations pressure, of a number of \"initial\" chemical species oncethe latter are injected within
Figure
13.7.Experimental
stability diagram
for Briggs-Rauscher reaction in
spaceof chemical
constraints.
13.7.
Briggs\342\200\224Rauscher
Reaction
353
10
irii
= 0,058mol. I\021, [CH,(COOHJ]O

[MnS04]o= 0,004mol.
Figure
= 0,17mol. 1 -,_ [KI03],
I-1,
= 1,2mol.I\021; = 0,019mol. I\"'; [HC1OJ,,

[H2O2]O
T = 25-C.
13.8. Double
periodicities arising in Briggs-Rauscher reaction.
the reactor and are suitably homogenized. These \"chemicalconstraints\" are the concentrations of (H2O2J, The response and KIO3. CH2(CO2HJ, of the system to these constraints is determined by measuring the instanvalues of the temperature, redox potential, and concentration of iodine,which is formed during the reaction. on the values of the various constraints, one finds oscillatory Depending or nonoscillatory states.Figure 13.7 depictsthe state diagram of the systemin the space of the three chemical constraints referred to above. Inside the surfaceone has oscillatorybehavior, whereas outsidethe system evolvesto a steady state. A very interesting point concerns between states. On the transitions for crossingthe boundariesof the state diagram one can, certain additional switch between an oscillatory state and a slight variations of the parameters, a state different to steady corresponding (average)concentration level, and viceversa. Thesediscontinuous transitions may or may not be accompanied
instantaneous
by
A different
single jump to a new state, the system switches periodically between two Such \"double periodicities\" oscillatory steps having different periods. and arisefrequently in systems oscillators (cf. Section8.7) involving coupled for the models couldprovide useful indications in the elaboration of plausible
hysteresis. is illustrated in Fig.13.8. Instead of performing a possibility
reaction.
Chapter 14
at the RegulatoryProcesses SubcellularLevel

14.1. METABOLIC OSCILLATIONS
and other kinds of self-organizationphenomena are observed at Oscillatory all levelsof biological organization, from the molecular to the supercellular, or even to the socialone,with periodsranging from seconds to days or even oscillationsat the years. In this chapter we are interestedin biochemical subcellularlevel and the comparison of some theoretical models with experimental data. The most characteristicfeature of this type of oscillation
is
that
or (b) periodicity in enzyme activity due to regulation at the level of the enzyme itself; these so-calledmetabolic oscillationsare the main subject of the presentchapter. While the first type of oscillation, known also as epigeneticoscillations,have a period of the order of the hour, the periodof metabolic oscillations is of the order of the minute. Severalreviewsof biochemical oscillations are available in the literature Goldbeterand Caplan, 1976). In this chapter we (Hessand Boiteux, 1971; focus on a few representative examples of oscillatory enzymes giving rise to and related self-organization phenomena.We treat, metabolic oscillations the phosphofructokinase reaction in connection with the successively, the glycolytic oscillations, adenyl cyclase reaction, which catalyzes the of AMP in someorganisms, and reactions involving periodicsynthesis cyclic membrane-bound enzymes.
This may be due to one of two causes: sequence. (a) periodicity in enzyme synthesis due to control mechanisms at the genetic level (seeChapter 15)
they
involve enzyme regulation at a certain stage of the reaction
14.2. THE GLYCOLYTIC CYCLE

which have beenstudiedfor more than years, are Glycolytic oscillations, have beenobserved the best-known example of metabolic oscillations. They
10
354
14.2. The Glycolytic

GLU
Cycle
355
TPI
GAP
3-PG
PGM
2-PG
PPH
1L ii
PEP
.
I
-ADP
\342\204\242
Framed parts pathway. PFK and allosteric enzymes steps involving represent PYK. Figure
14.1. Glycolytic
yeast cells,yeast cell-freeextracts, beef-heart extracts,rat skeletal-muscle Finally, a reconstituted glycolyticsystem has been extracts,and tumor cells. studied in great detail and depth by Hess and co-workers(seeHess and for a survey). Boiteux, 1971, is a phenomenon of the greatest importance for the energetics Glycolysis of living cells. It consistsin the degradation of one moleculeof glucoseand of ATP, by meansofa linear sequence the overall production of two molecules The global of enzyme-catalyzed reactions summarized in Figure 14.1. reaction reads:
in
glucose+ 2 ADP +
2P,\342\226\240
+ 2NAD
2(pyruvate)
+ 2ATP + 2NADH A4.1)
556
At
Regulatory
at the Processes
Subcellular
Level
severalpoints along the chain a number of branchings take place,coupling in the cell, such as the Krebs cycle glycolysis to other energetic processes and the respiratory chain. A coupling with the biosynthetic pathways also via the adenine nucleotides. occurs, Let us now summarize the principal experimental facts for the reconglycolytic system, which is the basis for the theoretical model
presentedin Section14.3.
reconstituted
of Oscillations Characteristics
Oscillationsin the concentrations of all metabolites of the chain are observedfor certain (weak)rates of glycolyticsubstrateinjection. (ii) The periodof the phenomenon is of the order of the minute and depends on the temperature. The concentrations of the metabolites vary periodically
(i)
a range between 10\025 and 10~3M. (iii) All glycolytic intermediates oscillatewith the same period but with different phases.They can be classified in two groupsdiffering by a phase angle Aa, which is an increasing function of the substrate injection rate.
in
395nm
Yeast extract
Glucose input
100 mM/hr
= = 5s 1-99
E7.4 mg/ml)
Figure
at
395nm. 355nm. and 355-395 nm.
14.2. Experimental
plots for NADH oscillations recorded by absorbance measurements
14.2. The Glycolytic

Within
180\302\260.
Cycle
$57
each of the two groupsthe constituents oscillate in phase or with a the time variation of NADHduring phaselag of Figure 14.2 represents several periodsof the oscillation. (iv) The shape,amplitude, and period of oscillation depend on the rate of entry of the substrate.Belowa critical rate of injection the system presents or evolvesmonotonously to a steady state characterized dampedoscillations a certain critical by a high level of NADH.When the rate of entry exceeds value the oscillations are again damped,and one observesa steady state to a low levelof NADH.Thus, glycolyticoscillations arisein corresponding a bounded domain of rate of influx of the substrate.This fact, reminiscentof the stability diagram of Fig. 13.4 for the Belousov-Zhabotinski reaction, plays a crucial role in the construction of the theoretical model reportedin
Section14.3.
Role of Phosphofructokinase (PFK)

By plotting the phase of the glycolytic intermediates as a function of their positionalong the chain a crossoverdiagram may be realized indicating a A similar phaseshift at the levelof phosphofructokinase (seeFig.14.1). shift is found for pyruvate kinase (PYK), whereas a smaller shift can be attributed to glyceraldehyde-phosphate dehydrogenase(GAPDH).This indicatesthe basic role of PFK and PYK as principal points of control of the oscillation. The important role of PFK is further confirmed by the observation that fructose-6-phosphate (F6P),the substrate of PFK, seems to be the last substrate glycolytic capable of generating oscillatory behavior. Thus, addition of fructose-1, the PFK 6-diphosphate (FDP)which \"by-passes\" does not result in time i n the step periodicities pathway. to Fig.14.1, PFKcatalyzes the quasiirreversiblereaction Now, according > ATP + F6P ADP + FDP A4.2) nature of this enzyme*is revealed by its cooperative Moreover, the allosteric kineticswith respect to its substrates,products, and effectors (Mansour, In particular, PFKis directly activated by its product,ADP, as well as 1972). AMP. This gives riseto an autocatalytic processreminiscentof the model by mechanismsdiscussed in Chapter7.3, which is rather uncommon in enzyme As we see this regulation. shortly, autocatalysis provides the molecular basis of glycolytic periodicities. Note also that the secondproduct of the enzyme, FDP,does not play any regulatory role in the periodicitiesin
180\302\260
* We assume that the reader is familiar with the basic notions of allosteric proteins. A good review with illustrations on several regulatory enzymes is given by Bernhard A968).
358
Regulatory
at the Processes
Subcellular
Level
yeast.Finally, the substrate ATP plays an inhibitory role which disappears under the action of the secondsubstrate,F6P, which is an activator of the
enzyme. As a result of these regulations PFK presentsa periodic\"on-off\" perof oscillations, in the course performance passingfrom 1 % to 80% of its maxithat the enzyme conformation itself oscillates activity. This suggests between an \"inactive\" and an \"active\" form. The control by the various that as we saw gives rise to the periodicoperation of adenine nucleotides for the propagation of the periodicpulseof enzyme PFK,is alsoresponsible activity to the lower part of the pathway. Similar experimental observations have been made on intact cells and cell extracts.
maximum
14.3. MODELFOR GLYCOLYTIC ALLOSTERIC OSCILLATIONS

Introduction
The first theoretical model of the glycolytic pathway which predicted oscillatory behavior was worked out by HigginsA964). Shortly after the discovery of the privileged role of the PFK in the glycolytic chain, Sel'kov A968) proposed an elegant theoretical model for glycolytic oscillations The model involvesa phenombasedsolely on the PFKcatalyzed reaction. Ansatz the of PFK by its product, and activation enological concerning the Goldbeterand a first of observed behavior. Subsequently, gives picture Lefever A972) worked out a more elaborate model taking into account explicitly the allostericnature of PFK. The assumptions the Goldbeter-Lefever model may be sumunderlying summarized as follows (seeFig.14.3): hypotheses.We considera monosubstrateallostericenzyme of two The protomersexist under two conformations, consisting protomers. R and T, which may differ by their catalytic activity and by their affinity toward the substrate.The reversible transition between these two conforis fully concerted,in agreement with the allosteric model of Monod, The on and obtained binding of the Wyman, Changeux A965). complexes to substrateto the R and T forms decompose irreversibly yield the product. The latter is a positive effectorof the enzyme and bindsexclusivelyto the R conformation, which has a larger affinity toward the substrate and/or a larger turnover number than the T state. (ii) Environmental hypotheses.The system is open;the substrate is supplied at a constant rate, whereas the product is removed proportionally to its concentration.
(i) Structural
conformations
d
\" a
d ^\"
\"\"a
o+
o o
o o
\342\200\242
o
\342\200\242
o o
\342\200\242
o o
\342\200\242 \342\200\242
o o
\342\200\242
w
\302\253
is Figure 14.3. Allosteric dimer enzyme model activated by reaction product. Substrate to active R state of enzyme and is removed from system proportionally to its concentration enzymatic complexes;k, k' are irreversible decomposition rate constants of forms R and T
(#)
follow from the regulatory properties the preceding assumptions Although of phosphofructokinase outlined in Section 14.2, several simplifications have beenmade. A detailedmodel should take into account the two subAs discussed in Section substrates of PFK,namely ATP and F6P. 14.2, glycolytic the are controlled oscillations by coupleATP/ADP rather than by the couple a two-variable monosubstrateenzyme which strongly suggests F6P/FDP, the analytical treatment of This assumption simplifiesconsiderably model. the system.The two variables consideredare the substrate ATP and the product ADP. The fact that F6Pis the substrateutilized experimentally in as ATP is being producedby the glycolythe control of glycolyticoscillations, does not affect this itself, system hypothesis;the important point is that the combination of F6Pand ATP producesfinally the activator ADP, the causeof the instability leading to oscillations. We can neglect the second w hich has no control and Sel'kov,1969) and FDP, (Betz product, regulatory doesnot induce any phaseshift (Hessand Boiteux, 1968a) under oscillatory conditionsin yeast. Moreover, the accumulation of FDPhas no effecton (Hessand Boiteux, personalcommunication). glycolytic periodicities is often a tetramer (Mansour, 1972) as in E. coli Phosphofructokinase Association-dissociation (Blangy,Buc,and Monod,1968). phenomena may also play a role in the regulation of the enzyme (Mansour,1972). we Here, considera single molecular enzyme speciesand restrict our analysis to the of a dimer.It shouldbe stressedthat the main simplestand minimal case of allostericproteins,namely, cooperative interactions, are characteristics already presentwhen the enzyme consistsof two protomers.Extension of the model to n protomersshowsno major difference with the dimer case
glycolytic
(Plesser, 1975).
affinity
The model consideredis a mixed K-V system in the terminology of Monod and co-workersA965):Indeed,the substrate exhibits differential toward two enzyme conformations (K effect),while at the same time
statesR and T differ in their catalytic properties The reasonfor (V effect). the general case for of a K-V system is twofold.The expressions considering of the general perfect K or V systemsare easily derived as limiting cases On the other hand, the role of enzyme inhibition by the substrate equations. in the mechanismof instability can be readily analyzed in such a system.As A965),such an inhibition is observed pointedout by Monodand co-workers K-V system provided the substratebindswith the highest in the concerted to the less active state of the protein. In the initial publication affinity in which the T state is totally Goldbeterand LefeverA972) treated the case inactive. Herewe present,therefore, a generalization of theseresults(seealso The last hypothesis concernGoldbeter1973; Goldbeterand Nicolis,1976). the enzyme regardsthe catalytic step,which is treated as irreversible in agreement with the experimental observations (Hess,Boiteux, and Kruger,
the
concerning
on the far from 1969),
equilibrium operation of the
PFKreaction.
14.3.Allosteric Model for Glycolytic

As to the
Oscillations
j/j/
substrateis only an approximation in vivo. It corresponds, nevertheless,to the conditionsfor the experiments with yeast cellsand extracts.The effect of a periodicinput of substrateand the case of a random substrateinjection rate are consideredbriefly in Section14.4. The latter situation is likely to of the system in vivo. representa more realistic description The last hypothesis concernsthe sink of the product.We considera nonsaturated sink for the product,taking into account the large concentration of enzymes following PFK in the glycolytic sequence(Hess,Boiteux, and In such a way, the only nonlinearity in the system arisesfrom Kruger, 1969). the regulation and cooperativity of the allosteric enzyme considered.
environmental constraints, the hypothesis of a constant input of
From a thermodynamic point of view, the requirement that the limit cycle behavior only arises in open systems operating far from equilibrium is the sink of the product,and the certainly satisfied,as the sourceof substrate, catalytic stepsare purely irreversible. The model corresponding is represented in to the preceding assumptions We denote by a, a' the kinetic constants for the binding of the Fig. 14.3. substrateto the R and T states,respectively;the corresponding dissociation constantsare denotedd and d'.Similarly, binding of the product to the R state and dissociationof the resulting complexes correspondto constants We consider the simple case where a2 = a and d2 = d. The constants a2,d2. k,,k2 are related to the interconversionof Ro into To; k and k! are the catalytic constantsrelated to the irreversibledecomposition of the enzyme-substrate in the R and T states,respectively (usually k! will be zero). The complexes constant input rate of the substrateis denotedvx, whereas ^s is the kinetic constant related to the outflow of the product.
Kinetic Equations The effectof diffusion considerhere the limit of a homogeneous system. is briefly analyzed in Section Let S and P denote the concentration of the substrateand the product, the concentration of the enzyme species in the R respectively;Ri} represents S state with i molecules of and molecules of P bound. Ro and To are the concentrations of the two enzyme conformations free of ligands;Tt and T2 are the two enzyme-substrate in the T state.We set: complexes
We
14.5. j
^\342\226\2401
= ^0 + \0201 + ^02 = ^20 + ^21 + ^22
\302\2433
362
Regulatory
at the Processes
Subcellular
Level
The system is described by the following set of kinetic equations:

\"I
\342\200\224
dt
-kô+ k2 To - 2aPR0 + dR0l - 2aSR0 + (d + k)R10

2aPR0
2dRO2 (d (d
dR01 =
dt
dR\302\2602
- dR01 - aPR01 + - 2aSR01+ - 2aSRO2+ + = aPROi ' = 2aSR0 - + k)R10- aSR10+ + dRl0 p..= + 2aSR01 - + k)Ru - aSRu +
dt
2dRO2
k)Rl2
dt
(d
2(d
k)R20
dt
(d
2{d
k)R21
dR12 =
dt
2aSRO2
-(d+ k)Ri2-aSRl2 + 2(d + k)R22

k)R20
dR2i = aSRn dR22 = aSRi2 dR20 =

dt dt dt
-\342\200\224\342\200\224
aSRl0 2(d +
2(d + k)R21 2(d + k)R22

\302\243~*
A4.4)
I ri T* ^ t T* 111 I ~ k2T0 = /cô 2aST0+ (a + k

1
i i
\342\200\224
~ = 2a'ST0IT,
dt
(</' +
k')Ti
k')T2
- a'S^+ 2(d' +
2 3
k')T2
a'ST,
- 2(d' +
ab
dS
dt
12
+
rfi1\342\200\224
li + 2a 12
\342\200\224
= -2aFi?0 + (d
+
Jt'7\\
- aP)/?oi + + 2k'T2 - ksP
2rf/?O2
^2
Oscillations
363
together with the conservation relation
I + YT; = D0 = const i.j-0

Ru
i
=0
A4.5)
where
=
\302\243Ry
\302\243i+r2+\302\2433
A4.6)
if
ij
that in the one observes time scales. Thus, one separate can make the usual assumption of a quasistationary state for the enzymatic forms (Heineken, The evolution equationsfor Tsuchiya, and Aris, 1967). these forms then reduceto algebraicrelations that permit expression of the concentration of the various enzyme complexes in terms of the metabolite
caseS $> Do and P $> Do, they
The study of Eq. A4.4) is considerably simplified

involve two
concentrations.
It is convenient here to normalize the metabolite concentrations by division through the dissociationconstant of their complexeswith the enzyme in the R state (Monod,Wyman, and Changeux, 1965):
where
KR(S)
= KR(P) = -=KR a
A4.8)
in the T state The dissociation constant of the enzyme-substrate complexes
is given by
KT(S)
KR(S)
A4.9)
A965)we alsointroduce the parameters Following Monodand co-workers

t
_ *i
The allosteric constant, L, equal to the equilibrium ratio To/Ro,gives the relative amounts of protein in the T and R states in the absenceof ligands.
364
Regulatory
Processes at the
Subcellular
Level
The nonexclusive c,gives a measureof the relative affinity binding coefficient, of the substratefor both enzymeconformations.Both parameters L and care the of the to kinetics. related cooperativity closely enzyme
Finally writing k
k
<14\302\273
and using the quasisteady-state assumption for the enzyme,one obtains:

Zl \"
'
ac^\" e' + 1/ +(l+7) \"\\

v
PoO + yJ
e+1
e' +
1/
\"
V
e+1
ac V
c' +
the
\\J
\\
\302\243+1
into the evolutionequations ofa and y, one obtains Inserting relation A4.12)
equations:
da
dy
r,
A4-13)
ft=f(a,y)-k,y
where
e' +
1/
7
V
\302\243+1.
A4.14)
Oscillations
365
states:
Let us denote by 9 the ratio of the turnover numbers of the T and R 0=
^<1
A4.13)\342\200\224A4.14)
A4.15)
We note that a perfect K system is defined by 9 = 1, c < 1, whereas both 9 and c are smaller than 1 in a K-V system. A perfect V system is dennedby 9 < 1, c = 1 (Monod,Wyman, and Changeux, 1965). is On the other hand, the term 2kD0 appearingin Eqs. the Let us write: to maximum rate the of equal enzyme reaction, vM.
With
form:
these notations, the evolution equationsof a and y take the following

\342\200\224
= a1
- /(a,
y)
A4.17)
f{*y)ky
with
e' +
All
1/
\"V
e+ 1.
A4.18)
except the quantities appearingin these equationsare dimensionless, an inverse of time. It is of whose dimension is that parametersa1, aM, ks, the values of allosteric to out in the limit of that, gratifying point very large constant L ^> (ct, + ksJ/k2,of e(e ^> 1), and for the parameter c = 0, the rate equations reduce to a form similar to the trimolecular model [seeEq. This limiting version of the allostericmodel has been analyzed G.13)]. recently by LefeverA975).
Stationary Statesand Stability Analysis
At
the steady state the normalized concentration of the product is simply:

7o
=~
A4.19)
366
Regulatory
Processes at the
Subcellular
Level
The correspondingsubstrate concentration a0 is given by the following
relation:
a0
Bax
aA
A4.20) + a,(L'+ 1)= 0 with L = L/(l + y0J. Oneseesimmediatelythat the systemcannot reach any physicalstationary state when the rate of entrance of the substrate,vu exceeds the maximum reaction rate vM. Otherwise, the system admits a singlestationary state, <x0, given by the largest of the roots of Eq.A4.20). The existence of multiple stationary statescannot be ruled out when the number of protomersconstituting the enzyme is larger than two. It has been that allostericsystems may admit three stationary shown (Wyman, 1969) states when the number of protomers tends to infinity as in membrane The coupling systems(seealso Blumenthal, Changeux, and Lefever, 1970). of cooperativity to positive feedbackin the model consideredcould bring about a similar effectwith a finite number of enzyme subunits.However,the of a single physical steady analysis of such modelsindicatesthe existence as in the case dimer state, (Plesser, 1975). The next step in the analysis is to determine the stability propertiesof the stationary state. These propertiesare closelyrelated to the dynamic bebehavior of the system, as shown in Chapters6 and 7. Let us investigatethe response of the system to infinitesimal perturbations da, dy from the singular point (<x0, y0) by means of a normal modeanalysis. The linearization of Eqs.A4.17) and A4.18) leadsto the following system:
pAC8*BC6y at
at
^ = AC da + (BC
form
A4.21)
ks)dy
Theseequationsadmit solutions of the

dy
da = aea\"
c
* o* =y emt
A4.22a)
provided a> satisfiesthe characteristic equation:

co2 + [C{A
B) +
kjco+ ksAC = 0
A4.22b)
14.3.Allosterk
We
Model for Glycolytic Oscillations
367
have set:
e+ 1/
\302\243+1
Ve'+ l/\\
+e'+ 1,
2
e+ 1 A
e' +
1A
e' +
1/ Ve+ 1 A
e' +
e+l
A4.23)
+ (l + To)
A study of the characteristic equation enables us to determine the nature of the singular point (a0,y0) in the phase plane (a, y). Now, the quantity C is this is also true for of a perfect K system @ = 1), always positive. In the case A. In fact, the latter quantity is always positive for any value of 6, provided c and c are lessthan one, which is generally ensured.Thus, the steady state can only becomeunstable Re co 0) for
(i.e., >
C(A
B) + ks
<0
=0
A4.24a)
The critical point of marginal

C(A
stability
is dennedby
A4.24b)
B) + ks
In the neighborhood of and above this critical situation, the singular point enters the unstable region as a focus.The steady state is then enclosed by a limit cycle (Fig.14.4)corresponding to sustainedoscillationsof the conconcentrations a and y in time. Far from the critical region the singular point becomes an unstable node,but remains enclosed by a limit cycle as shown by numerical integration. Insertion of the value
ks
= C(B
A)
368
Regulatory
at the Processes
Subcellular
Level
20
15
10
Figure
14.4. Evolution to limit-cycle solution in a-y phase plane obtained by integration of Eq. A4.17)on analog computer. Values of a, y at unstable steady state are a0 = 16,y0 = 2. = 103 s , ks = 0.1s Parameter values are a, = 0.2 mM, KR = Do = 5 x 10~4 5 x 10\022 mM, L = 7.5 x 106,c = 10~2, = e' = 6 = 0. Period of the oscillations:
\302\243
145s.
0.1,
s~',
the expression for oscillations

in
to
at marginal
stability
yields the linear periodof the A4.25)
'T
In
C[A(B
This relation is in good agreement with numerical resultswhen the system has just entered the unstable domain. As shown in Fig.14.4, the limit cycle is stablesinceit can be reachedfrom either inside Numerical (e.g., starting near the unstable steadystate) oroutside. a initial leads to with various conditions unique asympalways integration trajectory. Thus, transitions between multiple limit cyclesseemto be
asymptotic
in excluded
this
diagrams can be constructed similar to those establishedin Chapter 7.
By evaluating condition A4.24b) on a digital computer, a set of stability
system.
14.4. Limit-Cycle
Oscillations
369
Thesediagrams describe the behavior of the system as a function of the main and ks. parametersa1,aM,L,9,c,
A direct examination of these diagrams allows a number of qualitative observations (Goldbeter and Lefever, 1972):
\342\200\242
\342\200\242
\342\200\242
Sustained are observed oscillations in K as well as in K-V systems. The unstabledomain generallycorresponds to large valuesof the allosteric constant, L, of the order of thoseobtained experimentallyfor a number of allosteric proteins. for limit cycle beSubstrateinhibition of the enzyme is not a prerequisite behavior sincethe system may oscillatefor c = 0, 9 = 0.
of the periodic In Section14.4 we analyze in somedetail the characteristics solution in the case of a constant inflow of substrate.Where possible,the theoretical predictionsare comparedto the experimental facts concerning glycolyticoscillations.
14.4. LIMIT-CYCLE OSCILLATIONS

The evolution of the system to a limit cycle has been followed numerically for a wide range of values of the various parameters. The oscillations correwell to the behavior observedon cell extracts,for both the order of and magnitude of the periodA min) and the concentrations (between 10~4
correspond
Note of the oscillations. substrateentry a^ on the characteristics together ks, are the principal parametersthat can be controlledin
with
experiments.
Particular attention was given to the effectof the variation of the rate of
that
the total enzyme concentration Do and the rate of removal

\"in vitro\"
au
experi-
the influenceof ax on the amplitude of the metabolite describes Figure 14.5 and on the of y period the oscillations.We observe that the amplitude a maximum and that the curve y = y(ox) is slightly asymmetric displays and extendsbetween two finite values of ax, which correspondto states of marginal stability. The period, on the other hand, displaysan inflexion point correspondingto the maximum of the amplitude and decreases within most of the interval between the two extreme values of ax. The numerical simulations show that the form of the oscillations can vary A nonsinusoidal. between almost sinusoidal and considerably distinctly periodicvariation of the enzymatic activity is alsoobservedas a function of
r(s)
10
12
14
Figure
and other ks= 1 s~',L = 5 x 106,
14.5. Period
and amplitude
of oscillations as function of substrate injection parameters (except ct,) as in Fig. 14.4.
rate for
ff,. The activation factor is found to be higher for low valuesof the injection velocity,in agreement with experiment. The influence of other parametersrelated to environmental conditions are observedfor a restrictedinterval (e.g., Do and ks) is similar; oscillations of values of these parameters.On the other hand, the oscillatory behavior subsistsfor a wide range of variation of the structural parametersof the L, 9, c, and k). Finally, the value of the period seemsto be enzyme (e.g., remarkably insensitiveto the values of the parameters. The role of the cooperativity in the oscillationsis reflected by the fact, conthat limit cycles can only be observedfor large values of the allosteric The role of the activation by the product is equally important. Indeed, constant. the numerical study of the characteristic equation showsthat the steady state becomesan unstable focus only when the normalized concentration of the assoon product,y, is higher than unity. In other words,the instability occurs of the as the product of the reaction can induce an appreciable displacement enzymatic equilibrium toward the active forms.
14.5. Effect of External
Disturbances on Limit-Cycle Oscillation
371
14.5.EFFECTOF EXTERNAL OSCILLATION

A
ON LIMIT-CYCLE DISTURBANCES
in a given range is likely to representthe in fluctuating more realistically than a constant source consideredin the sections. the of the allostericenzyme oscillator previous Recently, response to a periodicand to a stochasticinput of substratewas investigated both and by numerical experimentally (Boiteux, Goldbeter, and Hess, 1975) simulations (Goldbeter and Nicolis,1976). Here the effectof we only discuss discontinuous additionsof ADP or ATP (Goldbeter,1976). Experimentally, one observesthat such pulsesof ATP or ADP phase shift the oscillations, whereas no such effect is observedwith F6Por FDP.This illustrates the important roleof adenylate control in the mechanism of glycolytic oscil-
substrateinflow
vivo situation
oscillations.
In a typical experiment(Pye, 1969), 0.7mM of ADP causesa delay of more one minute in a yeast extract oscillating with a periodof 5 min, when addedat the NADHminimum. The resultsof the corresponding simulation on the allosteric model for the PFK are shown in Fig. In Fig.14.6,4, H the unperturbed oscillations of the productand the substrate are represented, and the numerical values of the parametersare such that the period is of
than
14.6.
As indicated in Fig.14.6B, times over the period. C, F,G such an When addition of the reaction producthas no effectover most of the period. addedat an ADP minimum, an immediate responseis observedin the form of a small peak of the product as indicated in Fig. This phase shift results in a delay of more than one minute in the next peaks, which are identicalto those obtainedin Fig.\\4.6A. Earlier addition of ADP causesonly a minor phase shift, as shown in Fig.14.6D. The reason for this is that the substrate has to accumulate to a critical level before being consumedon of ADP).This condition is not satisfied addition of the positive effector(i.e.,
0.7mM ADP for KR(P) = 5

for different
300 s.The effect of addition of a pulse of 14 units of y [corresponding to

x 10\022mM;seeEq.A4.7)]during
5 s isstudied
14.6\302\243.
in
The preceding results are in qualitative and quantitative agreement with experiment. They are also strongly reminiscent of the general behavior of nonlinear oscillators to external pulsesoutlined in Chapter8.This analogy can be pushed further by constructing the phase-shift curve 9 = 9(t0) rereferred to in Section 8.7. this curve, for a fixed duration Figure 14.7 represents of the stimulus and for variable intensities. The fact that the phaseshift is limited to a restrictedportion of the period provides a molecular basis for the refractory period observedin a number of biochemical oscillators,which is thought to play an important role in We supercellular phenomena related to development and morphogenesis. return to this point in Section14.7.
Fig.14.6D.
o g
J
I
i-
O -^
a;
o s
62
150
31
75
500
(G)
Figure
duration
1000
1500
500
1000
Time (s) (H)
Time (s)
14.6. Phase shift
of application
of oscillations on titration by reaction product. Arrows denote time = 8s s\" of pulse, 5 s).Curves established for <r, = 0.5 s\021,^ = 0.1 <xM
',
(S)
^r
3/47
i
3
i
40 30 20 10
+250
\342\200\224
+200
\342\200\224
+150
+ 100
\342\200\224
\342\200\224
-50
\342\200\224
-100
\342\200\224
-150
\342\200\224
curve for PFK model on titration by reaction product. Phase corresponding to delay (A0 > 0) or advance (A0 < 0) of oscillations, is given as over period T = 312 s.Phase 4> = 0 corresponds to maximum in function of addition time = 42.4. In upper inset, first maximum in y, denoted >'M, induced product concentration, 7 = value by product addition is given; phase shift is considered as phase advance when yM exceeds of 6 JyJJ,. The two curves correspond to addition of 14units of y within period of 2s @-00),and units of y within 2s Both curves are obtained by integration of Eq. A4.17)for a, = 0.1s-',(TM= = e' = lO\023, c = 1(T5, 0 = \\,L = 5 x 106. 0.5s-',fes
Figure
shift
Arj>,
<j> y\302\260M \342\200\224 (\342\200\242-\342\200\242-\342\200\242).
14.7. Phase-response
8s\"',c
374
14.6.Patterns of Spatiotemporal
Organization
in the Allosteric Enzyme Model
375
14.6. PATTERNS OF SPATIOTEMPORAL ORGANIZATION ALLOSTERIC ENZYME MODEL

experimental
IN
THE
In our preceding analysis the effectof diffusion has beenentirely neglected. The situation of spatial homogeneity certainly correspondsto the expericonditionsunder which the glycolyticsystem isolatedfrom yeast or muscle cellsis studiedin a continuously stirred medium. Analytically, the assumption of instantaneous homogenization allows the descriptionof the evolution of the model system by a set of ordinary differential equations. In vivo, or in the absenceof stirring in experiments with cell extracts, diffusion processes, as well as the influenceof the geometry of the system and of the boundary conditions, cease to be negligible. From the generalanalysis of Chapter 7 we know that diffusion processes of enlarge the possibilities structurization in open far-from-equilibriumsystemsby allowing the sponspontaneous formation of new patterns of spatiotemporal organization. The Belousov-Zhabotinski of reaction provides a striking example of existence such patterns, particularly in the form of propagating concentration waves. The study of models, such as the trimolecular scheme, leadsto similar results. In this section we intend to determine the conditionsunder which the allostericenzyme model consideredin the presentchapter exhibits periodin time and space. This can lead to a better understanding of the mechanisms prevailing in the generation of coherent behavior from cellular The effectof diffusion in the systemis studiedunder the following metabolism. diffusion of the substrateand simplifying assumptions: (a) one-dimensional the productand (b) spatially uniform distribution and negligiblediffusion of the enzymatic forms.* Under these conditions,adopting a quasistationary-state hypothesis for the enzyme as in the homogeneous the evolution of the metabolites case, in time and spaceis given by the partial differential equations, which are to be comparedwith Eqs.A4.13) and A4.14): da d2<x
periodicities
dt
dy
dr2
d2y
with
e+1/
* This condition is realized
enzymes.
experimentally in artificial
A4.26)
immobilized
membranes containing
376
Regulatory
at the Processes
Subcellular
Level
The spatial coordinateis denotedby r\\ Dx and D2 denote,respectively,the diffusion coefficientsof the substrateand the product.All other parameters have the same significanceas in Section14.3. We want to investigate the stability of the homogeneous stationary state (a0,y0) given by Eqs. A4.19)and A4.20) with respectto space-dependent Considerthe case of fixed concentrations at the boundaries, perturbations. values the steady-state (ao,yo).The linearized equationsA4.26) equal to state admit solutions of the form: this around
\302\243y
=y
e\302\260*
sin
\342\200\224\342\200\224
m=l,2,...,
A4.27)
and the characteristic equation becomes (Goldbeterand Nicolis,1976):
no instability of the thermodynamic branch leading to a steady-state In contrast, spatiotemporal spatial dissipative structure is possible. patterns can appearbeyond instability (Goldbeter, on the dimension 1973). Depending of the system these patterns can be either standing! or propagating wavesor, the classificai n this oscillations finally, quasiuniform limit-cycle (see, respect, of time-periodic in structures dissipative developed Chapter 7). Figure a regime of propagating wave.The resemblence 14.8 describes with the beof the trimolecular described behavior in Chapter7 is striking. A particularly fascinatingphenomenon is that the regimes dominated by diffusion and by the oscillatory chemicalreaction are separatedby a critical length of the system, /*. This point has been analyzed recently by Nazarea A974), who showedthat for / < /* a reaction-diffusion system similar to Eq. A4.26)can only admit a unique solution on the thermodynamic branch, as briefly discussedin Section 7.13. An approximate expressionfor this
parameters classification
+ ksCA = 0 A4.28) The coefficientsA, B, C have the same interpretation as in Section14.3. A study of Eq.A4.28)shows that for realisticvalues of the various param-
t These\"standing spaceperiodicity,
conditions.
waves\" should not be confused'with the steady-state patterns showing a which may alsobe solutions of reaction-diffusion equations under certain
14.6.Patterns of Spatiotemporal
Organization
in the AHosteric Enzyme
Model
Space (cm)
Space (cm)
0.3
of the product concentration during regime of propagating Figure 14.8. Spatial distribution s\" concentration wave in allosteric model. Length / = 0.3 cm, <t, = 5/<s = 0.5 aM = 102 s~ L = 5 x 106, c = \\02, e = e' = 6 = 0, = D2 = cm2 Period of phenomenon is T = 202.8 s.
0.1,
\302\243>,
10\"
s1.
',
'.
dct/dt
critical length is obtained easily as follows. Sincethe sign of the derivative term at in Eq. A4.26) is of the changeson the limit cycle, the source Sincethe order of the nonlinear contribution from the enzymatic reaction. kinetic term is of the order of au one is left with the approximate relation
jl ^ subject to the boundary conditionsa
\342\200\224
A4.29)
= a0 in r = 0 and r = /. The solution

+ +
\302\253\302\260
^=-w/ wxr
passesthrough a maximum
am
A430)
relation holds:
at r
\302\253m=
\342\200\224
A/2), where the following
j |
A4.31)
378
Regulatory
at the Processes
Subcellular
Level
The ratio
gives a measure of the relative importance of chemical reactionsand diffusion; the distribution oc(r) is uniform for infinite diffusion or for small /, and becomes If parabolicas the kinetic contribution increases. the critical length is dennedas that for which the two terms on the right-hand are of the same order,one obtains the expression sideof Eq.A4.31)
(xM/a0
/\342\200\242
^^
A4.32)
of the critical length on the square root of the ratio The dependence kinetic term) agreeswith dimensional analysisand with the simulation study. The influenceof the length of the system on the stability propertiesof the rate equations, which was alsopointed out in the analysis of the trimolecular of model (seeSection7.8), illustrates the role of diffusion or,more precisely, diffusion coefficient/(lengthJ as a coupling parameter between neighboring When this coupling is very strong, the system remains on the spatial regions. the chemicalkinetics takesoverand thermodynamic branch.When it is loose, can give rise to sustainedoscillations. Betweenthese two extremes one can have \"intermediate\" forms of organization in the form of concentration waves. What are the space scales for the various structures in the glycolytic The effectof diffusion has been studied with the same values of example? case parametersfor which the limit-cycle behavior in the homogeneous matches the oscillationsobservedin yeast and muscle with respectto the periodand amplitude. Inserting thesevalues in the model in the presenceof over which space-dependent strucdiffusion, one finds that the dimensions ariseare supracellular and vary between 10\"2 and 1 cm for the wavelike solutions.Although the equation derived for /* is a simple estimate, it yields good agreement with the simulation results.For the parametersused in relation A4.32)givesa critical length of the orderof 2.5x 10~2cm; Fig.14.8, a regime of propagating waves is achieved accordingly for / = 0.3 cm, as shown in Fig.14.8. the behavior manifestsitself Thus, clearly spatiotemporal at a supercellular level. On the basis of simulations, the behavior of the Dx = D2can be summarized in systemas a function of dimension / in the case the following way: <(///*) < 1 time-independentregime on the thermodynamic branch 0.1 <(///*) < 10: 1.0 standing waves / ^ 10/*: propagating waves
structures
/ ^>
10/*: oscillations in space quasihomogeneous
and co-workers Recentexperiments (Hess, private communication) by Hess the existence of confirm spatiotemporalpatterns in glycolysis,with charcharacteristic lengths in the millimeter range and with periodscomparableto oscillation. thoseof the homogeneous
14.7. Periodic Synthesis
ofcAMP
379
14.7.PERIODICSYNTHESIS OF cAMP
most fascinating phenomena is the processof aggregation of the amoebaDictyostelium discoideum leading from isolatedcells to multicellular differentiated bodies This processinvolves an oriented responseof the cellsto a (Sussman, 1964). gradient of cyclic AMP in the extracellular medium, known as chemotaxis. It has long beenknown that amoebae of the abovementioned species aggrein a wavelike manner around a number of centers. Pulsesof cyclic AMP emitted by the centerswith a periodof severalminutes propagateoutward to other cells through a relay mechanism that allows the formation of large In connection with this phenomenon, aggregation territories (Gerisch, 1968). metabolic oscillations in suspension controlled by cAMP have beenobserved cultures of aggregation-competent D. discoideumcells (Gerischand Hess, 1974)and shown to arise independently of the glycolytic oscillations. In this sectionwe describea plausiblemechanism for the oscillations of cAMP,basedon the regulation of enzymesdirectly involved in the synthesis of this metabolite (Goldbeter, The two regulatory enzymesconsidered 1975). in the model, ATP pyrophosphohydrolase (EJ and adenyl cyclase(E2), transform ATP into 5'AMPand cAMP,respectively,as indicated in Fig.14.9. In D. discoideum,this system is positively controlled (Rossomandoand is activated by 5'AMP, whereasATP pyrophosSussman, 1973); adenylcyclase is cAMP. In cases activated both the interactions of the phorydrolase by
vital
aggregate
of cyclicAMP emitted by Signals
at various levelsof complexity. One of the processes
living
cellsseemto control a number of key
-ATP
14.9. Mechanism for oscillatory synof cAMP in slime mold Dictyostelium discoideum.
Figure
synthesis
380
Regulatory
at the Processes
Subcellular
Level
the allosteric enzymes with the effectorsare highly cooperative, suggesting nature of the enzymes. Finally, the two reaction products are coupledby which transforms cAMP into 5'AMP.The latter leaves phosphodiesterase, the system via another enzymatic step involving 5'nucleotidase.* for the modelcan be developed The rate equations in excatly the same way for the PFKreaction. as in Section14.3 The differenceis that one dealshere with three coupledvariables, namely, ATP, 5'AMP,and cAMP, and two and the nor2) the allosteric regulatory enzymes.Denoting by Lt, aMi (i = 1, maximum activity of enzyme normalized term by ax the normalized source of the substrate, by k x, k2 the rate constants for the sink of 5'AMPand cAMP, and by a, /J, y the normalizedconcentrations of ATP, 5'AMPand cAMP, one
\302\243,,
obtains:
^=
dt
_ f{a y) _
1
/\342\200\242
(a
j
where
~ k2y = f2(*J)
<tm1ocA
A4.33)
J1 Li + A + aJ(l + yJ
+ a)(l + yJ
h = zf+^T^lTTW
<R34)
Theseequationsare to be comparedto Eqs.A4.13) and A4.14). They contain
the additional simplificationthat the nonexclusivebinding coefficientof the substratehas been set equal to zero for the two enzymes. The stability analysis around the steady-state solution of Eq.A4.33)shows an unstable focus. Within the unstable domain the that the latter can become system performs sustained oscillationsof the limit-cycle type shown on The periodof the phenomenon, which is well within the 3-5-min Fig. range observedexperimentally, is largely independentof the enzymatic constants and of the substrate injection rate. As in the PFKreaction, the role of enzymecooperativityin the onset of the oscillations is illustrated by the fact to that the oscillatory domain corresponds large values of the allosteric
14.10.
* A model for a circadian rhythm involving cAMP and based on negative feedback has been reported by Cummings A975).
14.7.Periodic Synthesis
21 18 8 15
ofcAMP
381
100 200 300 400 500 600 700 800 900 1000
Time (s)
Figure
14.10. Periodic
integration
kl
= k2 = 0.1 s\"\\ a,
of Eq. A4.33). Numerical
of normalized cAMP concentration obtained from numerical values of parameters are <tm, = 0.4s\021, aM2 = 10s~l, = 0.5s\021, Z-! = L2 = 106.
variation
of the orderof 106. The pulsatory nature of the oscillations constants, displayed 14.10 and the well to the releaseof Fig. stability of the periodcorrespond pulses of cAMP by the aggregation centers as observedexperimentally has Morerecently,the oscillatorydynamicsof adenyl cyclase (Gerisch, 1968). of D. discoideumcells(Gerisch been directly demonstrated in suspensions
in
and Wick, 1975). and Segel, that Further simulationson this system(Goldbeter suggest 1977) the mechanism giving riseto the cAMP oscillations may alsobe responsible for the relay of the cAMP signal taking placeduring aggregation. The main point is that, outside the oscillatory domain, the system describedby Eq. A4.33) can amplify an external cAMP pulse if the latter activates adenyl Underthese conditions, via binding to the membranecAMP receptor. cyclase a new amount of cAMP is synthesized in the form of a pulse,thus relaying the chemotactic signal. Finally, thanks to the formation of 5'AMP from cAMP in the phosphodiesterasereaction, sustainedoscillations can still arise in the absenceof ATP In contrast, adenyl cyclase to be indispensable seems pyrophosphohydrolase. for oscillatory behavior (Goldbeter, 1975).
382
Regulatory
at the Processes
Subcellular
Level
14.8. INVOLVING REACTIONS

Within
MEMBRANE-BOUND ENZYMES
the majority of enzymes are attached to membrane the living cell, In recent years the binding of structures or contained in cell organelles. membraneswas into achieved,enabling study of the intersynthetic enzymes between diffusion and enzyme kinetics under biologically plausible Of particular interest is the possibility of achievinghomogeneous conditions. distribution of enzyme molecules (seeThomas, 1975 for a recent survey). i t that immobilization increases Moreover, appears drastically the life time of the active enzymatic forms. Generally speaking,the phenomena observedin such systemscan be classifiedinto two categories.
interaction
Effectof MembraneStructure on Enzyme Behavior The binding of enzymes into an insoluble phaseallows the creation of strucOne possibleconsequence modesthat include diffusion constraints. is an asymmetricaldistribution of active sitesin the structure. This can result in phenomena similar to active transport, in the sensethat a certain metabolite is transportedacross the membrane against gradient (Broun, Thomas, and
structural
Selegny, 1972).
Effectof LocalConcentrationDistribution of Reactants on Enzyme Behavior
The local environment within a membrane undergoing enzymatic reactions is the result of a balancebetween the flow of matter and the reactions. As a result, the substrateand product concentrations in the membrane may vary in time or differ from point to point acrossthe membrane as well as from the outer solution.For instance, sustainedoscillations have beenobservedby Caplan, Naparstek, and Zabusky A973) in the hydrolysis of benzoyl-Larginin ethyl ester by a membrane containing bound papain. Computer simulation of the model rate equationsreproducethis behavior. A striking exampleof spatial organization is reported in a study involving glucoseoxidaseand urease,in the presenceof their substrates.The glucose-oxidase reaction increases the pH, whereas the ureasereaction decreases the pH.As the enzyme activity dependsstrongly on the pH, the reaction sequenceis Finally effectively autocatalytic (Thomas, Goldbeter,and Lefever, 1977). have Chanu and Delmotte (Delmotte and Chanu, 1971; Delmotte, 1975) on the ionic transport propertiesof memconductedextensive experiments membranes containing immobilizedenzymesimmersed in an opensystem reactor
14.8. Reactions Involving Membrane-bound Enzymes and observedcooperative phenomena in the multiple regimes of transport.
383
form
of simultaneously stable
The mathematical analysis of these phenomena follows the lines adopted The main point to be retained at the outset is throughout this monograph. that the usual expressions of the activity of the various enzymes (whether allosteric or simply Michaelian)have to beunderstood in a local sense. Thus, the time evolution of, for example,a substrateconcentration S, takes the form (assuminga one-dimensional system with diffusion along the thickness of the membrane)
PC
-Ds^
/JC
A4.35)
where F(S)describesthe effect of the enzyme reaction. This equation is those for H+ the productsand for or OH\". generally coupledto The boundary conditions, for the substrate concentration, can be especially can be an impermeable symmetrical,fixed,or variable. Oneof the boundaries in such as case where an the is wall, enzymecoating attached to a sensitive
glasselectrode.
We
of the have already insisted, in Chapter7 and in the preceding sections in on of situations encountered the systemsobeypresentchapter, variability ofimmobilized To illustrate this for the case reaction-diffusion equations. membrane separating two compartenzymes,considerfirst a urate-oxidase a concentration So. a substrate solution at Supposethe containing shows an inhibition substrate excess. The rate kinetics by equation enzyme for S readsat the steady state (Duban,Kernevez, and Thomas, 1976) d2s
obeying compartments
with
= s0,
and
=0
(\302\243)
A4.36)
(R37)
The equationsare written in dimensionless variables.The length unit is the membrane thickness, the concentration unit is the Michaelis constant of the a are to the diffusion conand and k constants related enzyrfle, KM, positive thicknessof the membrane, and characteristics of the enzyme. constant, A study of Eq. A4.36) showsthat the system can admit multiple steady states and hysteresis phenomena similar to thosedescribedin Section8.4.
384
Regulatory
at the Processes flux
Subcellular
Level
This can be best seen by approximating the

expression
diffusion
through the
ex-
So-S
where / is the thicknessof the membrane, which is now taken to be inactive and separating a reservoir from a compartment of thickness/ containing a enzyme solution. homogeneous When a cofactor is present and plays a rate-limiting role, the system is describedby the equations(Duban,Kernevez,and Thomas, 1976)
Jt~ <raF{s)
da
ds
- d2s dx2
1
aaF(s)-
d2a
\"\302\253d?
A4.38)
where a is the reducedcofactor concentration, and the boundary conditions as well as F(s) are given by similar expressions as before. Numerical and analytical studies show that this system of equations admits oscillatory solutions of the limit-cycletype in a range of parameter values. Again, this can be best seen by simplifying the partial differential for the diffusion flux, which equationsby meansof an approximate expression leadsto a system of ordinary differential equations.A more completetreattaking spatial derivatives into account predicts the possibilityof spatial patterns and/or time periodicities.
treatment
14.9. THE PHYSIOLOGICAL SIGNIFICANCE OF METABOLIC OSCILLATIONS

In this chapter we have thus far shown that cellularmetabolismcan generate coherent behavior in the form of sustained oscillations and/orspatial patterns The occurrence of regulatory enzymes distances. extendingover macroscopic in the great majority of biochemical reactions and/or feedback processes suggestthat this type of behavior is far from exceptional in living cells. Independently of their specificmetabolic context, coherent patterns of the dissipative structure type are endowedwith powerful regulatory properties, someof which are pointed out in Chapter7.Further remarkson thesegeneral aspects are to be found in recent review papers on chemical oscillations No yes and Field,1974; Goldbeterand Nicolis, and Portnow, 1973; (Nicolis Goldbeterand Caplan,1976). 1976; In this sectionwe insist more specificallyon the role of metabolic oscillaat the subcellular level. We review briefly three important regulatory
oscillations
14.9. The Physiological
Significance
of Metabolic
Oscillations
385
phenomena where these oscillationsseem to play a prominent role:(a) modulation of the adenylic energy charge, (b) onset of developmental proand (c) problemof circadian rhythms. processes, Modulationof Adenylic Energy Charge wesaw in the first sections of this chapter, the PFKreaction takesplaceat upper part of the glycolyticcycle, whose primary role is to synthesize ATP. Thanks to the regulation via the oscillations, one can say whether the system is functioning accordingto whether the ATP level is low (high levels of ADP and AMP), or high (low levelsof ADP and AMP) or,equivalently, Atkinson A965) has quantified accordingto the energetic needsof the cell. this ideaby introducing the notion of adenylicenergycharge, which depends on the various adenylates as follows
As
the
(ATP) + j(ADP) 0 < AEC < 1 A4.39) (ATP) + (ADP) + (AMP) He suggested that this quantity controlscellular metabolism, in the sense that a high valueof AEC inhibits the sequences ofmetabolism that regenerate ATP and at the same time activates the sequences utilizing ATP. The allostericmodel of glycolytic oscillations enablesus to analyze the effectof oscillations on the adenylicenergycharge. the Figure 14.11 represents time evolution of this quantity, which is seento be periodic, as a result of the AEC =
1.0
0.8 0.6 0.4 0.2
>
,
/ /
,
I
f /
I I I
\342\200\224
150
300
450
600
from
750
,
con-
Time (s)
Figure
conjunction
14.11. Periodic variation

with Eq.
of energy charge calculated
definition
A4.39) in
A4.17).
386
\"entrainment\"
oscillations
Regulatory
Processes at the
Subcellular
Level
The point is that these oscillathe glycolyticoscillations. of level of energy charge during an aplead to a drastic lowering the that one of the rolesof the glycolytic appreciable periodof time. This suggests oscillatormight be to induce an alternative switch on and off of reactions
by utilizing
ATP and of those producingATP (Goldbeter, 1974).
CellAggregation and Pattern Formation

Robertson Goodwinand CohenA969)(seealso Robertsonand Cohen,1972; have conjectured that chemicalwaves provide the Drage,and Cohen,1972) basisof the control of a large classof developmental processes. The results of Section14.6 the emergence of spatiotemporal periodicities of concerning in the PFK reaction support these ideas. dimensions supercellular there is no universal agreement on the role of spatiotemporal Although control in higher organisms, it is certain that periodic phenomena do play a role in the early stagesof aggregation and in the differentiation of certain amoebaebelonging to the family of slime molds. In this respect, the periodic synthesisofcAMP in these organisms analyzed in Section14.7 fulfills an obvious physiologicalrole. Thus, Darrnon, Brachet, of aggregation and morphoand da Silva A975) have shown that the absence in certain mutants of D. discoideumcan be overcome by subjecting the amoebaeto periodicpulsesof cAMP.In contrast, continuous flow of cAMPfails to promote differentiation.Similar resultshave been obtained by Gerischand co-workers cells,in which the appearA975) with D.discoideum of cell-contact sites characteristic of the aggregation stage has been This morphogenetic block, however, can be bridgedby periodic blocked. cAMPpulses.
morphogenesis
appearance
Circadian Rhythms
Many
of the period,phaseresetting, or entrainment by an external stimulus, enable the organism to adapt in a flexibleway to external conditions and to keep, suitable phase relations, an identical successionof various vital through
of one day.The basicpropertiesof these oscillations, order such as stability
organisms displayan innate low-frequencybehavior with periodsof the
processes.
As suggested by Winfree A967) and PavlidisA973),a circadian rhythm may originate from a coupling of a number of biochemical oscillatorswhose periodis of the orderof the minute. The periodstability, phaseresetting, and for the PFK reaction in both model and experiments entrainment observed to this view (see also Winfree, 1975). add credence Nevertheless,the mechanby which the periodcan be lengthened remains a matter of speculation.
mechanisms
Chapter 15
at RegulatoryProcesses CellularLevel
15.1. INTRODUCTION
to the secondgeneral type of control mechanism in living cells, the control of the synthesis of proteins.We know that one of the namely, most important roles of proteins is catalysis of various reactions. Now, of are of the order several stable times molecules proteins (life generally Thus, it is not unusual to minutes), whereas catalysis is a very fast process. have a situation where the protein level in the cell tends to be too high. In the synthesisof to this, the organism usessomesubstances to repress response the macromolecules. In other circumstances it may happen that the organism to a violent change of the environment.New typesofmacromolecule is subject are neededto catalyze the reactionsinvolving the new substratesavailable. The ingenious trick employed by living cells is that a new substratecan itself induce the synthesis of these macromolecules.* In the first few sectionsof this chapter we show how these negative and and their combination may give riseto coherent positive feedback processes oscillations transitions or of sustained phenomena in the form of all-or-none of the limit-cycletype. The latter belongto the classof epigeneticoscillations, to the terminology of Section to the with periodscomparable according duration of the cellular cycle itself. These phenomena are illustrated in the coli); regulation of the lac operon in the bacterium Escherichiacoli sincethe pioneerbacterial regulatory mechanismsare now well established In contrast, regulation in eukaryotic work of Jacob and Monod A961). cells is, to a large extent, still an open problem(seehowever Britten and for someinteresting contributions in modellingthis phenomDavidson,
We now turn
14.1,
(\302\243.
pioneering
1969,
phenomenon).
* We assume
well
by
as with
that the reader is familiar with the main steps of the biosynthesis of proteins, as the basic concepts of the genetic code. An excellent survey is found in the monograph
Watson A965).
387
388
Regulatory
Processes at Cellular Level
In the last sectionsof the present chapter we are concernedwith the After reviewing evidenceof the existence of a regulation of the cellular cycle. mitotic oscillator we briefly present the work of Kauffman, A974a,b; which provides a beautiful Kauffman and Wille, 1975), illustration of the in the regulation of vital activities. role of sustainedoscillations
LAC OPERON 15.2. We first analyze the utilization of a disaccharide, lactose,as a carbon and E.colicontains the enzymes by the bacterium E. coli. Although energy source for the metabolism of glucose under all conditions, cellsgrown in necessary the absenceof lactoseare unable to metabolize this substance immediately when they are suddenly exposedto a lactoseenvironment. After a certain lag, however,they begin to assimilatethis sugar at a high rate. Lactose-grown cells,on the other hand, can metabolize this sugar at almost the same rate as they metabolize glucose. A comparison of the enzymaticcontent of glucoseand lactose-grown cells showsthe presenceat high levelsof certain enzymes in lactose-grown cells, which are barely detectablein glucose-grown ones.These include: (a) fiwhich hydrolyzes lactoseto its constituent monosaccharides, galactosidase, and galactose, which mediates the entry glucose (b) galactosidepermease, of lactose into the cells,and (c) a sequence of enzymes not essentialfor the lactosemetabolism,such as thiogalactoside transacetylaseas well as enzymes in the to a glucose conversion derivative. participating galactose It is now established that the synthesis of these enzymes is regulated by a part of the bacterial genome, the lac operon (Beckwith and Zipser, 1970) which is shown in Figure A repressor, R, is synthesized by the gene i its it the I n active form combines with the operator,o, and along operon. inhibits the transcription of the structural genesz, y, a synthesizing, respec(M),and thiogalactoside /?-galactosidase (E), permease transacetylase An whose is facilitated by permease,liberates the inducer, I, (A). entry operator,and thus the synthesis of proteinscan begin.Allolactose,a lactose
15.1.
respectively,
'
i
1
\302\260
y
j
i i
I
1
y
\342\200\242!
8BR
Figure
15.1. Schematic representation
|y
Q
i
j~ '
>
MA
I I
of
lac operon.
Mathematical 15.3.
Model for Induction
of ji-galactosidase
389
isomerformed by a reaction converting the 1-4bond of lactoseinto a 1-6 bond, is the natural inducer of the lac operon in E. coli cellsgrown in a lactose-rich medium. However,in many experiments the enzymaticsynthesis is inducedby the so-called that cannot be decomposed gratuituous inducers such as TMG (methyl-/?-D-thiogalacto-pyranoside), by /?-galactosidase, TDG (/?-D-galacto-i-s-thio-/?-D-galactoside) or IPTG(isopropyl-/?-D-thiogalactoside). Thus far we have beenconcerned with the positive feedbackrelated to the action of the inducer.When lactose(or, more usually, a precursorof the lactosecatabolism)isusedinsteadof a gratuituous inducer, the control of the lac operon is subjectto two adverse processes. As before, the inducer dethe a thus represses operator, exerting positive feedbackaction.However, is a productof the galactose which, as we saw earlier in this section, glucose, is effective a of metabolism, highly repressor the lac operon and exerts, a feedback action. this action, known as catatherefore, negative Actually, bolite repression, takes placevia a lowering of intracellular concentration of cAMP,which normally stimulates protein synthesis (Pastan and Perlman, Sections15.3 we analyze the consequence of the induction and 15.4 Section the whereas in 15.5 we examine combined effect of the process, on the of the and feedbacks lac positive regulation negative operon.
In
1970; Zubay,
Schwartz, and Beckwith, 1970).
15.3. MATHEMATICAL
j3-GALACTOSIDASE
OF MODELFOR INDUCTION
The investigationsof Novickand Weiner A957,1959) and Cohnand Horibata in E. coli gives rise A959) have shown that the induction of /?-galactosidase to all-or-none Thus, in a genotypically homogeneous populaphenomena. one finds two distinct levels of induction, namely, noninduced and maximally induced.Theselevelscan be maintained during several generaMore precisely, below a certain critical concentration of the inducer the rate of synthesis of /?-galactosidase (or of permease)is almost zero, it its maximum value. Everything this attains whereas beyond value rapidly could an if the bacteria undergo abrupt transition between two happensas levelsof enzymesynthesis,in the vicinity of the critical concentration. The modelshown in Fig.15.2 incorporates (Babloyantzand Sanglier,1972) the most important experimental data on the inducer'saction and the subWe have simply added to the scheme in Fig.15.1 subsequent enzyme synthesis. the entry of external inducer, Ie,into the cell via the action of permease, and the subsequentinactivation of the active repressorR by the internal
population,
generations.
390
I
Regulatory
\302\260
R'
--
~>
Figure
15.2. Regulation
of
lacoperon circuit.
inducer I(. The corresponding chemical stepsare:

(i)
A1) R
R'
.
<
*,'
A:,
>
+ O+ + + O+
\342\200\224
o
F,
M M F2
(iii) (iv) (v) (vi) (vii)
k3
k4 k5 t kb
M M E
kj
F3
A5.1)
the equilibrium between the active repressor R and the Step(i) describes inactive form R' synthesized by the regulatory gene i. R bounds to the operator O+ and blocksit by forming the complexRO = O~ in step (ii). In the presence of n, molecules of inducer Ij,part of the repressor forms Fi and, therefore, the operator is liberated in step (iii). Step (iv) describesthe the operatorO+ has beenliberated. transcription of the structural genesonce representsthe pool of amino acids. Entry of the inducer into the cell is represented by step (v), where it is understoodthat k5 $> k'$ to allow for an accumulation of I( into the cell. Steps(vi) and (vii) representthe dilution of the enzymeswithin the medium. It must be realized that in the model described several simpliby Eq.A5.1) have beenmade;the repressoris, in fact, an allostericprotein with four subunits. Thus, steps(i) and (iii) give only a global picture of its kinetics.
\\]
simplifications
15.4.AU-or-None Transitions
^gj
Moreover, the transport of inducer is a facilitated process involving many steps.Both aspectshave been analyzed in more detailed models(Sanglier, and no major qualitative change with respect to the results of the 1976), of enzyme simplified model A5.1)has been found. Finally, the process synthesis is also a complex phenomenon involving several steps. We are now in a positionto write the rate equationsdescribing the evoluof the various reactants in the scheme To this end, we consider that r\\, R', and F^ are in excess and hence may be treated as constants. we the of evolution influenceof diffusion in the equations Moreover, neglect on the basisof both the limited dimensions of bacterial cellsand the homoof the extracellular medium. The latter condition may be comproin the presence of attractants in the nutrient medium, resulting in a chemotactic (oriented) responseof the cells.
evolution
15.1.
homogeneity
compromised
We may now write the following
^ = k,R'- k\\R
equations:
k'3Fx
k3RI^' +
- k2RO+ + k'2O~
A5.2) A5.3) A5.4) A5.5)
^ dt
dE
~~
-k2RO++ k'2O
\342\200\224
Tt~ rjkÔ*
k-i E
dt
~ k5IeM kslxM
,k3RI^'+ n^Fy O~,is conserved within

%
A5.6)
the
the total amount of operator, O+ +
Theseequationsare to be supplemented that by the condition expressing
cell:
O+ + O~ =
= const
A5.7)
15.4.ALL-OR-NONE TRANSITIONS
EquationsA5.2) to A5.6) have been solved numerically, both at the steady state and for the time-dependent behavior of the variables using Bairtow's method.Wherever possible,the values of the various constantshave been chosenin agreement with the experimental results(Sanglier, 1976; Sanglier and Nicolis,1976). This fixes the value n, 2 for the stoichiometric coin step (iii) of scheme15.1, as well as the values for R, Fj = [/?/], coefficient /,
\342\200\224
392
Regulatory
at Cellular Level Processes
1.5
\342\200\224
y*
0.5
\342\200\224
-56
0.30
1.17
log
2.04
(le)
(A)
Figure 15.3. Theoretical curves of stationary-state solutions for E in 10. rate constants and k, 0.08, k\\ by using experimental
lacoperon model obtained
\342\200\224
/c4,k6, k-, have rj, k2, k'2, k3, k'3, k5, k'5. The remaining constants ku k\\, Ie, in the computer simulations and varied over a wide beenusedas parameters figures. range of values as seenin the captionsof the subsequent Let us first discussthe propertiesof the stationary states. Figure 15.3 the valuesof the enzymeconcentration as a function of the inducer represents concentration in the external medium. We see that the system displays The states on the multiple steady statesfor a limited range of values of /e. upper and lower branchesare stable,where as those of the intermediate This is in agreement with the experimentalresultson the branch are unstable. character of the induction phenomena. all-or-none Moreover, one finds both induced as well as noninduced bacteria for the same concentration of the external sugar. The numerical values compare also favorably with the one finds, for example,for E experimental results.Thus, from Figure 15.3 at the noninduced state, 2 x 10\023 fiM comparedto the experimental value of 3.3 x 1CT3 nM, whereas for E at the inducedstate the theoretical and experimental values are, respectively,2 /iM and 3.3 /iM.
A numerical This behavior is due specificallyto the action of the permease. simulation of the so-called gives a cryptic strain y~, which lackspermease, of the enzyme concentration on /e instead of multiple sigmoidal dependence
steady states. It is also of interest to simulate the kinetics of the induction processas measured by the temporal evolution of the enzyme concentration after fixing
15.4. AH-or-None Transitions
393
100
Bacterial
50
X
100
mass (/ug
ml\"')
Figure
experimental
15.4. Kinetics
curves.
of /?-galactosidase induction
for normal and cryptic type
cells: experi-
to a certain inducer concentration initially. This behavior is easily accessible describes the concentration 15.4 experiment. Figure experimental enzyme relative to the increaseof bacterial mass (rather than in terms of time). In this way one can identify the differential velocity of synthesis:
dE/dt dB/dt
_ ~ dE
dB
A5.8)
where B
= bacterial mass.
for an intermediate Again, for bacteriacapableof synthesizing permease, concentration of the external inducer the responseof the population is in the sensethat one finds both inducedand noninduced \"inhomogeneous\" bacteria.This is reflected by an acceleration of the rate of synthesis before a constant value is attained, as shown in Fig.15.4. Thesequalitative featuresare accountedfor satisfactorilyin the numerical simulation of the time-dependent behavior of the theoretical model.Figure 15.5 the time variation of the enzyme concentration for a bacterial represents In addition to the general shape of the population synthesizing permease. the time to the duration of the lag phase critical curves, Tc corresponding is of the same orderof magnitude in the theoretical and experimental curves. Note,however,that by construction the model doesnot account for the lag itself. arising from the delay of the processof protein synthesis
394
Regulatory
7.2
7.15
7.1
7.05
Tc
20
t(min)
40
in normal-type
Figure
15.5. Theoretical
curves for /?-galactosidase induction
cells.
Finally, the model can easily be adapted to account for the peculiar behavior of the mutant X86 whoseinduction curve displaysa depression to a regime of noninduced bacteria) for intermediate values (corresponding of the inducer concentration in the external medium (Sanglier, 1976).
15.5.CATABOLITE REPRESSION: SUSTAINED OSCILLATIONS AND THRESHOLD PHENOMENA

The following control circuit (Fig.15.6) can reasonably be expectedto the the describe salient features of regulation of the lac operonactivity in the In of the negative feedbackarising from catabolite repression. presence
15.5. Catabolite
Repression: Sustained Oscillations

i
and Threshold Phenomena

I
395
Figure
15.6. Regulation
of lac operon in presence of catabolite repression.
addition to the seven steps already encountered one now in schemeA5.1), has the following processes: A5.9)
A5.10)
These reactionsdescribethe stimulating effect of G, the product of the This internal inducer's catabolism,in the formation of active repressor. activation stepis again taken to be cooperative,as in step(iii) of scheme A5.1) in order to account for the allostericcharacter of the repressor. Owing to the similarity between R and R' we subsequently take nG ^ nI = 2.Unthe rate constantsk8, k8, and kg are not known experimentally Unfortunately and are consideredas variable parameters in the computer simulations reportedin the sequel.* One may now write the rate equationsfor the variables R,0+,E,M, G, I{, As a matter of fact, we give under the conditionsdiscussed in Section15.3. here only the contracted form of these equationsobtained by invoking a for the allosteric quasisteady-state approximation similar to that discussed model of Chapter 14. More precisely, we take all genetic and enzymatic
variables to adjust instantaneously to the metabolite concentrations G and /j.The validity of this approximation rests on the usually small conof fast stepsin concentrations of macromolecules, as well as on the occurrence the decomposition of the intermediate enzymatic complexes.
G acts on the genome via the cAMP. Thus step A5.9) should pointed out in Section 15.2, representation of this complex phenomenon.
* As
be regarded as a global
396
Regulatory
Processes at Cellular
Level
Setting
k's
= k'8D H = k\\+ k'2 t = kiR' + F

+ t)
D(G,I,)
A5.11)
we obtain the reducedset: dG =
-2ksR'G22k'8(k8R'G2
(k8R'G2
where
2F:
D(G,1.)
(k9
A5.12)
+ t) + k'2(k3lf + n)} D(G,I,) = /c7{fc2(/c8/?'G2 A5.13) Theseequationshave been solved numerically on a CDC computer using The behavior in the vicinity and Nicolis,1976). Bairtow'smethod (Sanglier
Figure indicated
limit cycle is trajectory in phase plane spanned = 0.008 dotted lines. Numerical values: k, = 0.2 min~ min\021, R' = 10~2/(M, = 0.2min\" min\" \\xM 2, k's = min 2, k'3 = 60 min\" /iM ks = 0.03 \\ k'2 = 0.03min\021, r\\ki = 5 x 10 F, = 10\023 uM k2 = 4 x 105 min\" 1 min\021 \\iM~\\ k6 = k7 = k9 = 5 x 10\023 nM~\\ k5 = 0.6min\021 iiM'\\ k's = 0.006 3 x 10\026 min\" x 10\023 ixM. Cross 2.002 indicates position of (stable) steady state.
by
k\\
1
15.7. Periodic
8 6 by /, and G. Unstable
'.
15.5. Catabolite
8.24-

1
397
6.38
4.52-\\
2.66
1 \\1 1 1
366.
1
0.81-
t
1098.
stability\342\200\224has
732.
LU
1464.
as in
1830.
Fig.
Figure 15.8. Time evolution 5.5pM, Initial values: If
of concentration with same kinetic constants
G\302\260
15.7.
of the steady states\342\200\224including been studied via Merson's method. Experimental values have been used for the constants specified wide range of values of the different constantsand for k\\ > 0.1 a single stablesteady one finds for the system of equationsA5.12) and A5.13) state that behaves like a focus. Keepingall other constants fixed but taking < k\\ < 0.1, 0.000248 one finds a stable focus surrounded by two limit an unstable one,with a period around 110 min, and a cycles(Fig.15.7), stableone with a periodof 300 min. The time evolution of the concentrations is shown in Figs.15.8 and 15.9. We see that in the immediate vicinity of and inside the unstable cycle the system spires during several periods before being attracted to the stablesteady state.On the other hand, initial conditions close to but outside the unstable cycle are attracted to the outer (stable)
in
For a
Section15.4.
limit
particular:
one finds multiple steady states,and in partick\\ < 0.000248 (a) a stablefocus surroundedby an unstable limit cycle of a periodof about 110 min, (b) a saddlepoint, and (c) a stablenode. The most natural way to topologically accommodatethese types of behavior is shown in Figs.15.10 In addition to an unstable limit and
Finally, for
cycle.
15.11.
H 6.49
5.86-I 5.22
4.57
228. 457.
t
3.93
\\\\
685.
G\302\260
1
1
914.
1142.
as in
Fig.
Figure 15.9. Time evolution Initial values: 5.5/iM,

1\302\260
of concentration with same kinetic constants
= 16.2 pM.
15.7.
Figure Phase-space representation of evolution of concentrations /, and G using min~' y.M~l. Unstable limit cycle kinetic constants as in Fig. 15.7, 10~5 except k'8
15.10.
by
same
is in-
indicated
dotted lines.
398
15.5. Catabolite
399
03 0.25 0.2 0.15 0.1

SN
SP
0.05
n
1-\302\253 1
0.05 15.10.
0.1
.-j
r*
1\342\200\224
0.15
0.2
0.25
Figure Magnified kinetic constants as in Fig.
15.11.
phase-space diagram
around node and saddle point with same
Owing to this cycle,the system now features a saddle-node separatrix loop. closed (but unstable) trajectory, for certain initial conditionsthe system evolves for quite a long time before being attracted by the stable node, as
*
indicated clearly in Fig.15.10. ~ The value k\\ ^ 0.00024792 min has beendetermined approximately as the threshold value where the saddlepoint and the node merge to give rise to a nonsimple singular point of the saddle-nodetype. This threshold separatesthe multiple limit-cycle from the multiple steady-state regime. For other sets of values of the parametersthe system features a single min surrounding asymptotically stablelimit cycle of a period of about 190 the paraman unstable focus.The various possibilities found on exploring in are Table ku k\\, k8, k9, Ie, Fy compiled Unstablelimit cyclescorresponding to subcritical branchesbifurcating from steady stateshave beenfound in chemicalreactor theory, as mentioned
parameters
15.1.
Table15.1
l
min\021
min
tiM
min
kg 1fiM
0.2
6x
10\023
0.03
91100
5000
0.2
6x
0.003
51100
500
0.02 0.002
6x 6x
10\024 10\025
0.0003 0.003
99100 99100 .
500 5000
N: node
F:
focus
S:
LC: limit cycle

stable
unstable
SP: saddlepoint
U:
75.5. Catabolite
401
in Section Their existence is due to the exponentialnonlinearity arising from the temperature dependence of the rate constants.The resultsof the sectionestablish the existence of unstable limit cyclesas well as of present
8.3.
interesting
of an oscillatory motion over a wide range of values. Of equal importance may be the overshoot behavior exhibited by the concentrations during the evolution depictedin Figure 15.10. Let us come now to the more specificproblemof the lac operonregulation. The periodicsynthesis of /?-galactosidase in E. coli has beenobservedby both Goodwin A969) in synchronous cultures and Knorre A968) in Mastersand Donachie A966)found that the periodic asynchronous cultures. of various in synthesis enzymes synchronous populationsof Bacillussubtilis arisesfrom variation in the repressorconcentration. Thus, it appearsthat the of DNA replication. oscillatoryenzymesynthesisis not a directconsequence Rather, it reflects the intrinsic regulatory mechanisms involved in the synto the generation synthesis. However, the periodof the oscillation is quite close time. This is in goodqualitative agreement with our model,which predictsa min on the (unique) min on the unstable limit cycle and of 190 periodof 110 stable limit cycle correspondingto the third set of parameter values in Table Another point of agreement is the increaseof the frequency of as the external lactoseconcentration increases. oscillations In spite of the endogenous character of the oscillations predictedby the that theseoscillations can be influencedby the cell model,it is quite possible cycle.This should be especiallyso in synchronous cultures, whereas in asynchronous ones damped oscillationsarising from destructive interof the individual control circuits shouldbe expected. Again, this is
ones in isothermal systemsundergoing mass-action kinetics,that to systems subject polynomial nonlinearities.* From a general standpoint, multiple limit-cyclebehavior has someinterimplications.Forinstance,a systemat a stable steady state surrounded two limit cycles is endowedby an intrinsic excitability,in the sensethat by from this state exceeding a certain threshold evolveto a stable perturbations instead of to the reference state. Excitability back periodicregime decaying and threshold phenomena are widely spreadin biology. It seems, therefore, to expectthat multiple limit cycles, reasonable which together with multiple steady states are the two alternatives for explaining this type of behavior, Next, multiple play an increasingly important role in biochemical kinetics. limit cycles provide an efficient regulatory mechanismfor varying the period
multiple
is, in
15.1.
interference
* Quite
Mathematics Department, A. Stanshine recently, in his doctoral dissertation, the existence of one unstable and one stable limit cycle in the Field-Noyes model for the Belousov-Zhabotinski reaction. See alsoBruns, Bailey and Luss A973).
J.
1975)points out
(M.I.T.,
402
in
Regulatory
at Cellular Level Processes
agreement with simulations of a more detailedscheme taking into account 1976). explicitly growth and cell division (Sanglier,
15.6. CONTROLOF CELLULAR DIVISION

Having seen that the simplestgenetic regulatory processcan already give rise to coherent phenomena, we turn to the problemof the regulation of the cellular cycle proper. Mitosisis an event of short duration relativeto the cellular cycle. Owing to the sequential character of the various processes that must occur during this DNA such as or the of and cycle, replication doubling enzymes organelles, it has been assumed that this cycleis a sequence of discrete states,each causing the next. In contrast, in the particular case of the amoebaPhysarum polycephalum in the plasmodialstage,experiment suggests that the \"mitotic clock\" is a continuous biochemical oscillator that commands mitosis and DNA are not themselvesat the origin of replication, but that the latter processes
the
oscillator.
Physarum polycephalum
characterized
of a cytoplasmic mass containing up to 108 nuclei. As the cytoplasmic the nucleiundergo division in virtually complete content increases, synchrony hr. every 10-12 Let us now review the most important data suggesting the existence of a continuous biochemical oscillator(Kauffman and Wille, 1975; Kauffman,
by the fact
that
growth
belongsto the group of mycetozoa and is characoccurs without cellular division. It consists
1974b).
Fusion Experiments
Plasmodiaat two different pointsin the life cycle (we shall say that they are at two different \"phases\") are fused.The nuclei and the cytoplasm mix well 2-6 the of the resulting pair is studied.The following and mitosis hr, during resultsare found:
(i)
Synchronization.Let the initial phases (j)A, (j)B of two fused plasmodia far from mitosis and (j>B (j>A <pA < (j)B.Then, if (j)B is sufficiently is sufficiently small, the resulting pair undergoesmitosis at a phase interintermediate between (j)A and (j)B and such that the mitosis of A is accelerated, whereas that of B is sloweddown.
be such that
\342\200\224
Control of Cellular 15.6.
Division
403
This result suggests the existence of one or several cytoplasmicmitogenic substancescapable of initiating nuclear division when a critical value is these substancesare consumed,and their conexceeded. Subsequently, concentration drops and reaccumulates during the next cycle.Moreover, as synchronization is a ubiquitous property of nonlinear oscillators (see that the this type of experiment strongly suggests Chapter7 and Section8.7), mitogens shouldthemselvesundergo a periodicnonlinear oscillation. Mitotic block.If (j)B is close to mitosis and <pA is between \\\\ and 6 hr, there is no acceleration in the mitosis of A, but one observes, instead, a delay of 2-7hr. (iii) Abortive prophase.A almost arrives up to mitosis but then \"misses\" it and presentsan aberrant form of nucleolar reconstruction leading to an interphase morphology. Let the phases of A, B be plotted along the cir(iv) Arc discontinuity. circumference of a circle For reference, we consider a third (Fig. 15.12). plasmodium Cwhosephase(j)cis on the other sideof A on the circumference. We assumethat, oncefused, two plasmodiamix well and fairly rapidly. Let (j)AB be the phaseof the mixed pair after mixing. We expectthat, as <pB moves away from (j)A to (j)Bl, (j)B2,..., (j)AB moves as indicated in Figure 15.12. Beyond a phase (j)B* of B, however, synchronization leads the fused pair to a phase(j)AB\\ying on the samearc as C.Thus, at B* the phaseof the fused pair undergoesa discontinuity. Such a discontinuity is indeedfound experimentally. The ingenious idea of Kauffman has been that, by studying the behavior one can obtain direct information on the nature of under fusion experiments,
(ii)
\342\200\224
cj>B
B2
Illustration of arc discontinuity Figure arising on fusion of two plasmodia of Physarum

polycephalum.
15.12.
404
Regulatory
the mitotic oscillatoritself. In fact, this ideashouldappearquite natural to the readerfamiliar with the analysis of Chapter7 of this monograph. Indeed, let us begin with the Ansatz, suggested by the synchronization experiments, that mitosisis directedby a nonlinear oscillator which, by its very stability, must undergo a limit cycle type of motion. In a fusion experiment, two such
Obviously, then, the behavior of the final 7.12).

the behavior of the
initial
oscillatorsare coupledvia a diffusion-likemass transfer (seealso Section

pair can give information on
limit
cycle.
Heat-Shock Experiments
second group of experimentsone acts directly on the individual plasmodia by applying short (of the orderof 30 min) heat shocksat a higherthan-ambient temperature. One finds that the plasmodiamay missthe first, or even the secondmitosis, which would happen under normal conditions. however, they again undergo nuclear division in complete Subsequently, synchrony. Everything happens as if the \"chemical clock\"commanding
In a
mitosis can still measure the time correctly, but that under the effectof the perturbation generated by the shock it needs a certain interval to adjust before resetting its phase.
15.7.QUANTITATIVE
We want now to quantitative
MODEL
in Section15.6 on the basisof a interpret the data compiled stability requirement suggestsa limit cycle-type oscillator,and the simplestsuch oscillatorcan be constructedby coupling two biochemical variables. Let X be the bifurcation parameter.By varying X from Xc, where a small-amplitude limit cycle first bifurcates from the thermodynamic branch (cf. Section7.12) up to the limit X -> oo (cf. Section first subsection), one can account for various forms of oscillatory 8.10, to discontinuous. behavior, from sinusoidal By comparing with experiment one can have indications both on the reasonableness of a two-variablemodel and on how far within the relaxation oscillation regime one must look for the functioning of the limit cycle. Rather than remain general, let us consider a specificexample(Tyson and Kauffman, 1975). Let X representa stable protein and Y an active form of this protein. of enzymes,and The conversionof X to Y can alsobe catalyzed by a sequence Y2. Once Yexceeds let the overall rate of this conversion be proportionalto it a critical value Yc bounds with the chromosomes and initiates mitosis. Y Thus is not really consumedbut merely leaves the cytoplasmic medium.
The model.
15.7.Quantitative
We
Model this
405
obtain in
way the following model

A
X X
\342\226\272
X Y Y
B
\342\226\272
cY2
>
The rate equationsdescribingthe evolution of X and modium are (setting c = d = 1):
Y in
a single plas-
= d4~ dt
dt
- BX -
XY2
Y
^- = BX + XY2 -
A5.14)
with Eq. G.13) in the absence of diffusion, we realize that the Comparing model has some striking similarities with the trimolecular model. In fact, the differenceis that the rolesof X and Y are inverted in the autocatalytic step and that the sink term for X is replacedhere by a sink term for Y. Except for this difference,the analysis of Eq.A5.14) along the same lines proceeds 7.3and 7.4. Onefinds that there is a singlesteady-state solution: as in Sections
*\302\260
irr^' +
D
A
Y\302\260
A5-15)
This solution becomesan unstable focus when the following inequality is
satisfied:
2A2
B
A limit
> B + A2
+ 1
A5.16)
from the steady state that becomes more and more cyclethen emerges of the relaxation type as B decreases to zero. on the basis of this model,we In order to discussfusion experiments assumethat the cytoplasmicand nucleartransfer within the pair is equivalent to a diffusion between two identical cells1 and 2, all of whose walls with the of the one separating them are impermeableto the flux of mitogens. exception The mitogen flux, Jx acrossa unit area of this separating surface is given by
Fick's first law:
406
Regulatory
at Cellular Processes
Level
where Ar is the
find from multiply
with a similar expression for Y. In order to length of the cell, the total rate of change of X within, say, cell 1,we Eq. A5.17)
obtain:
by
the surface area
S and divide by
the volume
of the
cell. We
= S1(X2-X1) =1TtAX2-X1) w v
the evolution of X and
dt
Y in
A5.18)
Combiningwith Eq. A5.14)we obtain four coupledequationsdescribing

the two
cells:
XXY\\
-=
dX
=A
- BXl - BX2-
+ 6^X2 + d^Xi
Xt)
X2Y\\
-X2)
'^=
BXl +XlY2lYl+S2(Y2S2(Yl X2 Y22-Y2+
= BX2+
y2)
A5.19)
A two-celldiscrete version of the trimolecular model similar to Eq.A5.19) was analyzed by Prigogine and Lefever A968) well before the bifurcation theoretical analysis adoptedin this monograph was developed and has given rise, in fact, to the first unambiguous exampleof symmetry breakingin chemical kinetics. One may now study the behavior of the two diffusion-coupledoscillators describedby Eq. A5.19) and comparewith the resultsof the fusion experiAs it turns out, Eqs.A5.19) have many types of solution (Tyson and Kauffman, 1975). Here, however, we are interested only in the following
experiments.
two possibilities. are initially nearly identical, First, the phasesof two individual oscillators and then diffusion is switched on. One then finds by numerical simulation of Eq. A5.19) that the homogeneous limit cycle, which is still a solution of these equationsas long as inequality A5.16) is satisfied, becomes unstable. It splitsinto two local limit cycles prevailing in the two cells(seeFig. limit cycle is small. Thus However, their differencewith the homogeneous their amplitudes exceed both the critical value Yc and as a result mitosis
15.13).
takesplacein synchrony. the initial phase difference is appreciable.After switching on Second, diffusion one finds an inhomogeneous limit cycle oscillation leading to one limit limit cyclewith amplitude almost identicalto that of the homogeneous cycle, whereasthe amplitude of the second cycle is strongly reduced(see
15.7.Quantitative
Y
Model
407
IHLC
Figure Inhomogeneous limit-cycle solution (IHLC) arising initial phase difference between individual oscillators is small.
15.13.
in model
A5.19)when
As a result, if Fig. 15.14).
this secondamplitude, there is Yc is higher than asymmetric inhibition of mitosisin one copy.This can be either a permanent or transient phenomenon.One copy, say A, may (such as in Fig. 15.14) miss the first mitosis but eventually synchronize with the secondcopy B an
We
appreciable delay. concludethat, despiteits simplicity, this model providesa qualitative explanation of most of the fusion experiments, including the phenomenon of mitotic block. the values of the parameters<5i, <52, numerical By adjusting B one can also a obtain A, semiquantitative agreement. As it turns out, the
with
Figure
15.14. Strongly
inhomogeneous limit-cycle solution arising when initial phase difference
is appreciable.
408
Regulatory
most favorable range of the chemical parametersis that corresponding to a moderate relaxation oscillator, for example, A = \\, B = ô, whereas for = 0.15, and for the diffusion coefficientsa good choiceis 52 = 0.10, qualitative failure of the moderelatesto the arc discontinuity. Experion of is given by a show that the dependence (seeFig.15.12) a region of negative slope,contrary to the model that gives curve comprising It has been argued (Kauffman, 1974b; solely curves with a positive slope. that this property of the arc discontinuity is Kauffman and Wille, 1975) related to the topology of the isochrones,that is,of thosecurveson the phase at equal time intervals. described planethat separateportionsof trajectories The notion of isochroneis also useful in interpreting the heat-shock
A
Experiments
</>B\302\253
threshold,Yc =
1.7.
<5X
<j>A
referred to the original publications cited therein.
For further experimentsdescribedin Section 15.6.
details, the reader is
Chapter 16
CellularDifferentiationand PatternFormation
16.1. INTRODUCTORY REMARKS
this Chapter we are interested in large-scale phenomena involving of interacting cells. assemblies Our aim is to see how cellular communicacan generate regular spatial patterns at the supercellular level and
In
communications
at the same time control the timing and localizationof the various processes involved in the formation, as well as in the maintenance of these patterns. In biology oneof the most striking illustrations of this phenomenon occurs
of a number of differentiated cellsthat can be characterized by their function and form. The molecular basis of differentiation\342\200\224that is, the control of the transcription and translation of information\342\200\224is not consideredhere in detail (see Britten and genetic Davidson and Britten, 1973). 1969; Rather, wefocuson the followDavidson, or so A n such as a advanced vertebrate, contains 100 organism, problem. discretecellular types.Different organismsmanifest a variety of shapesand forms that is quantitatively certainly much greater than the differences in the constituting cells. The understanding of this variety, specifically,of the cellular types, is the problem of pattern of different spatial organization or formation, morphogenesis (Bonner, 1974; Wolpert, 1975). The complexityof the problemcan be appreciated if one realizes that even the most advanced organism issuesfrom a single cell, namely, the zygote. a therefore, Ontogenesisis, spatiotemporalprocess implying subcellular mechanisms that are finally reflected by morphological modifications at the level. Obviously, this passagerequiresa sharp regulation of a supercellular of such as: (a) cellular differentiation,growth, and mitosis, variety processes (b) cellular movements (chemotaxis, cell sorting), (c) formation of cellular level (e.g., junctions,and (d) the collective movements at the supercellular gastrulation).
following
during embryonic development. A higher organism is constituted
409
410
A
Cellular Differentiation
and Pattern Formation
detailed descriptionaccounting in a quantitative way for both the molecular and globalaspectsof the problemis certainly premature at the presenttime. It is,therefore, interesting to study morphogenesis by means of simplified but nevertheless representative models based on those exexperimentally establishedelements that continuously recur in embryonic development and are largely independent of the details of the subcellular the molecular and the phenomena.This analysis enablesus to correlate and to sort out the essential features macroscopic aspectsof morphogenesis determining pattern formation. The viewpoint we adopt is motivated by the considerations developed throughout this monograph.In other words, we consider that different macroscopic patterns correspondto different stable solutions of a set of nonlinear differential equations describingthe evolution of the chemical substancesinvolved. These equations are developedin Sections 16.4 to 16.6 and appliedto concrete Sections biologicalsituations in Section16.7. 16.2 are devoted to an account of the mechanisms determining and 16.3 cellular interactions during development.
16.2. INFORMATION POSITIONAL

The analysis of pattern formation becomesmore transparent when viewed at the levelof a morphogenetic field.The latter can be definedas an assembly of functionally coupledcellswhosedevelopment is under the control of a common regulatory process and Cohen,1972). (Robertson Typically, such a Forinstance,in the early sea-urchin gastrula field comprises of 10 to 100 cells. onefinds 30 cellsover a length of 0.2 mm. We want to understand how an of identical cellswithin the field can give riseto differentiated initial assembly cells We would alsolike to obtain information on that are spatially organized. the stability of this spatial pattern. It has long been known in embroyology(see for an excellent Brachet, 1974, survey) that there exist physiologicalgradients within eggsduring developChildA941)has insisted heavily on the relationsbetweenthesegradients \" and subcellular regulation by stating that If a gradient extendsover more than a single cell, cellsalong its course representdifferent levels, and these differencesprovide a basisfor differencein geneaction, certainly an essential Such observations led gradually to the concept factor in differentiation.\" of positionalinformation, an idea first proposedby Drieschin 1895 and which is now widely acceptedin embryology. 1975) developedfurther the idea of positional Wolpert A969, 1971, He points information and appliedit to a variety of developmentalproblems. out that positionalinformation implies the existence of a coordinate system
development.
16.2. Positional Information

Blue White Red
411
Figure
16.1. \"French
flag problem\"
illustrating
positional differentiation.
cell positionis specified. This resultsin a spatial differentiation and is of, precedes, independent molecular differentiation at the subcellularlevel.The latter takesplacein a secondstage,during which positional information is interpreted by the individual cells. Wolpert postulatesthe this of mechanism. universality A very instructive illustration of Wolpert's ideasis provided by the so-called field. The positionof \"French flag problem.\" Considera one-dimensional cells can be defined with respectto one of the extremal points (unipolar system) or with respectto both (bipolarsystem).Supposethat the resulting positional information is such that in the first third of the field a blue pigment and in the final one is produced, in the secondone no pigment is produced, a red pigment is produced.This gives rise to a \" French flag,\" as shown on further that positional information is relatedto the gradient Fig. Suppose and a sink. of a substance M, the morphogeru which diffusesbetweena source law and that the morphogen is not by Fick's Assuming diffusion is described interacting with the cells,the evolution of the concentration M of M is given
within that which
16.1.
by: dM
'llr2' is:
d2M
A6.1)
The steady-state solution of this equation (DM is taken constant)
M = M,-M2 r + M2
A6.2)
and at the sink and / where Mx, M2 are the concentrations of M at the source the length of the system,respectively. An important property related to the linear profile of M given by Eq.A6.2) is size in variance; supposethe length of the system is varied from / to /'. We say that there is size invariance, if the concentration of morphogen at
412
and Pattern
Formation
point r of the initial system is equal to the concentration at point modified system,where r and r' are connected by
r' of the
In a linear gradient this property is trivially satisfiedprovided the boundary in the modified and sink) are reestablished conditions (valuesof M at the source
field.
A
property known in embryology as morphallaxis.A different kind of pattern regeneration is known as epimorphosis;the positional information within the new field /' remains the same as in the initial one,and restoration of the pattern is achieved by growth (seeFig.16.2).
to the to sizeinvariance corresponds qualitative behavior corresponding
jw
Ft
(A)
Epimorphosis
(B)
Regeneration of French flag pattern. Intact system is as in {A) and comprises three Figure equal regions of blue (B),white (W), and red (R).Positional information is represented by linear gradient with boundary values M, and M2. If flag is cut at level X-X corresponding to /cth is removed, then morphallactic regeneration occurs as in (B).Value of cell and left-hand piece positional information at cut now becomes M, and new gradient is established (dashed line). In epimorphic regeneration, (C),positional information at cut remains same and restoration of pattern is achieved by growth.
16.2.
16.3. Mechanisms Involved

far*
in Positional Information
413
of a sourceand a sink postulatedso According to Wolpert, the existence are justified in the sensethat an organizer has been shown to exist in a great variety of fields,which inducesdifferentiation in the neighboring cells. of hypostome in Hydra, of micromeres in sea urchin, or of This is the case for a survey). One of Hensen's nodein chick(seeRobertsonand Cohen,1972 the principal goals of this chapter (Section is to analyze the and 16.5) 16.4 origin of positional information, that is, the establishment and maintenance of the boundary conditionsgiving rise to a sourceand a sink within the morphogenetic field.
16.3. MECHANISMS INVOLVED
IN
INFORMATION POSITIONAL
The diffusion of a morphogen betweena source in the and a sink considered is only one of the numerous illustration of Wolpert's ideas (Section16.2), candidates potentially responsible for the establishment of positional information and for the subsequent pattern formation. As shown by Crick A970), the time necessaryfor a morphogen to diffuse through a field of typical dimensionsis compatiblewith experimental data. The diffusion ~6 cm2 s~1, x 10 coefficientappearsto be of the order of 0.8 which is about the value of the diffusion coefficient in solution of low-molecular-weight substances such as cyclic AMP. in Section16.4, most of the ideasof this chapter are Forreasonsexplained for positional illustrated by assuming that diffusion is, indeed,responsible in this sectionsome we information. Before this, however, compilebriefly influence other processes likely to pattern formation.
Active
A
Transport
morphogen can propagate along a field by either facilitated or active transport.This can be the result of an asymmetry in the cellular properties As a result, a gradient can build up giving rise to polarizedphenomena. along the field that is oppositeto the direction of the morphogen's transport no source and sink 1966; Although (Lawrence, Wilby and Webster, 1970). need to be considered explicitly,the cellson at least one of the boundaries play a privileged role.An alternative model involving nonpolarized cells and assuming the existenceof a sourceand a sink has been elaborated
by
Babloyantz and Hiernaux A974).

certainly
* The reader has

to
a boundary-value
noticed by now that the assumption ofa source and a sink amounts problem whereby fixed concentrations are imposed on the boundaries.
414 Cellular Contacts
and Pattern
Formation
Cell communication can be establishedwithout having necessarilythe a one-dimensional ofa substance along the field.Consider system propagation of N polarizedcellsand supposethat the state of differentiation of each cell is determined by the concentration ofa morphogen M.It may happen that the levelM of M in the ith cell is determined by cell i 1 via a seriesof activation and/or inhibition mechanisms involving membrane-bound enzymes and metabolites (MacMahon,1973; Babloyantz, 1977; Garay, 1977). Typically, this gives riseto a steady-state profile of M described by the following equa\342\200\224
equation:
Under certain conditions this expressioncan give rise to differentiated patterns.The latter dependsolely on the number of cellsand hence cannot displaysize invariance. The situation is different in the case of bipolarfields, where the state of a cell is determined by two morphogens and is influenced by the state of both Patterns displaying size invariance can be generated neighboring cells. There existsalsoa possibility ofbifurcationsleadingto multiple (Garay, 1977). one of which a uniform to distribution of the morsolutions, corresponds as as well of wavelikebehavior (Babloyantz, 1977). morphogens,
Role of Oscillations
Goodwinand CohenA969) suggested that positional information can arise from the formation of a phase gradient. They assumethat each cell in the field is potentially an autonomous oscillatorof period T. During this period the cell evolves through three states: (a) the (brief) emissionof a signal, say at times 0 + , T + , 2T + , (b) a long refractory period, TR, during which the cell is insensitive,and (c) a time interval T TR, during which the cell is sensitive,although it cannot emit. When a cellemits a signal S reaching a neighboring cell, the latter in turn emits, after a delay of Ats, provided it is sensitive.This gives rise to an organizing wave.Positional information can arise if there existsa gradient of frequencies of the autonomous oscillators along the field. Under certain conditionsthe oscillatorhaving the highest frequency can entrain the others, and this constitutes an organizer in the biologicalsense of the term. Note that this implies an initially polarized
\342\200\224
field.
Goodwinand Cohen A969) postulate that after signal S in released,a secondpulseP related to S is produced. The latter propagatesthrough the
16.4. Dissipative
Structures and the Onset
of Polarity
415
a phasegradient giving riseto a more accurate positional field and establishes information. The incidenceof these phenomena in pattern formation is not wellestablished. Nevertheless,the aggregation of cellular slime moldsdiscussed in Chapter 14 provides a striking illustration showing the ubiquitous role of oscillationsin initiating the morphogenetic signal, in amplifying and relaying it along the field, and in regulating the size and other propertiesof
the resulting multicellular body. On the cellular level, the role of concentration waves propagating along membranes during the early stages of development has been emphasized
by
GoodwinA975), Kauffman A974a), and Blumenthal A975). Electrical in Acetabularia(Novak and Bentrup, 1972; signalshave alsobeendiscovered
and in Fucus (Nuccitelli and Jaffe, 1974). Novak, 1975)
CellSorting
The formation of a morphogeneticpattern can alsoarisefrom the occupation of specific positionsby differentiated cellsas a result of a \"cell sorting.\" This mechanismsupposes that cellscan respondto specificsignals by moving within the field. This movement can be oriented toward a autonomously specific attractant emitted by another cell of the same species(chemotaxis; seealsoSection14.7), or it can be the result of characteristicadhesiveproperBoth such phenomena appearto be presentin different stagesof developof the slime mold Dictyostelium discoideum(Keller and Segel, 1970;
properties. development
Garrod, 1974).
16.4. DISSIPATIVE AND STRUCTURES

A
THE ONSETOF POLARITY
system of coupled cells capable of undergoing differentiation can also Firstly, a certain asymmetry displaypattern formation for various reasons. the the can be built into individual cells at outset (seefirst and third subin can be subjectto subsections Section16.3). the cellsat boundaries Secondly, rise to a source and a is, to a polarity specificconditionsgiving A final the Section field (seesecondsubsection in 16.3). possibilityis along and tissue of that a homogeneous identical unpolarized cellsbecomesinThis can only happen if a symmetry-breaking homogeneous spontaneously. is As mentioned involved. instability repeatedly throughout this monograph, diffusion is one of the very general mechanisms capableof inducing such an instability. More recently,the role of cellular contactsin symmetry-breaking Nevertheinstabilitieshas beenrecognized Babloyantz, 1977). (Garay, 1977; from now on we choosethe mechanism of cellular communication
sink\342\200\224that
Nevertheless,
416
through
first diffusion
and Pattern
Formation
to illustrate the ideas underlying pattern formation. We with the onsetof polarity in a previouslyunpolarized this section, field and with the stability of the resulting gradient. The role of this primary pattern in inducing a secondarypattern of differentiatedcellsis examined in
deal,in
Section16.6.
The fact
dissipative structure, We want, moreover, to ensureits stability with respect to small perturbations; otherwise,the pattern would not have a physiological 6.6 and of Chapter7 we then conclude meaning. From the analysis of Section that:
(i) Nonlinear interactions must be involved.
inducedby
that we are concernedwith a diffusion implies that the primary
symmetry-breaking instability a spatial pattern is necessarily
between at least two morphogenetic substances
via a supercriticalbifurcation from the (ii) It is sufficient that the pattern arises uniform steady state on the thermodynamic branch involving an eigenvalue
problemof odd multiplicity. (iii) The rate equationsmust admit positive and boundedsolutions. The first of these ideaswas introduced in the context of morphogenesis by Turing A952). The particular models he used to illustrate his ideas were on the groundsthat Cooke, 1975) recentlychallenged(Bardand Lauder,1974; A could not bifurcation they analysis carriedout yield regulative patterns. of on one models recently Turing's (Erneux, Hiernaux, and Nicolis 1977) revealed that this model displayspeculiarbehavior becauseproperties(ii) and (iii) are not satisfied.Aside from this, the ideasof Turing and the notion of dissipative structure remain perfectly compatiblewith the phenomenon of pattern formation in morphogenesis. Gierer and Meinhardt A972, 1974) have achieved further clarification of
the mechanismof pattern formation
by pointing out the role of the coupling betweena short-ranged activation phenomena and a long-ranged inhibition. of Hydra the head couldbe formed when the activaForinstance, in the case concentration exceeds a critical value. Onceformed, the head could exert an inhibition extending over a long distance,not permitting further formation of heads.Theseideas instigated them to suggest a number of is taken up and analyzed in models for pattern formation. Oneofthese models
activator
Section16.5.
16.5. A
We want
QUANTITATIVE
MODEL
to understand how two coupledmorphogens, say X and Y, can give rise to a spontaneousgradient along a field. Onceestablished, this gradient
A Quantitative 16.5.
Model
417
can provide the positional information necessary for the formation of patterns of differentiatedcells. The rate equations have the following general form
dt
= MX, Y) + Dt V2
Y)
-^ = f2(X,
dX
dY
+ D2V2Y
A6.4)
As we are interested in the spontaneous onset of the gradient, the boundary conditionsto be consideredare zero fluxes at the extremities of the field. Fora one-dimensional array of cellsthis gives:
dY
=0
A6.5)
where / is the length of the field. Let (Xo, y0) be the uniform steady-state solution of Eq.A6.4).We study the stability toward inhomogeneous perturbations (x, y) which to a first approximation satisfy the linearized equations(seeSection7.4):
dy dt
4h dX
1
A6.6)
Because of Eq.A6.5)we seekfor solutions of this linearizedsystem in the form

\\em-'
cosmnr
= 0,
1,...
A6.7)
In particular, we are interested in the onset of a stationary

ojm
characteristic
D2,and the chemical parameters involved infi and/2 through the characterequation (seeSection7.4 for a similar analysis of the trimolecular
= 0.From Eqs.A6.6)and A6.7)one obtains a relation between m, /, Du
polar pattern,
model):
A
U - \"' T
A
dX
m2n2
A
dY
A
dY
=0
D
m2n2
I2
A6.8)
The latter must be regarded Let us evaluate Eq. A6.8)on a specificexample. rather than as a limitation as a minimal model usedfor illustrative purposes, on the validity of the general arguments advanced in this section.
418
X\342\200\224
activator\342\200\224is
and Pattern Formation
the that morphogen Suppose producedat a constant rate as well as via an autocatalytic step involving a third molecule P. X Moreover, catalyzes the formation of Y from a precursorC at a rate k2CX2.
kÂ
P transforms Y to X. Finally, either X and Y have a finite life time and yield In waste products F and G, or they bound with the genome of the cells. we assumethat they leave the reaction spacevia unimolecular either case, as follows (Babloyantz and Hiernaux, steps.Thesestepscan be represented
1975):
k2x2 ^
C
X Y Y
F
k* ,
G
X
+P ' +P
kh
k7
B+
P + 2X
A6.9)
straightforwardly
Using a quasisteady-state assumption for P one can derive straightthe form of the rate functions/! and f2 appearingin Eq.A6.4):
f f2
k
A
4. h
2 = k2CX2
k4Y
A6.10)
and Meinhardt, 1972). (Gierer The steady-state solution

0 = k1A k
k3
is:
k2k3k5C + ikik-jktAB +
k\\k5
k\\k2A2C
k4k26k2B2 k2k\\k\\C
A6.11)
and the characteristic equation A6.8)takesthe explicit form:

A
...+ m2n2/ = DiD7-^r( k3D2 +

\342\200\236\342\226\240
\342\200\224,-
kAD,
2aX0D2. + , , = 0 A6.12a) ,*,,~> ) k3kA

^
^\342\200\224
A Quantitative 16.5.
Model
419
a. = k6k7B
with
A6.12b)
The study of A in terms of the length / for various m values permits one to determine the points of marginal stability for which relation A = 0 is satisfied,(seeFig.16.3). A vanishes at /},indicating a possibility Form = 1, for onset of instability. If the total length of the system is lessthan /} the homogeneous state of the for source and sink forsystem remains stable,and there is no possibility formation. If the length is increasedbeyond /},there is possibility for sponspontaneous pattern formation due to the instability of the homogeneous state of the system.Moreover, we see from Fig.16.3 to the that, up length l\\, one may only have a structure with one high and one low concentration point. If, on the other hand, we take a systemof length between l\\ and and lessthan arise,due to the overlapping of various m values for a /3, two possibilities of the structures with one high-concentrationregion and given length system; structures with two high-concentration regionsmay appear,Thus, the form
\\\\
0.7
\342\200\224
0.6 0.5 0.4 0.3 0.2
II
E co
\342\200\224
\\iE
V In
\342\200\224
4i
\342\200\224
0.1
0
'k^r
3^^\342\200\224
\342\200\224^.\342\200\224^\342\200\224^-^
\\-~-\342\200\224'
6
\342\200\224
0.1
\\
y\\
on A [seeEqs. A6.8) and A6.12a)] Figure 16.3. Dependence of characteristic determinant values of wave number m, showing wavelengths that can be fitted within length / for different given length.
420
and Pattern
Formation
49
\342\200\224
15
Cell position
16.4. Concentration profile of morphogen Y in model A6.9) for length / = 0.9and for = 5.ki = 0.1, = = 0.7,k5 = 1, kb = 1, k7 = 2, D, = 0.002, 0.0005. M B=\\,C=\\.k2 kA
Figure
of the final pattern is a function of the magnitude of the initial perturbations and their location in the system. As / increases the systemmay become unstable for higher valuesof m. Thus, a high number of wavelengthscan be fitted into the systemand more complex can be verified by computer simulapatterns may appear.Theseconjectures Considera homogeneous with system parameter values corresponding to an unstable steady state leading to spatial structure formation. At t = 0 a perturbation is introduced into the system. If the length / of the system is between l\\ and l\\, one obtains a structure with one peak as seenin Fig.16.4. This structure displays a gradient appearing spontaneouslyalong the system. The form of the gradient is unique, but there are two possiblebifurcating solutions that are symmetrical, as discussedin Sections 7.5-7.7. From the biological point of view, this multiplicity is immaterial; the notion of meaningful only after the first gradient has beenestabsymmetry becomes from an initially situation. Similar results are obtained homogeneous in two dimensions, in this although the patterns are much more spectacular trimolecular model discussedin Section8.5). In addition to the case, (e.g., numerical simulations, a bifurcation theoretical analysis of scheme A6.9)has beencarriedout along the lines of Sections 7.5-7.7. (Hiernaux, 1976). Using the length / as bifurcation parameter, the possibility of supercritical bifurcaat a simple eigenvalueleading to two spatially symmetric solutionshas This guarantees the stability of the patterns, in agreement beenestablished. with the results of the numerical calculations. The stability of the morphogeneticpatterns derived in this sectionimplies <l\\. ^.regulationwithin the field, at least for lengths within the interval/ In particular, we see that after removal of a part of the field, the remaining a stablepolar pattern as long as / remains larger than /}.This reestablishes
simulations.
established
bifurcation
\\
<l
16.6. Positional Differentiation
421
property is less stringent than the size invariance invoked in Section16.2. Nevertheless,it can account for the maintenance of a certain characteristic structure, as observedin experiments involving Hydra regeneration. In the latter, one could relate the regeneration of the head to the attainment of a certain critical threshold, rather than to a very narrow interval of concenvalues as postulated by other investigators (Hicklin,Hornbruch, Wolpert, and Clarke,1973).
concentration
16.6. POSITIONAL DIFFERENTIATION

Supposenow that, by a mechanism of the type discussedin the previous a polar pattern has developed within a field.In addition to polarity, sections, this pattern endows the field with well-defined boundary values of the morphogensand, more generally, with positionalinformation for the inindividual
not specifiedhere, to a substanceS that can diffuse along the field betweena the primary source and a sink. The latter are specifiedin a unique fashion once pattern of the morphogenshas been establishedand may, therefore, be consideredto be \"imposed\" at the outset.This assumption can be relaxed but is maintained here for simplicity. (Babloyantz and Hiernaux, 1975) In each cell, it isassumed that Sacts at the genetic level*and regulates the synthesis of a protein E. We require that the E S relationship be sigmoidal In particular, or S-shaped, as in the modelsanalyzed in Sections 8.4and it is assumed that there exists a threshold value Scof Sfor which a considerable enhancement occursin the synthesis of E. This kind of \"all-or-none\"be\" in the analysis of the French flag problem'' behavior, which was tacitly assumed
cells. We want to analyze how this information is interpreted by the individual cellsand inducesa secondary pattern of differentiation. We assumethat one (or several) morphogen(s) give rise in a certain way,
15.4.
combination
of Section16.2, activation, or combinamay be achieved through repression, of these mechanisms known to operatein bacteria and probablyalso in and Monod,1961). Onecan construct quantitative models eukaryotes (Jacob behavior with elements proposed by Britten and exhibiting all-or-none Davidson A969) and Georgiev A969) for genetic regulation in higher orHowever, this would introduce unnecessary organisms (Hiernaux, 1976). and a great number of variables. Instead,we considera model, assumptions
while our model indicates how the morphogens may specify how they are produced genetically.
not does
* Thus,
be coupled
to the genome, it
does
422
and Pattern
Formation
based on the bacterial induction mechanisms of the Jacob-Monod type Babloyantz and Sanglier, (Babloyantz and Nicolis,1972; 1972).
R R
R
'
R k2
+ + +
o+ 21 ' o+
*3
k.
ks k6 k1
t
O\"
Ft E
+O
S+ E
E
'
ks k9
1+ E F
* 10
A6.13)
A repressor R is synthesizedfrom a precursor R' and can repressthe active the synthesisof the enzyme E. The latter operatorO+ into O\",thus blocking catalyzes a reaction whosesubstrateis the morphogen S and whose productI acts as an inducer by inactivating the repressorR. fcu are the rate the precursors constants,F is the decay productof the enzymeE, represents of enzyme E and F!represents the repressor-inducer complex. Forthe entire morphogenetic field of N cells,the variables associated with the model are Of,Of,Rh S,, and /, (for i = 1, N). As before, we take the variations of /?,-,Of,Of at the quasisteady state.Then, the time evolution of /j,and S, is given by (Babloyantz and Hiernaux, 1975):
/ct,...,
r\\
\302\243,,
= ~T~ fit
\342\200\224
-.\342\200\224]\342\200\224^r,
u u R -4- u u
]\342\200\224,\342\200\224r
-L- U
)\342\200\224;
-\\-
w u
;\342\200\224;\342\200\224ff
Kio-t; + Ku^
^= ^=
at
_fc
I^Rll+J^FJl+ k
+ kgEJi+
Ar
+k ES _ k EI
i
-/c8\302\243,S,.
-^(Si+,+ S,_!- 2Sf)
2,...,N
A6.14)
We have assumed that only the morphogen S diffusesthroughout the field. Diffusion has beenapproximated law, which has beenwritten in a by Fick's D is the finite-differenceapproximation suitable for numerical calculations. of a cell. (constant) diffusion coefficientof S and Ar is the dimension
16.6. Positional Differentiation
423
15
Cell position Figure
16.5. Gradient
of diffusion
of morphogen
S in
source-sink
field
of
30cells.
We assign to the boundary cells1 and N valuesof E,I,and Scorresponding to the pointson the lower and on the upperbranch of the E-S characteristic curve. This establishes a source field. and a sink in the morphogenetic The steady-state solutionsof the Eqs.A6.14)give the stationary spatial distribution of E, I,and S.Theseequationshave been solved numerically by the Runge-Kutta method on a CDCcomputer.Figure 16.5 presentsthe The S source and sink. of the between stationary gradient morphogen position of the sourcedetermines the polarity of the field. Figure 16.6 describesthe to the above mentioned spatial distribution of the enzyme E corresponding in the a variation It is seen that smooth gradient of morphogen gradient. E. This property is due curve for a discontinuous may generate response to the nonlinear character of the E-Srelationship and the existenceof a threshold concentration Sc for the synthesis of E. In a morphogenetic of diffusion, the concentration of S is not due to the process field of N cells, The cellsexposedto a concentration S > Scsynthesize identical in all cells. appreciablequantities of E and are differentiated, while those with S < Sc remain undifferentiated.Thus, the field is separatedinto two distinct regions of high and low concentrations of E.
15
Cell position Figure
16.6. Pattern
of celldifferentiation
corresponding to gradient in Fig.
16.5.
424
and Pattern
Formation
30
Cell position
Figure
16.7. Pattern
of cell differentiation
in source field of
60cells.
and at the sink and by the value of the concentration of S at the source of D. the diffusion coefficient by magnitude If the concentration of the substances suddenly changesin one or several the later returns to its original form. Thus, the patterns cells, perturbedpattern
determined
Fora given dimension of the field, the proportionof induced cellsis deter-
of Figs.16.5 and 16.6 are stable.Earlier analyses of mechanismssomewhat similar to Eq. A6.14)by EdelsteinA972) had producedunstable solutions with morphogenesis. and hence couldnot account for the patterns associated If one imposes of the morphothe value of the source at both boundaries This corone the of obtains differentiated genetic field, patterns Fig.16.7. 16.6 a nd to the of the of pattern Fig. displaysdiffercorresponds duplication of the field.Forgiven valuesof Sand D, cellsnear the two boundaries this property holds only if the dimension of the field is not smaller than a certain criticalvalue.Theseresultscan easilybeextended to two-dimensional and f ields Hiernaux, (Babloyantz 1975). morphogenetic In conclusion, the main interest of the modelspresentedthus far in this chapter liesin their relative simplicity and in the fact that the resultsobtained are largely independent of the detailsof the regulatory processes at the subcellular level.We may say,therefore, that we have a few \"generalprinciples\" is to illustrate the underlying pattern formation. The purposeof Section16.7 use of these principlesin concrete situations involving the development of
differentiated
simpleorganisms.
16.7. APPLICATIONS
We do not attempt to presenta quantitative analysis, which at this time is in view of the large number ofvariables involved in any biologicmeaningless
biologically
predictionthat
realistic situation. Rather, we focus on the general but quite concrete in the course of development a critical size must be exceeded beforepositional information\342\200\224and hencepattern formation\342\200\224can take place.
16.7.Applications
We
425
refer to two extremelydifferent organisms: (a)Hydra, which in the adult a is stage highly differentiatedanimal involving 17different cellular types and (b) Acetabularia, which is a unicellular organism capable of undergoing morphological changesgiving rise to the appearanceof a cap in the apical In both cases, one can becauseof the morphology of the organisms, region. of a one-dimensional speak morphogenetic field. Considerfirst the case of Hydra.Schallerand Gierer A973) have demonthe existence of the gradient of a substance extendingalong the animal that activates the formation of the head (Schaller, has This substance 1975). beenisolatedand is a peptideof low molecular weight. Moreover, Berking that is again distributed A974) has isolatedan inhibitory substance along the animal and inhibits the formation of the head region,consisting of hypostome and tentacles. Thesediscoveries add credence to modelsof the type discussed in Section16.5 nonlinear interactions between an activator and an involving inhibitor. In the analysisin Section16.5 wehave shown that the length of such a system must exceed a critical value beforea region of high concentration of the activator appears.If one acceptsto identify this with the head region of Hydra, then one obtains an interpretation of a fact well-knownto zoologists, a critical size before acquiring its morphonamely that Hydra must exceed
demonstrated
morphological
The situation is fairly analogous in the case ofAcetabularia.A gradient of an substance, I,producedby the nucleus(which is in the rhizoid region inhibitory Bonotto, oppositeto the cap) has been suggestedby certain authors (e.g., This substance blocksthe action of an Lurquin, Baugnet-Mahieu,et al., 1972). RNP. This agent, Do, can be a agent unmasking the ribonucleoproteins, Moreover, a gradient of RNP extending proteolytic enzyme(Brachet, 1975). from the apical to the basalregion has beenfound (Brachet, 1964; Wall, 1973), for the synthesis of enzymes initiating cap formation. which codes Taking only thosegradients into account a minimal model has beendevelwhich can besummarizedas follows: (Rommelaereand Hiernaux, 1975),
developed
characteristics.
(mRNA)M
r]
vDfl
>
mRNA (mRNA)'
4 M+
\342\226\240
vD,
mRNA
\342\226\272
+ sE + P
k6
\342\226\272
E*
A6.15)
426
and Pattern
Formation
D, denotesthe inactive form of the unmasking substanceDo, which is taken to be a cooperative enzyme as in the modelsanalyzed in Chapter 15. The active form Do unmasksthe messenger RNA, which in turn mediatesthe synthesis of the enzyme E relating to the cap formation. Both I and E are degradedto yield inactive forms I* and E*. The rate equationsdescribingthis model have been solved numerically under the following conditions:
linear gradient of (mRNA)M is supposedto exist at the outset, The inhibitor I diffusesalong the system and obeysmixed conditions at (ii) it is held constant in the region of the nucleus from which it the boundaries; emanates and cannot flow outward in the apical region.
(i) A
The numerical simulations yield a critical length, beyond which the synOne is tempted to concludefrom synthesis of enzyme E becomes appreciable. this that the cap formation cannot take placebefore a critical elongation is attained. This is in agreement with the experimental observations. of the presentchapter wehave sections Throughout this and the preceding in terms of nonlocalized reactions, argued typically with reactionsoccurring It is plausible within the cytoplasm. that membrane-bound substances play A striking illustration is provided by the an important role in morphogenesis. discoveryofelectricalsignals accompanyingthe regeneration ofAcetabularia and which are related to the existence 1972; Novak, (Novak 1975), Bentrup, of a transmembrane potential. A more completemodel of morphogenesis should, therefore, contain both cytoplasmic and membrane elements. Nevertheless,the general ideasoutlined in this chapter would still apply, as of the reaction sequences such as they rest only on the qualitative properties and symmetry breaking rather than on the quantitative details. stability
Part V Evolution and Population Dynamics
Chapter 17
Thermodynamicsof Evolution
17.1THE NOTIONOF COMPETITION
We have seenthat the formation and maintenance of self-organizingsystems are the results of nonequilibrium constraints and appropriate nonlinear at the molecular level. In this couplings characterizing regulatory processes final part of the monograph we want to analyze the influenceofa third element not explicitlypresentin our preceding considerations, namely, the competition between the entities constituting the system. whenever Competition is a very general phenomenon in nature. It occurs the resources or raw materials necessary for synthesis, growth or survival, are limited or become The interactions between the elements present scarce. take then the form of a struggle,whoseoutcome may be twofold.Either some of the entities are eliminated from the system, or a sort of \"dynamical equiof widely different entities. In equilibrium\" is realized, enabling the coexistence this chapter we discussprimarily the influenceof the first type of process, which is usedas the basisof a theory of prebioticevolution of matter. The is discussed in Chapter18. of competing populations problemof coexistence In both cases we insist on those general aspectsof the phenomena that are at the molelargely independent of the mechanistic detailsof the processes level.
molecular
17.2.PREBIOTICEVOLUTION: GENERAL
accumulated
PRESENTATION
theory ofevolution is a subtlecombination of the resultsaccumuPresent-day and of Darwin's original ideas. in molecular biology since 1952 to be the result of random mutations arising from Evolution is considered \"errors\" in the replication of the genetic material. The errors are inevitable, and of the of the complexity of the various biochemical processes of further in the absence of the external Obviously, diversity perturbations. constraints there is no competition, and the errors propagateindefinitely. Darwin'sfundamental discovery was to realize that natural selectiondirects
in view
429
which an organism can survive and increasein comThis mechanism complexity. operatesassoonas the environment cannot support a population exceeding a critical size. It selects thosespecies orgenotypes that number of descendants the external under the existing highest produce conditions.In this way, natural selectionprevents the accumulation of mistakesand at the same time allows improvements (through mutations) to take place. This picture of selection through \"survival of the fittest,\" which is strongly reminiscent of the gambler'sruin problemor the related phenomenon of extinction (seeChapter 9), already implies the existence of self-maintaining and self-reproducingsystems. it is not a theory t herefore, Strictly speaking, of prebioticevolution. This latter problemmay be formulated in successive stepsas follows.
the mechanism by
Under primitive earth conditions (probably prevailing three or four billion years ago), small organic compounds such as acids,bases,and sugars, could be synthesized at an appreciablerate. This view is widely accepted since Miller's historical experiment (Miller, 1953; seeFox and Harada, 1971 for a recent survey). must join into polymers having a new type of (ii) Next, these molecules would have been very low activity. The concentration of these molecules under prebioticconditions;therefore, somemechanism must have operated in orderto concentrate this dilute mixture in preferential places. These are discussed in Section 17.3. points to conceive crucial, namely, it is possible (iii) The following step is especially of a type of selectionpressure, with the interactions between these compatible active polymers, that would direct the system to increasingcomplexity and organization ? At a certain stagealong this road,the systemmust have become in sometype of capableof accumulating information from past experience, What are the rules that have prevailed in the formation primitive geneticcode. of this code, whoseexistence is now a well-established fact in biology?We discussthis problemin somelength in Section17.4 and 17.5 starting from an account of Eigen'simportant contribution.
(i)
17.3. PREBIOTIC POLYMERFORMATION

The most common mechanismof polymer formation is linear chain propagaHowever, the free energy of binding of the monomers that constitute such that the yield of acidsand the actual biopolymers\342\200\224nucleic we assumethat a biopolymer this process would be extremely small.Hence, having a direct evolutionary significancemust be a part of an autocatalytic the rate of synthesis of the polymers involved. cycle that enhances In this sectionwe illustrate the roleof autocatalysis on simplemodels
propagation.
proteins\342\200\224is
17.3.Prebiotk
Polymer Formation
431
describing the synthesis of low-molecular-weight homopolymer units, such as poly-U(polyuridylic acid) or poly-A (polyadenylicacid).Our main
motivation for introducing this simplification is to allow for an explicit kinetic and thermodynamicanalysis of the rate equations. The pricewe have to pay is that the characteristic properties of certain polymer chains to act as templatesfor their own synthesisor for the synthesis of other polymers is not built in the models. This difficulty is resolved by introducing reaction mechmechanisms involving suitable autocatalytic stepsgiving rise to the sametype of kinetic equations as the template processes. A much more sophisticated model into has account data on been known taking polynucleotide interactions analyzed by Babloyantz A972). The general picture is as follows. A precursorI of an active monomer X enters into the system. Onceformed, X gives rise to a dimeric molecule and Nicolis,1972): X2 in either of the following three ways (Goldbeter
SimpleCondensationof Two MonomersX (ModelC)
A7.1a)
is:
A7.1b) (ModelT)
X
\342\226\240
X2
Isa \"Template\"for Its Own Formation
condensation
template
2X,
A7.2a)
432
Thermodynamics
of Evolution
The overall reaction is now
41
X2
2F
an
Additional
A7.2b)
Autocatalytic Effect
IsSynthesizedon a Template, with
(ModelTC)
condensation
template + autocatalysis
A7.3a)
The overall reaction remains as in Eq.A7.2b): 41 2F
A7.3b)
the rate equations for the three models.At the steady state, one can seethat theseequations reduceto algebraicequations for X2 that are, (model TC),third degree (modelT), and respectively,of the fourth degree These second degree have been solved (model C). equations numerically and the results are as follows(Goldbeter and Nicolis,1972). vanishes (system maintained at equiFirstly, when the overall affinity the three models equilibrium), yield exactly the sameresult:
straightforwardly
Assuming
a spatially homogeneousmixture, one can derive straight-
A7.4) This correspondsto a low-yield polymer synthesis,wherein the autoautocatalytic or template stepsare completely switched off. Let us now come to the nonequilibrium behavior. It turns out that the latter depends critically on the magnitude of the parameter a2, which determinesthe relative importance of direct polymer synthesis and autoFora2 large, schemesT and TC operate on the same autocatalytic processes.
17.3.Prebiotic
Polymer Formation
433
Thisbranch corresponds branch as C. to a maximum utilization of monomers by C and is referred to hereafter as the \"optimal\" branch. Fora2 relatively small the competition between the two types of mechanbecomesapparent.The synthesis on the \"template\" becomespredomiand the mechanismsT and TC give riseto far-from-equilibriumabrupt transitions of the sigmoidaltype (modelT) or to transitions between multiple is illustrated in steady states (model TC).The situation for this latter case where / is used as parameter measuring the deviation from equiFig.17.1, in Section8.4 is The resemblance equilibrium. with the simplemodel discussed striking. The systemevolvesfrom a state of low polymer concentration, which to direct synthesis(C)at low valuesof a2 and may be referredto corresponds
mechanism predominant,
3 2
i
-1 -2 -3
-4
-5
-6-
-7
-8 -10-9 -8 -7 -6 -5 -4 -3 -2 -1
log/
Multiple steady states as function of / for model TC.Solid lines refer to steady = 2,F = 5 x 10\"9, = a5 = 104,a,= 102,a3= 10~2,a6 states of system TCfor a2 = l(T4,a4 Kt = 102, K2 = 2 x 106, Ky = 1,Kt = K5 = 103, Kb = 2, K being equilibrium constants of reactions. +) and (O, x) refer to minimal and optimal branches, respectively; latter and for a2 = 106, respectively. corresponds to steady-state operation of model C for a2 = 10~4 Figure
I I I I I
17.1.
(#,
434
Thermodynamics
of Evolution
as minimal branch, to an optimal branch characterized by a polymer concentrathat may be higher by several ordersof magnitude. At the sametime the Both low and upper (polymer/monomer) ratio in the system is enhanced. branchesare shown to be stable, whereas the states on the intermediate branch are unstable. ModelsT and TC provide alsoa very instructive illustration of the thermoThe numerical evaluation of dynamic arguments advanced in Section8.11. the total entropy production,P as well as of the molar entropy production, correP/n, showsthat the transition to the optimal branchesin both systems to a jump in thesequantities. A close corresponds analysisof the rates and affinities of the various reactionsshowsthat this jump results in from a manifold increaseof the rate of the template and/or catalytic reactions,whereas the rate of direct condensation diminishesstill further. In other words,the system to a fast reaction pathway and at the same time it enhancesits rate switches of dissipation.This is in completeagreement with the considerations dein the third of Section 8.11. developed part
concentration
with / beyond the transition region, Finally, while P continues to increase the molar entropy production P/n beginsto decrease. This occurssimulwith a decrease of rates affinities for the and simultaneously template and catalytic to that the the fact inverse processes, owing stepsbegin to build up along the
reaction sequence. This behavior of the dissipation function per unit massis strikingly similar to the existing thermal data on specificoxygenconsumption during embryIt appearsthat during a fraction development (Zotin and Zotina, 1967). of early embryonic life this quantity (which is expectedto be an increasing function of entropy production per unit mass)is sharply increasing,whereas This latter tendency continues during subsequentlyit steadily decreases. with such phenomena as adult life, with a few notable exceptions associated tissueregeneration or malignant growth. One is tempted to argue that only after synthesis of the key substances for its survival (which implies an increase in dissipation) does an necessary a its low value tend to to compatible organism adjust entropy production with the external constraints. At this point, contact can probably bemade with Darwin'sideaof the \" survival of the fittest,\" because a low rate of dissipation is likely to give to an organism a selectiveadvantage.
embryonic
AND HYPERCYCLES 17.4. BIOPOLYMER COMPETITION
are now concerned with the next stageof evolution, namely, the behavior The problem is of interacting populationsof biopolymers(Eigen,1971). the oneoutlined formulated by first assuming that by somemechanism (e.g.,
We
17.4.Biopolymer
in
Competition and Hypercycles
435
polymers having the following

(i)
it has been possibleto produceappreciableamounts of Section 17.3)
properties:
related Under the maintenance of a finite energy and matter flow (e.g., to the entry of monomers in the system as in the previous section)these substances can metabolizein the sense that they may undergo transformations from energy-rich to energy-deficientcompounds. (ii) The substances have certain autocatalytic properties arising from template action. In particular, the overall rate of productionof constituent i is a least proportionalto its concentration. This is to be comparedwith for the Lotka-Volterramodel,where autocatalysis gives rise to a Eq. (8.2)
similar
This implies that there is a (iii) The replication of i is subject to errors. for a from i set of other possibility producing substances; A/7= n). general form of rate equationssatisfying again a spatially homogeneous mixture):
A
property.
1,...,
A7.5)
theseconditionsis (assuming
i
= (AtQ, -^ at
At
Dt)Xt
<t>uXj j=! U*>)
</>OiX,
1,...,
n
and D, represent,respectively, the rate of formation of substancei as of i. Qt measures directedby the template i and the rate of decomposition i faithfully. its to the \"quality\" of the template action, that is, ability reproduce < of the < reflects the rate of i and dilution <pOi represents Clearly, 0 Qx within the reaction relative content the fact that as the systemgrows, polymer the rates of spontaneous volume is constantly modified.Finally, represent A given productionof i arising from errors in the replication of j species. at a rate either substance k at k replication process template produces 1 We conclude that: a rate k at total Ak( Qk)Xk. AkQkXk>or substances)
1.
<\302\243,7
\342\200\224
In addition to We must now specifythe constraints acting on the system. the nonequilibrium conditions related to the monomer (or the energy) flow into the system, onehas to imposea constraint implying somesort of selection. One of the conditionsproposedby Eigen for this purposeis the
conservation relation:
\302\243X,-
= const
A7.7)
436
Thermodynamics
of Evolution
this condition may lead to selection is obvious from the fact that any increase in the concentration of oneof the i constituents necessarily impliesa decrease in the concentration of the other substances. Summing over i in Eq. A7.5) and taking relations A7.6) and A7.7) into account we find that the Ah D,,and (poi must satisfy the following condition:
That
Xi
A7.8)
Thiscondition implieseither a recyclingof the waste productsinto the system, or a suitable adjustment of the dilution rate. Forinstance, taking all (f)Oi to be identical we find:
*.- *.- SMJ.Oix

Defining excess productivity and mean productivity
as
\302\243,
= Ai
- D,
=
<t>0
A7.10a)
A7.10b)
as
E
^^
\"
\302\243
we may now transform Eq. A7.5)into a form with conditions A7.6)to A7.9) built in. Substituting from we find A7.9) 4>Oi Eq.
\342\200\224i
dX at
= (Wf
\342\200\224
E)X, +
j-!frjXj
i=l,...,\302\253
A7.11)
where we dennedthe selectivevalue as

Wf
= A,Qt
- D,
A7.12)
The nature of the competition described is bestillustrated on by Eq.A7.11) example of \"self-reproductivecatalytic hypercycles\" (Eigen, 1971), reflect the fact that nucleic acids(denoted depictedin Fig.17.2. Hypercycles for self-organization because are a necessary by I,- in Fig.17.2) prerequisite the ability to act as templates. However,they require a catalytic they possess This fact is provided factor that couplesthe different template mechanisms. The whole by the presenceof protein chains, denoted by E, in Fig. 17.2. that is, the final protein En feeds back on hypercycleis assumedclosed, the hypercyclegives rise to side Supposenow that, as a result of errors, of the conservation condition A7.7) these new branches.As a consequence hypercycles competewith the original one.Under certain conditionsthis of the nonlinearities,selection and, because competition may lead to selection
the
I,.
17.4. Biopolymer
Competition and Hypercycles
437
17.2. An n-membered self-reproductive hypercycle of the type developed by Eigen. Polynucleotides I, are information carriers capable of self-reproduction. In addition, polyeptides E, serve as catalysts for the production of polynucleotides (Ef_, catalyzes production that is, of I,) and, moreover, I, provide information for synthesis of E,. Hypercycle is closed, Such autocatalytic En catalyzes the production of systems may be advantageous during evolution.
Figure
I,.
is very sharp.Thus, among many competing systemsonly onecan survive in an appreciable In the examplestreated in Eigen'spaper (Eigen, quantity. the survivor is characterized by the Jones, Enns,and Rangnekar, 1976), definition A7.12)]. highest value function [see Now, a system respondsto an errorand evolves further only if it is not oneis tempted to think that the ultimate stableinitially. Hence, sufficiently evolution would be to direct the system to a state of optimal goal of prebiotic stability toward its own errors (or fluctuations, as errors may be thought of as a new kind of fluctuation). This searchfor optimal stability shouldthen give a more precise meaning to the Darwinian \"survival of the fittest\" T he a means for minimizing state will be a system possessing principle. final This devicecouldbe thought of as the precursorof the genetic code. errors.
1971;
438
Thermodynamics
of Evolution
In the considerations it is developedin this sectionand in Section17.3 assumedthat the polymers couldbe presentin macroscopically appreciable Mechanquantities, otherwisethe variousinteractions would not be effective. able to localize thesereactionswithin specificcompartments should, in prebiotic evolution. In this respect therefore,have played an important role we may point out that the possibilityof creating, in a limited region of space, mixture concentrations that may be much higher than in the homogeneous is built into the very conceptof spatial dissipative structure. In particular, treated in Chapters7 and 8illustrate how a systemcan reach and the examples maintain new configurations where the probability for certain reactionsis enhancedand thereby triggers further evolution. The problemof compartformation in the context of prebioticevolution has beenconsidered along theselines by Tyson A975a) and Hiernaux and BabloyantzA976).
Mechanisms compartment
VIEWED 17.5.EVOLUTION
AS A
OF STABILITY PROBLEM
to derive somegeneral thermodynamic and kineticcriteria for and evolution. stability Supposethat we have initially a set of interacting = polymer speciesX, (i n) that all exist in relatively abundant quanis described The time evolution of the set {X{} by the following rate
We want now
1,...,
quantities.
equations:
\342\200\224^
= F? + F^Xj}) = O.-dXj})
i=l
A7.13)
HereFet is a supply term related to the exchanges of monomers)with the (e.g., external environment, and F, describesthe chemical processes inside the system.It is assumedthat the system is maintained uniform and that there exists at least one asymptotically stable steady-state (or time-periodic) solution of Eq. A7.13). This means that all compositionfluctuations dXj regressin time, that is, that all n roots w{ of the characteristic equation (see Section6.5) have negative real parts. In addition to compositionfluctuations the system may be subject to fluctuations tending to alter the average (deterministic) laws of evolution. For instance, a hitherto absent \"mutant\" or \"error copy\" of a polymer new reaction pathways may suddenly appear in the system. Subsequently, may be opened even if the new copy is present in very small quantities; small parameters that would normally play no rolein the macroscopic evolution become, as a result of these fluctuations. therefore, essential How are we to introduce the influenceof such structural fluctuations into the description? error or mutation cannot initially a spontaneous Naturally,
17.5.Evolution
figure in
Viewed
asa Problem of Stability
439
our deterministic Eq. A7.13), which is a statistical average over a it constitutes a stochasticprocessthat could be studiedindependently of Eq. A7.13) by the methods outlined in 10-12 of this also Allen, 1975; Chapters Eigen and Winkler, monograph (see now that the of conditionsfor spreading the errorover a 1975). Suppose sufficient volume or surfacearea are fulfilled. Then, the new copyconstitutes a macroscopicfluctuation of the previously prevailing equations.Calling = we obtain a perturbed set of differential m) the new copies, Yj (j whoseorder has increased equations by m comparedto the order of A7.13). larger number of elements. Rather,
1,...,
dY, dt
Theseequationsread:
= G,({Xj},{Yk},c)i = 1
-\302\273
/=l,...,w
A7.14)
This and such that in the limit c 0 the original equationsare recovered.* means that there existsa value Yk({Xj}) given by
Here c is a parameter characteristic of the propertiesof the enlarged system
j0)
=0
A7.15a)
A7.15b)
such that
)},0)= Fi
Naturally, we expect Yk given
from
Forc to be practically zero. by Eq. A7.15a) be zero of will determined different but small, the stability Eq.A7.14) n + m. This equation will have n + m by a characteristic equation of degree to thoseof the initial characteristic rootsand n of thesemust have valuesclose in have equation and, negative real parts. The stability of the particular, referencestate of the initial system or,alternatively, the stability of the state can only be threatened by the new {Xf}, {Yk} of the enlarged system A7.14), roots a>n+k @ < k < m). To illustrate this, take m = The only way to recover the characteristic equation of the initial system in the limit e 0 is either the (n + l)st term of order multiplying then to have a correction of of the or the term the characteristic characteristic root, equation that power is independent of the characteristic root:
1.
-\302\273
\302\243
cco\"+'+
an(c)co\"
\342\226\240\342\226\240\342\226\240
+ a,(fi)co + ao(c)= 0
A7.16a)
* Note that in the equations for Y, there is no flow of mass term included. This reflects the fact that {Y} is produced systematically solely via autocatalysis and is, therefore, essentially a closed
system.
440 or
co\"+1
Thermodynamics
of Evolution
an{r)co\"
\342\226\240\342\226\240\342\226\240
+ a{(E)co+ mo(c)= 0
A7.16b)
Forc small the new root con+ , dependson c in oneof two ways:
\342\226\240l--~
A7-17a)
if
we are in
case or A7.16a),
A7.17b)
case on the valuesof the parametersand on A7.16b). Depending the coefficientin the right-hand sideof either Eq. A7.17) kinetics, may be Thus wereach the important conclusion that by taking into account positive. a small and, at first sight, \"spurious\" parameter, the stability propertiesmay In other words, one deals here with a problem of the structural change. Section with respect to perturbastability (see 5.4)of the reduced systemE.13) that introduce side reactionsincreasing the order of the differential the departurefrom the unstable regime is system.Note that in case A7.17a) the unstable modeevolvesvery very fast for e 0, whereas for case A7.17b) to a new state of high Y conslowly.This evolution may lead,for example, which can even be dominated by the new substances. concentration, One can derive a somewhat explicit kinetic criterion for evolution by around the referencestate {Xj}, linearizing the secondequation A7.14) {%} = c to 0. We obtain, setting Y, = Y, + SY,: corresponding
if
we are in
the
perturbations
-\302\273
'=\342\226\240
\302\273
The condition for evolving away from the values % of characteristic determinant of this m x m system: det
is, then,
that
the
=0
A7.19)
shouldlead to at least oneroot having a positive real part. The remarkable feature of this criterion is that it doesnot dependexplicitlyon the properties of the original system.For a single additional copy (m = 1)the criterion
17.6.Evolutionary
yields simply
Feedback
44j
>0
in
A7.20)
of Y should enhance the rate of its synthesis. other words,that the presence This statement is equivalent to that of an autocatalytic action of Y. for systems Theseconsiderations have beenillustratedon evolution models in which the new substances introduce a drastic change in the functional and Babloyantz, 1972). Nicolis, properties(Prigogine, Typically,c.is then the inverseof somerate constant k characterizing the new function and the new time scale imposedon the system. The essentialproperty that instability occursfor e 0, that is, for k j> 1,means that the new copieslead to an increasein the interactions within the system and/or between the system and environment.
-\302\273
17.6.EVOLUTIONARY
When inequality
FEEDBACK
A7.20) or its generalization to several new substancesis the systemof Y valuesswitchesfrom the referencestate {Yk] to a Section regime characterized by new reactions having a positivevelocity [see were absent Sincethesereactions Eq. (8.89b)]. initially, their especially is first to bealso the bound affinity stagesof evolution positive. Thus, during rate of dissipationas from the referencestate the increases its away system measuredby the entropy production.If the instability correspondsto Eq. this increaseis very sharp, as discussed in Section (third subA7.17a) This has result been illustrated on models and Nicolis, (Prigogine, subsection). satisfied,then
8.11,
8.11
Hiernaux and Babloyantz, Goldbeterand Nicolis,1972; Babloyantz, 1972; which also indicatea similar behavior for the 1976) specificrate of dissipation, that is,for the entropy production per unit mass(or per mole). The point is that the instability, which is triggered by nonequilibrium 0 and large in Eq. A7.13)] maintainenvironmental conditions by Fcthe levelof dissipation a continuous energy dissipation, further increases of new instabilities. and thereby createsconditions favorableto the appearance In other words, someirreversibleprocesses taking placeinsidethe system are their departure more intensely and have, accordingly, increased functioning the probability that there existsa classof from the equilibrium state.Hence, are in turn unstable, has fluctuations, with respectto which theseprocesses become higher. On the contrary, if the result of the instability wereto decrease the levelof dissipation, to the propertiesof an isolated one would get closer to a regime in which all fluctuations are system at equilibrium, that is, closer
[i.e.,
maintaining
442
Thermodynamics
of Evolution
of transitions has damped.This mechanismofevolution through a succession been calledthe evolutionary feedbackand can be visualized as follows:
Nonequilibrium
Threshold
(Eq. 17.20)
structural Instability through fluctuation (Eq. 17.17)
Increased dissipation
(Eq. 8.89) We
<
are led, therefore, to regard energy dissipationas the driving force of evolution. In this respectit is pertinent to point out (de Duve, 1974) that, there despitethe increasein organization and complexity of living systems, has been an acceleration of biologicalevolution in the courseof time. It seemsas though each new step increasing functional organization has in itself the germs for further evolution. The purposeof Section17.7 is to relate the level of dissipationwith the functional organization of simplereaction networks.
IN SIMPLE REACTION NETWORKS 17.7. ENERGY DISSIPATION
SimpleLinear Networks
Let us first considerthe transformation of someinitial substrateA to a final product E through JV intermediate productsX, (i = JV). We want to behavior of the the study steady-state entropy productionper unit mass(or as a function of the topology of the reaction scheme, that is,as a per mole) <rm, We function of the reaction \"connections\"between the chemical species. assumethe reactions follow linear kinetics and that all forward and backward rate constants are equal to k. We have:
1,...,
^
z\\ 2 '
'
\"^N
A7.21)
17.7.Energy
Dissipation in Simple Reaction Networks
44s
The steady-state solution of the rate equationsis easily found to be:

X
+ iE (N+1-QA
N+\\
A7-22)
and the total entropy productionis, assuming a uniform system and taking definitions C.14) and C.9)into account: P
= k(A- X,)ln
~+
k{Xx
X2)\\n
^
\342\200\242 \342\200\242 \342\200\242
\342\200\242 \342\200\242 \342\200\242
k(XN
- ^
E)ln
A7.23) where A, E, and Xt denotethe total mass(or number of moles)of the corresponding constituents within the reaction volume. Taking Eq. A7.22)into account we find that, at the steady state
A
cor-
A\"?
X\302\260i
X\302\2602
= X%
A7.24)
Thus, Po = M
- Xi)ln 4
AZ25)
-\"TiTT\"!
Dividing
through
by the total
m
mass(or number of moles) of the system:
=A +E +
1=1
Y^Xi
<r\302\260
for and taking again Eq. A7.22)into account we arrive at an expression of solely in terms of the ratio A/E-that is, in terms the overall affinity of the reaction- and of the number of intermediates:
k
(N
\\)(N
2)[_(A/E)
1]
its specificentropy Thus, for a given overall affinity, the reaction chain sees its decrease w hen when more intert hat increases, is, length production E is intermediate intervenebefore steps produced. as a polymerization reaction. Each step i of Let us now regard Eq. A7.21) the chain describes the addition of a monomer A, to the intermediate X,-_ , in such a way that k = ltAj = const, where /, is the rate constant for the ith addition. The final polymer E is produced at a rate proportional to the steadystate value of XN, that is, from Eq.A7.22):
fcô
kA
+ NE
A7 27)
444
Thermodynamics
of Evolution
This is an increasing function of N as long as E/A > 1, otherwise the rate of with the length. In particular, this is the case when synthesis of E decreases the overall affinity is triggered to infinity, that is,if A/E -* oo at constant A. At the sametime, the rate of depletionof monomers A becomes:
dt that
A7.28)
length of the chain. we for a large and positive overall affinity the find that conclusion, of specificrate of dissipation with the length of the chain is associated decrease with a poor functional performance as measuredby the yield in polymers. This result (Prigogine and Lefever, 1975) as follows. can also be expressed From Eq. A7.22)onecan seethat for
is, it diminishes with the
In
A/E-* co,
Alternatively,
A>
X{>X2>
>
\342\200\242\342\200\242\342\200\242
\342\226\240\342\226\240\342\226\240>
XN> E.
there is a continuous degradation of the chemical potential:

Ha
>
J\"x,
> HxN > He

\342\200\224
A7.29)
For N -* oo the
individual differencesfix. jUXj+1 tend to zero, and as a result the overall rate of transformation of A into E is very slow. The situation is different when the initial and final productsA and E can be connectedby more than onepathway. Forinstance, considera seriesof \"parallel\" connections involving each a single intermediate product:
A7.30)
--\342\226\240\342\226\240\342\226\240
Following the same procedureas before one finds that when /c, = k, is given by (Prigogine and Lefever,1975):
<r\302\260
= k~
A7.31)
(N
+ 2MA/E)+1] E
N[tjA/E)-l-\\
17.7.Energy
Dissipation in Simple Reaction Networks
445
In contrast to Eq.A7.26),this value increases with the number of loopsin the tends a network and toward finite constant value for N oo. At the same of the network is enhanced as E is produced time, the functional \"efficiency\" at a higher rate. An alternative interpretation of this result is as follows. Starting with a linear chain such as Eq. A7.21), an evolutionary processtransforming it into the in both the form A7.30) is associatedwith increase progressively rate of a and the functional efficiency.For given value of specific dissipation the constraint A/E onemay say that the system has managed to interact more strongly with the external world in such a way that it is traversed by a higher
\342\200\224>
flux
of matter.
SimpleCatalytic Networks
which
The next step is to considernonlinear reactions involving catalytic steps, are more realistic from the biochemicalpoint of view. A typical scheme is the following:
A7.32) where the catalyst M is formed due to the action of the end constituent of the The comchain and, subsequently, catalyzes some(or all) of the reactions. -> the of the oo and show t hat if strength 1965) (Prigogine, A/E computations is enhanced is effect the rate of catalytic sufficiently large, entropy production
enormously. Significantly,
but
onefinds
that
at the
sametime
Pe
In other
without
A7.33)
degradation along the chain and to sustain between XN and the final productE a very large affinity of reaction. We find here oneof the key ideas behind the notion of evolutionary feedback;it is by keepingsome of the reactionsvery far from equilibrium that a system becomesmore efficient.
words,the effectof catalysis is to propagatethe chemical potential
446
Thermodynamics
oj Evolution
17.8.A
BIOCHEMICAL ILLUSTRATION
When, by addition of a suitable substrate,a chemical potential is appliedto an enzymatic processsuch as the glycolyticpathway (see Chapter14),fluxes are generated and the variouscomponent processes into pass anonequilibrium state.Consider,for instance, the case of a steady-state functioning. One can compute the minimum energy requiredto maintain a steady-state flux for a reaction within a nonequilibrium chain (Hess, as follows.Consider the following reaction:
1963,1975)
'
>
k2
A7.34)
If 01is the
affinity
of this reaction at the steady state:
a=kBT\\nk^
then the amount of energy per unit time
is:
requiredto maintain the steadystate

A7.35)
= (kiA0 ~k2E0)kBT\\nk^ d-^dt k2 Eo = entropy-production rate
Experimental values for the ratio (Ao/Eo) have been reported by Hess of the glycolytic reactions in tumor cells. On the basis of A963) in the case thesevalues, glycolytic reactions can be classifiedinto two groupsshowing different steady-state behavior.
for instance, Reactions with near-equilibrium enzymes. In these reactions, the reversible isomerization of i somerase catalyzing glucosephosphate is flux into t he net low fructose glucose compared 6-phosphate 6-phosphate, to the maximal activity of the enzyme. with a reverseflux (ii) Reactions with enzymes operating quasi-irreversibly, small to the net compared negligibly flux, and having regulatory functions. In this case, the free energy of the reaction is mostly usedfor control. Examples For of this secondclassinclude pyruvate kinaseand phosphofructokinase. from in one the kinase finds that deviation instance, pyruvate equilibrium in the glycolyticsystem as indicated by Ct is about 5 kcal mole\"'.
(i)
the
Usingthesedata one can concludethat along the glycolyticpathway the chemical potential differenceis practically concentrated in the vicinity of the and pyruvate kinase, two principal regulatoryenzymes,phosphofructokinase
17.8.A Biochemical
Illustration
\"
447
whereasin the part of the chainbetweenthesetwo enzymesthere is a plateau \" of chemical potential. The situation is strikingly similar to that encountered in the model of the secondsubsection in Section17.7. It is tempting to point out the analogy between the evolutionary feedback and the conclusionthat the energy cost for control is associatedwith the to say, weare Needless complexityof the metabolic pathway to be controlled. of still at the very start in the understanding of the origin bioenergetic
pathways!
Chapter 18
Ecosystems
INTRODUCTION 18.1.
In Chapter 17 we have seenthat, starting from an initial chaotic situation, the competition between units endowedwith autocatalytic propertiescan of nonequilibrium give rise to a functional organization via a succession instabilities. the laws the Now, describing growth, decay,and interaction of
and socialsystems are very closely to those biological populations analogous of chemical kineticsin general and to those of competing biopolymers in
particular. The purposeof this chapter is to explore these analogiesand undertake an analysis of interacting populationsin an ecosystem using the methods and ideasunderlying the theory of dissipative structures.As in Chapter 17, we try here to sort out some general features and trends that are largely independent of the details of the phenomena at the level of the single
We first review,in Sections the basicequations 18.2 and 18.3, of population dynamics and illustrate the type of orderedbehavior that can be predicted from these equations. Sections 18.4 and 18.5 are devoted to ecological evolution. We first outline a general formulation of this problemand then of socialinsects.Section 18.6 is apply it on examplesinvolving colonies devoted to the question of stability of complexsystemsand to the timehonoredproblemof \"the limits of complexity.\"
individual.
18.2. BASIC EQUATIONS

previous chapters,in order to set up the appropriaterate equations we must specifythe interactions between the:(a) comthe process describing of the and system (b) system and the external world.Mathematically, components either boundary the latter influences the evolution equations through conditionsor systematic constraints intervening explicitly within the equaAs in the
equations.
448
18.2. Bask Equations

an
(i)
449
Let us first discussthe dynamical processes inside the system. As a rule, of assembly populationsis subjectto the following kinds of processes.
Processes of genetic origin. As the entities constituting the populations are living beings,they reproducethemselves at a frequency /c, and die at a frequency dt. Moreover, they are subjectto \"mutations\" that from time to time may change the nature of the system in an unpredictable way, as in the case of prebioticevolution examined in Section17.5. (ii) Processes involving competition, intra- or inter-specific.Quite frequently, these processes arise from the fact that in a medium where the amount of resources is limited, the growth of an organism eventually takes place at the expense of the others. As it has long been known from early studieson human or animal populations, this resultsin a saturation in the growth. In other cases, involve direct interactions between individuals, competition may o r s uch as and castes, species, By definition, all kinds of predation aggression. rise to rate equations, contributions in the nonlinear competition give These processes ensure the coordination of the (iii) Regulatory processes. activities of the populationsin spaceand time. They give rise to feedbacks or that is, to nonlinear interactions, in the sensethat they growth of a certain part of the population which is necessary for the survival of the entire population. The formation of soldiersin social insectsis a characteristic example. The above three processes are local in the (iv) Communication processes. sensethat they take placein any small area or volumeelement in the system. In addition to theseprocesses communicate between neighboring populations or even distant areas.Spatial dispersion (Pielou,1969)or migration of means for communication. Sensing are examples (Maynard-Smith, 1974) devices and/or chemical agents such as pheromonesin socialinsectsmay alsobe involved.
favor\342\200\224directly indirectly\342\200\224the
Coming now to the constraints acting on the system we remark that an ecosystemcommunicates with the external world through a separating surface, Z. In general, the conditionsprevailing in the external world are not identical with thoseinsideE. In particular, the numbers of individuals of i insideand outsideare different: Xt # X]. Similarly for the energy species per unit volume or per unit area, ev # e\\. Thesedifferencesare felt by the system as constraints inducing a flow of matter and energy within L, in the describedin Chapter5. sameway as in the case of physicochemicalsystems is It is Thus, an ecosystem generallyan opensystem. easy to think of examples, a flux of solar energy or a such as the biosphere to as a whole being subject of energy an exchange thanks to relatively advanced societybeing sustained and information with the surroundings.
4S0
Ecosystems
We want now to write the explicit form of the rate equationsdescribing these processes. of a Let us first illustrate the procedurein the simplecase In the presenceof food, A, the individuals, X, multiply at a singlespecies. rate that to first approximation can be set equal to*:
(d\302\261\\
\\
at
= kAX
/birth
A8.1a)
Similarly, the rate of mortality
is:
\342\200\224
dt /dealh
= -dX
A8.1b)
Note that Eqs.A8.1) are isomorphic to the rate of an autocatalytic production of a chemical X and to that of a dilution or an inactivation of X:
A
X X
\342\200\224*\342\200\224\302\273
2X
\342\200\224d-^
A8.2)
were unlimited, then Eq. A8.1) would predict a population explosion an exponential growth of X,f provided kA > d, and an exponential decay to zero provided kA < d. In fact, A is generally limited and as a result its rate of consumption must be taken into account explicitly.This rate is equal to
If
A through
= -kAX (^1) dt /cons

\\
A8.3a)
On the other hand, A is reproduced in the sameway as X or, if it is a simple of other living organisms. organic matter, it arisesfrom the decay processes is quite complexand involves the so-calleddecomposers. A This process the simple limiting caseis that where A is recycledentirely into system the death of X: through
= dX (d4) V dt /prod
system):
A
A8.3b)
there is a From Eqs.A8.1) and A8.3) we concludethat in this limiting case conversationcondition for the total amount of organic matter present(closed
+ X = N = const
A8.4)
an extension to several
* Expression A8.1a)implies the presence of a single phenotype. For phenotypes, we refer to Allen A976).
This is usually referred to
as Malthusian
growth.
18.2. Basic Equations

Substituting
evolution
451 relation we obtain the following equation of evoluAV

\342\200\224
A from this
for
X:
dt
= kX(N
- X)
\342\200\224
dX
A8.5)
This is the celebrated Verhulst equation for logistic growth, which has been Maitra, and Montroll, widely used in the study of population trends (Goel, As mentioned before, the term N X introducesa saturation of the 1971). population to a finite steady-state level:
X0
= N-~
k
A8.6)
It can be shown straightforwardly that this state is asymptotically stable wheneverit exists(i.e., > whereas the trivial state Xo = 0 correspondXo 0), to the extinction of the population is unstable.* In the case of several interacting populationsthe saturation term takes the form (May, 1973)
corresponding
A8.7)
(i) to processes
and the general equation of evolution taking into account (iv) cited above
is:
+ Fc({Xj}) + FR({Xj}) + FM({Xj}, A8.8) The nonlinear functions Fc, FR describe, respectively,the rate of competition other than that implied by Eq. A8.7) and the rate of regulation. FM stands for migration, movement, and so on, and dependson both internal and
{X\302\260}).
external values of Xt. As a secondexampleof Eq. A8.8), considera system involving a single prey, X and its predator, Y. We assumethat the prey has an unlimited reservoir of food (Nprey -> oo) and that the predator feeds entirely on the imply prey.The latter diesentirely becauseof predation.Theseassumptions = FM = 0, and dprey = 0 in Eq.A8.28). that Pij ->0,FR Moreover, we take for Fc the simplestpossibleform describingthe frequency of binary enencounters between X and Y:
\\Fc(X,Y)\\
= sXY
A8.9)
the assumption of a from the regime of
* Note that the existence of two steady states is not in contradiction with closedsystem, Eq. A8.4). Indeed, we deal here with a system displaced
detailed balance.
452
Again,
Ecosystems
it is instructive to point out that Eq. A8.9) has the sameform as the rate of the autocatalytic reaction: X
\342\200\224^\342\200\224\342\226\272
2Y
A8.10)
Keepingtheseremarksin simpleform:
mind
we may reduceEq. A8.8) to the following

kAX
^= dt
sXY
at
sXYdY
A8.11)
Theseare identical to the equationsof the Lotka-Volterramodel analyzed in Section16.2 Maitra, and Montroll, 1971). (seealso Goel, Sofar Eq. A8.8) have beenregardedas deterministic, In fact, theseequadefine a stochasticprocess in the space of {X{} values for the same reasonsas chemical reactions. one Thus, following the methods of Part III, can derive master equations to complete the macroscopic predictions. Moreover,mutations introduce structural fluctuations that confer to the system an additional stochasticelement. Finally, an ecosystemis subject
equations
to environmental fluctuations that continuously influence the values of the coefficients kt, Nt (etc.)in Eq. A8.8).In this chapter we are concerned primarily with the effect of structural fluctuations. A detailed analysis of environmental fluctuations can be found in May'smonograph (May, 1973).
18.3. EXAMPLE
OF ORDERED BEHAVIOR: ORGANIZATION INSECTSOCIETIES
IN
The close of the rate equationsto those of chemical systems, resemblance and the existence of nonequilibrium constraints, promptsus to ask whether of biological at this levelof description dissipative structures occur populacausingpatterns of organization similar to thosefound on the chemical reactionsanalyzed throughout this monograph. In recent years, limit-cycle solutionsof model equationsof population The possibilityof spatial dynamics have been discovered(May, 1973). Herewe and Jackson,1972). ordering has also been pointed out (Segel develop a different examplereferring to the rapidly growing field of sociobiology.Although the type of behavior predictedby this model is probably quite general, in our formulation we refer specifically to social insects
populations,
(Deneubourg, 1976).
18.3. Example of Ordered Behavior: Organization

Among
individual
in Insect
Societies
maximum
453
insectssocialorganization attains a
the hymenoptera and termites (Wilson, 1971), and the survival of the individuis practically impossible outsidethe group.The regulation of castes,nest construction, formation of paths, and the transport of material or of prey are different examples of collectivebehavior extending beyond the scaleof the single individual. Considerthe problemof the early stagesof construction of a termite's in two phases nest.It seems that this occurs (Grasse, 1959). Firstly, there is an uncoordinated phase characterized by a random depositionof building
complexity with
assumption
material. However,when by chance oneof thesedepositsbecomes sufficiently in a second the termites deposit material on that that large phase begins, aggregation preferentially. A pillar or wall growsdependingon the initial compositionof the deposit.If these units are isolated,construction stops, otherwise an arch may result. The following simplemathematical model (Deneubourg, showshow 1976) such \"orderthrough fluctuations\" Let the of C be concentration appears. insectsdepositing the material, whoseconcentration is P.The basicassumpwe adopt is that a chemical substancethat termites mix with the difbuilding material is emitted. Let H be its concentration. The substance in diffuses its odor the and attracts termites toward freely space regionsof o f already that toward the where there is an excess is, H, high regions This in of orientation mechanism a odor material. gradient may deposited not be the only onepresent,but it is the only oneretained in the model. The main stepsin the process can be summarized as follows:
C
+
'
\302\273
'
+ P*
A8.12)
the indirect autocatalytic effectof H on P via the where the loop describes attraction of C P* representsthe \"inactive\" material, that is, the material can be emitted. at a state where no odoringsubstance The rate equationsare:
\342\200\242
\342\200\224
dP = _
*
ktC-k2P
D ]r * + DHV2H k2Pk4H is.2
<*4
dH = ]r
ct
~=
F*
-ktC+ DV2C +y\\-(C\\H)
08-13)
In the last equation Fe represents the flux of insectsbringing material into the spacewhere the work is performed,D the coefficientof random dispersion
4S4
Ecosystems
pattern of density P obtained by numerically solving Eq. A8.13)in region = 3,fc, = k2 = k4 = of uniform steady state. Numerical values of parameters: = 6.25x 10~4, x 10\022. D = 0.01, 0.8888, DH y = -0.4629
Figure
T8.T. Spatial
of instability
F'
(D > 0), and
of \"active insects\" in the sense the rate of disappearance not that oncethey deposit the material the termites do participate in the term the attraction work for a while. Finally, the last by the represents coefficient a attraction It has been set proportional to (constant) 0) y(y and to the divergenceofa \" field.\" The latter isproportional to the local density A similar term has been used in the of insectsand to the gradient of odor. the motion of cellular slime molds during the of chemotactic modeling
\342\200\224k{C
odor. <
1970). Chapter 15 and Keller and Segel, aggregation phase(see Under certain conditions,Eq. A8.13) may admit two steady states.The
first
is the
uniform
state:
-p
\342\200\224
\302\260~^7
Ho =
A
A8.14)
kA
linear stability analysis following the lines of Section7.4showsthat this unstable.The system then evolves to a structured constate may become This configuration featuresa regular pattern on Fig. depicted configuration of material depositionwhich is expectedto simulate the regularity of the observedin actual termite nests. pillar succession A detailed analysis of the characteristic equation showsthat only when the the uniform a certain value does density of the depositedmaterial* reaches
18.1.
* According to Eq. A8.14)the

density
density
of deposited
material
is directly
proportional to the
of insects.
18.4. Evolution of Ecosystems

distribution
455
agreement with
untenable solution of the rate equations.This is in the experimental observations. Moreover, it is seenthat the of the a function the is of coefficientsD and DH pattern wavelength dispersion and the sizeof the system.In particular, structuration becomes if impossible the dimensions are below some critical value. This is quite similar to the conclusionreached in Section devoted to the onset of polarity in a
become an
16.5
field. morphogenetic It is striking to see, on this simple example,that the performanceof complex tasks leading to regular structures does not necessarily require distance or devices. it to other similar R ather, measuring appears be an inevitable of the nonlinear interactions within the system and of the consequence constraints exertedby the external environment.
18.4. EVOLUTION OF ECOSYSTEMS

Thus far we have analyzed some aspects of the behavior of an already establishedecosystem. We want now to understand how the interactions and other aspectsof the functioning of the system came about as a result of to study evolution we have to take into account evolution. As in Chapter 17, three factors: (a) reproduction,(b) selection through competition, and (c) variation through \"mutations.\" The first two aspectsare already incorporatedinto the basic equations A8.8).In order to account for the effectof \"mutations\" we adopt the same We obtain in this way (Allen, 1976; seealso picture as in Section 17.5. in the a for the of a structural fluctuation criterion 1973) Czaplewski, spread that the characteristic determinant form A7.19), namely, det dG,
1
/o
cot
=0
A8.15)
shouldlead to at least oneroot having a positive real part. Here G, denote the rates of evolution of the mutants {Yk} (k, I = m):
1,...,
^=
G,({Yk},{Xj})
A8.16) k,l=l,...,m;j=l,...,n
and {Xj}denote the initially presentspeciesor phenotypes.Finally, the is evaluated around a reference state where the derivative in Eq. A8.15) \"mutants\" are absent:
A8.17) {Xj}= {XJ}; {Yk} = {0} Note that in the precedingargument the exact mechanism of structural fluctuations is left open.Darwinism supposes an origin of fluctuations
456
Ecosystems
basedon random genetic variations. This is certainly appropriatefor many aspects of biologicalevolution. Social and ethic evolution, on the other hand, includeslearning mechanisms, innovations, and inventions of the individuals trying to adapt to the environment. Note, however, that the mechanism would play an essentialroleif we wanted to calculate precise the time scaleof the evolution. in the simple Let us examine in detail how the evolutionary process occurs, The of a single speciesin a medium of limited resources case (Allen, 1976). behavior of the reference system is describedby Eqs. A8.5) and A8.6). Now, supposethat by some \"accident\"one of the individuals born at a certain moment is different. Let X2 be the number of individuals of this new type, and supposethat after some time there is a sufficient number of X2 present to enable descriptionof their evolution by an equation such as [see Eq. A8.8)]:
^
1,
unity.
kX(NX2-pXi)-d2X2
A8.18)
X2 may have different values of k, N, and d and in addition may exploit different food resources. This is expressed /? by the factor /?, where 0 If P = X2 usesexactly the sameresources as X u while for /? = 0 they have no common resources. Partial overlap is expressed by /? between zero and
< < 1.
The new equationsfor the whole system are, instead of Eq. A8.5):
AV
\302\261
fcX^JV -
pX)
2
\342\200\224
dX
\342\200\224
dX7
dt
A.
pA
i)
(X2 A.
\\\\o.\\y)
and, the state existing at the moment the

X\\
mutant
appearsis:
= JV,
- jp
if
X5
=0
A8.20)
of the initial system to a small quantity of mutant is determinThe response to establishthe condition for a and can be calculated using Eq. A8.15) root of the characteristic equation evaluated around state A8.20),to have a positive real part. This is, then, the condition for growth and for an evoludeterministic
evolutionary
One finds that, step to occur.
18.4. Evolution of Ecosystems
457
Figure
T8.2. Niche
occupied successively
by
of increasing species
effectiveness.
then the mutant grows to some finite value and occupies a \"niche\" in the system.What will happen to X{ ? Severalcases are possible. If the species is a mutant then the as same niche X2 occupyingexactly Xu /? = 1 and we find that X2 grows if
N2-^>Nt-^
\342\200\224
A8.22)
and completelyreplaces Xt; the total system movesto the stablesteady state = 0, X2 = N2 d2/k2,and X{ has become extinct. Successive mutations less than the prewithin the sameniche are rejected for values of N (d/k) one and is We that if N conclude, larger. preexisting replace type (d/k) therefore, that evolution leadsto the steadily growing exploitation of each increases. niche and that the population carriedby each band of resources Thus, evolution appearsas in Fig.18.2. evolution is that the species Another possible X2 may differ from Xx in its In the case of the exploitation of an entirely different choice of resources. niche /? = 0, and the condition for the growth of X2 is
X\302\260
\342\200\224 \342\200\224
JV,
-^
-
A8.23)
Thus,
N2
\342\200\224
if X2 is viable in this niche it grows to a steady population X2 = with X\\ = N{ {d2jk2)and coexists djkx.Again evolution leadsto
458
Ecosystems
a fuller exploitation of the medium. If we considerthe intermediate range when there is an overlap of resources, we find two cases. In addition to
if
we have
then
oneNx
X2 replaces Xx and the

\342\200\224
final
The secondcase ariseswhen (di/ki).
population is again greater than the

the
initial
conditions
*,-\302\243
,18.26)
are fulfilled. Then X2 grows but coexists with Xt. The final state
is:
08.27)
X\302\2602
IN2
-y~ p(n{-j^jf/O - P2)

a a
Again, the total
population
1/
;i
+ p)
> N,
a -~ ^
A8.28)
there is a certain plasticity of the \"genetic\" greater exploitation of the environment. This increasing effectivenessof the exploitation of each resource providesa basisfor understanding the notion of \" survival of the fittest\" familiar from Darwin'stheory. In particular, our arguments show that a definition of the \"fittest\" can only be obtained through a suitable analysis of the evolution
Summarizing, then, we find matter, it can only result
that if in the
the ecosystem. equationsdescribing Usingthe above ideasonecan also study the evolution of a predator-prey One finds that the prey evolves so as to exploit the (Allen, 1975). ecosystem available resources more efficiently and to avoid capture by the predator. The predator,on the other hand, evolyes so as to increasethe frequency of its death rate. The result of this \"arms race\" capture of prey and to decrease is that the ratio of the biomassof predator to prey increasesslowly with evolution.
18.5. Structural
Instabilities
and Increase
of Complexity:
Division
of Labor
459
AND INCREASE OF 18.5. INSTABILITIES STRUCTURAL DIVISIONOF LABOR COMPLEXITY:
As
\"
cooperative groups.Within these may evolvedivisionsof labor,hierarchical relationshipsand castes,mechanisms of population regulation, and even altruism. Here we are interested more specificallyin the division of labor and Allen, 1976). (Deneubourg We start from the basic equationsA8.8) and let X{ correspondto the number of ants in a colony i, whereas /?0- correspondsto the fraction of i and).We take, for simplicity, overlap of the territories exploited by colonies
JVj
the sources of has been briefly discussed at the beginning of Section \" in behavior. innovation are not exclusively genetic,but can referto changes In this sectionwe analyze one modeof evolution, namely, the formation of
18.4,
= N = const,
Pu
= Pfi,
Pu
= 1, and
< pu < 1
are of the sametype and that the Supposethat initially all ant colonies individuals that make up this type of colony are all identical. Then ptj = In the case of two colonies Eq. A8.8)would read: Pij
\342\200\224
1.
-\342\200\224-
dX, = kX{(N X,
dt
dX2
= kX2(N
trivial
- - - - X2) X2) Xl
dXx
dX2
A8.29)
Theseequationsadmit the
solution
X, = a 2 = 0
to the extinction of oneof the colonies a solution corresponding
X\302\260{
(lo.JUaj
= 0,
X%
N--;
K
Xi = 0,
X\302\260i
=N
- - A8.30b)
K
and a nontrivial solution given

Ai
by
+A2 = iV
(lo.JUCJ
This latter solution is degenerate, and this is translated by the fact that a linearized stability analysis around this state showsmarginal stability. In other words,in the competition describedby Eq. A8.29) the \"winner\" can be either X! or X2,depending on the initial state of the system.
460
Ecosystems
Supposenow that one of the two colonies, say X2, has \"invented\" the of identical individuals, it now division of labor.Insteadof being composed for the growth of the comprisesof: (a) \"Workers,\" Y, who are responsible Z, whose only role is to aggress colony and (b)\"soldiers,\" colony X t (hereafter a mechanism denotedby X). We assumethat the colony has also developed of Z and Y. for regulating the relative populations We want to seeunder what conditionsthe division of labor is imposed This problemis viewedhere as a problemof competition on the ecosystem. of evolution between colonies (X) and (Y + Z) or,alternatively, as a problem of two identical colonies (X), (Y) under the influence of small structural fluctuations (Z). The equationsbecome:
A *V
\342\200\224
at at
= kX(N
kY(N
^=
morphologically
- - - - dX-pXZ - - - Z)-dYX
Y
Z)
F(Y, Z)
= F(Y,Z)-dZ ~r at
'
A8.31)
where pXZ is the aggression to be morphologicterm; X and Y are assumed identical and are thus given the samevalues of k and d\\ finally,F(Y, Z) is the regulation function that is represented by a Verhulst-like form [see
Eq.A8.5)]:
F(Y,Z) = a}YZ-a2Z2
\342\200\224
A8.32)
properties
d > 0 the trivial One can establish straightforwardly that for kN solution Xo = Yo = Zo = 0 of Eq. A8.31)and the nonzero solution Xo Y0Z0 jL 0 are both unstable.Thus, we are interested solely in the propof the state A8.33a) Xo #0, Yo # 0, Zo = 0
or of the state
Xo
= 0,
Yo^0,
Zo#0
A8.33b)
As regardsthe first state, we already pointed out [see discussion following Eq.A8.29)]that for fluctuations in the (X, Y) plane oneobtains a property of marginal stability. In order to study the effectof structural fluctuationsof Z, it sufficesto apply the criterion, Eq. A8.15), for /= 1:
-k -?)\\ >0
A8.34)
18.5. Structural Instabilities and Increase of Complexity: Division of Labor 461 as well as expression or,introducing the last equation A8.31) A8.32)for F:
alYo-d>0
Now, from Eq. A8.30c)we know
that
A8.35)
with kx Substituting
ky
into
Eq. A8.35)we find:
- (^+ l)d> 0
A8.36)
The conclusionto be drawn from this relation is that the spread of the structural fluctuation engendering division of labor is favored by N large, that is, by the wealth of the environment It is also favored by o^ exploited. that a the is, by regulation enhancing large, population of Z values within the colony, oncethey appearthrough a structural fluctuation. The propertiesof the steady state A8.33b)can bestudiedfollowing exactly the sameprocedure. This time, the colony (Y + Z) is assumedto have been established,and we are looking for its responseto the appearanceof a for the first (X). Working out condition A8.15) colony of nonspecialists one finds and A8.31) equation (Deneubourg Allen, 1976):
k(N
- - - - pZ0 > 0
Yo
Zo)
A8.37)
This condition is not satisfied if p or Yo + Zo are appreciable.In other it will not words, if the differentiated colony is wealthy and aggressive, of X. X it Even if can build up, however, can only permit the development to state lead the system A8.33a): colony (Y + Z) is not eliminated from the it modifies its structure to better adapt to the external conmilieu. Rather,
conditions.
seemto confirm the connumber of observations (Wilson, 1971, 1975) thoseconcerning reachedfrom the analysis of the model,especially the dimensions of the colony.Thus, it appears that polymorphism in ant than in tropical living in temperate climates is much lesspronounced species where is mean of a the dimension Similarly, in large colony larger. regions bee colonies the degree of polyethism of workers is highly developed. the morphological differencebetween \"queen,\" Finally, in small beecolonies and \"workers\" is lesspronouncedthan in large ones.
A
conclusions
462
Ecosystems
18.6. STABILITY AND

We
COMPLEXITY
have seenthat evolution toward increasingcomplexityand organization or innovations\342\200\224that can fluctuations\342\200\224mutations appear suddenly in a previouslystablesystem and drive it subsequently to a new regime. Obviously, there is no limit to the type of fluctuation that may and no ecological be considered, equationscan be claimedto be structurally stable to all possibleinnovations. It can, therefore, be legitimately asked whether there is a limit to complexity.The very existence of complex systems or a modern society illustrate well the such as a tropical forest (May, 1973) needfor answering such a question. In this sectionwe want to stressthat a complex system is subjectto two On the oneside,the more complex adverse tendencies. the is, the more variables there are in interaction\342\200\224the higher the degree of the characteristic equation [see Eq.A8.15)] determining its stability, the greater the chancesthere are, therefore, of having at least one positive root and hence instability of the referencestate (May, 1973). On the other hand, the argument basedon the characteristic equation is valid only after the fluctuation has occurredand extended up to the macroview of the stability versus Therefore, to have a more complete range. complexity problem,we must specify:
is the result of structural
system\342\200\224that macroscopic
(i) (ii)
The a priori probability for having a certain

this fluctuation
fluctuation
in
a complex
system.
The probability that amplitude and range.
spreadsand attains a macroscopic
be tackled Both problemsbelongto stochastic theory and can, in principle, the The study of in Chapters 11 and 12. simple by the methodsdeveloped in thesechaptershas shown that the evolution chemical modelsconsidered of a fluctuation dependson the competition between growth and damping diffusion or, more generally, through surface effects. The latter, through are which in the nonlinear master equation formulation of Chapter 12 a of between describedby the coefficient3),measurethe degree coupling the system and its surroundings and are stronger the more complex system. the tendency to damp the fluctuations is accentuated.In Consequently, other words,steps (i) and (ii) referring to the purely stochasticstage of in that they require evolution are more difficult to realize in complex systems critical the nucleation of fluctuations exceeding some range (Prigogine, Nicolis,Herman, and Lam, 1975).
18.6. Stability
and Complexity
463
that a sufficiently Therefore, we reach the conclusion complexsystem is generally in a metastable state.The value of the threshold for metastability depends,in a complicatedfashion, on the system'sparameters and the The question of the stability of complexsystems external conditions. seems, therefore, to have a lessclearcut answer than thoseconsidered up to present. Obviously, it would be interesting to come up with quantitative measureof the factors that determine the growth of instabilities in ecosystems or It seemsfascinating to us that these difficult questionscan be societies. even approximately by means of mathematical modeling. considered
measurements
and Perspectives
ConcludingRemarks
1. INTRODUCTION
In this final chapter we want to reviewa few problemsof basicinterest that are still in an exploratory phase.This may give us an indication about the direction in which the methods studied in this monograph may find new applicationsin the near future. Section2 is devoted to the mathematical aspectsof self-organization.In Section2 we review someaspectsof fluctuaIn Section3 we theory when appliedto chain reactionsand explosions. In Section4 we review somerecent work on neural and immune networks. discussin somedetail a most interesting model of the immune surveillance This involves a transition from what can be appropriately against cancer. called microcancer to macrocancer.The Garay-Lefevermodel uses many of the tools describedin this monograph, such as a study of ecological and the theory here to the growth of cancer cells) equationsin Part V (applied of multiple steady-state transitions including fluctuations as discussedin It seems analogy facinating to observethat there may exista close Chapter12. of diseases and nonequilibrium transitions, in contrast between someclasses with the classicalteachings of Bernard,where one always considers diseaseas a continuous perturbation of the normal state (Cl. Bernard,
fluctuation
Cl.
and epistemoWe close this chapter with a few remarkson the sociological of our approach. logical consequences
1855,1856).
2. FLUCTUATION CHEMISTRY
One of the principal pointsof focus of the presentmonograph has been the is dictated by the behavior ideathat the onsetof a self-organizationprocess of the fluctuations. The main reason is that a self-organizingsystem is
464
2.
Fluctuation
Chemistry
**-
necessarilyundergoing instabilities, and hence is capable of amplifying certain disturbances including someof its own fluctuations. Despitethe generality of feedback phenomena giving rise to instabilities
and, subsequently,to dissipativestructures,onecan still argue that in everyday not the rule.In this laboratory chemistry self-organizationis the exception, sectionwe want to suggest that chain reactions,of the utmost importance in are likely to be influencedby fluctuations. We develop our chemicalkinetics, arguments primarily for explosivereactions. and assumethat thermal Let us first considera chain-branching explosion the simplest such As well known (Dainton, 1966) effectscan be neglected. can be decomposedinto an initiation step, producinga certain process population of free radicalsX, a chain-branching step leading to an (autocatalytic) amplification of this population, and a recombination and/or termination step,where the free radicalsare inactivated. Schematically
I{X)
>
initiation
2X
chain branching
P + M termination
X A, in
recombination
A)
P, M, are concentrations of precursorsand of final productssupposedly and are hencetaken to be constant. excess
The rate equation for X is
_ = I(X) + - T)X at (B
RX2
B)
where we set
= k2A T=k3AM R = kA
B
Ca)
term I(X)is, (in the absenceof external stimulus,) determined an equilibrium reaction and is hencea small contribution, especially when the concentration of X beginsto attain appreciable values. Fora first-order initiation for I(X)would reaction, a typical expression
The initiation
by
Cb) l(X) = Io XX Therefore,onecan easilyverify that Eq.B)admits a singlepositivesteady-state solution that remains asymptoticallystablefor all nonvanishing valuesof the
be:
466
Perspectives and Concluding Remarks
the value B T, the steady-state parameters.As B increasesand crosses concentration Xo of X increasessharply, although it remains continuous.
Hence the relation
~T
D)
defines the explosionlimit. Supposenow onestarts initially with a small population of free radicals. level Xo is reached,an induction time x is necessary. Before the steady-state of X for t <f t, the instantaneous values of Now, becauseof the smallness within various small volumes AVt is likely to be quite different composition from the (macroscopic) value X determined by solving Eq.B).In other words, the fluctuations ofcomposition to play a role, such as by modifying are expected the induction time necessary for explosion. This ideais alsosupportedby the observation that in the limit / -> 0 Eq. B) doesgive rise to an instability, leading to a transition between two steady-state levels Xol = 0 and Xo2 = (B T)/R. This transition, reminiscent of the problemstreated in Section has been analyzed by McNeiland Walls A974) in a somewhat different 12.6, context. They found that in the vicinity of B = T fluctuations are indeed for / finite and small one can expectsomeof theseresults important. Hence, to still apply. Further work is necessary to substantiate theseideas and to extend the to more realistic investigations explosionmodels.The inclusion of thermal effectsis certainly necessary. In the framework of a macroscopic treatment, Gray (seeGray, 1974for a recent survey) has workedout simplemodels for such thermal explosions which, typically, give riseto transitions between states. As in this stressed and 12, multiple steady repeatedly in Chapters11 case fluctuations are certainly of the utmost importance and, in fact, dictate the conditionsfor the stability or metastability of the various branches. the possibility of a spontaneous transition between This, in turn, determines
\342\200\224
different
states.
3. NEURAL
We
AND IMMUNE NETWORKS
of coupledcellsmay give riseto \"coherentbehave seenthat populations These phenomena behavior,\" extending beyond the level of the single cell. exertedin the coordination reflect the numerous regulatory and processes \"network with the behavior\" this reasonthey are associated system,and for encountered in situations This is the of the system. to be contrasted with in in or molecular where traditional problems physical chemistry biology, small-and large-scale phenomena are linked in a simple manner. In this sectionwe want to comment briefly on two further instances where
3.
Neural and Immune Networks
467
the network behavior of the system seemsto play a prominent role, namely, the activity of the central nervous system and the immune response.
Activity
of Central NervousSystem
Throughout this monograph we have seenthat the dynamics of a spatially distributed systemmay give riseto oscillations, traveling waves,and stationary structures.Now, rythmic activity has long been known to be a ubiquitous feature of the brain. The patterns of activity associatedwith EEG provide the best-known illustration. Moreover, it has been shown (Freeman, 1968) that the mammalian brain may respond to external excitations by either it is tempting to undertake a damped or sustainedoscillations.Hence, nets on of neural based the same kind of considerations as those modeling the of structure. underlying concept dissipative Wilson and Cowan (seeWilson, 1974for a recent survey) and Freeman for a recent survey) developed (seeFreeman, 1975 elegant modelsof neural based on the of a for the input-output use dynamics sigmoidal expression of a group of neurons, This procedureis justified as a necessary function of a statistical distribution of thresholdsamong individual consequence neurons.A limit-cycle solution generated by modelsof this type has been implicated in the handling of information in the olfactory bulb (Freeman, On the other hand, multiple stead-statesolutions have been invoked 1975). to simulate experiments in binocular vision. of hysteresis (Wilson, 1974) A different type of model has been developed by Kaczmarek A976) that considers explicitlythe patterns of activity oisingle neurons.Functions such as frequency of firing vs membrane potential and the ionic equilibrium potentials of the neuronal membranes are incorporatedinto the theory. In addition to \"normal\" patterns of activity, the model gives rise to cell firing patterns and membrane potential variations similar to thoseobserved of epileptic seizures also Kaczmarekand Babloy(see during the progression
antz,
Mostof the work carriedout so far in the modelingof the nervous systemis for example, with the concerned with the electrical activity of neural masses, rates of firing of populationsof excitatory and inhibitory neurons.Despite its intuitive appeal,this approachis not particularly convenientfor analyzing
the effectsof external (e.g., electric)fieldson the brain. Recently, Nazarea A977) developeda complementary approach to this latter problem. Instead of regarding the brain as an electrical network mediated by chemical neurotransmitters and the various ions presentin the neural membranes\342\200\224he focuseson the spatiotemporal properof the chemical effectors themselves. As most of these are charged the chemicalrates couplewith the electric field in a straightforward species,
effectors\342\200\224the
properties
1977).
468 way. This

phenomena
of theoretical interpretation of such phecreates the possibility as the direct-current polarization of the cerebral cortex or the is changed. asymmetricfrequency shift when the polarity of the electrodes Needlessto say, numerous challenging problemsremain unresolved in this field. Among these,the study of modelssimulating the geometry of the neural array, its size, the boundary conditions,and the influence of apappropriate sensoryinputs during development on the neural configurations is of specialinterest. The Immune Response
A living organism has the ability to defend himself against the invasion of such as tissuesor microorganisms, foreign substances among others,which
\"Foreign\"
stimulus
Antigen
Recognizing and potentially responding
set
Epitope
Unspedific
parallel
Buffering
set
Figure globulin
sets
system contains a set /)( of combining sites (paratopes) on immunomolecules and on cellreceptors that recognize a given epitope (E) of an antigen. This recognizing set includes the potentially responding lymphocytes. The molecules of set p, also display a set i2 of idiotopes. Apart from recognizing the foreign epitope, the set />, likewise recognizes a set i2 of idiotopes which thus constitutes, within the immune system, a kind of internal image of the foreign epitope. This set i2 occurs in molecular association with a set p2 of paratopes. Likewise, the set i, is recognized, within the immune system, by a set p2 of paratopes that represent antiidiotypic antibodies. Besidethe recognizing set pli1, there is a parallel set of immunoglobulins and cellreceptors that display idiotopes of th set it in molecular association with combining sites that do not fit the foreign epitope. As a first approximation, the arrows indicate a stimulatory effect when idiotopes are recognized by paratopes on cell receptors and a suppressive effect when paratopes recognize idiotopes on cell receptors. Successive groups of ever larger sets encompass the entire network of the immune system (after Jerne, 1974).
1. The immune
pj,
4.
Immune Surveillance
Against
Cancer
469
are usually referred to as antigens. This is achieved by the immune system, is constituted by specialized the lymphocytes(which can undergo cells, of and many stages differentiation), produced by them. by the molecules these the an antibodies essential role, becauseof their ability Among play to combine with the antigens. This property is related to the particular structure of the antibodies,which dispose of specific binding paratopes\342\200\224recognizing specific types of antigens. On the other hand, antibodieshave sites presenting antigenic are hence susceptible of binding with the paratopesof other antibodies. Thisdual roleof antibodies, together with their very pronounced variability, led JerneA973, 1974) to postulate the existence of an immune network (see Fig.1) consideredresponsiblefor the observedbehavior of the immune system.In other words,the claim is that such phenomena as the immune the memory, the tolerance, and the immune surveillanceconstitute response, not the random superposition of events as the molecular level but, rather, reflect the collective behavior of large assemblies of coupledlymphocytes
which
sites\342\200\224the properties\342\200\224the idiotopes\342\200\224and
(seealso Urbain, 1976).
to substantiate theseideashave beendeveloped Elegant modelsdesigned Richter and Hoffman A975) by A975) in the context of the immune by The of immune networkshas recentlybeen analyzed response. stability simple Hiernaux A977). by It is the presentauthors'opinion that the modelingof immune networks will be an increasingly important subject of theoretical biology in the next
few
years.
IMMUNE SURVEILLANCE AGAINST CANCER
4.
The functioning of the immune system is also closelyrelated to certain a pathological states of living organisms,among which canceroccupies
unique
position. Our present understanding of the cancerproblem suggeststhat the cancerous transformation of a normal tissuecouldbe describedas follows for recent surveys): (seeCairns,1975and Calvin, 1975
normal tissuesthe pattern of supercellular organization is determined by a complex interplay between short- and long-range interactions between the cells. the mechanism Theseinteractions control, among other processes,
(i) In
of cellular replication, (ii) Various proteinsmediating these interactions are geneticallycoded.
470 (iii) Any
disturbancein
this
mutations) or due to the action of environmentalfactors (pyhsical,chemical, or biological), couldyield cellswith an abnormal pattern of proteinscoded. thesecellsmay exhibit a different capacity of responseto the Subsequently, In the case of the malignant transformation, the interactions with normal cells. cellsare characterized by a high proliferativeadvantage, (iv) The normal mechanismsof defenseof the organism tend to destroythe abnormal cellsor to slowdown their rate of proliferation. It seemsthat one of the most important mechanismsof defenseinvolves the immune system. The immune cellsrecognizethe abnormal proteinsand destroythe cellsthat bear them. This means that the immune system exertssomesort of \"surveilon the very small population of transformed cells (\"microcancer
\"surveillance\"
(somatic genetic control, either \"spontaneous\"
population\.
The exact nature and propertiesof the processes mentioned in points is still because these (i)-(iii) largelyhypothetical,mainly processes correspond to molecular changestaking place at the level of the single cell. On the contrary, in respectto point (iv), even if the underlying molecular events are not known in detail, at least there existsexcellent data on the kineticsof tumoral growth and on the competition of this process with the immune surveillance.The purposeof the pesentsection is to show that this informacan beusedto formulate a mathematical modelfor the phenomenon of which may elucidate somevery general immune surveillanceagainst cancer, The model is based on the physicochemical aspects of carcinogenesis. with present-day following minimum set of data, all of which are compatible ideason the cancer problem. There existsa \"source\" Its intensity depends producingmalignant cells. strongly on environmental factors and is usually very small (in fact, hardly in normal tissues. There existsin the organism a population of detectable) and Hellstrom, cytotoxic cells(Hellstrom 1974), generallyformed by different cellular species, which are capableof recognizing and destroying the cancancerous cells. This impliesthat, in addition to the free cytotoxic cells, there also exist configurations where cancerous cellsare bound to the cytotoxic cell surface. Subsequently, cytotoxic cellslike T lymphocytesmay emit chemical signals called lymphokines, which further enhance the cytotoxic activity. it appearsthat lymphokines inhibit the diffusion of macrophages Moreover, and other cellular species. In other words, the motility of the cytotoxic cellsis reducedin the regionswhere malignant cellsare present. One may now construct a \"minimal\" model compatiblewith thesedata. Let AV be the volume of the tissue,B and X the density of normal and malignant cells therein, and Mo and M, the density of free and bound can be represented The interaction betweencellular species by cytotoxic cells.
information
4.
Immune Surveillance
Against
Cancer
the following
scheme:
B
Mo
\342\200\224g\342\200\224
M,
\342\200\224^
Mo +
E)
Here P standsfor the productsof degradationof X. The spontaneous conof B to X (in fact, B = N X, N being the total density of cells)is assumedto occurat a fixed rate a. Finally, the kinetic constants kx, k2
conversion
characterize the toxic cells.
binding
and destruction of the malignant cellsby the cyto-
of a uniform distribution of cytotoxic cells. Considerfirst the case Scheme then rise the to E) gives following kinetic equations(Garay and Lefever, Lefeverand Garay, 1977): 1977;
i
at
dt
(N
- X)(a + IX) -kxM0X
F)
G)
= -kxM0X+ k2Ml
XX addedto a accounts for cellular multiplication. EquationsF)-(8)have been solved using numerical values for N, a, X, ki, and k2, drawn from experimental data. The main result is that the system presents a transition between two simultaneously stable steady to a low value of X, which couldbe appropriately states,one corresponding referred to as a \"microcancer,\" and one where X is high and which correMoreover,one showsthat the transition therefore, to a \"cancer.\" corresponds, region is a region of metastability rather than of completestability of the microcancer state.This impliesthat there existsa critical \"nucleus,\" that is,a critical microtumor size that must be reachedbefore malignant growth can develop.This can happen either as the result of a spontaneousstatistical fluctuation or by an external agent (in much the same way as a seedprovokes of crystallization in a supercooled liquid). Experiment confirms the existence
where the term
such a threshold for cancerdevelopment (Baldwin, 1976; Carnaud and
Garay, 1977). The above considerations stressthe importance of stochasticelements in canceronset. This has been repeatedly recognizedin the literature (e.g., of Huebneret al.,1970) and can be attributed to the fact that the emergence
is a rare and random event cancer

single cell.
that
in
most cases seemsto arise from a
Garay and Lefever carriedout an extensive stochasticanalysis of model in Chapters 10 This analysis, and 12. E)basedon the considerations developed has provided which alsotakesinto account the mobility of the cytotoxic cells, for such as the width of estimates the metastable quantities quantitative of N the critical value volume element and (or AV) beyond which region The main point to be retained from this short account is that a theoretical descriptionof canceronset is possibleand that such a descriptionhas to incorporateexplicitly the usually neglectedeffectsof fluctuations. Similar ideasare likely to apply to a host of other problemsinvolving the developof pathological behavior in living organisms. As mentioned in Section1, a striking idea suggested these theoretical by developments is that pathobehavior is not a mere quantitative modificationof normal behavior Rather, it is separatedfrom the latter by a dis(Cl.Bernard,1855, 1856). discontinuity that can be bridgedonly if the system's parametersand the initial
development
malignant
growth
becomes possible.
pathological
conditionssatisfy someappropriaterelations.
5.
SOCIALSYSTEMS ASPECTS AND EPISTEMOLOGICAL
The various problems and applications discussed in this monograph illustrate the central importance of the problemsof self-organization. One of the of various levels of description. striking features emerging is the existence We observe around us a great variety of behavior. Onecouldeven state that we observe a basicdichotomy; on one sidewehave the basiclawsof classical and quantum dynamics, and on the other we have natural phenomena that may well be represented by \"games,\" in the terminology of Eigen and Winkler A975). Moreover, in a given system we may observevarious levels of beWe now begin to seehow we can switch from one type of description behavior. to another. As is well known, all interactions of interest, notably in biological
media, are of short range (e.g., valency and van der Waals's interactions). These interactions lead to the formation of \"conservative\"structures and determine also the values of characteristic rate and diffusion constants. Yet the theory of dissipative structures showsthat under someconditions (involving among others a sufficient distancefrom equilibrium) the equadescribingthe chemical kinetics together with diffusion may lead The coherence to a new long-rangeorder. introducedby dissipativestructures is always characterized, several times, by a supermolecular as emphasized in which scale that leads to a modification of the \"space-time structure\" the moleculesare embedded.Similarly, the equations of ecologystudied
equations
5. SocialSystems and
Epistemological Aspects
473
in Part V contain parametersthat may well be determined by the genetic material. Yet the statesdescribed refer to a \"supergenetic\" by theseequations between the structures and aspectof evolution. Again we obtain a feedback the units that form the system and the evolution of the system as a whole. and specially It is, of course, very tempting to apply these considerations structural stability theory to problemsof sociocultural evolution. The main difficulty is to determine the relevant variables. In somecases, such as problemsconcerning vehicular traffic flow, this is relatively simple In other problems, however,oneneedsto in(Prigogine and Herman, 1971). introduce such elusive variables as \"quality of life\" which are much more difficult to handle in a quantitative manner. Let us indicate briefly two inter-
The first refersto the progressive area. It is urbanization of a geographical in the or decrease generally acceptedthat, long run, local populationsgrow to employment opportunities, which in turn dependon the market according available for goods and services.This introduces a nonlinear feedback mechanism in the growth of population density corresponding to the so-
interesting
examples.
called\"urban multiplier.\" and Sanglier,1977) This problemwas recentlystudied(Allen, Deneubourg, a The from like carrying capacity of any starting logisticequation Eq. A8.5). beincreased if it is the of economic functions (e.g., can seat particular locality The model studiesthe the point of productionof some goods or services). innovations on an initially homogeneous population. impact of successive
various economic functions are launched, the nonlinear interaction mechanisms between population density and employment opportunities result in the formation of spatial structures, and an urban hierarchy evolves. into play. Oncemore, both stochasticand deterministic elements come We have a random element in the time and location of lauching of economic functions, whereas their survival and growth is governed by the deterministic constraints of the available market. economic Similar methodshave been appliedto the analysis of the remarkable social In this organization of the Katchin tribesof highland Burma (Leach,1961). society we find two forms of organization and a well-definedmechanism of that leads from one to another. Moreover,the mechanism of instability is related to the rules of parental relations studiedby L6vi-Strauss instability A958).In a sense,theserules play, in this anthropological context, the same roleas the catalytic reactionsin biochemical cycles. In the mathematical model of the organization change (Deneubourg and a stochastic element is introducedto simulate the diversity of Pahaut, 1977), human behavior. At each moment the structural stability of the deterministic model describing the \" average\" behavior is testedby injecting fluctuations, which eventually trigger the transition between the two forms of social organization.
When
474
It is worthwhile to notice with Leachthat \"changeis no longer something isdone to us by nature but something we can choose to do to and to ourselves.\" in o ne of the this major objectives of Clearly, perspective The methodsdescribed science is to elucidate the dynamics of change. in this
that
nature\342\200\224
monograph might be one step in this direction. much work remains to be done, it already clearly appearsthat Although (Jantsch, 1975) self-organizationisan emergingparadigm of science emphasizat many levels, in which nonlinear coordination processes macroscopic and nonequilibrium conditionsplay a significant role.* processes
emphasizing
* The epistemological aspectsof the ideas summarized above are presented

monograph
by
one
of the
authors
(I. Prigogine)
and
I.Stengers.
in
a forthcoming
References
M. Abramowitz and
York.
I.A. Stegun A964). Handbook of Mathematical
Functions,
Dover, New
P. Allen A975), Bull. Math. Biol. 37, 389. Nat. Acad. Sci. 73, 665. (U.S.A.) A976), Proc. , J. L. Deneubourg and M. Sanglier A977), to be published. N. R. Amundson A974). In Proc.SIAM-AMS Symp. Vol. VIII,
American Mathematical Society, Providence, Rhode Island. A. A. Andronov, A. A. Vit, and C.E. Khaikin A966). Theory of Oscillators, Pergamon, Oxford. L.Arnold A973). Stochastische Differential-gleichungen, Oldenbourg, Miinchen. D. E. Atkinson A965), Science 150,851. A968), Biochem. 7, 4030. and G. Nicolis A975), Bull. Math. Biol. 37, 323. Bull. Math. Biol. 38,325. A976a), A976b), to be published. A972), Biopolymers
J.F. G.Auchmuty
A. Babloyantz
A977), J.Theor. Biology, submitted. and G. Nicolis A972), J.Theor. Biol. 34, 185.
and
2349. 11,
M. Sanglier A972), FEBS Lett. 23,364.
\342\226\240
J.
Nat. Acad. Sci. 71, 1530. (U.S.A.) A974), Proc. A975), Math. Biol. 37, 637. R. W. Baldwin A976), Transpl. Rev. 28,62. R. Balescu A963). Statistical Mechanics of Charged Particles, Wiley-Interscience, New York. Bard and Theor. Biol. 45,501. Lauder A974), A. T. Barucha-Reid A960), Elements of the Theory of Markov Processes and their Applications, McGraw-Hill, New York. L. Bauer, H. B. Keller, and E. L. Reiss A975), SIAM Review 17,
and
J.Hiernaux
I.
J.
101.
M. T. Beckand Z. B. Varadi A972),
Nature
235,15.
E. F. Beckenbach and R. Bellman A965), Inequalities, Springer-Verlag, Berlin. J. R. Beckwith and D.Zipser A970), The lac operon. ColdSpring Harbor Laboratory. B.B. Belousov A958), Sb.Ref. Radiats. Med., Moscow. S.Berking A974), Ph.D. dissertation, University of Tubingen.
L.V. Berkner and L.C.Marshall A964). Discuss. Faraday Soc. 37, 122. Cl.Bernard A855-56). de Physiologie Experimental Appliquee a la Lecons
Medecine, Bailliere. Paris, J.-B. S.A. Bernhard A968). The Structure and Function of Enzymes, Benjamin, New York. L.von Bertalanffy A932), Theoretische Biologie, Vol. I, Borntraeger, Berlin.
2 vol.,
475
476
A. Betz and E. E. Sel'kov A969), FEBS Lett. 3, 5. A. Bierman A954), Bull. Math. Biophys. 16,203. D. Blangy, H. Buc, and Monod A968), Mol. Biol. 31,13. R. Blumenthal A975), Theor. Biol. 49,219. , J.-P.Changeux, and R. Lefever A970), Membrane Biol. 2, 371.
References
J. J.
J.
of Technology. SIAM Math. D. S.Cohen A976), 30, 123. Appl. A. Boiteux, A. Goldbeter, and B.HessA975), Proc.Nat. Acad. Sci. 72, 3829. (U.S.A.) J. T. Bonner A974), On Development, Harvard Cambridge. S. Bonotto, P. Lurquin, L. Baugnet-Mahieu, R. Contier, R. Kirchmann, and R. Maisin A972), Biology and Radiobiology of Anucleate Systems, Vol. 2,239,Academic, New York. Brachet A964), Adv. Morph. 3, 247.
California Institute and
J.Boa A974), Ph.D.dissertation,
J.
J.
UP.,
J.
J.
A974), Introduction a V Embryologie Moleculaire, Masson, Paris. 493. A975) in Biochemische Pflanzen Physiologie 168, W. C.Bray A921), Amer. Chem.Soc. 43, 1262. T. S.Briggs and W. C.Rauscher A973), Chem.Educ. 50,496. R. J. Britten and E. H. Davidson A969), Science 165,349. E. Broda A975), The Evolution of the Bioenergetic Processes, Pergamon, Oxford. G. Broun, D.Thomas, and E. Selegny A972), Membrane Biol. 8, 373. R. Brout A965), Phase Transitions, Benjamin, New York. D.D. Bruns, S.Bailey and D. Luss A973), Biotechnology and Bioeng. 15, H. G. Busse A969), Phys. Chem.73, 750. J. Cairns A975), Sci.Amer. 233,64. H. B. Callen A960), Thermodynamics, Wiley, New York. Thermodynamics, Variational Techniques and Stability, A965) in Nonequilibrium
J.
J.
J.
J.
J.
1131.
M. Calvin A975), Naturwiss. 62,405. S.R. Caplan, A. Naparstek, and N. J. Zabusky A973), C.Carnaud and R. Garay A977), to be published.
Chicago UP.
Nature
245,364.
S.Chapman
and T.G. Cowling, The Mathematical Gases, Theory of Non-uniform Cambridge U.P. in D. C. Cherniavskii, L. N. Grigorov, and M. G. Poliakova A967), Oscillatory Processes
C.M. Child A941), Patterns

B. Clarke A973),
A974),
Biological and Chemical Systems, Vol. and Problems
J.Chem.Phys. 58,5605. J.Chem.Phys. 60, 1481.

in Nonlinear
1,Nauka, Moscow. of Development, Chicago U.P.
E. A. Coddington
and N. LevinsonA955), Theory of Ordinary Differential Equations, McGrawProblems in the Physical and Sciences
Biology, Springer-Verlag,
Hill, New York.
D. Cohen A972),
Berlin.
M. Cohn and K. Horibata A959), J.Bacteriol. 78, 601. J. Cooke A975), Nature 254,196. D. Courant and D. Hilbert A962), Methods of Mathematical
London.
Physics, Wiley-Interscience,
References
^7_
F. Crick A970), Nature 225,420. F. W. Cummings A975), J. Theor. Biol. 55,455. R. L.Czaplewski A973), J.Theor. Biol. 40,429. F. S.Dainton A966), Chain reactions, Methuen Monographs London, New York. M. Darmon, P. Brachet.and L.H. Perira da SilvaA975), Proc.Nat. Acad. Sci.{U.S.A.O2,l\\61 E. H. Davidson and R. J.Britten A973), The Quart. Rev. Biol. 48, 565. H. T. Davis A962), Introduction to Nonlinear Differential and Integral Equations, Dover, New
York.
Th. DeDonder A936), VAffinite, Gauthier-Villars, Ch.de Duve A974), in Connaissance Scientifique et S.DeGroot and P. Mazur A962), Non Equilibrium
Amsterdam.
Paris. Philosophie, Roy. Acad. Belg.,Brussels. Thermodynamics, North Holland, Amster-
J.
Theor. Biol. 54,323. A975), R. Defay A929), Bull. Acad. Roy. Belg. Cl. Sci. 15,1. H. Degn A968), Nature 217,1047. P.de Kepper, A. Pacault, and A. Rossi A976), C.R. Acad. Sci.Ser.C 282,199. P. Dekker and A. Speidel A972), Zeits. Naturf. 276, 257. M. Delmotte A975), These d'Etat esSciences, Universite Paris VII. and Chanu A971), Electr. Ada 16,623. L. Deneubourg A976), Insectes Sociaux 23,329. Acad. Roy. Belg., in press. and P. Allen A976), Bull. Cl. Sci. and S.Pahaut A977), to be published. M. C.Duban, J. P. Kernevez, and D.Thomas A976), preprint, University of Compiegne. W. Ebeling A976), Strukturbildung bei lrreversiblen Prozessen, Teubner Verlagsgesellschaft. B. Edelstein A970), Theor. Biol. 29,57. Theor. Biol. 37, 221. A972),
L.de Sobrino
J.
J.
J.
J.
M. Eigen A971), Naturwiss. 58,465.

and R. Winkler A975), A. Einstein A903), Ann. Phys.
170. 11,
DasSpiel, Piper,
Miichen.
A910), Ann.
Phys.
33, 1275.
Bateman
A. Erdelyi A953), Higher Transcendental Functions, Hill, New York.
Man. Project Vol.
1, McGraw-
Th. ErneuxA977), Ph.D. Dissertation,
A956), Asymptotic Expansions, Dover, New York. University of Brussels. and M. Herschkowitz-Kaufman A975), Biophys. Chem.3, 345. , Hiernaux and G. Nicolis, Bull. Math. Biology, submitted.
J.
B.C. Eu A974),
W. Feller A957),
York.
J.Chem.Phys.
An Introduction
63, 303.
to Probability Theory and its Applications, Vol.
I, Wiley,
New
R. Field A975), Chem.Phys. 63,2289. R. J. Field and R. M. Noyes A974). Chem. Phys. 60, 1877. P. Fife A972), in Nonlinear Problems in the Physical Sciences and Biology, Springer-Verlag,
J.
J.
Berlin.
478
References A976),
P. Fife
J.Chem.Phys.
64, 554.
Evolution and the Origin
S.W. Fox and K. Harada

Amsterdam.
A971), Chemical
of Life,
North Holland,
J. S.Frame A974), J.Theor. Biol. 43, 73. M. Franckson A975), Memoire de Licence, Universite
Libre
de Bruxelles.
New York.
W. J.Freeman A968), J.Neurophysiol. 31,337. A975), Mass Action in the Nervous System, Academic,
A977), to be published. and R. Lefever A977), to be published. C.W. Gardiner, K. McNeil, D.F. Walls, and D. Garrod A974), Arch. Biol. 85,7.
R. Garay R. Garay
J.
I.S.Matheson
A976),
J.Stat.
Phys.
14,309.
G.R. Gavalas
A968), Nonlinear Differential Equations ofChemically Reacting Systems, SpringerVerlag, Berlin. G.P. Georgiev, Theor. Biol. 25,473. G. Gerisch A968), Curr. Top. Devel. Biol. 3, 157. and B.HessA974), Proc. Nat. Acad. Sci. 71, (U.S.A.) and U. Wick A975), Biochem. Biophys. Res.Commun. 65,364. D. Malchow, A. Huesgen, V. Nanjundiah, W. Roos,and U. Wick A975) in Proc.1975ICNUCLA Symp. Dev. Biol., D. MacMahon and C. F. Fox (eds.), Benjamin, Menlo Park, California. A. Gierer and H. Meinhardt A972), Kybernet. 12,30. Math. Life Sci. 7, 163. A974) in Led. P. Glansdorff and Prigogine A954), Physica 20,773. A971), Thermodynamics of Structure, Stability, and Fluctuations, Wiley-Interscience, New York.
J.
2118.
I.
P. Glansdorff, G. Nicolis, and I.Prigogine A974), Proc. Nat. Acad. Sci. 71, 197. (U.S.A.) L.GlassA975), J.Chem.Phys. 63, 1325. and S.A. Kauffman A973), J. Theor. Biol. 39, 103. J. I. Gmitro and L.E. Scriven A966), in lntracellular Transport, K. B.Warren (ed), Academic,
New York. S.C. Maitra, and E. W. Montroll, Rev. Mod. Phys. N. S.Goel, A. Goldbeter A973), Proc. Nat. Acad. Sci. 70, 3255. (U.S.A.) A974), FEBS Lett. 43,327.
43,241.
A975), Nature 253,5492. A976), to be published. and R. Caplan A976), Ann. Rev. Biophys. Bioeng. 5, 449. and R. Lefever A972), Biophys. 12,1302. and G. Nicolis A972), Biophysik 8, 212. and G. Nicolis A976), Progr. Theor. Biol.,Vol. 4, p. 65.Academic, New York. and L.Segel A977), Proc. Nat. Acad. Sci. in press. (U.S.A.), B. Goodwin A969), Europ. Biochem. 10,515.
J.
J.
A975), Adv. Chem. Phys. 29,269. and M. H. Cohen A969), Theor. Biol. 25,49. R. Graham and H. Haken A971), Z. Physik 243,289.
J.
References
479
Society, London.
P.P. GrasseA959), Insectes Sociaux 6, 127.

P. Gray A974), in Faraday Symp. No. 9, the Chemical H. Haken A975a), Z. Phys. B21,105. A975b), Rev. Mod. Phys. 47, 67. M. P. Hanson A974a), J.Chem.Phys. 60,3210.
A974b),
J.Chem.Phys.
61,2081.
I.
P. Hanusse A972), C.R. Acad. Sci.Ser.C 274, 1245. A973), C.R. Acad. Sci.Ser.C 277, 263. A976), Doctorat esSciences, University of Bordeaux S.P. Hastings and J. D. Murray A975), SIAMJ. Appl. Math. 28,678 A975). F. G. Heineken, H. M. Tsuchiya, and R. Aris A967), Math. Biosci.1, 95. Hellstrom and K. E. Hellstrom A974), Adv. Immunol. 18,209.
I.
M. Herschkowitz-Kaufman A970),
C.R. Acad. Sci.Ser.C 270, 1049.
Dissertation, University of Brussels. A973), Ph.D. Bull. Math. Biol. 37, 585. A975), and J. Platten A971), Bull. Acad. Roy. Belg. Cl. Sci. 57, 26. and G. Nicolis A972), Chem.Phys. 56, 1890. B. HessA963), in Funktionelle und Morphologische Organisation der Zelle, Springer-Verlag,
J.
Berlin.
A975), Europ. Immunol. 5, 638. A942), Ber. Math. Phys. Akad. Wiss. Leipzig, XCIV, p. W. Horsthemke and M. Malek-Mansour A976), Z. Physik. B24, 307. W. Horsthemke, M. Malek-Mansour and B. Hayez A977), Stat. Phys. 16,201 L. Howard A974), in SIAM-AMS Symp. Appl. Math., Vol. VIII, American Mathematical Society, Providence, Rhode Island. R. Heubner et al. A970), Proc. Nat. Acad. Sci.U.S.A.67, 366. K. Ishida and S.Matsumoto A975), Theor. Biol. 52,343. F. Jacoband J. Monod A961), Mol. Biol. 3, 318. D.Janjic and P. Stroot A974), Helv. Chem.Ada 57, 266. H. K. Janssen A974), Z. Physik 270, 67. E. Jantsch A975), Neue-Zurcher Zeitung, 26 Nov. 1975,and 2 Dec.1975. N. K. Jerne A973), Sci. Amer. 229,52. 373. A974), Ann. Immunol. Inst. Pasteur 125C,
G. W. Hoffman
E. Hopf
A975), in Energy Transformation in Biological Systems, Elsevier, Amsterdam. and A. Boiteux A968), in Regulatory functions of biological membranes, American Elsevier, New York. A971), Ann. Rev. Biochem. 40,237. A. Boiteux and Kruger A969), Adv. Enz. Regul. 7, 149. J. Hicklin, A. Hornbruch, L.Wolpert, and M. Clarke A973), Embryol. Exp. Morph. 30,701. J. Hiernaux A976), Ph.D. Dissertation, University of Brussels. and A. Babloyantz A976a), 1, 33. Nonequil. Thermodynamics Chem.Phys. 64,554. A976), A976b), BiosystemsS, A977), Europ. Immunol., submitted. J. Higgins A964), Proc. Nat. Acad. Sci. 51,989. (U.S.A.)
J.
J.
J.
J.
J.
51. J.
1.
J.
J.
J.
J.
480 B. L.Jones, R. H. Enns,

and
References
S.S.Rangnekar
D. Joseph A972), in
Berlin.
Nonlinear
A976), Bull. Math. Biol. 38, 15. Problems in the Physical Sciences and Biology, Springer-Verlag,
Physical
M. KacA959), Probability and Related Topics in
Interscience, Sciences,
New York.
L. Kaczmarek A976), Biol. Cybernet. 22,229. L. Kaczmarek and A. Babloyantz A977), Biol. Cybernet., in press. L. V. Kantorovich and V. I.Krylov A964), Approximate Methods of Higher
Analysis,
P.
Noordhoff, Groningen. S.Kauffman A969), Theor, Biol. 22,437. A974a), Exp. Cell.Res.86,217. A974b), Bull. Math. Biol. 36, and J. Wille A975), Theor. Biol. 55,47. H. B. Keller A974), in SIAM-AMS Symp. Appl. Math., Vol. VIII, American Mathematical Society, Providence, Rhode Island. E. F. Keller and L.A. Segel A970), Theor. Biol. 26,399. E. Kerner A957), Bull. Math. Biophys. 19, A959), Bull. Math. Biophys. 21,217. K. Kitahara A974), Ph.D. dissertation, University of Brussels.
J.
J.
J.
171.
J.
121.
A958), Sov. Phys. JETP 6, 753. W. A. Knorre A968), Biochem. Biophys. Res.Commun.
Yu. Klimontovich
31,812.
Y. Kobatake A970), Physica 48,301. N. Kopell and L.N. Howard A973a), Stud. Appl. Math. 52,291. A973b), Sci.180, submitted. J. Kozak, G. Nicolis, M. Sanglier, and Kres A976), Atm. Sci., J. Krank A970), The Mathematics of Diffusion, Clarendon, Oxford. M. A. Krasnosel'skii A964), Topological Methods in the Theory of Nonlinear Integral Equations, Macmillan, New York.
1171.
J.
J.
J. Kreifeldt A970), Math. Biosci.8, 425. R. Kubo A962), J.Phys. Soc. Jap. 17, 1100. , K. Matsuo, and K. Kitahara A973), J.Stat. Phys. 9, 51. Y. Kuramoto A974), Progr. Theor. Phys. 52,711. and T. Tsuzuki A974), Progr. Theor. Phys. 52, 1399. A975), Progr. Theor. Phys. 54,687. L.D. Landau and E. M. Lifshitz A957), Statistical Physics, Pergamon, Oxford. R. Landauer A962), J.Appl. Phys. 33,2209. H. D. Landahl and V. Licko A973), Int. J.Chronobiol. 245. W. Langlois, A. Van Nypelseer, and J. Walker, A976), Bull. Math. Biol. 38,535. P. A. Lawrence A966), J.Exp. Biol. 44,607. B. Lavenda, G. Nicolis, and M. Herschkowitz-Kaufman A971), J. Theor. Biol. 32,283. M. Lax A960), Rev. Mod. Phys. 32,25. E. R. LeachA961), Rethinking Anthropology, Athlone, London.
1,
R. LefeverA968),Bull.
A968), A Runaway World, BBC Publ., London. Acad. Roy. Belg. Cl. Sci. 54,712.
References
,\342\200\236.
dissertation, University of Brussels. A970), Ph.D. A975), in Fluctuations, Instabilities, and Phase Transitions, Plenum, New York. and G. Nicolis A971), Theor. Biol. 30,267. and R. Garay A977), in Theoretical Immunology, M. Dekker, New York. , G. Nicolis, and Prigogine A967), Chem.Phys., 47, 1045. , M. Herschkowitz-Kaufman and J. W. Turner A977). Phys. Lett., submitted. H. N. W. Lekkerkerker and J.-P.Boon A975), in Fluctuations, Instabilities, and Phase TransiPlenum, New York. H. Lemarchand and G. Nicolis A976), Physica, in press. J. Leray and Schauder A934), Ann. Sci.Ecole Norm. Sup. C)51,45. C. Levi-Strauss A958), Anthropologie structurale, Plon, Paris. B. Libet, H. Kobayashi, and T. Tanake A975), Nature 258,155. E. N. Lorenz A963), Atmos. Sci.20, 130.
J.
I.
J.
Transitions,
I.
J.
Nat. Acad. Sci. A. Lotka A920), Proc. 6, 420. (U.S.A.) Nat. Acad. Sci. D. MacMahon A973), Proc. 70, 2396. (U.S.A.) AM Appl. Math., in press. J. T. Mahar and B.T. Matkowski A976), SI M. Malek-Mansour A973), Memoire de Licence, University of Brussels. and G. Nicolis A975), Stat. Phys. 13,197. , L. Brenig and W. Horsthemke, A977). Physica submitted. T. E. Mansour A972), in Current Topics in CellRegulation, Vol. 5, 1,Academic, New York. M. Marek and Stuchl A975), Biophys. Chem.3, 241. and E. Svobodova A975), Biophys. Chem.3, 263. M. Masters and W. D. Donachie A966), Nature 209,476. S.Matheson, D.F. Walls, and C.W. Gardiner A975), Stat. Phys. 12,
J.
J.
I.
I.
R. Mazo A970), Chem.Phys. 52,3306. Chem. A975), Phys. 62,4244. R. May A973), Model Ecosystems, Princeton U.P. J. Maynard-Smith A974), Mathematical Ecology, Cambridge U.V. H. P. McKean A969), in Lectures Seriesin Differential Equations, Vol. Reinhold, New York. and D.Sattinger A973), Fund. Anal. 14,62. B.McLeod K. McNeil and D. F. Walls A974), Stat. Phys. 10,439.
J. J.
J.
21.
II, Van
Nostrand-
J.
J. J.
D. McQuarrie A967), in Suppl. Rev. Her.Appl. Prob.,Methuen, S.L. Miller A953), Science 117,528.
London.
J. Monod, J. Wyman and J.-P.Changeux A965), J.Mol. Biol. 12,88. M. F. Morales and D. McKay A967), Biophys. J.7, 621. P.M. Morseand H. FeshbachA953), Methods of Theoretical Physics, McGraw-Hill,
N. Minorksi A962), Nonlinear Oscillations, Van Nostrand, Princeton.
J.Moser A973), Stable and Random

N.J. J. D. Murray
New York.
Motions in Dynamical Systems, Princeton
Princeton, U.P.,
Chem.Phys. 61,3610. A974), A976), J. Theor. Biol. 56,329. A. D.Nazarea A974), Proc.Nai. Acad. Sci. 71, 3751. (U.S.A.)
J.
482
Theor. Biol, in press. A976), to be A977) published. and G. Nicolis A975), Mol. Phys. 29, 1557. M. Nicolet A964), Discuss. Faraday Soc. 37, 7. A.
References
D. Nazarea
J.
G. Nicolis A971), Adv. Chem.Phys. 19,209. A972), J.Stat. Phys. 6, 195.

A974a) in Cooperative Effects, North Holland, Amsterdam. SIAM-AMS Symp. Appl. Math., Vol. VIII, American Mathematical A974b), in Proc. Society, Providence, Rhode Island. and F. G. Auchmuty A974), Proc. Nat. Acad. Sci. 71,2748. (U.S.A.) and A. Babloyantz A969), Chem. Phys. 51,2632. and Portnow A973), Chem.Rev. 73, 365. and Prigogine A971), Proc.Nat. Acad. Sci. 68,2102. (U.S.A.) P. A. Van Allen and Theor. , Nypelseer A974), Progr. Phys. 52,481. M. K. and A. Van , Malek-Mansour, Kitahara, Nypelseer A974), Phys. Lett. 48A, 217. , M. Malek-Mansour, A. Van Nypelseer, and K. Kitahara A976), Stat. Phys. 14,417.
J. J.
J.
I.
J.
J. S.Nicolis, G. Galanos,
A. Nitzan and
and
E. Protonotarios
Z. Nitecki A971), Differentiate
\342\200\224,
J.Ross A973), J.Chem.Phys. 60,3134. J. A974), Stat. Phys. 10,379. , P. Ortoleva, and J. RossA974), J.Chem.Phys. 60,3134. P. Ortoleva, J. Deutch, and J. RossA974), J.Chem.Phys. 61,1056.
Control 18,1009. A973), Int. M.I.T. Press,Cambridge, Mass. Dynamics,
J.
A975), Adv. Chem. Phys. 29,281. 227. and F. W. Bentrup A972), Planta 108, A. Novick and M. Weiner A957), Proc.Nat. Acad. Sci. 43, 553. (U.S.A.)
B. Novak B. Novak
R. M. Noyes
Symp. Molec.Biology, Chicago U.P. A959), in Proc. Chem.Phys. 64, 1266. A976a), Chem.Phys. 65,848. A976b), and R. J. Field A974), Ann. Rev. Phys. Chem.25,95. R. Nuccitelli and L.F. Jaffe A974), Proc. Nat. Acad. Sci. 71,4855. (U.S.A.)
J.
J.
L.Onsager A931), Phys.

P. Ortoleva
and
Rev.
J. Ross
Chem.Phys. A973), Chem.Phys. 60,5090. A974a), A974b), in Faraday Symp. No. 9, The Chemical Society, London. Chem.Phys. 63,3398. A975), H. G. Othmer A975), Math. Biol. 2, 133. A976); Chem.Phys., in press. and L.E. Scriven A969), Ind. Eng. Fund. 8, 302. A. Pacault, P. de Kepper, and P. Hanusse A974), in Proc. 25th Int. Meet. (Dijon), Elsevier, Amsterdam. Ser.C,280,197. A975), C.R. Acad. Sci. Pastan and R. Perlman A970), Science 169,339.
J. J. J.
A972),
37, 405. J.Chem.Phys. 56,4397. 58,5673.
J.
J.
Soc.Chim.
Phys
I.
References
fgj
A971), J. Theor. Biol. 33,319.
T. Pavlidis
A973), Biological Oscillators: Their Mathematical Analysis, Academic, New York A967), Phys. Rev. 162,186. Ecology, Wiley-Interscience, New A969), An Introduction to Mathematical York. G. H. Pimbley, Jr. A969). Eigenfunction Branches ofNonlinear Operators and their Bifurcations, Springer-Verlag, Berlin. 7th Int. Conf. Nonlin. Oscill. Akad. Wiss., Berlin (D.D.R.). T. Plesser A975), Proc. M. C. Polyakova and J. M. Romanovskii A971), Bull. Univ. Moscow, Sect.Phys. Astr.,
R. F. Pawula E. C. Pielou
No.4 J. Portnow
I.
I.
A974), in Faraday Symp. No. 9, The Chemical Society, London. A, 370. A975), Phys. Lett. 51 31,600. Prigogine A945), Bull. Acad. Roy. Belg. Cl. Sci. A947), Etude Thermodynamique desProcessus Irreversibles, Desoer, Liege. A949a), Nuovo Cimento Suppl. Vol. VI, Sect. IX, No. 2. A949b), Physica 15,272. 3rd Symp. Temperature, Washington, D.C. A954), Proc. A965), Physica 31,719. Liege. Prigogine and R. Defay A951), Thermodynamique Chimique, Desoer, and R. Herman A971). Kinetic Theory of Vehicular Traffic, Elsevier, New York. and R. Lefever A968), Chem.Phys. 48, 1695.
J.
A975), Adv. Chem.Phys. 29, and G. Mayer A955), Bull. Acad. Roy. Belg. Cl. Sci. 41,22. and G.Nicolis A971),in Proc. 3rdlnt. Conference, From Theoretical Physics to Biology, Versailles, France. , G. Nicolis, and A. Babloyantz A972), Physics Today 25,No. p. 23;No. 12,p. 38. , C.George,F. Henin, and L. Rosenfeld A973), Chem.Scripta 4, 5. , R. Lefever, J. S.Turner, and W. Turner A975), Phys. Lett. 51A, 317.
1.
11,
J.
T. Lam A975), Collect.Phen. 2, 103. E.K. Pye A969), Can. J.Bot. 47, 271. N. Rashevsky A938), Mathematical Biophysics, Chicago U.P. V. T. N. Reddy A975), J.Stat. Phys. 13,61. C.G. Richie and B.F. Woomack A966), Technical Report No. 28, Department of Electrical
, G. Nicolis, M. Herman,
and
J.Rommelaere
G. Rosen
Austin. Engineering, University of Texas, P. Richter A975), Europ J.Immunol. 5, 350. F. Riesz and B. Sz.Nagy A955), Functional Analysis, Frederick Unger, New A. Robertson and M. H. Cohen A972), Ann. Rev. Biophys. Bioeng. 1,409. A. Robertson, D. Drage, and M. H. Cohen A972), Science 175, 33.
and Hiernaux A975), Biosyst. 7, 250. A973), Phys. Lett. 43A, 349. J. Rossand P. Mazur A961), Chem.Phys. 35, 19. E. F. Rossomando and M. Sussman A973), Proc. Nat. Acad. D. Ruelle A973), Trans. N. Y. Acad. Sci.70, 66.
York.
J.
J.
Sci.(U.S.A.) 70, 1245.
484
V. A. Samoilenko and
References
Systems, Vol.
E. E. Sel'kov A971), in II, Puschino-na-Oka.
Oscillatory
Processes in Biological and Chemical
Ph.D. dissertation, University of Brussels. and G. Nicolis A976), Biophys. Chem.4, R. Sansone and S.Conti A964), Nonlinear Differential Equations, Pergamon, Oxford. D. Sattinger A973), Topics in Stability and Bifurcation Theory, Springer-Verlag, Berlin.
M. Sanglier A976),
113.
A976), Adv. Math.,
in
press.
H. Schaller
A975), CellDifferentiation 4, 265. and A. Gierer A973), Embryol. Exp. Morph.
J.
Y. Schiffmann
A975), unpublished
results, University
29,39. of Brussels.
F. Schlogl A971), Z. Physik 248,446. A972), Z. Physik 253,147.

A974), in Cooperative Effects, North Holland, Amsterdam.
London. E. Schrodinger A945), What is Life?, Cambridge U.P., L.Segeland J. L.Jackson A972), J. Theor. Biol. 37, 545. E.E. Sel'kov A967), in Oscillatory Processes in Biological and Chemical Systems, Vol. 1,Nauka,
J.Biochem. 4, 79. 98. K. R. Sharma and R. M. Noyes A976), J.Am. Chem.Soc. M. L.Smoes and J. Dreitlein A973), J.Chem.Phys. 59,6277. Sneddon A957), Elements of Partial Differential Equations, McGraw-Hill, New 457. R. A. Spangler and F. M. Snell A961), Nature 191, A967), J.Theor. Biol. 16,381. Stakgold A971), SIAM Review 13,289. H. E. Stanley A971), Introduction to Phase Transitions and Critical Phenomena,
Moscow. A968), Europ.
I.
York.
I.
Clarendon, Oxford. Stanshine A975), Ph.D. dissertation, Massachusets Institute of Technology, Cambridge. P. Stroot and D.Janjic A975), Helv. Chem.Ada 58, M. Sugita A963), Theor. Biol.4, 179. M. Sussman A964), Growth and Development, Prentice-Hall, Englewood Cliffs, New Jersey. D.Thoenes A973), Nature 243,18. R. Thom A972), Stabilite Structurelle et Morphogenese, Benjamin, New York.
J.
J.
116.
D.Thomas
A975), Adv. Chem. Phys. 29, A. and R. Lefever A977), to be published. Goldbeter , R. Thomas A973), Theor. Biol.42,563. A973), A General Theory of Elastic Stability, Wiley, London.
113.
J.
and
P. Van
J.M. T.Thompson
Ham A974), Biochimie 56, 1529. and G. W. Hunt A975). Z. Any. Math. Phys.
Phys.
26,581.
L.Tiszaand P. M. Quay A963), Ann.
25,48.
K. Tomita and K. Kitahara A975), Biophys. Chem.3, 125. K. Tomita and H. Tomita A974), Progr. Theor. Phys. 51,1731. K. Tomita, T. Ohta, and H. Tomita A974), Progr. Theor. Phys. 52, 1744. V. TorreA975), Biol. Cybernet. 17, 137.
References A. M. Turing A952), Phil. Trans. Roy. Sot:Lond. B237,37. S.Turner A975), Adv. Chem.Phys. 29,63. W. Turner A974), Trans. N. Y. Acad. Sci. 36,800. 61,293. A975), Bull. Acad. Roy. Belg. Cl. Sci. A977), to be published.
485
J. J.
J. Tyson
Chem.Phys. 58,3919. A973), Vol. 7, American Mathematical A975a), in Lectures in Mathematics in the Life Sciences, Society, Providence, Rhode Island. Math. Biol. 1, A975b), Chem.Phys., submitted. A976), and J. Light A973), Chem.Phys. 59,4164.
J.
J. J.
311.
J.
and S.Kauffman Math. Biol. 1, 289. A975), J. Urbain A976), Ann. Immunol. Inst. Pasteur 127C, 357. N. G. Van Kampen A961), Can. Phys. 39,551.
J.
J.
A969), Adv. Chem.Phys. 15,65. A976), Adv. Chem. Phys., 34,245. D. Venieratos A976), Thesede troisieme cycle, University of Paris VII. sur la Theorie Mathematique dela Luttepour la Vie, Gauthier-Villars, V. Volterra A936), Lecons Paris.
R. Wall A973), Adv. Morphogen. 10,41. Ch. Walter A969), J.Theor. Biology 23,23.
J.Watson
Theor. Biology 27, 259. A970), A965), Molecular Biology of the Gene, Benjamin, New York. N. Wax A954), Selected Dover, New Topics in the Theory of Noise and Stochastic Processes, York. O.K. Wilby and G. Webster A970), Embryol., Exp. Morphol. 24,583. H. Wilson A974), in Cooperative Effects, North Holland, Amsterdam. K. G. Wilson A973), Physica 73, E. O.Wilson A971), The Insect Societies, Harvard U.P., Cambridge. A975), Sociobiology, Harvard Cambridge. Theor. Biol. 16,15. A. T. Winfree A967), Theor. Biol. 28,327. A970),
J.
J.
119.
J.
J.
UP.,
175,634. A972), Science 137. 181, A973), Science in S IAM-AMS Proc. A974a), Symp. Appl. Math., Vol. VIII, American Mathematical Rhode Island. Providence, Society, Amer. 230F), 82. A974b), Sci. A975), Physics Today 28,34. L. Wolpert A969), Theor. Biol. 25, A971), Curr. Top. Dev. Biol. 6, 183.
J.
1.
J.Wyman
A975), Adv. Chem.Phys. 29,253. Mol. Biol. 39,523. A969), A. N. Zaikin and A. M. Zhabotinski A970), Nature
J.
225,525.
486
V. Zaitsev and
References
A.
C.Zettlemoyer (ed.) A969), Nucleation,
M. Shliomis A971), Sou. Phys. JETP32,866. Dekker, New York.
A. M. Zhabotinski A964), Biofizika 9, 306. A974), Self-oscillating Concentrations, Nauka, Moscow. A. Zotin and R. S.Zotina A967), Theor. Biol. 17, 57. G. Zubay, D. Schwartz, and J. Beckwith A970), Proc. Nat. Acad. Sci. 66, 104. (U.S.A.) V. Zubov A961), Methods of A. M. Lyapounov and their Applications, U.S. Atomic Energy
I.
J.
I.
AddendumMathematical Problems
Throughout this monograph, most of the analytical results obtained on pattern formation were based on approximate solutions of reaction-diffuequations using suitable perturbative expansions. Clearly, exact results would be highly desirable,as they would enable us to tackle problems involving arbitrary deviations from the first bifurcation point. One of the most challenging questionsin this direction is the possibility to explore fully the bifurcation diagram of a reaction-diffusion system, including information on stability of the branchesand on secondaryand higher bifurcations. Recently, Lefever, Herschkowitz-Kaufmanand Turner of A977) were able to carry out this program in a particular limiting case the trimolecular model. Considerthe familiar schemeG.10) where both the entry term A and the X In of diffusion such a system is are deleted. the absence term decay closed to mass transfer with respect to X, Y. However, inclusion of diffusion can model appropriately an open system, if the boundary condiare compatiblewith nonvanishing fluxes of X and Y. The rate medium of length /= 1): equations become (we take a one-dimensional
reaction-diffusion
conditions
9/2
where
f(X,Y) = X2Y-BX
and
Y(O)=Y(l)=B/\302\243
B)
Introducing the new variables
C)
487
488
Addendum
Mathematical
Problems
we may lump the equations at the steady state into the single relation:
K-F(W)
where K is an integration constant, and
D)
Solutionsof eq. D) can be constructedin terms of elliptic functions. They feature bifurcation properties and space dependenciessimilar to those described in Section 7.6.The novel point is, of course,that the amplitude and period of the solutions and the shape of the bifurcation diagram can be calculatedwithout using perturbation theory. Moreover, in
the particular caseDX = D2 the eigenvalues of the linearized equations around the space-dependent solutions of eq.D) can be computed exactly, as they are given by a Lame equation. An additional feature of the steady-state solutions is worth pointing out. We first write relations A) as
dr2 d2Y dr2
F)
In this form, the equations have a structure similar to those of classical dynamics, provided time is replacedby the spatial variable r. Such pheas the formation of spatial dissipative structures may, therefore, be phenomena viewed as the analogsof the formation of periodicorbits,which, as is well known, characterize the motion of certain classesof dynamical systems. Nitecki, 1971) Finally, it has been stressedrepeatedly(Lorenz, 1963; that in systemsof nonlinear differential equations involving three or more variables new types of bifurcations leadingto \"strange attractors\" become The resulting random, or \"chaotic,\" behavior might well prove to possible. be a generic property of complexreaction networks.In this respect the nonlinear laws that can lead to order far from equilibrium could refer to a of systems!The situation is small\342\200\224although extremely important\342\200\224class somewhat reminiscent of the status of integrable systems of classical mechanics(Moser 1973) which, although of the utmost importance, refer nevertheless to rather exceptional patterns of dynamical behavior.
Index
Acetabularia, 425 Activation, 165,357,418 Active transport, 413
Adenyl
ADP, 355,360 oscillatory behavior,

Affinity,
379 cyclase,
369,379 33,213,444 Allosteric constant, 363

cAMP, 379 and catabolite repression, 389 oscillatory behavior, in Dictyostelium, and relay, 381 Arc discontinuity, 403 ATP, 355,360,379 and adenylic energy charge, 385 oscillatory behavior, 369,379 Belousov-Zhabotinski reaction,
mathematical
379, 380
mechanism, 343 Bendixson negative criterion, 88 /3-galactosidase, seeInduction, of/3-galactosidase Bifurcation, 124 diagram, eigenvalue, at simple, 86 secondary, 120,192 of steady-state solutions, 106,109,
model, 345
339
Catastrophe theory, 74 and all-or-none transitions, 174 Cellsorting, 415 Cellular contacts, 414 Center, 82 Central limit theorem, 227 Chain reactions, 465 Chapman-Kolmogorov equation, 230 Chapman sequence, seeOzone Characteristic equation, 77 for Brusselator, 98 Chemical potential, 33 Chemical reactors, 168,382 Chemotaxis, 379 Circadian rhythms, 195,386 Competition, 429,449 Conflict, 176 Conservation equations, 27, 63 284 Constant of motion, Correlations, 297 .long range, 305,307 Critical exponents, 309,323,
161,
326
Curie symmetry Cusp, 176 Detailed balance,
Diffusion,
115,
113, 121, 111,
71,83
principle,
40
of time-periodic solutions, 140 of waves, 153,185

Boundary conditions, 29,64 Briggs-Rauscher reaction, 352 Brusselator, 93
bifurcation stability analysis, analysis,
120,180
113,
Boolean nets,
211
as closed system,
106,140,153 156 96
Catalysis, 90,93,165,169 heterogeneous, 197
and Fick's law, 48 and positional information, 410, 415 Dissipative structures, 60 bifurcation analysis of, 106,140,153 localized, of, 127 multiplicity and polarity, onset of, 415 qualitative properties of, thermodynamic properties of, 212 in two dimensions, 178 Distribution, binomial, 226 Gaussian, 227, 235 Poisson, 226,235,
46
41,330
131
115
260
489
490
Ecosystems, evolution
Index spatio-temporal patterns, 375 Hamilton-Jacobi equation, Heat-shock, 404 Hopf bifurcation, 141 Hydra, 425 Hypercycles, 436 Immune networks,
Immune surveillance,
basicequations, 449 of, 455 Eigenvalue, 84 of Laplace operator, 98,178 multiple, 85,
functions, 465 414 Entrainment, 195, Entropy, 22,32,55,212 balance equation, 33
Elliptic
248
121
56 excess, flow, 24,34 443 production, 24,34,212,

Michaelian,
Enzyme, allosteric,
Escherichia Evolution, prebiotic, 429 and structural stability, 438

Evolutionary
357 167 coli, 387
Induction, of/3-galactosidase, 388 all-or-none transitions, 389 oscillatory behavior, 395

Inhibition, 166,418 Insects, division of labor in,
468 469
Evolution criterion, 50 and kinetic potential,

Excitability,
445 feedback, 441,
social organization in, 453 Instability, seeDissipative structures; Stabiland Symmetry-breaking

Stability;
459
51 173,401
K-V system,
360
Floquet theory, 206 Fluctuations, 223 in Brusselator, 289,319 circulation of, 271 and Einstein formula, 234 around equilibrium, 232 in finite volumes, 310 in Lotka-Volterra model, 264 molecular dynamics study of, 283
in nonlinear model, 261 in unimolecular reactions,
Lacoperon, 388
Landau-Ginzburg potential, Langevin equation, 247 Large numbers, law of, 227
117
378
Length, critical, in allosteric model, for glycolysis, Leray-Schauder theorem, 85

Limit cycles, 87 in Belousov-Zhabotinski reaction, in Brusselator, 140 in glycolysis, 369 in lac operon regulation, 394 in mitosis, 404
151
340
257
Fluxes, generalized,
35
Focus, 82
Fokker-Planck equation, 243 Forces, generalized, 35 Fredholm alternative, 108,143 Fusion, cellular, 403 Generating function, cumulant-, moment-, 249 Gibbs formula, 33
models of,
multiple,
Lotka-Volterra model, 160 Markov process, 229 Master equation, 231 for birth and death process, 239
multivariate,
165 350,401
320
251,266,
285
382 Glucose-oxidase,
Glycolysis, 354 and adenylic energy charge, 385 allosteric model of, 358 external disturbances, effect of, 371 oscillatory behavior, 356,369
nonlinear, 317 in phase space, 275 Maxwell rule, 176, Membrane-bound enzymes,
211
382 42
327,462 Metastability, Minimum entropy production,

Mitotic oscillator,
mathematical
model of, 405
402
Index Moment, seeProbability Morphogenesis, 409

Neural networks,
491
distribution Reaction-diffusion equations, 27, 64 Refractory period, 371,414 422 Repression, 388,394, catastrophe, 177 Riemann-Hugoniot Saddle point, 81 Separatrix, 82,88,399 Singular points, multiple, simple, 79
467
Node, 79 Nonexclusive binding coefficient,

Normal mode, 78 in Brusselator, 103
364
83
alterna-
Nucleation,
323,331,462 312,
Onsager reciprocity relations, 40 Opensystems, 24,26 Order parameter, 322,326 Oregonator, 345 Organizer, embryonic, 413 Oscillations, conservative, 160 epigenetic, 387 past an instability, 87 metabolic, 354 periodic, almost, 196 in trimolecular model, 140
Sizeinvariance, Solvability condition,

alternative
421 411, seeFredholm
116,
Stability,
asymptotic, 65 and complexity, linearized, 71 Lyapounov, 65

marginal,
46,55,63 462
orbital, 66 structural, 68
thermodynamic
79, 86
criterion of,
Oscillators, 195 asymptotic behavior of, 203 coupled through diffusion, 147
seealso Limit cycles
Steady states,
multiple,
201 Ozone,
Papain,
Stochastic differential equations, 247 Stoichiometric coefficient, 28,240 Symmetry-breaking, 402 Synchronization, 147,195,
169,391
41
59
115,415
Pattern, breaking Phase-shift,
382 seeMorphogenesis;
Symmetry-
Permease,388
Phase-singularity,
371,415
197
Phenomenological relations, 36,39,49 Phosphodiesterase, 381 Phosphofructokinase, 357, 446 mathematical model, of the reaction, 358 Photochemical reactions, 200 Physarum polycephalum, 402 Polymer, prebiotic, 430,434 421 Positional differentiation, Positional information, 75 Potential, kinetic, thermodynamic, 43,233,236 Probability distribution, 224 moments of, 225,252 Pyrophosphohydrolase, 379 Pyruvate kinase, 357,446
Polarity, 104 in morphogenesis,
Thermodynamic branch, 57 Transition probabilities, 228,230 240 for birth and death process, for diffusion, 287, 315 Trimolecular model, seeBrusselator Turning points, 134 Turnover numbers, 364 Urban growth, Urease, 382
Van
473
der Waals theory, 173,329 Variance, 225 divergence of, 271,292,324

Wave, in allosteric model, of glycolysis, 376 in Belousov-Zhabotinski reaction, 341,
415
51,
410,413
351
in Brusselator,
149,153,185
and formation,
discontinuity,
of surfaces of discontinu-
207
kinematic, 147 rotating, 186 trigger, 147 Wave number, 98

Self Organization in Nonequilibrrium Systems - Prigogine

Transféré par

Informations du document

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Self Organization in Nonequilibrrium Systems - Prigogine

Transféré par

Droits d'auteur :

Formats disponibles

Copyright

& Sons, Inc.

All rights reserved. Published simultaneously

ofCongress Cataloging 1939Nicolis, G

Q325.N5 001.533 ISBN 0-471-02401-5

in the United States

THE THERMODYNAMIC BACKGROUND

1. Introduction 1.1. GeneralComments, 19 1.2. OpenSystems, 24

2.2. The Mass-balance Equations,

3.2. The Linear Range of Phenomenological Relations:

3.6. of OrderedBehavior in the Linear Impossibility

ASPECTSOF SELFMATHEMATICAL D METHODS ORGANIZATION: ETERMINISTIC

5.1.GeneralFormulation, 5.2. Lyapounov Stability, 5.3.Orbital Stability, 66

Structures: GeneralScheme, 106

Bifurcation: No-flux Boundary Conditions, of First Bifurcation,

7.14. Traveling Waves in

III. STOCHASTIC METHODS 9.

10. Birth-and-deathDescriptionof Fluctuations

10.1. MasterEquation for Birth-and-death

PART IV. CONTROLMECHANISMSIN CHEMICALAND

13.2. Belousov-Zhabotinski Reaction:

15.5. CataboliteRepression: SustainedOscillations

15.6. Controlof CellularDivision,

17. Thermodynamicsof Evolution

17.1. The Notion of Competition, 429

17.2. PrebioticEvolution: GeneralPresentation, 17.3. PrebioticPolymer Formation, 430

17.4. BiopolymerCompetition and Hypercycles, 434

17.5. Evolution Viewed as a Problem of Stability, 17.6. Evolutionary Feedback,441

438 442 448

in Simple Reaction Networks, 17.7. Energy Dissipation

18.6. Stability and Complexity,

and ConcludingRemarks Perspectives

nonlinear master equaxi

thermodynamic potential generalized bifurcation parameter; cellsize in multivariate

chemical potential of constituent i stoichiometric coefficient of constituent ;

in Nonequilibrium Systems Self-Organization

1971 ProfessorP. Glansdorff and

published a monograph entitled

sociobiological problemsin Part V.

to a gradual acquisition of autonomy from the environment.

seethe monograph of Glansdorff

* SeeL.D. Landau and E. M. Lifshitz, op cit.

Fora long time

* For instance, the

10 the values of the characteristic

parameters such as rate constants and

large portion of Parts IV and

* This point has also been emphasized

Seee.g. P. Weiss A967), in

Lefever, A. Goldbeter, and M. Herschkowitz-Kaufman

of someof Turing's examples choice (the obvious requirement that

in Goals for Mankind

la Necessite, Seuil, Paris.

/./ General Comments

a certain scaleof phenomena. exceeds

where in the most general case F, is a nonlinear functional of its variables.

decrease in entropy (for a further discussion, seeChapters4 and 8),it follows

On the other hand, since in physicsone always associatesorder with a

relation [see also Eq. B) of GeneralIntroduction]:

/./. General Comments

is given by (Landau and Lifshitz, 1957)

where kB is Boltzmann's constant.

low T, the above two

1.2. OPEN SYSTEMS