This article consists of two parts. The first part presents a tutorial approach to cooperative phenomena in systems far from thermal equilibrium and in nonphysical systems. Particular emphasis is placed on the question of how order and self-organization may arise. The following example is treated among others: the ordered phase of the laser giving rise to both coherently oscillating atomic dipole moments and coherent light emission. A complete analogy of the laser light distribution function to that of the Ginzburg-Landau theory of superconductivity is found mathematically which allows us to interpret the laser threshold as a quasi-second-order phase transition with soft modes, critical slowing down, etc. Similar phenomena, again closely resembling phase transitions, are found in tunnel diodes and in the nonlinear wave interaction which occurs, for example, in nonlinear optics. Remarkable analogies between the instability of the laser and those in hydro-dynamics are elaborated. While these phenomena show pronounced analogies to phase transitions in thermal equilibrium, there are further classes of instabilities and new phases which rather resemble hard excitations known in electrical engineering. Chemical oscillations are particularly important examples. In addition, the first part of this article contains the example of the cooperative behavior of neuron networks and shows the applicability of simple physical concepts, e.g., the Ising model, to the problem of the dynamics of social groups. All these above-mentioned examples demonstrate clearly that rather complex phenomena brought about by the cooperation of many subsystems can be understood and described by a few simple concepts. One of the main concepts is the order parameter; another is the adiabatic elimination of the variables of the subsystems, which is based upon a hierarchy of time constants present in most systems. The second part of this article gives a systematic account of the mathematical tools which allow us to deal with fluctuations. It contains the master equation, the Fokker-Planck equation, the generalized Fokker-Planck equation, and the Langevin equations, and gives several general methods for deriving the stationary and, in certain cases, the nonstationary solutions of master equations and the Fokker-Planck equations. Such general classes comprise those in which detailed balance is present or in which the coupling to the reservoirs is weak. In the quantum mechanical domain, the density matrix and the projection formalism for its reduction are presented. Finally, it is shown how the principle of quantum-classical correspondence allows us to translate quantum statistical problems completely into the classical domain.

DOI:https://doi.org/10.1103/RevModPhys.47.67