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In a nuclear fusion reaction hydrogen atoms combine to form helium atoms. But there are no neutrons in hydrogen atoms then where does the helium neutron come from?

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Answer
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Hint: Hydrogen has three isotopes and out of them two come into play during this fusion. Fusion is a self-sustaining chain of reactions, once it starts, then there is no stopping until suitable conditions exist.

Complete solution:
When two light nuclei fuse to form a larger nucleus, energy is released, since the larger nucleus is more tightly bound which is seen in the binding energy curve. In the first reaction, two protons combine to form a deuteron and a positron with a release of 0.42MeV energy. In the second reaction, two deuterons combine to form the light isotope of helium. In the third reaction, two deuterons combine to form a triton and a proton.

For fusion to take place, the two nuclei must come close enough so that an attractive short-range nuclear force is able to affect them. However, since they are both positively charged particles, they experience coulomb repulsion. They, therefore, must have enough energy to overcome this coulomb barrier. The height of the barrier depends on the charges and radii of the two interacting nuclei.
Let us consider for example that the barrier between two protons is $ \sim 400keV$, and it increases with increase in charge. However we can estimate the temperature at which the two protons will overcome the barrier and undergo fusion. This can be done as so;
$\dfrac{3}{2}kT = 400$ Here, k is Bulk modulus and T is temperature in kelvin.
This gives temperature$T \sim 3 \times {10^9}K$.
This much temperature is required to do the fusion.
The reactions are as follows:
${}_1^1H + {}_1^1H \to {}_1^2H + {e^ + } + v + 0.42MeV$ (Equation: 1)
${e^ + } + {e^ - } \to \gamma + \gamma + 1.02MeV$ (Equation: 2)
${}_1^2H + {}_1^1H \to {}_2^3He + \gamma + 5.49MeV$ (Equation: 3)
${}_2^3He + {}_2^3He \to {}_2^4He + {}_1^1H + {}_1^1H + 12.86MeV$ (Equation: 4)
For the fourth reaction to occur, the first three reactions must occur twice, in which case two light helium nuclei unite to form ordinary helium nuclei.
Thus, four hydrogen atoms combine to form a helium atom with a release of 26.7 MeV of energy.
The formation of neutrons has multiple reasons but one of them might be the equation: 2. Here, one positron and one electron combine producing neutral gamma particles. This may give rise to neutrons. Another reason for this is the hydrogen nuclei combine to form a deuteron nuclei that has one neutron and also tritium that has two neutrons.
Hence even though hydrogen nucleus lacks neutrons after fusing into helium the helium nucleus has two neutrons.

Note:
There are many steps that are hard to explain in mathematical reactions but they do occur, which results in production of neutrons, gamma particles, beta particles, etc.