In this paper we present an integro-differential diffusion equation for continuous time random walk that is valid for a generic waiting time probability density function. Using this equation we also study diffusion behaviors for a couple of specific waiting time probability density functions such as exponential, and a combination of power law and generalized Mittag-Leffler function. We show that for the case of the exponential waiting time probability density function a normal diffusion is generated and the probability density function is Gaussian distribution. In the case of the combination of a power-law and generalized Mittag-Leffler waiting probability density function we obtain the subdiffusive behavior for all the time regions from small to large times, and probability density function is non-Gaussian distribution.
The integro-differential wave equation for the probability density function for a classical one-dimensional Lévy walk with continuous sample paths has been derived. This equation involves a classical wave operator together with memory integrals describing the spatio-temporal coupling of the Lévy walk. It is valid for any running time PDF and it does not involve any long-time large-scale approximations. It generalizes the well-known telegraph equation obtained from the persistent random walk. Several non-Markovian cases are considered when the particle's velocity alternates at the gamma and pow…
We study generalized diffusion-wave equation in which the second order time derivative is replaced by integro-differential operator. It yields time fractional and distributed order time fractional diffusion-wave equations as particular cases. We consider different memory kernels of the integro-differential operator, derive corresponding fundamental solutions, specify the conditions of their non-negativity and calculate mean squared displacement for all cases. In particular, we introduce and study generalized diffusion-wave equations with regularized Prabhakar derivative of single and distribut…
Starting from a continuous time random walk (CTRW) model of particles that may evanesce as they walk, our goal is to arrive at macroscopic integro-differential equations for the probability density for a particle to be found at point r at time t given that it started its walk from r_0 at time t=0. The passage from the CTRW to an integro-differential equation is well understood when the particles are not evanescent. Depending on the distribution of stepping times and distances, one arrives at standard macroscopic equations that may be "normal" (diffusion) or "anomalous" (subdiffusion and/or sup…
We calculate the diffusion coefficients of persistent random walks on lattices, where the direction of a walker at a given step depends on the memory of a certain number of previous steps. In particular, we describe a simple method which enables us to obtain explicit expressions for the diffusion coefficients of walks with two-step memory on different classes of one-, two- and higher-dimensional lattices.
We formulate the generalized master equation for a class of continuous time random walks in the presence of a prescribed deterministic evolution between successive transitions. This formulation is exemplified by means of an advection-diffusion and a jump-diffusion scheme. Based on this master equation, we also derive reaction-diffusion equations for subdiffusive chemical species, using a mean field approximation.
We investigate the diffusion limited aggregation of particles executing persistent random walks. The scaling properties of both random walks and large aggregates are presented. The aggregates exhibit a crossover between ballistic and diffusion limited aggregation models. A non-trivial scaling relation $ξ\sim\ell^{1.25}$ between the characteristic size $ξ$, in which the cluster undergoes a morphological transition, and the persistence length $\ell$, between ballistic and diffusive regimes of the random walk, is observed.
We study, on a $d$ dimensional hypercubic lattice, a random walk which is homogeneous except for one site. Instead of visiting this site, the walker hops over it with arbitrary rates. The probability distribution of this walk and the statistics associated with the hop-overs are found exactly. This analysis provides a simple approach to the problem of tagged diffusion, i.e., the movements of a tracer particle due to the diffusion of a vacancy. Applications to vacancy mediated disordering are given through two examples.
In this paper we are examining diffusion properties of stationary continuous-time Weierstrass walk (CTWW). We are showing it is a multi-phase representation of the Lévy walk. The hierarchical spatial-temporal coupling, combined with coupling between dynamic variables define the CTWW process. The walker moves here with a piecewise constant velocity between trajectory turning points. We have found the diffusion phase diagram of the CTWW consisting not only of anomalous non-Gaussian or non-fBm phases but also Brownian yet non-Gaussian ones. We compare the diffusion phase diagram of the stationary…
Superslow diffusion, i.e., the long-time diffusion of particles whose mean-square displacement (variance) grows slower than any power of time, is studied in the framework of the decoupled continuous-time random walk model. We show that this behavior of the variance occurs when the complementary cumulative distribution function of waiting times is asymptotically described by a slowly varying function. In this case, we derive a general representation of the laws of superslow diffusion for both biased and unbiased versions of the model and, to illustrate the obtained results, consider two particu…
We briefly review the random matrix theory for large N by N matrices viewed as free random variables in a context of stochastic diffusion. We establish a surprising link between the spectral properties of matrix-valued multiplicative diffusion processes for hermitian and unitary ensembles.
Time evolutions whose infinitesimal generator is a fractional time derivative arise generally in the long time limit. Such fractional time evolutions are considered here for random walks. An exact relationship is given between the fractional master equation and a separable continuous time random walk of the Montroll-Weiss type. The waiting time density can be expressed using a generalized Mittag-Leffler function. The first moment of the waiting density does not exist.
Three-dimensional Monte Carlo simulations provide a striking confirmation to a recent theoretical prediction: the Brownian non-Gaussian diffusion of critical self-avoiding walks. Although the mean square displacement of the polymer center of mass grows linearly with time (Brownian behavior), the initial probability density function is strongly non-Gaussian and crosses over to Gaussianity only at large time. Full agreement between theory and simulations is achieved without the employment of fitting parameters. We discuss simulation techniques potentially capable of addressing the study of anoma…
Strong anomalous diffusion phenomena are often observed in complex physical and biological systems, which are characterized by the nonlinear spectrum of exponents $qν(q)$ by measuring the absolute $q$-th moment $\langle |x|^q\rangle$. This paper investigates the strong anomalous diffusion behavior of a two-state process with Lévy walk and Brownian motion, which usually serves as an intermittent search process. The sojourn times in Lévy walk and Brownian phases are taken as power law distributions with exponents $α_+$ and $α_-$, respectively. Detailed scaling analyses are performed for the coex…
Combs are a simple caricature of various types of natural branched structures, which belong to the category of loopless graphs and consist of a backbone and branches. We study continuous time random walks on combs and present a generic method to obtain their transport properties. The random walk along the branches may be biased, and we account for the effect of the branches by renormalizing the waiting time probability distribution function for the motion along the backbone. We analyze the overall diffusion properties along the backbone and find normal diffusion, anomalous diffusion, and stoch…
In this paper we develop a random walk model on lattice for coordinate dependent diffusion at constant temperature in contact with a heat bath. We employ here a coordinate dependent waiting time of the random walker to make the diffusivity coordinate dependent. The presence of a confining conservative force is modeled by appropriately breaking the isotropy of the jumps of the random walker to its nearest neighbors. We show that the equilibrium is characterized by the position distribution which is of modified Boltzmann form. We also show that, in such systems with coordinate dependent diffusiv…
We demonstrate that continuous time random walks in which successive waiting times are correlated by Gaussian statistics lead to anomalous diffusion with mean squared displacement <r^2(t)>~t^{2/3}. Long-ranged correlations of the waiting times with power-law exponent alpha (0<alpha<=2) give rise to subdiffusion of the form <r^2(t)>~t^{alpha/(1+alpha)}. In contrast correlations in the jump lengths are shown to produce superdiffusion. We show that in both cases weak ergodicity breaking occurs. Our results are in excellent agreement with simulations.
We study the dynamics of a radioactive species flowing through a porous material, within the Continuous-Time Random Walk (CTRW) approach to the modelling of stochastic transport processes. Emphasis is given to the case where radioactive decay is coupled to anomalous diffusion in locally heterogeneous media, such as porous sediments or fractured rocks. In this framework, we derive the distribution of the number of jumps each particle can perform before a decay event. On the basis of the obtained results, we compute the moments of the cumulative particle distribution, which can be then used to q…
The evolution of infinitesimal, localized perturbations is investigated in a one-dimensional diatomic gas of hard-point particles (HPG) and thereby connected to energy diffusion. As a result, a Levy walk description, which was so far invoked to explain anomalous heat conductivity in the context of non-interacting particles is here shown to extend to the general case of truly many-body systems. Our approach does not only provide a firm evidence that energy diffusion is anomalous in the HPG, but proves definitely superior to direct methods for estimating the divergence rate of heat conductivity …
We have shown that the steady state probability distribution function of a diffusion-coalescence system on a one-dimensional lattice of length L with reflecting boundaries can be written in terms of a superposition of double shock structures which perform biased random walks on the lattice while repelling each other. The shocks can enter into the system and leave it from the boundaries. Depending on the microscopic reaction rates, the system is known to have two different phases. We have found that the mean distance between the shock positions is of order L in one phase while it is of order 1 …
Anomalous dynamics in which local perturbations spread faster than diffusion are ubiquitously observed in the long-time behavior of a wide variety of systems. Here, the manner by which such systems evolve towards their asymptotic superdiffusive behavior is explored using the 1d Lévy walk of order $1 < β< 2$. The approach towards superdiffusion, as captured by the leading correction to the asymptotic behavior, is shown to remarkably undergo a transition as $β$ crosses the critical value $β_{c} = 3/2$. Above $β_{c}$, this correction scales as $\lvert x \rvert \sim t^{1/2}$, describing simple dif…
Generalized diffusion process with nonlocal interactions: Continuous time random walk model and stochastic resetting
Research Center for Computer Science and Information Technologies, Macedonian Academy of Sciences and Arts（马其顿科学院计算机科学与信息技术研究中心）；Institute of Physics, Faculty of Natural Sciences and Mathematics, Ss. Cyril and Methodius University（圣西里尔和麦托迪乌斯大学自然科学与数学学院物理研究所）；Institute of Nuclear Physics, Polish Academy of Sciences（波兰科学院核物理研究所）；Faculty of Computer Science and Engineering, Ss. Cyril and Methodius University（圣西里尔和麦托迪乌斯大学计算机科学与工程学部）；Department of Physics, Korea University（韩国大学物理系）
The continuous-time random walk (CTRW) model is useful for alleviating the computational burden of simulating diffusion in actual media. In principle, isotropic CTRW only requires knowledge of the step-size, $P_l$, and waiting-time, $P_t$, distributions of the random walk in the medium and it then generates presumably equivalent walks in free space, which are much faster. Here we test the usefulness of CTRW to modelling diffusion of finite-size particles in porous medium generated by loose granular packs. This is done by first simulating the diffusion process in a model porous medium of mean c…
We consider continuous time random walks (CTRW) and discuss situations pertinent to aging. These correspond to the case when the initial state of the system is known not at preparation (at $t=0$) but at the later instant of time $t_1>0$ (intermediate-time initial condition). We derive the generalized aging diffusion equation for this case and express it through a single memory kernel. The results obtained are applied to the practically relevant case of the equilibrated random walks. We moreover discuss some subtleties in the setup of the aging subdiffusion problem and show that the behavior of…
We determine the rate of escape from a potential well, and the diffusion coefficient in a periodic potential, of a random walker that moves under the influence of the potential in between successive collisions with the heat bath. In the overdamped limit, both the escape rate and the diffusion coefficient coincide with those of a Langevin particle. Conversely, in the underdamped limit the two dynamics have a different temperature dependence. In particular, at low temperature the random walk has a smaller escape rate, but a larger diffusion coefficient.
Levy walks define a fundamental concept in random walk theory which allows one to model diffusive spreading that is faster than Brownian motion. They have many applications across different disciplines. However, so far the derivation of a diffusion equation for an n-dimensional correlated Levy walk remained elusive. Starting from a fractional Klein-Kramers equation here we use a moment method combined with a Cattaneo approximation to derive a fractional diffusion equation for superdiffusive short range auto-correlated Levy walks in the large time limit, and solve it. Our derivation discloses d…
A physical-mathematical approach to anomalous diffusion may be based on generalized diffusion equations (containing derivatives of fractional order in space or/and time) and related random walk models. The fundamental solution (for the {Cauchy} problem) of the fractional diffusion equations can be interpreted as a probability density evolving in time of a peculiar self-similar stochastic process that we view as a generalized diffusion process. By adopting appropriate finite-difference schemes of solution, we generate models of random walk discrete in space and time suitable for simulating rand…
We propose a variety of models of random walk, discrete in space and time, suitable for simulating stable random variables of arbitrary index $α$ ($0< α\le 2$), in the symmetric case. We show that by properly scaled transition to vanishing space and time steps our random walk models converge to the corresponding continuous Markovian stochastic processes, that we refer to as Levy-Feller diffusion processes.
Continuous time random walks are non-Markovian stochastic processes, which are only partly characterized by single-time probability distributions. We derive a closed evolution equation for joint two-point probability density functions of a subdiffusive continuous time random walk, which can be considered as a generalization of the known single-time fractional diffusion equation to two-time probability distributions. The solution of this generalized diffusion equation is given as an integral transformation of the probability distribution of an ordinary diffusion process, where the integral kern…
Time delay in general leads to instability in some systems, while a specific feedback with delay can control fluctuated motion in nonlinear deterministic systems to a stable state. In this paper, we consider a non-stationary stochastic process, i.e., a random walk and observe its diffusion phenomenon with time delayed feedback. Surprisingly, the diffusion coefficient decreases with increasing the delay time. We analytically illustrate this suppression of diffusion by using stochastic delay differential equations and justify the feasibility of this suppression by applying the time-delay feedbac…
Low-dimensional periodic arrays of scatterers with a moving point particle are ideal models for studying deterministic diffusion. For such systems the diffusion coefficient is typically an irregular function under variation of a control parameter. Here we propose a systematic scheme of how to approximate deterministic diffusion coefficients of this kind in terms of correlated random walks. We apply this approach to two simple examples which are a one-dimensional map on the line and the periodic Lorentz gas. Starting from suitable Green-Kubo formulas we evaluate hierarchies of approximations fo…
We discuss some applications of the Mittag-Leffler function and related probability distributions in the theory of renewal processes and continuous time random walks. In particular we show the asymptotic (long time) equivalence of a generic power law waiting time to the Mittag-Leffler waiting time distribution via rescaling and respeeding the clock of time. By a second respeeding (by rescaling the spatial variable) we obtain the diffusion limit of the continuous time random walk under power law regimes in time and in space. Finally, we exhibit the time-fractional drift process as a diffusion l…
Motivated by the diffusion-reaction kinetics on interstellar dust grains, we study a first-passage problem of mortal random walkers in a confined two-dimensional geometry. We provide an exact expression for the encounter probability of two walkers, which is evaluated in limiting cases and checked against extensive kinetic Monte Carlo simulations. We analyze the continuum limit which is approached very slowly, with corrections that vanish logarithmically with the lattice size. We then examine the influence of the shape of the lattice on the first-passage probability, where we focus on the aspec…
Continuous Time Random Walks (CTRWs) are jump processes with random waiting times between jumps. We study scaling limits for CTRWs where the distribution of jumps and waiting times is coupled and varies in space and time. Such processes model e.g. anomalous diffusion processes in a space- and time-dependent potential. Conditions for the process-convergence of CTRWs are given, and the limits are characterised by four coefficients. Kolmogorov forwards and backwards equations with non-local time operators are derived, and three models for anomalous diffusion are presented: i) Subdiffusion in a ti…
We study chemotaxis in a porous medium using as a model a biased ("hungry") random walk on a percolating cluster. In close resemblance to the 1980s arcade game Pac-Man, the hungry random walker consumes food, which is initially distributed in the maze, and biases its movement towards food-filled sites. We observe that, on the percolating cluster, the mean-squared displacement of the pacman process shows anomalous dynamics, which follow a power law with a dynamical exponent different from both that of a self avoiding random walk as well as that of an unbiased random walk. The change in dynamics…
The uncoupled Continuous Time Random Walk (CTRW) in one space-dimension and under power law regime is splitted into three distinct random walks: (rw_1), a random walk along the line of natural time, happening in operational time; (rw_2), a random walk along the line of space, happening in operational time;(rw_3), the inversion of (rw_1), namely a random walk along the line of operational time, happening in natural time. Via the general integral equation of CTRW and appropriate rescaling, the transition to the diffusion limit is carried out for each of these three random walks. Combining the li…
We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a dynamical phase transition from normal to anomalous diffusion marked by strong suppression of diffusion. Similarly, the probability density of moving particles is governed by a time-fractional diffusion equation on coarse scales while exhibiting a specific fine structure. Approximations beyond stochastic theory are derived from a generalized Taylor-Green-Kubo f…
We develop a version of the vacancy mediated tracer diffusion model, which follows the properties of the physical system of In atoms diffusing within the top layer of Cu(001) terraces. This model differs from the classical tracer diffusion problem in that (i) the lattice is finite, (ii) the boundary is a trap for the vacancy, and (iii) the diffusion rate of the vacancy is different, in our case strongly enhanced, in the neighborhood of the tracer atom. A simple continuum solution is formulated for this problem, which together with the numerical solution of the discrete model compares well with…
Movements of molecular motors on cytoskeletal filaments are described by directed walks on a line. Detachment from this line is allowed to occur with a small probability. Motion in the surrounding fluid is described by symmetric random walks. Effects of detachment and reattachment are calculated by an analytical solution of the master equation in two and three dimensions. Results are obtained for the fraction of bound motors, their average velocity and displacement. The diffusion coefficient parallel to the filament becomes anomalously large since detachment and subsequent reattachment, in the…
Daily, are reported systems in nature that present anomalous diffusion phenomena due to irregularities of medium, traps or reactions process. In this scenario, the diffusion with traps or localised--reactions emerge through various investigations that include numerical, analytical and experimental techniques. In this work, we construct a model which involves a coupling of two diffusion equations to approach the random walkers in a medium with localised reaction point (or controlled diffusion). We present the exact analytical solutions to the model. In the following, we obtain the survival prob…
Consider $N$ points randomly distributed along a line segment of unitary length. A walker explores this disordered medium moving according to a partially self-avoiding deterministic walk. The walker, with memory $μ$, leaves from the leftmost point and moves, at each discrete time step, to the nearest point, which has not been visited in the preceding $μ$ steps. We have obtained analytically the probability $P_N(μ) = (1 - 2^{-μ})^{N - μ- 1}$ that all $N$ points are visited in this open system, with $N \gg μ\gg 1$. The expression for $P_N(μ)$ evaluated in the mentioned limit is valid even for sm…
We calculate the diffusion coefficients of persistent random walks on cubic and hypercubic lattices, where the direction of a walker at a given step depends on the memory of one or two previous steps. These results are then applied to study a billiard model, namely a three-dimensional periodic Lorentz gas. The geometry of the model is studied in order to find the regimes in which it exhibits normal diffusion. In this regime, we calculate numerically the transition probabilities between cells to compare the persistent random-walk approximation with simulation results for the diffusion coefficie…
We investigate diffusion-limited aggregation (DLA) in a wedge geometry. Arneodo and collaborators have suggested that the ensemble average of DLA cluster density should be close to the noise-free selected Saffman-Taylor finger. We show that a different, but related, ensemble average, that of the conformal maps associated with random clusters, yields a non-trivial shape which is also not far from the Saffman-Taylor finger. However, we have previously demonstrated that the same average of DLA in a channel geometry is not the Saffman-Taylor finger. This casts doubt on the idea that the average of…
Traditionally, time-development of the mean square displacement has been employed to determine the diffusion coefficient from the trajectories of single particles. However, this approach is sensitive to the noise and the motion blur upon image acquisition. Recently, Vestergaard et al. has proposed a novel method based on the covariance between the shifted displacement series. This approach gives a more robust estimator of the diffusion coefficient of one-dimensional diffusion without bias, i.e., when mean velocity is zero. Here, we extend this approach to a potentially biased random walk on a …
A physical-mathematical approach to anomalous diffusion may be based on fractional diffusion equations and related random walk models. The fundamental solutions of these equations can be interpreted as probability densities evolving in time of peculiar self-similar stochastic processes: an integral representation of these solutions is here presented. A more general approach to anomalous diffusion is known to be provided by the master equation for a continuous time random walk (CTRW). We show how this equation reduces to our fractional diffusion equation by a properly scaled passage to the limi…
In this paper, we consider a type of continuous time random walk model where the jump length is correlated with the waiting time. The asymptotic behaviors of the coupled jump probability density function in the Fourier-Laplace domain are discussed. The corresponding fractional diffusion equations are derived from the given asymptotic behaviors. Corresponding to the asymptotic behaviors of the joint probability density function in the Fourier-Laplace space, the asymptotic behaviors of the waiting time probability density and the conditional probability density for jump length are also discussed…
The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW)is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW itself. We treat the CTRW as a combination of a random walk on the axis of physical time with a random walk in space, both walks happening in discrete operational time. In the continuum limit we obtain a generally non-Markovian diffusion process governed by a space-time fractional diffusion equation. The essential assumption is that the probabilities for wa…
Statistics of classical Hamiltonian random walk of particle colliding with atoms of ideal gas is considered from viewpoint of earlier suggested exact pseudo-quantum path integral representation of the problem, and qualitative agreement is demostrated between results of an naturally arising simple approximation of this integral and results obtained by formally different methods, thus in a new fashion showing inevitability of scaleless 1/f-type fluctuations in rates of molecular Brownian motions and other dynamical transport and evolution processes.
The chiral random walk: A quantum-inspired framework for odd diffusion
Institute of Theoretical Physics and Astrophysics, University of Gdańsk（格但斯克大学理论物理与天体物理研究所）；Institute of Spintronics and Quantum Information, Faculty of Physics and Astronomy, Adam Mickiewicz University（亚当·密茨凯维奇大学物理与天文学院自旋电子学与量子信息研究所）；Institute of Physics and Astronomy, University of Potsdam（波茨坦大学物理与天体物理研究所）
In this work we establish a link between two different phenomena that were studied in a large and growing number of biological, composite and soft media: the diffusion in compartmentalized environment and the Brownian yet non-Gaussian diffusion that exhibits linear growth of the mean square displacement joined by the exponential shape of the positional probability density. We explore a microscopic model that gives rise to transient confinement, similar to the one observed for hop-diffusion on top of a cellular membrane. The compartmentalization of the media is achieved by introducing randomly …
We derive a coarse-grained equation of motion of a number density by applying the projection operator method to a non-relativistic model. The derived equation is an integrodifferential equation and contains the memory effect. The equation is consistent with causality and the sum rule associated with the number conservation in the low momentum limit, in contrast to usual acausal diffusion equations given by using the Fick's law. After employing the Markov approximation, we find that the equation has the similar form to the causal diffusion equation. Our result suggests that current-current corr…
Bacterial swarms display intriguing dynamical states like active turbulence. Using a hydrodynamic model we now show that such dense active suspensions manifest super-diffusion, via Lévy walks, which masquerades as a crossover from ballistic to diffusive scaling in measurements of mean-squared-displacements, and is tied to the emergence of hitherto undetected oscillatory streaks in the flow. Thus, while laying the theoretical framework of an emergent advantageous strategy in the collective behaviour of microorganisms, our study underlines the essential differences between active and inertial tu…
Though classical random walks have been studied for many years, research concerning their quantum analogues, quantum random walks, has only come about recently. Numerous simulations of both types of walks have been run and analyzed, and are generally well-understood. Research pertaining to one of the more important properties of classical random walks, namely, their ability to build fractal structures in diffusion-limited aggregation, has been particularly noteworthy. However, only now has research begun in this area in regards to quantum random motion. The study of random walks and the struct…
We consider the problem of the distribution of the sojourn time in a compact set $\mathbb{Z}_{p}$ in the case of a $p$-adic random walk. We rely on the results of our previous studies of the distribution of the first return time for a $p$-adic random walk and the results of Takacs on the study of the sojourn time problem for a wide class of random processes. For a $p$-adic random walk we find the mean sojourn time of the trajectory in $\mathbb{Z}_{p}$ and the asymptotics as $t\rightarrow\infty$ of arbitrary moments of the distribution of the sojourn time in $\mathbb{Z}_{p}$. We also discuss so…
We employed the method of virial expansion in order to compute the retarded density correlation function (generalized diffusion propagator) in the critical random matrix ensemble in the limit of strong multifractality. We found that the long-range nature of the Hamiltonian is a common root of both multifractality and Levy flights which show up in the power-law intermediate- and long-distance behavior, respectively, of the density correlation function. We review certain models of classical random walks on fractals and show the similarity of the density correlation function in them to that for t…
