Starting from a generalized elastic model which accounts for the stochastic motion of several physical systems such as membranes, (semi)flexible polymers and fluctuating interfaces among others, we derive the fractional Langevin equation (FLE) for a probe particle in such systems, in the case of thermal initial conditions. We show that this FLE is the only one fulfilling the fluctuation-dissipation (FD) relation within a new family of fractional Brownian motion (FBM) equations. The FLE for the time-dependent fluctuations of the donor-acceptor distance in a protein, is shown to be recovered. When the system starts from non-thermal conditions, the corresponding FLE, which does not fulfill FD relation, is derived.
The Generalized Elastic Model (GEM) provides the evolution equation which governs the stochastic motion of several many-body systems in nature, such as polymers, membranes, growing interfaces. On the other hand a probe (\emph{tracer}) particle in these systems performs a fractional Brownian motion due to the spatial interactions with the other system's components. The tracer's anomalous dynamics can be described by a Fractional Langevin Equation (FLE) with a space-time correlated noise. We demonstrate that the description given in terms of GEM coincides with that furnished by the relative FLE,…
In recent years, several fractional generalizations of the usual Kramers-Fokker-Planck equation have been presented. Using an idea of Fogedby [H.C. Fogedby, Phys. Rev. E {\bf 50}, 041103 (1994), we show how these equations are related to Langevin equations via the procedure of subordination.
Distributed order fractional Langevin-like equations are introduced and applied to describe anomalous diffusion without unique diffusion or scaling exponent. It is shown that these fractional Langevin equations of distributed order can be used to model the kinetics of retarding subdiffusion whose scaling exponent decreases with time, and the strongly anomalous ultraslow diffusion with mean square displacement which varies asymptoically as a power of logarithm of time.
We review the latest advances in the analytical modelling of single file diffusion. We focus first on the derivation of the fractional Langevin equation that describes the motion of a tagged file particle. We then propose an alternative derivation of the very same stochastic equation by starting from the diffusion-noise formalism for the time evolution of the file density.
We investigate fractional Brownian motion with a microscopic random-matrix model and introduce a fractional Langevin equation. We use the latter to study both sub- and superdiffusion of a free particle coupled to a fractal heat bath. We further compare fractional Brownian motion with the fractal time process. The respective mean-square displacements of these two forms of anomalous diffusion exhibit the same power-law behavior. Here we show that their lowest moments are actually all identical, except the second moment of the velocity. This provides a simple criterion which enables to distinguis…
Stochastic processes driven by stationary fractional Gaussian noise, that is, fractional Brownian motion and fractional Langevin equation motion, are usually considered to be ergodic in the sense that, after an algebraic relaxation, time and ensemble averages of physical observables coincide. Recently it was demonstrated that fractional Brownian motion and fractional Langevin equation motion under external confinement are transiently non-ergodic---time and ensemble averages behave differently---from the moment when the particle starts to sense the confinement. Here we show that these processes…
Time-changed stochastic processes have attracted great attention and wide interests due to their extensive applications, especially in financial time series, biology and physics. This paper pays attention to a special stochastic process, tempered fractional Langevin motion, which is non-Markovian and undergoes ballistic diffusion for long times. The corresponding time-changed Langevin system with inverse $β$-stable subordinator is discussed in detail, including its diffusion type, moments, Klein-Kramers equation, and the correlation structure. Interestingly, this subordination could result in …
Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We introduce a new stochastic process called Riemann-Liouville step fractional Brownian motion which can be regarded as a special case of multifractional Brownian motion with step function type of Hurst exponent tailored for single-file diffusion. Such a step fractional Brownian motion can be obtained as solution of fractional Langevin equation with zero dampi…
This paper further discusses the tempered fractional Brownian motion, its ergodicity, and the derivation of the corresponding Fokker-Planck equation. Then we introduce the generalized Langevin equation with the tempered fractional Gaussian noise for a free particle, called tempered fractional Langevin equation (tfLe). While the tempered fractional Brownian motion displays localization diffusion for the long time limit and for the short time its mean squared displacement has the asymptotic form $t^{2H}$, we show that the asymptotic form of the mean squared displacement of the tfLe transits from…
We consider the stochastic dynamics of a system linearly coupled to a hierarchical thermal bath with two well-separated inherent timescales: one slow, and one fast. The slow part of the bath is modeled as a set of harmonic oscillators and taken into account explicitly, while the effects of the fast part of the bath are simulated by dissipative and stochastic Langevin forces, uncorrelated in space and time, acting on oscillators of the slow part of the bath. We demonstrate for this model the robust emergence of a fractional Langevin equation with a power-law decaying memory kernel. The conditio…
We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing. The probability to find the resulting process at the real time is defined by the integral relationship between the probability densities of the parent and directing processes. The corresponding master equation becomes the fractional Fokker-Planck equation. We show that the resulting process has non-Markovian properties, all its moments are finite, the fluctua…
The diffusion motion of spin-bearing molecules is considerably affected in confined environments. In Nuclear Magnetic Resonance (NMR) experiments, under the presence of magnetic field gradients, this movement can be encoded in spin phase and the NMR signal attenuation due to diffusion can be evaluated. This paper considered this effect in both normal and anomalous diffusion by means of the Langevin stochastic model within the Gaussian phase approximation (GPA) for a constant gradient temporal profile. The phenomenological approach illustrates the emergence of fractional order exponential decay…
We investigate anomalous diffusion processes governed by the fractional Langevin equation and confined to a finite or semi-infinite interval by reflecting potential barriers. As the random and damping forces in the fractional Langevin equation fulfill the appropriate fluctuation-dissipation relation, the probability density on a finite interval converges for long times towards the expected uniform distribution prescribed by thermal equilibrium. In contrast, on a semi-infinite interval with a reflecting wall at the origin, the probability density shows pronounced deviations from the Gaussian be…
We investigate the dynamical phase diagram of the fractional Langevin equation and show that critical exponents mark dynamical transitions in the behavior of the system. For a free and harmonically bound particle the critical exponent $α_c= 0.402\pm 0.002$ marks a transition to a non-monotonic under-damped phase. The critical exponent $α_{R}=0.441...$ marks a transition to a resonance phase, when an external oscillating field drives the system. Physically, we explain these behaviors using a cage effect, where the medium induces an elastic type of friction. Phase diagrams describing the under-d…
Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two geometries, (i) the spreading of particles on a semi-infinite domain with an absorbing wall at one end and (ii) the stationary state on a finite interval with absorbing boundaries at both ends and a source in the center. We demonstrate that the probability density and other properties of the fractional Langevin equation can be mapped onto the corresponding q…
The~numerical solutions to a non-linear Fractional Fokker--Planck (FFP) equation are studied estimating the generalized diffusion coefficients. The~aim is to model anomalous diffusion using an FFP description with fractional velocity derivatives and Langevin dynamics where Lévy fluctuations are introduced to model the effect of non-local transport due to fractional diffusion in velocity space. Distribution functions are found using numerical means for varying degrees of fractionality of the stable Lévy distribution as solutions to the FFP equation. The~statistical properties of the distributio…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and restricted to a finite domain. We investigate by analytic calculations and simulations how time-averaged observables (e.g., the time averaged mean squared displacement and displacement correlation) are affected by spatial confinement and dimensionality. In particular we study the degree of weak ergodicity breaking and scatter between different single trajecto…
The dynamical phase diagram of the fractional Langevin equation is investigated for harmonically bound particle. It is shown that critical exponents mark dynamical transitions in the behavior of the system. Four different critical exponents are found. (i) $α_c=0.402\pm 0.002$ marks a transition to a non-monotonic under-damped phase, (ii) $α_R=0.441...$ marks a transition to a resonance phase when an external oscillating field drives the system, (iii) $α_{χ_1}=0.527...$ and (iv) $α_{χ_2}=0.707...$ marks transition to a double peak phase of the "loss" when such an oscillating field present. As a…
The Generalized Elastic Model is a linear stochastic model which accounts for the behaviour of many physical systems in nature, ranging from polymeric chains to single-file systems. If an external perturbation is exerted \emph{only} on a single point $\vec{x}^\star$ (\emph{tagged probe}), it propagates throughout the entire system. Within the fractional Langevin equation framework, we study the effect of such a perturbation, in cases of a constant force applied. We report most of the results arising from our previous analysis and, in the present work, we show that the Fox $H$-functions formali…
We consider Levy flights subject to external force fields. This anomalous transport process is described by two approaches, a Langevin equation with Levy noise and the corresponding generalized Fokker-Planck equation containing a fractional derivative in space. The cases of free flights, constant force and linear Hookean force are analyzed in detail, and we corroborate our findings with results from numerical simulations. We discuss the non-Gibbsian character of the stationary solution for the case of the Hookean force, i.e. the deviation from Boltzmann equilibrium for long times. The possible…
In this study we derive a single-particle equation of motion, from first-principles, starting out with a microscopic description of a tracer particle in a one-dimensional many-particle system with a general two-body interaction potential. Using a new harmonization technique, we show that the resulting dynamical equation belongs to the class of fractional Langevin equations, a stochastic framework which has been proposed in a large body of works as a means of describing anomalous dynamics. Our work sheds light on the fundamental assumptions of these phenomenological models.
A Langevin equation with a special type of additive random source is considered. This random force presents a fractional order derivative of white noise, and leads to a power-law time behavior of the mean square displacement of a particle, with the power exponent being noninteger. More general equation containing fractional time differential operators instead of usual ones is also proposed to describe anomalous diffusion processes. Such equation can be regarded as corresponding to systems with incomplete Hamiltonian chaos, and depending on the type of the relationship between the speed and coo…
The methods of Nuclear Magnetic Resonance belong to the best developed and often used tools for studying random motion of particles in different systems, including soft biological tissues. In the long-time limit the current mathematical description of the experiments allows proper interpretation of measurements of normal and anomalous diffusion. The shorter-time dynamics is however correctly considered only in a few works that do not go beyond the standard memoryless Langevin description of the Brownian motion (BM). In the present work, the attenuation function S(t) for an ensemble of spin-bea…
We have revisited the Brownian motion on the basis of the fractional Langevin equation which turns out to be a particular case of the generalized Langevin equation introduced by Kubo on 1966. The importance of our approach is to model the Brownian motion more realistically than the usual one based on the classical Langevin equation, in that it takes into account also the retarding effects due to hydrodynamic backflow, i.e. the added mass and the Basset memory drag. On the basis of the two fluctuation-dissipation theorems and of the techniques of the Fractional Calculus we have provided the ana…
We investigate the statistical properties of fluctuations in active systems that are governed by non-symmetric responses. Both an underdamped Langevin system with an odd resistance tensor and an overdamped Langevin system with an odd elastic tensor are studied. For a system in thermal equilibrium, the time-correlation functions should satisfy time-reversal symmetry and the anti-symmetric parts of the correlation functions should vanish. For the odd Langevin systems, however, we find that the anti-symmetric parts of the time-correlation functions can exist and that they are proportional to eith…
In this paper we revisit the Brownian motion on the basis of {the fractional Langevin equation which turns out to be a particular case of the generalized Langevin equation introduced by Kubo in 1966. The importance of our approach is to model the Brownian motion more realistically than the usual one based on the classical Langevin equation, in that it takes into account also the retarding effects due to hydrodynamic back-flow, i.e. the added mass and the Basset memory drag. We provide the analytical expressions of the correlation functions (both for the random force and the particle velocity) …
Recent rapid advances in single particle tracking and supercomputing techniques resulted in an unprecedented abundance of diffusion data exhibiting complex behaviours, such the presence of power law tails of the msd and memory functions, commonly referred to as "fractional dynamics". Motivated by these developments, we study the stationary solutions of the classical and generalized Langevin equation as models of the contemporarily observed phenomena. In the first chapter we sketch the historical background of the generalized Langevin equation. The second chapter is devoted to the brief overvie…
We investigate the time average mean square displacement $\overline{δ^2}(x(t))=\int_0^{t-Δ}[x(t^\prime+Δ)-x(t^\prime)]^2 dt^\prime/(t-Δ)$ for fractional Brownian and Langevin motion. Unlike the previously investigated continuous time random walk model $\overline{δ^2}$ converges to the ensemble average $<x^2 > \sim t^{2 H}$ in the long measurement time limit. The convergence to ergodic behavior is however slow, and surprisingly the Hurst exponent $H=3/4$ marks the critical point of the speed of convergence. When $H<3/4$, the ergodicity breaking parameter ${EB} = {Var} (\overline{δ^2}) / < \over…
Theoretical approaches are formulated to investigate the molecular mobility under various cooling rates of amorphous drugs. We describe the structural relaxation of a tagged molecule as a coupled process of cage-scale dynamics and collective molecular rearrangement beyond the first coordination shell. The coupling between local and non-local dynamics behaves distinctly in different substances. Theoretical calculations for the structural relaxation time, glass transition temperature, and dynamic fragility are carried out over twenty-two amorphous drugs and polymers. Numerical results have a qua…
Anomalous diffusion in coupled viscoelastic media: A fractional Langevin equation approach
Pohang University of Science and Technology（浦项科技大学）；Institute for Theoretical Science, Pohang University of Science and Technology（浦项科技大学理论科学研究所）；Asia Pacific Center for Theoretical Physics（亚太理论物理中心）
We analyze multiple new issues concerning activated relaxation in glassy hard sphere fluids and molecular and polymer liquids based on the Elastically Collective Nonlinear Langevin Equation (ECNLE) theory. By invoking a high temperature reference state, a near universality of the apparent dynamic localization length scale is predicted for liquids of widely varying fragility, a result that is relevant to recent simulation studies and quasi-elastic neutron scattering measurements. In contrast, in the same format strongly non-universal behavior is found for the activation barrier that controls lo…
Subdiffusive behavior of one-dimensional stochastic systems can be described by time-subordinated Langevin equations. The corresponding probability density satisfies the time-fractional Fokker-Planck equations. In the homogeneous systems the power spectral density of the signals generated by such Langevin equations has power-law dependency on the frequency with the exponent smaller than 1. In this paper we consider nonhomogeneous systems and show that in such systems the power spectral density can have power-law behavior with the exponent equal to or larger than 1 in a wide range of intermedia…
We investigate the non-Langevin relative of the Lévy-driven Langevin random system, under an assumption that both systems share a common (asymptotic, stationary, steady-state) target pdf. The relaxation to equilibrium in the fractional Langevin-Fokker-Planck scenario results from an impact of confining conservative force fields on the random motion. A non-Langevin alternative has a built-in direct response of jump intensities to energy (potential) landscapes in which the process takes place. We revisit the problem of Lévy flights in superharmonic potential wells, with a focus on the extremally…
Climate science employs a hierarchy of models, trading the tractability of simplified energy balance models (EBMs) against the detail of Global Circulation Models. Since the pioneering work of Hasselmann, stochastic EBMs have allowed treatment of climate fluctuations and noise. However, it has recently been claimed that observations motivate heavy-tailed temporal response functions in global mean temperature to perturbations. Our complementary approach exploits the correspondence between Hasselmann's EBM and the original mean-reverting stochastic model in physics, Langevin's equation of 1908. …
We generalise the Langevin equation with Gaussian white noise by replacing the velocity term by a local fractional derivative. The solution of this equation is a Levy process. We further consider the Brownian motion of a fractal particle, for example, a colloidal aggregate or a biological molecule and argue that it leads to a Levy flight. This effect can also be described using the local fractional Langevin equation. The implications of this development to other complex data series are discussed.
The Fractional Langevin Equation (FLE) describes a non-Markovian Generalized Brownian Motion with long time persistence (superdiffusion), or anti-persistence (subdiffusion) of both velocity-velocity correlations, and position increments. It presents a case of the Generalized Langevin Equation (GLE) with a singular power law memory kernel. We propose and numerically realize a numerically efficient and reliable Markovian embedding of this superdiffusive GLE, which accurately approximates the FLE over many, about r=N lg b-2, time decades, where N denotes the number of exponentials used to approxi…
We study the connection between the parameters of the fractional Fokker-Planck equation, which is associated with the overdamped Langevin equation driven by noise with heavy-tailed increments, and the transition probability density of the noise generating process. Explicit expressions for these parameters are derived both for finite and infinite variance of the rescaled transition probability density.
Diffusion in nonhomogeneous media is described by a dynamical process driven by a general Levy noise and subordinated to a random time; the subordinator depends on the position. This problem is approximated by a multiplicative process subordinated to a random time: it separately takes into account effects related to the medium structure and the memory. Density distributions and moments are derived from the solutions of the corresponding Langevin equation and compared with the numerical calculations for the exact problem. Both subdiffusion and enhanced diffusion are predicted. Distribution of t…
We have derived a fractional Fokker-Planck equation for subdiffusion in a general space-and- time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived from a generalized master equation and is shown to be equivalent to a subordinated stochastic Langevin equation.
The problem of biological motion is a very intriguing and topical issue. Many efforts are being focused on the development of novel modeling approaches for the description of anomalous diffusion in biological systems, such as the very complex and heterogeneous cell environment. Nevertheless, many questions are still open, such as the joint manifestation of statistical features in agreement with different models that can be also somewhat alternative to each other, e.g., Continuous Time Random Walk (CTRW) and Fractional Brownian Motion (FBM). To overcome these limitations, we propose a stochasti…
We study the stochastic motion of particles driven by long-range correlated fractional Gaussian noise in a superharmonic external potential of the form $U(x)\propto x^{2n}$ ($n\in\mathbb{N}$). When the noise is considered to be external, the resulting overdamped motion is described by the non-Markovian Langevin equation for fractional Brownian motion. For this case we show the existence of long time, stationary probability density functions (PDFs) the shape of which strongly deviates from the naively expected Boltzmann PDF in the confining potential $U(x)$. We analyse in detail the temporal ap…
We derive analytic solutions for the full time dependence of space-fractional Fokker-Planck equations corresponding to stochastic Langevin equations with additive tempered-stable Lévy noise terms. The drift terms are generalised to be spatially linear, but may contain arbitrary time dependence such that no steady-state solution is available, even for the deterministic system.
The functional method to derive the fractional Fokker-Planck equation for probability distribution from the Langevin equation with Levy stable noise is proposed. For the Cauchy stable noise we obtain the exact stationary probability density function of Levy flights in different smooth potential profiles. We find confinement of the particle in the superdiffusion motion with a bimodal stationary distribution for all the anharmonic symmetric monostable potentials investigated. The stationary probability density functions show power-law tails, which ensure finiteness of the variance. By reviewing …
We present an exact functional formalism to deal with linear Langevin equations with arbitrary memory kernels and driven by any noise structure characterized through its characteristic functional. No others hypothesis are assumed over the noise, neither the fluctuation dissipation theorem. We found that the characteristic functional of the linear process can be expressed in terms of noise's functional and the Green function of the deterministic (memory-like) dissipative dynamics. This object allow us to get a procedure to calculate all the Kolmogorov hierarchy of the non-Markov process. As exa…
When the motion of a probe strongly disturbs the thermal equilibrium of the solvent or bath, the nonlinear response of the latter must enter the probe's effective evolution equation. We derive that induced stochastic dynamics using second order response around the bath thermal equilibrium. We discuss the nature of the new term in the evolution equation which is not longer purely dissipative, and the appearance of a novel time-scale for the probe related to changes in the dynamical activity of the bath. A major application for the obtained nonlinear generalized Langevin equation is in the study…
Confined kinetics and heterogeneous diffusion driven by fractional Gaussian noise: A path integral approach
Institute for Theoretical Physics, Utrecht University（乌得勒支大学理论物理研究所）；School of Natural and Computing Sciences, University of Aberdeen（阿伯丁大学自然与计算科学学院）；Department of Physics, Universidad Nacional de Colombia（哥伦比亚国立大学物理系）；Utrecht University（乌得勒支大学）；University of Aberdeen（阿伯丁大学）；Universidad Nacional de Colombia（哥伦比亚国立大学）
We get fractional symmetric Fokker - Planck and Einstein - Smoluchowski kinetic equations, which describe evolution of the systems influenced by stochastic forces distributed with stable probability laws. These equations generalize known kinetic equations of the Brownian motion theory and contain symmetric fractional derivatives over velocity and space, respectively. With the help of these equations we study analytically the processes of linear relaxation in a force - free case and for linear oscillator. For a weakly damped oscillator we also get kinetic equation for the distribution in slow v…
We present generalized Green-Kubo expressions for thermal transport coefficients $μ$ in non-conservative fluid-type systems, of the generic form, $μ$ $= μ_\infty$ $+\int^\infty_0 dt V^{-1} \av{I_ε\exp(t {\cal L}) I}_0$ where $\exp(t{\cal L})$ is a pseudo-streaming operator. It consists of a sum of an instantaneous transport coefficient $μ_\infty$, and a time integral over a time correlation function in a state of thermal equilibrium between a current $I$ and its conjugate current $I_ε$. This formula with $μ_\infty \neq 0$ and $I_ε\neq I$ covers vastly different systems, such as strongly repuls…
We review equilibrium properties for the dynamics of a single particle evolving in a visco--elastic medium under the effect of hydrodynamic backflow which includes added mass and Basset force. Arbitrary equilibrium forces acting upon the particle are also included. We discuss the derivation of the explicit expression for the thermal noise correlation function that is consistent with the fluctuation-dissipation theorem. We rely on general time-reversal arguments that apply irrespective of the external potential acting on the particle, but also allow one to retrieve existing results derived for …
We study the two-dimensional overdamped motion of an active particle whose orientational dynamics is subject to fractional Brownian noise, whereas its position is affected by self-propulsion and Brownian fluctuations. From a Langevin-like model of active motion with constant swimming speed, we derive the corresponding Fokker-Planck equation, from which we find the angular probability density of the particle orientation for arbitrary values of the Hurst exponent that characterizes the fractional rotational noise. We provide analytical expressions for the velocity autocorrelation function and th…
