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 quantities of fractional Brownian motion driven by the same noise if the anomalous diffusion exponent $α$ is replaced by $2-α$. In contrast, the properties of fractional Brownian motion and the fractional Langevin equation with reflecting boundaries were recently shown to differ from each other qualitatively. Specifically, we find that the probability density close to an absorbing wall behaves as $P(x) \sim x^κ$ with the distance $x$ from the wall in the long-time limit. In the case of fractional Brownian motion, $κ$ varies with the anomalous diffusion exponent $α$ as $κ=2/α-1$, as was conjectured previously. We also compare our simulation results to a perturbative analytical approach to fractional Brownian motion.
On the basis of general considerations, we propose a Langevin equation accounting for critical phenomena occurring in the presence of two symmetric absorbing states. We study its phase diagram by mean-field arguments and direct numerical integration in physical dimensions. Our findings fully account for and clarify the intricate picture known so far from the aggregation of partial results obtained with microscopic models. We argue that the direct transition from disorder to one of two absorbing states is best described as a (generalized) voter critical point and show that it can be split into …
Efficient and accurate integration of stochastic (partial) differential equations with multiplicative noise can be obtained through a split-step scheme, which separates the integration of the deterministic part from that of the stochastic part, the latter being performed by sampling exactly the solution of the associated Fokker-Planck equation. We demonstrate the computational power of this method by applying it to most absorbing phase transitions for which Langevin equations have been proposed. This provides precise estimates of the associated scaling exponents, clarifying the classification …
The recently proposed Langevin equation, aimed to capture the relevant critical features of stochastic sandpiles, and other self-organizing systems is studied numerically. This equation is similar to the Reggeon field theory, describing generic systems with absorbing states, but it is coupled linearly to a second conserved and static (non-diffusive) field. It has been claimed to represent a new universality class, including different discrete models: the Manna as well as other sandpiles, reaction-diffusion systems, etc. In order to integrate the equation, and surpass the difficulties associate…
We consider a charged Brownian gas under the influence of external, static and uniform electric and magnetic fields, immersed in a uniform bath temperature. We obtain the solution for the associated Langevin equation, and thereafter the evolution of the nonequilibrium temperature towards a nonequilibrium (hot) steady state. We apply our results to a simple yet relevant Brownian model for carrier transport in GaAs. We obtain a negative differential conductivity regime (Gunn effect) and discuss and compare our results with experimental results.
We statistically examine long time sequences of Brownian motion for a nonequilibrium version of the Rayleigh piston model and confirm that the third cumulant of a long-time displacement for the nonequilibrium Brownian motion linearly increases with the observation time interval. We identify a multiplicative Langevin equation that can reproduce the cumulants of the long-time displacement up to at least the third order, as well as its mean, variance and skewness. The identified Langevin equation involves a velocity-dependent friction coefficient that breaks the time-reversibility and may act as …
Quantitatively understanding of the dynamics of an active Brownian particle (ABP) interacting with a viscoelastic polymer environment is a scientific challenge. It is intimately related to several interdisciplinary topics such as the microrheology of active colloids in a polymer matrix and the athermal dynamics of the in vivo chromosome or cytoskeletal networks. Based on Langevin dynamics simulation and analytic theory, here we explore such a viscoelastic active system in depth using a star polymer of functionality $f$ with the center cross-linker particle being ABP. We observe that the ABP cr…
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…
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 …
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…
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…
We construct a theory for the 1+1-dimensional Brownian motion in a viscous medium, which is (i) consistent with Einstein's theory of special relativity, and (ii) reduces to the standard Brownian motion in the Newtonian limit case. In the first part of this work the classical Langevin equations of motion, governing the nonrelativistic dynamics of a free Brownian particle in the presence of a heat bath (white noise), are generalized in the framework of special relativity. Subsequently, the corresponding relativistic Langevin equations are discussed in the context of the generalized Ito (pre-poin…
We propose a novel stochastic method to exactly generate Brownian paths conditioned to start at an initial point and end at a given final point during a fixed time $t_{f}$. These paths are weighted with a probability given by the overdamped Langevin dynamics. We show how these paths can be exactly generated by a local stochastic differential equation. The method is illustrated on the generation of Brownian bridges, Brownian meanders, Brownian excursions and constrained Ornstein-Uehlenbeck processes. In addition, we show how to solve this equation in the case of a general force acting on the pa…
In this work, we analyze the relaxation of a classical spin interacting with a heat bath, starting from the fully dynamical Hamiltonian description. An analogous problem in the framework of generalized Langevin equation (GLE) with anomalous dissipation is analyzed in details. The Fokker-Planck equation corresponding to GLE is derived and the concept of equilibrium probability distribution is analyzed. In this process we have identified few difficulties to obtain equilibrium distribution for the non-Markovian case and the remedy to overcome this difficulty is also discussed.
The recent interest into the Brownian gyrator has been confined chiefly to the analysis of Brownian dynamics both in theory and experiment despite the applicability of general cases with definite mass. Considering mass explicitly in the solution of the Fokker--Planck equation and Langevin dynamics simulations, we investigate how inertia can change the dynamics and energetics of the Brownian gyrator. In the Langevin model, the inertia reduces the nonequilibrium effects by diminishing the declination of the probability density function and the mean of a specific angular momentum, $j_θ$, as a mea…
Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption strength and sample length. We show analytically that photons in localized open absorbing media exhibit unusual Brownian motion. Specifically, wave transport follows the diffusion equation with the diffusion coefficient exhibiting spatial resolution. Most strikingly, despite that the system is controlled by two parameters -- the ratio of the localization (absorptio…
We present an insightful ``derivation'' of the Langevin equation and the fluctuation dissipation theorem in the specific context of a heavier particle moving through an ideal gas of much lighter particles. The Newton's Law of motion ($m{\ddot x}=F$) for the heavy particle reduces to a Langevin equation (valid on a coarser time scale) with the assumption that the lighter gas particles follow a Boltzmann velocity distribution. Starting from the kinematics of the random collisions we show that (1) the average force $<F> \propto -{\dot x}$ and (2) the correlation function of the fluctuating force …
Discontinuous transitions into absorbing states require an effective mechanism that prevents the stabilization of low density states. They can be found in different systems, such as lattice models or stochastic differential equations (e.g. Langevin equations). Recent results for the latter approach have shown that the inclusion of limited diffusion suppresses discontinuous transitions, whereas they are maintained for larger diffusion strengths. Here we give a further step by addressing the effect of diffusion in two simple lattice models originally presenting discontinuous absorbing transition…
A dynamics between Newton and Langevin formalisms is elucidated within the framework of the generalized Langevin equation. For thermal noise yielding a vanishing zero-frequency friction the corresponding non-Markovian Brownian dynamics exhibits anomalous behavior which is characterized by ballistic diffusion and accelerated transport. We also investigate the role of a possible initial correlation between the system degrees of freedom and the heat-bath degrees of freedom for the asymptotic long-time behavior of the system dynamics. As two test beds we investigate (i) the anomalous energy relaxa…
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…
The Langevin equation with multiplicative noise and state-dependent transport coefficient has to be always complemented with the proper interpretation rule of the noise, such as the Ito and Stratonovich conventions. Although the mathematical relationship between the different rules and how to translate from one rule to another are well-established, it still remains controversial what is a more {\it physically} natural rule. In this communication, we derive the overdamped Langevin equation with multiplicative noise for Brownian particles, by systematically eliminating the fast degrees of freedo…
Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations <x(t)x(s)> ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H unequal 1/2, x(t) is a non-Markovian process. Here we study x(t) in presence of an absorbing boundary at the origin and focus on the probability density P(x,t) for the process to arrive at x at time t, starting near the origin at time 0, given that it has never crossed the origin. It has a scaling form P(x,t) ~ R(x/t^H)/t^H. Our objective is to compute the s…
The individual motion of a colloidal particle is described by an overdamped Langevin equation. When rotational degrees of freedom are relevant, these are described by a corresponding Langevin process. Our purpose is to show that the microscopic local density of colloids, in terms of a space and rotation state, also evolves according to a Langevin equation. The latter can then be used as the starting point of a variety of approaches, ranging from dynamical density functional theory to mode-coupling approximations.
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 Langevin equation (LE) for the one-dimensional relativistic Brownian motion is derived from a microscopic collision model. The model assumes that a heavy point-like Brownian particle interacts with the lighter heat bath particles via elastic hard-core collisions. First, the commonly known, non-relativistic LE is deduced from this model, by taking into account the non-relativistic conservation laws for momentum and kinetic energy. Subsequently, this procedure is generalized to the relativistic case. There, it is found that the relativistic stochastic force is still $\gd$-correlated (white n…
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…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an oscillatory-decaying behavior with a long-time tail, similar to empirical observations. Individual stocks are also described via the generalized Langevin equation. They are classified by their relation to the market memory as heavy, neutral and light stocks, possessing different kinds of autocorrelation functions.
Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical simulations of the same system are well described using the conventional Stratonovich interpretation. Here we address this dichotomy from a more generic starting point: the underdamped Langevin equation and its corresponding Fokker--Planck equation.
We extend the Langevin dynamics so that particles can be exchanged with a particle reservoir. We show that grand canonical ensembles are realized at equilibrium and derive the relations of thermodynamics for processes between equilibrium states. As an application of the proposed evolution rule, we devise a simple model of Brownian motors driven by particle exchange. KEYWORDS: Langevin Dynamics, Thermodynamics, Open Systems
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) …
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 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…
We present a first-principles thermodynamic approach to provide an alternative to the Langevin equation by identifying the deterministic (no stochastic component) microforce F_{k,BP} acting on a nonequilibrium Brownian particle (BP) in its kth microstate m_{k}. (The prefix micro refers to microstate quantities and carry a suffix k.) The deterministic new equation is easier to solve using basic calculus. Being oblivious to the second law, F_{k,BP} does not always oppose motion but viscous dissipation emerges upon ensemble averaging. The equipartition theorem is always satisfied. We reproduce we…
For the Langevin model of the dynamics of a Brownian particle with perturbations orthogonal to its current velocity, in a regime when the particle velocity modulus becomes constant, an equation for the characteristic function $ψ(t,λ)=M\left[\exp (λ,x(t))/V={\rm v}(0)\right]$ of the position $x(t)$ of the Brownian particle. The obtained results confirm the conclusion that the model of the dynamics of a Brownian particle, which constructed on the basis of an unconventional physical interpretation of the Langevin equations, i. e. stochastic equations with orthogonal influences, leads to the inter…
We look at the equilibrium of a Brownian particle in an inhomogeneous space following the alternative approach proposed in ref.[1]. We consider a coordinate dependent damping that makes the stochastic dynamics the one with multiplicative noise. Here we show that the mapping to an additive noise gives the equilibrium distribution of the generalized Langevin dynamics of a particle with mass. The procedure does not need inclusion of any ad hoc current cancelling term in the Langevin dynamics. The result shows a modified Maxwell-Boltzmann distribution with a damping dependent amplitude.
We consider the numerical integration of Langevin equations for particles in a channel, in the presence of boundary conditions fixing the concentration values at the ends. This kind of boundary condition appears for instance when considering the diffusion of ions in molecular channels, between the different concentrations at both sides of the cellular membrane. For this application the overdamped limit of Brownian motion (leading to a first order Langevin equation) is most convenient, but in previous works some difficulties associated with this limit were found for the implementation of the bo…
These notes are an introduction to the theory of stochastic processes based on several sources. The presentation mainly follows the books of van Kampen and Wio, except for the introduction, which is taken from the book of Gardiner and the parts devoted to the Langevin equation and the methods for solving Langevin and Fokker-Planck equations, which are based on the book of Risken.
A nonequilibrium fluctuation theorem is established for a colloidal particle driven by an external force within the hydrodynamic theory of Brownian motion, describing hydrodynamic memory effects such as the t^(-3/2) power-law decay of the velocity autocorrelation function. The generalized Langevin equation is obtained for the general case of slip boundary conditions between the particle and the fluid. The Gaussian probability distributions for the particle to evolve in position-velocity space are deduced. It is proved that the joint probability distributions of forward and time-reversed paths …
Dynamical random walk of classical particle in thermodynamically equilibrium fluctuating medium, - Gaussian random potential field, - is considered in the framework of explicit stochastic representation of deterministic interactions. We discuss corresponding formally exact Langevin equations for the particle's trajectory and show that Marcovian kinetic equation approximation to them is inadequate, - even (and especially) in case of spatially-temporally short-correlated field, - since ignores such actual effects of exponential instability of the trajectory (in respect to small perturbations) as…
The non--static generalized Langevin equation and its corresponding Fokker--Planck equation for the position of a viscous fluid particle were solved in closed form for a time dependent external force. Its solution for a constant external force was obtained analytically. The non--Markovian stochastic differential equation, associated to the dynamics of the position under a colored noise, was then applied to the description of the dynamics and persistence time of particles constrained within absorbing barriers. Comparisons with molecular dynamics were very satisfactory.
We solve a Langevin equation, first studied by de Gennes, in which there is a solid-solid or dry friction force acting on a Brownian particle in addition to the viscous friction usually considered in the study of Brownian motion. We obtain both the time-dependent propagator of this equation and the velocity correlation function by solving the associated time-dependent Fokker-Planck equation. Exact results are found for the case where only dry friction acts on the particle. For the case where both dry and viscous friction forces are present, series representations of the propagator and correlat…
We extend the Langevin approach to a class of driving noises whose generating processes have independent increments with super-heavy-tailed distributions. The time-dependent generalized Fokker-Planck equation that corresponds to the first-order Langevin equation driven by such a noise is derived and solved exactly. This noise generates two probabilistic states of the system, survived and absorbed, that are equivalent to those for a classical particle in an absorbing medium. The connection between the rate of absorption and the super-heavy-tailed distribution of the increments is established an…
We investigate the low mass limit of Langevin dynamics for a charged Brownian particle driven by the magnetic Lorentz force. In the low mass limit, velocity variables relaxing quickly are coarse-grained out to yield effective dynamics for position variables. Without Lorentz force, the low mass limit is equivalent to the high friction limit. Both cases share the same Langevin equation that is obtained by setting the mass to zero in the original Langevin equation. The equivalence breaks down in the presence of the Lorentz force. The low mass limit turns out to be singular. The system in the low …
We study sandpile models as closed systems, with conserved energy density $ζ$ playing the role of an external parameter. The critical energy density, $ζ_c$, marks a nonequilibrium phase transition between active and absorbing states. Several fixed-energy sandpiles are studied in extensive simulations of stationary and transient properties, as well as the dynamics of roughening in an interface-height representation. Our primary goal is to identify the universality classes of such models, in hopes of assessing the validity of two recently proposed approaches to sandpiles: a phenomenological cont…
We investigate the motility of a growing population of cells in a idealized setting: we consider a system of hard disks in which new particles are added according to prescribed growth kinetics, thereby dynamically changing the number density. As a result, the expected Brownian motion of the hard disks is modified. We compute the density-dependent friction of the hard disks and insert it in an effective Langevin equation to describe the system, assuming that the inter-collision time is smaller than the timescale of the growth. We find that the effective Langevin description captures the changes…
We present a novel hybrid but thermodynamic approach to provide an alternative to the Langevin equation by using system-intrinsic (SI) microwork done by the Brownian particle in the kth microstate (realization). The corresponding SI-microforce is unique to the microstate and determines the microscopic equation of motion for it. Being a thermodynamic approach, the equipartition theorem is always satisfied and no additional stochastic Langevin force is needed. We determine instantaneous and long-time averages of useful quantities and thus provide a new unified approach to the fluctuating motion …
Anomalous statistics in the Langevin equation with fluctuating diffusivity: from Brownian yet non-Gaussian diffusion to anomalous diffusion and ergodicity breaking
Tokyo University of Science（东京科学大学）；Pohang University of Science and Technology（浦项科技大学）；Asia Pacific Centre for Theoretical Physics（亚太理论物理中心）；University of Potsdam（波茨坦大学）；Wakayama University（和歌山大学）；Nagoya University（名古屋大学）；Keio University（庆应义塾大学）
The Brownian motion of a particle immersed in a medium of charged particles is considered when the system is placed in magnetic or electric fields. Coming from the Zwanzig-Caldeira-Legget particle-bath model, we modify it so that not only the charged Brownian particle (BP) but also the bath particles respond to the external fields. For stationary systems the generalized Langevin equations are derived. Arbitrarily time-dependent electric fields do not affect the memory functions, the thermal noise force, and the BP velocity correlation functions. In the case of a constant magnetic field two equ…
The classical theory of Brownian motion rests on fundamental laws of statistical mechanics, such as the equipartition theorem and the fluctuation-dissipation theorem, which are not applicable in non-isothermal situations. We derive the generalized fluctuation-dissipation relations and Langevin equations governing such non-isothermal Brownian motion, including explicit results for the frequency-dependent noise temperature and Brownian thermometry far from equilibrium.
