@article{GrebenkovMetzlerOshanin2022, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {Search efficiency in the Adam-Delbruck reduction-of-dimensionality scenario versus direct diffusive search}, series = {New journal of physics : the open-access journal for physics}, volume = {24}, journal = {New journal of physics : the open-access journal for physics}, number = {8}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac8824}, pages = {32}, year = {2022}, abstract = {The time instant-the first-passage time (FPT)-when a diffusive particle (e.g., a ligand such as oxygen or a signalling protein) for the first time reaches an immobile target located on the surface of a bounded three-dimensional domain (e.g., a hemoglobin molecule or the cellular nucleus) is a decisive characteristic time-scale in diverse biophysical and biochemical processes, as well as in intermediate stages of various inter- and intra-cellular signal transduction pathways. Adam and Delbruck put forth the reduction-of-dimensionality concept, according to which a ligand first binds non-specifically to any point of the surface on which the target is placed and then diffuses along this surface until it locates the target. In this work, we analyse the efficiency of such a scenario and confront it with the efficiency of a direct search process, in which the target is approached directly from the bulk and not aided by surface diffusion. We consider two situations: (i) a single ligand is launched from a fixed or a random position and searches for the target, and (ii) the case of 'amplified' signals when N ligands start either from the same point or from random positions, and the search terminates when the fastest of them arrives to the target. For such settings, we go beyond the conventional analyses, which compare only the mean values of the corresponding FPTs. Instead, we calculate the full probability density function of FPTs for both scenarios and study its integral characteristic-the 'survival' probability of a target up to time t. On this basis, we examine how the efficiencies of both scenarios are controlled by a variety of parameters and single out realistic conditions in which the reduction-of-dimensionality scenario outperforms the direct search.}, language = {en} } @article{CherstvyWangMetzleretal.2021, author = {Cherstvy, Andrey G. and Wang, Wei and Metzler, Ralf and Sokolov, Igor M.}, title = {Inertia triggers nonergodicity of fractional Brownian motion}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {104}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.104.024115}, pages = {12}, year = {2021}, abstract = {How related are the ergodic properties of the over- and underdamped Langevin equations driven by fractional Gaussian noise? We here find that for massive particles performing fractional Brownian motion (FBM) inertial effects not only destroy the stylized fact of the equivalence of the ensemble-averaged mean-squared displacement (MSD) to the time-averaged MSD (TAMSD) of overdamped or massless FBM, but also dramatically alter the values of the ergodicity-breaking parameter (EB). Our theoretical results for the behavior of EB for underdamped or massive FBM for varying particle mass m, Hurst exponent H, and trace length T are in excellent agreement with the findings of stochastic computer simulations. The current results can be of interest for the experimental community employing various single-particle-tracking techniques and aiming at assessing the degree of nonergodicity for the recorded time series (studying, e.g., the behavior of EB versus lag time). To infer FBM as a realizable model of anomalous diffusion for a set single-particle-tracking data when massive particles are being tracked, the EBs from the data should be compared to EBs of massive (rather than massless) FBM.}, language = {en} } @article{KlettCherstvyShinetal.2021, author = {Klett, Kolja and Cherstvy, Andrey G. and Shin, Jaeoh and Sokolov, Igor M. and Metzler, Ralf}, title = {Non-Gaussian, transiently anomalous, and ergodic self-diffusion of flexible dumbbells in crowded two-dimensional environments}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {104}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {6}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.104.064603}, pages = {18}, year = {2021}, abstract = {We employ Langevin-dynamics simulations to unveil non-Brownian and non-Gaussian center-of-mass self-diffusion of massive flexible dumbbell-shaped particles in crowded two-dimensional solutions. We study the intradumbbell dynamics of the relative motion of the two constituent elastically coupled disks. Our main focus is on effects of the crowding fraction phi and of the particle structure on the diffusion characteristics. We evaluate the time-averaged mean-squared displacement (TAMSD), the displacement probability-density function (PDF), and the displacement autocorrelation function (ACF) of the dimers. For the TAMSD at highly crowded conditions of dumbbells, e.g., we observe a transition from the short-time ballistic behavior, via an intermediate subdiffusive regime, to long-time Brownian-like spreading dynamics. The crowded system of dimers exhibits two distinct diffusion regimes distinguished by the scaling exponent of the TAMSD, the dependence of the diffusivity on phi, and the features of the displacement-ACF. We attribute these regimes to a crowding-induced transition from viscous to viscoelastic diffusion upon growing phi. We also analyze the relative motion in the dimers, finding that larger phi suppress their vibrations and yield strongly non-Gaussian PDFs of rotational displacements. For the diffusion coefficients D(phi) of translational and rotational motion of the dumbbells an exponential decay with phi for weak and a power-law variation D(phi) proportional to (phi - phi(star))(2.4) for strong crowding is found. A comparison of simulation results with theoretical predictions for D(phi) is discussed and some relevant experimental systems are overviewed.}, language = {en} } @article{VilkAghionNathanetal.2022, author = {Vilk, Ohad and Aghion, Erez and Nathan, Ran and Toledo, Sivan and Metzler, Ralf and Assaf, Michael}, title = {Classification of anomalous diffusion in animal movement data using power spectral analysis}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {55}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {33}, publisher = {IOP Publishing}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ac7e8f}, pages = {16}, year = {2022}, abstract = {The field of movement ecology has seen a rapid increase in high-resolution data in recent years, leading to the development of numerous statistical and numerical methods to analyse relocation trajectories. Data are often collected at the level of the individual and for long periods that may encompass a range of behaviours. Here, we use the power spectral density (PSD) to characterise the random movement patterns of a black-winged kite (Elanus caeruleus) and a white stork (Ciconia ciconia). The tracks are first segmented and clustered into different behaviours (movement modes), and for each mode we measure the PSD and the ageing properties of the process. For the foraging kite we find 1/f noise, previously reported in ecological systems mainly in the context of population dynamics, but not for movement data. We further suggest plausible models for each of the behavioural modes by comparing both the measured PSD exponents and the distribution of the single-trajectory PSD to known theoretical results and simulations.}, language = {en} } @article{PadashSandevKantzetal.2022, author = {Padash, Amin and Sandev, Trifce and Kantz, Holger and Metzler, Ralf and Chechkin, Aleksei}, title = {Asymmetric Levy flights are more efficient in random search}, series = {Fractal and fractional}, volume = {6}, journal = {Fractal and fractional}, number = {5}, publisher = {MDPI}, address = {Basel}, issn = {2504-3110}, doi = {10.3390/fractalfract6050260}, pages = {23}, year = {2022}, abstract = {We study the first-arrival (first-hitting) dynamics and efficiency of a one-dimensional random search model performing asymmetric Levy flights by leveraging the Fokker-Planck equation with a delta-sink and an asymmetric space-fractional derivative operator with stable index alpha and asymmetry (skewness) parameter beta. We find exact analytical results for the probability density of first-arrival times and the search efficiency, and we analyse their behaviour within the limits of short and long times. We find that when the starting point of the searcher is to the right of the target, random search by Brownian motion is more efficient than Levy flights with beta <= 0 (with a rightward bias) for short initial distances, while for beta>0 (with a leftward bias) Levy flights with alpha -> 1 are more efficient. When increasing the initial distance of the searcher to the target, Levy flight search (except for alpha=1 with beta=0) is more efficient than the Brownian search. Moreover, the asymmetry in jumps leads to essentially higher efficiency of the Levy search compared to symmetric Levy flights at both short and long distances, and the effect is more pronounced for stable indices alpha close to unity.}, language = {en} } @article{WangCherstvyKantzetal.2021, author = {Wang, Wei and Cherstvy, Andrey G. and Kantz, Holger and Metzler, Ralf and Sokolov, Igor M.}, title = {Time averaging and emerging nonergodicity upon resetting of fractional Brownian motion and heterogeneous diffusion processes}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {104}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Institute of Physics}, address = {Woodbury, NY}, issn = {2470-0045}, doi = {10.1103/PhysRevE.104.024105}, pages = {27}, year = {2021}, abstract = {How different are the results of constant-rate resetting of anomalous-diffusion processes in terms of their ensemble-averaged versus time-averaged mean-squared displacements (MSDs versus TAMSDs) and how does stochastic resetting impact nonergodicity? We examine, both analytically and by simulations, the implications of resetting on the MSD- and TAMSD-based spreading dynamics of particles executing fractional Brownian motion (FBM) with a long-time memory, heterogeneous diffusion processes (HDPs) with a power-law space-dependent diffusivity D(x) = D0|x|gamma and their "combined" process of HDP-FBM. We find, inter alia, that the resetting dynamics of originally ergodic FBM for superdiffusive Hurst exponents develops disparities in scaling and magnitudes of the MSDs and mean TAMSDs indicating weak ergodicity breaking. For subdiffusive HDPs we also quantify the nonequivalence of the MSD and TAMSD and observe a new trimodal form of the probability density function. For reset FBM, HDPs and HDP-FBM we compute analytically and verify by simulations the short-time MSD and TAMSD asymptotes and long-time plateaus reminiscent of those for processes under confinement. We show that certain characteristics of these reset processes are functionally similar despite a different stochastic nature of their nonreset variants. Importantly, we discover nonmonotonicity of the ergodicitybreaking parameter EB as a function of the resetting rate r. For all reset processes studied we unveil a pronounced resetting-induced nonergodicity with a maximum of EB at intermediate r and EB similar to(1/r )-decay at large r. Alongside the emerging MSD-versus-TAMSD disparity, this r-dependence of EB can be an experimentally testable prediction. We conclude by discussing some implications to experimental systems featuring resetting dynamics.}, language = {en} } @article{DoerriesChechkinSchumeretal.2022, author = {Doerries, Timo J. and Chechkin, Aleksei and Schumer, Rina and Metzler, Ralf}, title = {Rate equations, spatial moments, and concentration profiles for mobile-immobile models with power-law and mixed waiting time distributions}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {105}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {1}, publisher = {The American Institute of Physics}, address = {Woodbury, NY}, issn = {2470-0045}, doi = {10.1103/PhysRevE.105.014105}, pages = {24}, year = {2022}, abstract = {We present a framework for systems in which diffusion-advection transport of a tracer substance in a mobile zone is interrupted by trapping in an immobile zone. Our model unifies different model approaches based on distributed-order diffusion equations, exciton diffusion rate models, and random-walk models for multirate mobile-immobile mass transport. We study various forms for the trapping time dynamics and their effects on the tracer mass in the mobile zone. Moreover, we find the associated breakthrough curves, the tracer density at a fixed point in space as a function of time, and the mobile and immobile concentration profiles and the respective moments of the transport. Specifically, we derive explicit forms for the anomalous transport dynamics and an asymptotic power-law decay of the mobile mass for a Mittag-Leffler trapping time distribution. In our analysis we point out that even for exponential trapping time densities, transient anomalous transport is observed. Our results have direct applications in geophysical contexts, but also in biological, soft matter, and solid state systems.}, language = {en} } @article{SandevDomazetoskiKocarevetal.2022, author = {Sandev, Trifce and Domazetoski, Viktor and Kocarev, Ljupco and Metzler, Ralf and Chechkin, Aleksei}, title = {Heterogeneous diffusion with stochastic resetting}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {55}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {7}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ac491c}, pages = {26}, year = {2022}, abstract = {We study a heterogeneous diffusion process (HDP) with position-dependent diffusion coefficient and Poissonian stochastic resetting. We find exact results for the mean squared displacement and the probability density function. The nonequilibrium steady state reached in the long time limit is studied. We also analyse the transition to the non-equilibrium steady state by finding the large deviation function. We found that similarly to the case of the normal diffusion process where the diffusion length grows like t (1/2) while the length scale xi(t) of the inner core region of the nonequilibrium steady state grows linearly with time t, in the HDP with diffusion length increasing like t ( p/2) the length scale xi(t) grows like t ( p ). The obtained results are verified by numerical solutions of the corresponding Langevin equation.}, language = {en} } @article{PetreskaPejovSandevetal.2022, author = {Petreska, Irina and Pejov, Ljupco and Sandev, Trifce and Kocarev, Ljupčo and Metzler, Ralf}, title = {Tuning of the dielectric relaxation and complex susceptibility in a system of polar molecules: a generalised model based on rotational diffusion with resetting}, series = {Fractal and fractional}, volume = {6}, journal = {Fractal and fractional}, number = {2}, publisher = {MDPI AG, Fractal Fract Editorial Office}, address = {Basel}, issn = {2504-3110}, doi = {10.3390/fractalfract6020088}, pages = {23}, year = {2022}, abstract = {The application of the fractional calculus in the mathematical modelling of relaxation processes in complex heterogeneous media has attracted a considerable amount of interest lately. The reason for this is the successful implementation of fractional stochastic and kinetic equations in the studies of non-Debye relaxation. In this work, we consider the rotational diffusion equation with a generalised memory kernel in the context of dielectric relaxation processes in a medium composed of polar molecules. We give an overview of existing models on non-exponential relaxation and introduce an exponential resetting dynamic in the corresponding process. The autocorrelation function and complex susceptibility are analysed in detail. We show that stochastic resetting leads to a saturation of the autocorrelation function to a constant value, in contrast to the case without resetting, for which it decays to zero. The behaviour of the autocorrelation function, as well as the complex susceptibility in the presence of resetting, confirms that the dielectric relaxation dynamics can be tuned by an appropriate choice of the resetting rate. The presented results are general and flexible, and they will be of interest for the theoretical description of non-trivial relaxation dynamics in heterogeneous systems composed of polar molecules.}, language = {en} } @article{ThapaParkKimetal.2022, author = {Thapa, Samudrajit and Park, Seongyu and Kim, Yeongjin and Jeon, Jae-Hyung and Metzler, Ralf and Lomholt, Michael A.}, title = {Bayesian inference of scaled versus fractional Brownian motion}, series = {Journal of physics : A, mathematical and theoretical}, volume = {55}, journal = {Journal of physics : A, mathematical and theoretical}, number = {19}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ac60e7}, pages = {21}, year = {2022}, abstract = {We present a Bayesian inference scheme for scaled Brownian motion, and investigate its performance on synthetic data for parameter estimation and model selection in a combined inference with fractional Brownian motion. We include the possibility of measurement noise in both models. We find that for trajectories of a few hundred time points the procedure is able to resolve well the true model and parameters. Using the prior of the synthetic data generation process also for the inference, the approach is optimal based on decision theory. We include a comparison with inference using a prior different from the data generating one.}, language = {en} } @article{CherstvySafdariMetzler2021, author = {Cherstvy, Andrey G. and Safdari, Hadiseh and Metzler, Ralf}, title = {Anomalous diffusion, nonergodicity, and ageing for exponentially and logarithmically time-dependent diffusivity}, series = {Journal of physics. D, Applied physics}, volume = {54}, journal = {Journal of physics. D, Applied physics}, number = {19}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {0022-3727}, doi = {10.1088/1361-6463/abdff0}, pages = {18}, year = {2021}, abstract = {We investigate a diffusion process with a time-dependent diffusion coefficient, both exponentially increasing and decreasing in time, D(t)=D-0(e +/- 2 alpha t). For this (hypothetical) nonstationary diffusion process we compute-both analytically and from extensive stochastic simulations-the behavior of the ensemble- and time-averaged mean-squared displacements (MSDs) of the particles, both in the over- and underdamped limits. Simple asymptotic relations derived for the short- and long-time behaviors are shown to be in excellent agreement with the results of simulations. The diffusive characteristics in the presence of ageing are also considered, with dramatic differences of the over- versus underdamped regime. Our results for D(t)=D-0(e +/- 2 alpha t) extend and generalize the class of diffusive systems obeying scaled Brownian motion featuring a power-law-like variation of the diffusivity with time, D(t) similar to t(alpha-1). We also examine the logarithmically increasing diffusivity, D(t)=D(0)log[t/tau(0)], as another fundamental functional dependence (in addition to the power-law and exponential) and as an example of diffusivity slowly varying in time. One of the main conclusions is that the behavior of the massive particles is predominantly ergodic, while weak ergodicity breaking is repeatedly found for the time-dependent diffusion of the massless particles at short times. The latter manifests itself in the nonequivalence of the (both nonaged and aged) MSD and the mean time-averaged MSD. The current findings are potentially applicable to a class of physical systems out of thermal equilibrium where a rapid increase or decrease of the particles' diffusivity is inherently realized. One biological system potentially featuring all three types of time-dependent diffusion (power-law-like, exponential, and logarithmic) is water diffusion in the brain tissues, as we thoroughly discuss in the end.}, language = {en} } @article{XuMetzlerWang2022, author = {Xu, Pengbo and Metzler, Ralf and Wang, Wanli}, title = {Infinite density and relaxation for Levy walks in an external potential}, series = {Physical review}, volume = {105}, journal = {Physical review}, number = {4}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.105.044118}, pages = {15}, year = {2022}, abstract = {Levy walks are continuous-time random-walk processes with a spatiotemporal coupling of jump lengths and waiting times. We here apply the Hermite polynomial method to study the behavior of LWs with power-law walking time density for four different cases. First we show that the known result for the infinite density of an unconfined, unbiased LW is consistently recovered. We then derive the asymptotic behavior of the probability density function (PDF) for LWs in a constant force field, and we obtain the corresponding qth-order moments. In a harmonic external potential we derive the relaxation dynamic of the LW. For the case of a Poissonian walking time an exponential relaxation behavior is shown to emerge. Conversely, a power-law decay is obtained when the mean walking time diverges. Finally, we consider the case of an unconfined, unbiased LW with decaying speed v(r ) = v0/./r. When the mean walking time is finite, a universal Gaussian law for the position-PDF of the walker is obtained explicitly.}, language = {en} } @article{CherstvyVinodAghionetal.2021, author = {Cherstvy, Andrey G. and Vinod, Deepak and Aghion, Erez and Sokolov, Igor M. and Metzler, Ralf}, title = {Scaled geometric Brownian motion features sub- or superexponential ensemble-averaged, but linear time-averaged mean-squared displacements}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {103}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {6}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.103.062127}, pages = {11}, year = {2021}, abstract = {Various mathematical Black-Scholes-Merton-like models of option pricing employ the paradigmatic stochastic process of geometric Brownian motion (GBM). The innate property of such models and of real stock-market prices is the roughly exponential growth of prices with time [on average, in crisis-free times]. We here explore the ensemble- and time averages of a multiplicative-noise stochastic process with power-law-like time-dependent volatility, sigma(t) similar to t(alpha), named scaled GBM (SGBM). For SGBM, the mean-squared displacement (MSD) computed for an ensemble of statistically equivalent trajectories can grow faster than exponentially in time, while the time-averaged MSD (TAMSD)-based on a sliding-window averaging along a single trajectory-is always linear at short lag times Delta. The proportionality factor between these the two averages of the time series is Delta/T at short lag times, where T is the trajectory length, similarly to GBM. This discrepancy of the scaling relations and pronounced nonequivalence of the MSD and TAMSD at Delta/T << 1 is a manifestation of weak ergodicity breaking for standard GBM and for SGBM with s (t)-modulation, the main focus of our analysis. The analytical predictions for the MSD and mean TAMSD for SGBM are in quantitative agreement with the results of stochastic computer simulations.}, language = {en} } @article{VinodCherstvyWangetal.2022, author = {Vinod, Deepak and Cherstvy, Andrey G. and Wang, Wei and Metzler, Ralf and Sokolov, Igor M.}, title = {Nonergodicity of reset geometric Brownian motion}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {105}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {1}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.105.L012106}, pages = {4}, year = {2022}, abstract = {We derive. the ensemble-and time-averaged mean-squared displacements (MSD, TAMSD) for Poisson-reset geometric Brownian motion (GBM), in agreement with simulations. We find MSD and TAMSD saturation for frequent resetting, quantify the spread of TAMSDs via the ergodicity-breaking parameter and compute distributions of prices. General MSD-TAMSD nonequivalence proves reset GBM nonergodic.}, language = {en} } @article{TomovskiMetzlerGerhold2022, author = {Tomovski, Živorad and Metzler, Ralf and Gerhold, Stefan}, title = {Fractional characteristic functions, and a fractional calculus approach for moments of random variables}, series = {Fractional calculus and applied analysis : an international journal for theory and applications}, volume = {25}, journal = {Fractional calculus and applied analysis : an international journal for theory and applications}, number = {4}, publisher = {De Gruyter}, address = {Berlin ; Boston}, issn = {1314-2224}, doi = {10.1007/s13540-022-00047-x}, pages = {1307 -- 1323}, year = {2022}, abstract = {In this paper we introduce a fractional variant of the characteristic function of a random variable. It exists on the whole real line, and is uniformly continuous. We show that fractional moments can be expressed in terms of Riemann-Liouville integrals and derivatives of the fractional characteristic function. The fractional moments are of interest in particular for distributions whose integer moments do not exist. Some illustrative examples for particular distributions are also presented.}, language = {en} } @article{VargheseChechkinMetzleretal.2021, author = {Varghese, Alan J. and Chechkin, Aleksei and Metzler, Ralf and Sujith, Raman I.}, title = {Capturing multifractality of pressure fluctuations in thermoacoustic systems using fractional-order derivatives}, series = {Chaos : an interdisciplinary journal of nonlinear science}, volume = {31}, journal = {Chaos : an interdisciplinary journal of nonlinear science}, number = {3}, publisher = {American Institute of Physics, AIP}, address = {Melville}, issn = {1054-1500}, doi = {10.1063/5.0032585}, pages = {9}, year = {2021}, abstract = {The stable operation of a turbulent combustor is not completely silent; instead, there is a background of small amplitude aperiodic acoustic fluctuations known as combustion noise. Pressure fluctuations during this state of combustion noise are multifractal due to the presence of multiple temporal scales that contribute to its dynamics. However, existing models are unable to capture the multifractality in the pressure fluctuations. We conjecture an underlying fractional dynamics for the thermoacoustic system and obtain a fractional-order model for pressure fluctuations. The data from this model has remarkable visual similarity to the experimental data and also has a wide multifractal spectrum during the state of combustion noise. Quantitative similarity with the experimental data in terms of the Hurst exponent and the multifractal spectrum is observed during the state of combustion noise. This model is also able to produce pressure fluctuations that are qualitatively similar to the experimental data acquired during intermittency and thermoacoustic instability. Furthermore, we argue that the fractional dynamics vanish as we approach the state of thermoacoustic instability.}, language = {en} } @article{RitschelCherstvyMetzler2021, author = {Ritschel, Stefan and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Universality of delay-time averages for financial time series}, series = {Journal of physics. Complexity}, volume = {2}, journal = {Journal of physics. Complexity}, number = {4}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {2632-072X}, doi = {10.1088/2632-072X/ac2220}, pages = {30}, year = {2021}, abstract = {We analyze historical data of stock-market prices for multiple financial indices using the concept of delay-time averaging for the financial time series (FTS). The region of validity of our recent theoretical predictions [Cherstvy A G et al 2017 New J. Phys. 19 063045] for the standard and delayed time-averaged mean-squared 'displacements' (TAMSDs) of the historical FTS is extended to all lag times. As the first novel element, we perform extensive computer simulations of the stochastic differential equation describing geometric Brownian motion (GBM) which demonstrate a quantitative agreement with the analytical long-term price-evolution predictions in terms of the delayed TAMSD (for all stock-market indices in crisis-free times). Secondly, we present a robust procedure of determination of the model parameters of GBM via fitting the features of the price-evolution dynamics in the FTS for stocks and cryptocurrencies. The employed concept of single-trajectory-based time averaging can serve as a predictive tool (proxy) for a mathematically based assessment and rationalization of probabilistic trends in the evolution of stock-market prices.}, language = {en} } @article{GuggenbergerChechkinMetzler2022, author = {Guggenberger, Tobias and Chechkin, Aleksei and Metzler, Ralf}, title = {Absence of stationary states and non-Boltzmann distributions of fractional Brownian motion in shallow external potentials}, series = {New journal of physics : the open-access journal for physics}, volume = {24}, journal = {New journal of physics : the open-access journal for physics}, number = {7}, publisher = {Dt. Physikalische Ges.}, address = {[Bad Honnef]}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac7b3c}, pages = {18}, year = {2022}, abstract = {We study the diffusive motion of a particle in a subharmonic potential of the form U(x) = |x|( c ) (0 < c < 2) driven by long-range correlated, stationary fractional Gaussian noise xi ( alpha )(t) with 0 < alpha <= 2. In the absence of the potential the particle exhibits free fractional Brownian motion with anomalous diffusion exponent alpha. While for an harmonic external potential the dynamics converges to a Gaussian stationary state, from extensive numerical analysis we here demonstrate that stationary states for shallower than harmonic potentials exist only as long as the relation c > 2(1 - 1/alpha) holds. We analyse the motion in terms of the mean squared displacement and (when it exists) the stationary probability density function. Moreover we discuss analogies of non-stationarity of Levy flights in shallow external potentials.}, language = {en} } @article{LiXuLietal.2020, author = {Li, Hua and Xu, Yong and Li, Yongge and Metzler, Ralf}, title = {Transition path dynamics across rough inverted parabolic potential barrier}, series = {The European physical journal : Plus}, volume = {135}, journal = {The European physical journal : Plus}, number = {9}, publisher = {Springer}, address = {Berlin ; Heidelberg}, issn = {2190-5444}, doi = {10.1140/epjp/s13360-020-00752-7}, pages = {22}, year = {2020}, abstract = {Transition path dynamics have been widely studied in chemical, physical, and technological systems. Mostly, the transition path dynamics is obtained for smooth barrier potentials, for instance, generic inverse-parabolic shapes. We here present analytical results for the mean transition path time, the distribution of transition path times, the mean transition path velocity, and the mean transition path shape in a rough inverted parabolic potential function under the driving of Gaussian white noise. These are validated against extensive simulations using the forward flux sampling scheme in parallel computations. We observe how precisely the potential roughness, the barrier height, and the noise intensity contribute to the particle transition in the rough inverted barrier potential.}, language = {en} } @article{AwadMetzler2022, author = {Awad, Emad and Metzler, Ralf}, title = {Closed-form multi-dimensional solutions and asymptotic behaviours for subdiffusive processes with crossovers: II. Accelerating case}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {55}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {20}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ac5a90}, pages = {29}, year = {2022}, abstract = {Anomalous diffusion with a power-law time dependence vertical bar R vertical bar(2)(t) similar or equal to t(alpha i) of the mean squared displacement occurs quite ubiquitously in numerous complex systems. Often, this anomalous diffusion is characterised by crossovers between regimes with different anomalous diffusion exponents alpha(i). Here we consider the case when such a crossover occurs from a first regime with alpha(1) to a second regime with alpha(2) such that alpha(2) > alpha(1), i.e., accelerating anomalous diffusion. A widely used framework to describe such crossovers in a one-dimensional setting is the bi-fractional diffusion equation of the so-called modified type, involving two time-fractional derivatives defined in the Riemann-Liouville sense. We here generalise this bi-fractional diffusion equation to higher dimensions and derive its multidimensional propagator (Green's function) for the general case when also a space fractional derivative is present, taking into consideration long-ranged jumps (Levy flights). We derive the asymptotic behaviours for this propagator in both the short- and long-time as well the short- and long-distance regimes. Finally, we also calculate the mean squared displacement, skewness and kurtosis in all dimensions, demonstrating that in the general case the non-Gaussian shape of the probability density function changes.}, language = {en} } @article{WangMetzlerCherstvy2022, author = {Wang, Wei and Metzler, Ralf and Cherstvy, Andrey G.}, title = {Anomalous diffusion, aging, and nonergodicity of scaled Brownian motion with fractional Gaussian noise: overview of related experimental observations and models}, series = {Physical chemistry, chemical physics : PCCP ; a journal of European chemical societies}, volume = {24}, journal = {Physical chemistry, chemical physics : PCCP ; a journal of European chemical societies}, number = {31}, publisher = {RSC Publ.}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/d2cp01741e}, pages = {18482 -- 18504}, year = {2022}, abstract = {How does a systematic time-dependence of the diffusion coefficient D(t) affect the ergodic and statistical characteristics of fractional Brownian motion (FBM)? Here, we answer this question via studying the characteristics of a set of standard statistical quantifiers relevant to single-particle-tracking (SPT) experiments. We examine, for instance, how the behavior of the ensemble- and time-averaged mean-squared displacements-denoted as the standard MSD < x(2)(Delta)> and TAMSD <<(delta(2)(Delta))over bar>> quantifiers-of FBM featuring < x(2) (Delta >> = <<(delta(2)(Delta >)over bar>> proportional to Delta(2H) (where H is the Hurst exponent and Delta is the [lag] time) changes in the presence of a power-law deterministically varying diffusivity D-proportional to(t) proportional to t(alpha-1) -germane to the process of scaled Brownian motion (SBM)-determining the strength of fractional Gaussian noise. The resulting compound "scaled-fractional" Brownian motion or FBM-SBM is found to be nonergodic, with < x(2)(Delta >> proportional to Delta(alpha+)(2H)(-1) and <(delta 2(Delta >) over bar > proportional to Delta(2H). We also detect a stalling behavior of the MSDs for very subdiffusive SBM and FBM, when alpha + 2H - 1 < 0. The distribution of particle displacements for FBM-SBM remains Gaussian, as that for the parent processes of FBM and SBM, in the entire region of scaling exponents (0 < alpha < 2 and 0 < H < 1). The FBM-SBM process is aging in a manner similar to SBM. The velocity autocorrelation function (ACF) of particle increments of FBM-SBM exhibits a dip when the parent FBM process is subdiffusive. Both for sub- and superdiffusive FBM contributions to the FBM-SBM process, the SBM exponent affects the long-time decay exponent of the ACF. Applications of the FBM-SBM-amalgamated process to the analysis of SPT data are discussed. A comparative tabulated overview of recent experimental (mainly SPT) and computational datasets amenable for interpretation in terms of FBM-, SBM-, and FBM-SBM-like models of diffusion culminates the presentation. The statistical aspects of the dynamics of a wide range of biological systems is compared in the table, from nanosized beads in living cells, to chromosomal loci, to water diffusion in the brain, and, finally, to patterns of animal movements.}, language = {en} } @article{ScottWeissSelhuberUnkeletal.2022, author = {Scott, Shane and Weiss, Matthias and Selhuber-Unkel, Christine and Barooji, Younes F. and Sabri, Adal and Erler, Janine T. and Metzler, Ralf and Oddershede, Lene B.}, title = {Extracting, quantifying, and comparing dynamical and biomechanical properties of living matter through single particle tracking}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {25}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {3}, publisher = {RSC Publ.}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/d2cp01384c}, pages = {1513 -- 1537}, year = {2022}, abstract = {A panoply of new tools for tracking single particles and molecules has led to an explosion of experimental data, leading to novel insights into physical properties of living matter governing cellular development and function, health and disease. In this Perspective, we present tools to investigate the dynamics and mechanics of living systems from the molecular to cellular scale via single-particle techniques. In particular, we focus on methods to measure, interpret, and analyse complex data sets that are associated with forces, materials properties, transport, and emergent organisation phenomena within biological and soft-matter systems. Current approaches, challenges, and existing solutions in the associated fields are outlined in order to support the growing community of researchers at the interface of physics and the life sciences. Each section focuses not only on the general physical principles and the potential for understanding living matter, but also on details of practical data extraction and analysis, discussing limitations, interpretation, and comparison across different experimental realisations and theoretical frameworks. Particularly relevant results are introduced as examples. While this Perspective describes living matter from a physical perspective, highlighting experimental and theoretical physics techniques relevant for such systems, it is also meant to serve as a solid starting point for researchers in the life sciences interested in the implementation of biophysical methods.}, language = {en} } @article{DoerriesChechkinMetzler2022, author = {Doerries, Timo J. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Apparent anomalous diffusion and non-Gaussian distributions in a simple mobile-immobile transport model with Poissonian switching}, series = {Interface : journal of the Royal Society}, volume = {19}, journal = {Interface : journal of the Royal Society}, number = {192}, publisher = {Royal Society}, address = {London}, issn = {1742-5689}, doi = {10.1098/rsif.2022.0233}, pages = {14}, year = {2022}, abstract = {We analyse mobile-immobile transport of particles that switch between the mobile and immobile phases with finite rates. Despite this seemingly simple assumption of Poissonian switching, we unveil a rich transport dynamics including significant transient anomalous diffusion and non-Gaussian displacement distributions. Our discussion is based on experimental parameters for tau proteins in neuronal cells, but the results obtained here are expected to be of relevance for a broad class of processes in complex systems. Specifically, we obtain that, when the mean binding time is significantly longer than the mean mobile time, transient anomalous diffusion is observed at short and intermediate time scales, with a strong dependence on the fraction of initially mobile and immobile particles. We unveil a Laplace distribution of particle displacements at relevant intermediate time scales. For any initial fraction of mobile particles, the respective mean squared displacement (MSD) displays a plateau. Moreover, we demonstrate a short-time cubic time dependence of the MSD for immobile tracers when initially all particles are immobile.}, language = {en} } @article{MutothyaXuLietal.2021, author = {Mutothya, Nicholas Mwilu and Xu, Yong and Li, Yongge and Metzler, Ralf and Mutua, Nicholas Muthama}, title = {First passage dynamics of stochastic motion in heterogeneous media driven by correlated white Gaussian and coloured non-Gaussian noises}, series = {Journal of physics. Complexity}, volume = {2}, journal = {Journal of physics. Complexity}, publisher = {IOP Publishing}, address = {Bristol}, issn = {2632-072X}, doi = {10.1088/2632-072X/ac35b5}, pages = {24}, year = {2021}, abstract = {We study the first passage dynamics for a diffusing particle experiencing a spatially varying diffusion coefficient while driven by correlated additive Gaussian white noise and multiplicative coloured non-Gaussian noise. We consider three functional forms for position dependence of the diffusion coefficient: power-law, exponential, and logarithmic. The coloured non-Gaussian noise is distributed according to Tsallis' q-distribution. Tracks of the non-Markovian systems are numerically simulated by using the fourth-order Runge-Kutta algorithm and the first passage times (FPTs) are recorded. The FPT density is determined along with the mean FPT (MFPT). Effects of the noise intensity and self-correlation of the multiplicative noise, the intensity of the additive noise, the cross-correlation strength, and the non-extensivity parameter on the MFPT are discussed.}, language = {en} } @article{EmanuelCherstvyMetzleretal.2020, author = {Emanuel, Marc D. and Cherstvy, Andrey G. and Metzler, Ralf and Gompper, Gerhard}, title = {Buckling transitions and soft-phase invasion of two-component icosahedral shells}, series = {Physical review / publ. by The American Physical Society. E, Statistical, nonlinear, and soft matter physics}, volume = {102}, journal = {Physical review / publ. by The American Physical Society. E, Statistical, nonlinear, and soft matter physics}, number = {6}, publisher = {Woodbury}, address = {New York}, issn = {2470-0045}, doi = {10.1103/PhysRevE.102.062104}, pages = {26}, year = {2020}, abstract = {What is the optimal distribution of two types of crystalline phases on the surface of icosahedral shells, such as of many viral capsids? We here investigate the distribution of a thin layer of soft material on a crystalline convex icosahedral shell. We demonstrate how the shapes of spherical viruses can be understood from the perspective of elasticity theory of thin two-component shells. We develop a theory of shape transformations of an icosahedral shell upon addition of a softer, but still crystalline, material onto its surface. We show how the soft component "invades" the regions with the highest elastic energy and stress imposed by the 12 topological defects on the surface. We explore the phase diagram as a function of the surface fraction of the soft material, the shell size, and the incommensurability of the elastic moduli of the rigid and soft phases. We find that, as expected, progressive filling of the rigid shell by the soft phase starts from the most deformed regions of the icosahedron. With a progressively increasing soft-phase coverage, the spherical segments of domes are filled first (12 vertices of the shell), then the cylindrical segments connecting the domes (30 edges) are invaded, and, ultimately, the 20 flat faces of the icosahedral shell tend to be occupied by the soft material. We present a detailed theoretical investigation of the first two stages of this invasion process and develop a model of morphological changes of the cone structure that permits noncircular cross sections. In conclusion, we discuss the biological relevance of some structures predicted from our calculations, in particular for the shape of viral capsids.}, language = {en} } @article{MejiaMonasterioMetzlerVollmer2020, author = {Mejia-Monasterio, Carlos and Metzler, Ralf and Vollmer, J{\"u}rgen}, title = {Editorial: anomalous transport}, series = {Frontiers in Physics}, volume = {8}, journal = {Frontiers in Physics}, publisher = {Frontiers Media}, address = {Lausanne}, issn = {2296-424X}, doi = {10.3389/fphy.2020.622417}, pages = {4}, year = {2020}, language = {en} } @article{MutothyaXuLietal.2021, author = {Mutothya, Nicholas Mwilu and Xu, Yong and Li, Yongge and Metzler, Ralf}, title = {Characterising stochastic motion in heterogeneous media driven by coloured non-Gaussian noise}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {54}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {29}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/abfba6}, pages = {31}, year = {2021}, abstract = {We study the stochastic motion of a test particle in a heterogeneous medium in terms of a position dependent diffusion coefficient mimicking measured deterministic diffusivity gradients in biological cells or the inherent heterogeneity of geophysical systems. Compared to previous studies we here investigate the effect of the interplay of anomalous diffusion effected by position dependent diffusion coefficients and coloured non-Gaussian noise. The latter is chosen to be distributed according to Tsallis' q-distribution, representing a popular example for a non-extensive statistic. We obtain the ensemble and time averaged mean squared displacements for this generalised process and establish its non-ergodic properties as well as analyse the non-Gaussian nature of the associated displacement distribution. We consider both non-stratified and stratified environments.}, language = {en} } @article{XuLiuLietal.2020, author = {Xu, Yong and Liu, Xuemei and Li, Yongge and Metzler, Ralf}, title = {Heterogeneous diffusion processes and nonergodicity with Gaussian colored noise in layered diffusivity landscapes}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {102}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {6}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.102.062106}, pages = {16}, year = {2020}, abstract = {Heterogeneous diffusion processes (HDPs) with space-dependent diffusion coefficients D(x) are found in a number of real-world systems, such as for diffusion of macromolecules or submicron tracers in biological cells. Here, we examine HDPs in quenched-disorder systems with Gaussian colored noise (GCN) characterized by a diffusion coefficient with a power-law dependence on the particle position and with a spatially random scaling exponent. Typically, D(x) is considered to be centerd at the origin and the entire x axis is characterized by a single scaling exponent a. In this work we consider a spatially random scenario: in periodic intervals ("layers") in space D(x) is centerd to the midpoint of each interval. In each interval the scaling exponent alpha is randomly chosen from a Gaussian distribution. The effects of the variation of the scaling exponents, the periodicity of the domains ("layer thickness") of the diffusion coefficient in this stratified system, and the correlation time of the GCN are analyzed numerically in detail. We discuss the regimes of superdiffusion, subdiffusion, and normal diffusion realisable in this system. We observe and quantify the domains where nonergodic and non-Gaussian behaviors emerge in this system. Our results provide new insights into the understanding of weak ergodicity breaking for HDPs driven by colored noise, with potential applications in quenched layered systems, typical model systems for diffusion in biological cells and tissues, as well as for diffusion in geophysical systems.}, language = {en} } @article{CapałaPadashChechkinetal.2020, author = {Capała, Karol and Padash, Amin and Chechkin, Aleksei V. and Shokri, Babak and Metzler, Ralf and Dybiec, Bartłomiej}, title = {Levy noise-driven escape from arctangent potential wells}, series = {Chaos : an interdisciplinary journal of nonlinear science}, volume = {30}, journal = {Chaos : an interdisciplinary journal of nonlinear science}, number = {12}, publisher = {American Institute of Physics}, address = {Woodbury, NY}, issn = {1054-1500}, doi = {10.1063/5.0021795}, pages = {15}, year = {2020}, abstract = {The escape from a potential well is an archetypal problem in the study of stochastic dynamical systems, representing real-world situations from chemical reactions to leaving an established home range in movement ecology. Concurrently, Levy noise is a well-established approach to model systems characterized by statistical outliers and diverging higher order moments, ranging from gene expression control to the movement patterns of animals and humans. Here, we study the problem of Levy noise-driven escape from an almost rectangular, arctangent potential well restricted by two absorbing boundaries, mostly under the action of the Cauchy noise. We unveil analogies of the observed transient dynamics to the general properties of stationary states of Levy processes in single-well potentials. The first-escape dynamics is shown to exhibit exponential tails. We examine the dependence of the escape on the shape parameters, steepness, and height of the arctangent potential. Finally, we explore in detail the behavior of the probability densities of the first-escape time and the last-hitting point.}, language = {en} } @article{VinodCherstvyMetzleretal.2022, author = {Vinod, Deepak and Cherstvy, Andrey G. and Metzler, Ralf and Sokolov, Igor M.}, title = {Time-averaging and nonergodicity of reset geometric Brownian motion with drift}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {106}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {3}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.106.034137}, pages = {36}, year = {2022}, abstract = {How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the future? Specifically, what are the long-time properties of a time-local exponential growth of stock-market prices under the influence of stochastically occurring economic crashes? Here, we derive the ensemble- and time-averaged properties of the respective "economic" or geometric Brownian motion (GBM) with a nonzero drift exposed to a Poissonian constant-rate price-restarting process of "resetting." We examine-based both on thorough analytical calculations and on findings from systematic stochastic computer simulations-the general situation of reset GBM with a nonzero [positive] drift and for all special cases emerging for varying parameters of drift, volatility, and reset rate in the model. We derive and summarize all short- and long-time dependencies for the mean-squared displacement (MSD), the variance, and the mean time-averaged MSD (TAMSD) of the process of Poisson-reset GBM under the conditions of both rare and frequent resetting. We consider three main regions of model parameters and categorize the crossovers between different functional behaviors of the statistical quantifiers of this process. The analytical relations are fully supported by the results of computer simulations. In particular, we obtain that Poisson-reset GBM is a nonergodic stochastic process, with generally MSD(Delta) not equal TAMSD(Delta) and Variance(Delta) not equal TAMSD(Delta) at short lag times Delta and for long trajectory lengths T. We investigate the behavior of the ergodicity-breaking parameter in each of the three regions of parameters and examine its dependence on the rate of reset at Delta/T << 1. Applications of these theoretical results to the analysis of prices of reset-containing options are pertinent.}, language = {en} } @article{SecklerMetzler2022, author = {Seckler, Henrik and Metzler, Ralf}, title = {Bayesian deep learning for error estimation in the analysis of anomalous diffusion}, series = {Nature Communications}, volume = {13}, journal = {Nature Communications}, number = {1}, publisher = {Nature portfolio}, address = {Berlin}, issn = {2041-1723}, doi = {10.1038/s41467-022-34305-6}, pages = {13}, year = {2022}, abstract = {Modern single-particle-tracking techniques produce extensive time-series of diffusive motion in a wide variety of systems, from single-molecule motion in living-cells to movement ecology. The quest is to decipher the physical mechanisms encoded in the data and thus to better understand the probed systems. We here augment recently proposed machine-learning techniques for decoding anomalous-diffusion data to include an uncertainty estimate in addition to the predicted output. To avoid the Black-Box-Problem a Bayesian-Deep-Learning technique named Stochastic-Weight-Averaging-Gaussian is used to train models for both the classification of the diffusion model and the regression of the anomalous diffusion exponent of single-particle-trajectories. Evaluating their performance, we find that these models can achieve a well-calibrated error estimate while maintaining high prediction accuracies. In the analysis of the output uncertainty predictions we relate these to properties of the underlying diffusion models, thus providing insights into the learning process of the machine and the relevance of the output.
Diffusive motions in complex environments such as living biological cells or soft matter systems can be analyzed with single-particle-tracking approaches, where accuracy of output may vary. The authors involve a machine-learning technique for decoding anomalous-diffusion data and provide an uncertainty estimate together with predicted output.}, language = {en} } @article{CaetanoCarvalhoMetzleretal.2020, author = {Caetano, Daniel L. Z. and Carvalho, Sidney Jurado de and Metzler, Ralf and Cherstvy, Andrey G.}, title = {Critical adsorption of multiple polyelectrolytes onto a nanosphere}, series = {Interface : journal of the Royal Society}, volume = {17}, journal = {Interface : journal of the Royal Society}, number = {167}, publisher = {Royal Society}, address = {London}, issn = {1742-5689}, doi = {10.1098/rsif.2020.0199}, pages = {10}, year = {2020}, abstract = {Employing extensive Monte Carlo computer simulations, we investigate in detail the properties of multichain adsorption of charged flexible polyelectrolytes (PEs) onto oppositely charged spherical nanoparticles (SNPs). We quantify the conditions of critical adsorption-the phase-separation curve between the adsorbed and desorbed states of the PEs-as a function of the SNP surface-charge density and the concentration of added salt. We study the degree of fluctuations of the PE-SNP electrostatic binding energy, which we use to quantify the emergence of the phase subtransitions, including a series of partially adsorbed PE configurations. We demonstrate how the phase-separation adsorption-desorption boundary shifts and splits into multiple subtransitions at low-salt conditions, thereby generalizing and extending the results for critical adsorption of a single PE onto the SNP. The current findings are relevant for finite concentrations of PEs around the attracting SNP, such as the conditions for PE adsorption onto globular proteins carrying opposite electric charges.}, language = {en} } @article{StojkoskiSandevBasnarkovetal.2020, author = {Stojkoski, Viktor and Sandev, Trifce and Basnarkov, Lasko and Kocarev, Ljupco and Metzler, Ralf}, title = {Generalised geometric Brownian motion}, series = {Entropy}, volume = {22}, journal = {Entropy}, number = {12}, publisher = {MDPI}, address = {Basel}, issn = {1099-4300}, doi = {10.3390/e22121432}, pages = {34}, year = {2020}, abstract = {Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset dynamics, due to irregularities found when comparing its properties with empirical distributions. As a solution, we investigate a generalisation of GBM where the introduction of a memory kernel critically determines the behaviour of the stochastic process. We find the general expressions for the moments, log-moments, and the expectation of the periodic log returns, and then obtain the corresponding probability density functions using the subordination approach. Particularly, we consider subdiffusive GBM (sGBM), tempered sGBM, a mix of GBM and sGBM, and a mix of sGBMs. We utilise the resulting generalised GBM (gGBM) in order to examine the empirical performance of a selected group of kernels in the pricing of European call options. Our results indicate that the performance of a kernel ultimately depends on the maturity of the option and its moneyness.}, language = {en} } @article{AwadMetzler2020, author = {Awad, Emad and Metzler, Ralf}, title = {Crossover dynamics from superdiffusion to subdiffusion}, series = {Fractional calculus and applied analysis : an international journal for theory and applications}, volume = {23}, journal = {Fractional calculus and applied analysis : an international journal for theory and applications}, number = {1}, publisher = {De Gruyter}, address = {Berlin ; Boston}, issn = {1311-0454}, doi = {10.1515/fca-2020-0003}, pages = {55 -- 102}, year = {2020}, abstract = {The Cattaneo or telegrapher's equation describes the crossover from initial ballistic to normal diffusion. Here we study and survey time-fractional generalisations of this equation that are shown to produce the crossover of the mean squared displacement from superdiffusion to subdiffusion. Conditional solutions are derived in terms of Fox H-functions and the dth-order moments as well as the diffusive flux of the different models are derived. Moreover, the concept of the distribution-like is proposed as an alternative to the probability density function.}, language = {en} } @article{KosztolowiczMetzler2020, author = {Kosztolowicz, Tadeusz and Metzler, Ralf}, title = {Diffusion of antibiotics through a biofilm in the presence of diffusion and absorption barriers}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {102}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {3}, publisher = {American Physical Society}, address = {Melville, NY}, issn = {2470-0045}, doi = {10.1103/PhysRevE.102.032408}, pages = {11}, year = {2020}, abstract = {We propose a model of antibiotic diffusion through a bacterial biofilm when diffusion and/or absorption barriers develop in the biofilm. The idea of this model is: We deduce details of the diffusion process in a medium in which direct experimental study is difficult, based on probing diffusion in external regions. Since a biofilm has a gel-like consistency, we suppose that subdiffusion of particles in the biofilm may occur. To describe this process we use a fractional subdiffusion-absorption equation with an adjustable anomalous diffusion exponent. The boundary conditions at the boundaries of the biofilm are derived by means of a particle random walk model on a discrete lattice leading to an expression involving a fractional time derivative. We show that the temporal evolution of the total amount of substance that has diffused through the biofilm explicitly depends on whether there is antibiotic absorption in the biofilm. This fact is used to experimentally check for antibiotic absorption in the biofilm and if subdiffusion and absorption parameters of the biofilm change over time. We propose a four-stage model of antibiotic diffusion in biofilm based on the following physical characteristics: whether there is absorption of the antibiotic in the biofilm and whether all biofilm parameters remain unchanged over time. The biological interpretation of the stages, in particular their relation with the bacterial defense mechanisms, is discussed. Theoretical results are compared with empirical results of ciprofloxacin diffusion through Pseudomonas aeruginosa biofilm, and ciprofloxacin and gentamicin diffusion through Proteus mirabilis biofilm.}, language = {en} } @article{SecklerMetzler2022, author = {Seckler, Henrik and Metzler, Ralf}, title = {Bayesian deep learning for error estimation in the analysis of anomalous diffusion}, series = {Nature Communnications}, volume = {13}, journal = {Nature Communnications}, publisher = {Nature Publishing Group UK}, address = {London}, issn = {2041-1723}, doi = {10.1038/s41467-022-34305-6}, pages = {13}, year = {2022}, abstract = {Modern single-particle-tracking techniques produce extensive time-series of diffusive motion in a wide variety of systems, from single-molecule motion in living-cells to movement ecology. The quest is to decipher the physical mechanisms encoded in the data and thus to better understand the probed systems. We here augment recently proposed machine-learning techniques for decoding anomalous-diffusion data to include an uncertainty estimate in addition to the predicted output. To avoid the Black-Box-Problem a Bayesian-Deep-Learning technique named Stochastic-Weight-Averaging-Gaussian is used to train models for both the classification of the diffusionmodel and the regression of the anomalous diffusion exponent of single-particle-trajectories. Evaluating their performance, we find that these models can achieve a wellcalibrated error estimate while maintaining high prediction accuracies. In the analysis of the output uncertainty predictions we relate these to properties of the underlying diffusion models, thus providing insights into the learning process of the machine and the relevance of the output.}, language = {en} } @article{GuggenbergerChechkinMetzler2021, author = {Guggenberger, Tobias and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Fractional Brownian motion in superharmonic potentials and non-Boltzmann stationary distributions}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {54}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {29}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ac019b}, pages = {17}, year = {2021}, abstract = {We study the stochastic motion of particles driven by long-range correlated fractional Gaussian noise (FGN) in a superharmonic external potential of the form U(x) proportional to x(2n) (n is an element of 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 approach to stationarity as well as the shape of the non-Boltzmann stationary PDF. A typical characteristic is that subdiffusive, antipersistent (with negative autocorrelation) motion tends to effect an accumulation of probability close to the origin as compared to the corresponding Boltzmann distribution while the opposite trend occurs for superdiffusive (persistent) motion. For this latter case this leads to distinct bimodal shapes of the PDF. This property is compared to a similar phenomenon observed for Markovian Levy flights in superharmonic potentials. We also demonstrate that the motion encoded in the fractional Langevin equation driven by FGN always relaxes to the Boltzmann distribution, as in this case the fluctuation-dissipation theorem is fulfilled.}, language = {en} } @article{WangCherstvyLiuetal.2020, author = {Wang, Wei and Cherstvy, Andrey G. and Liu, Xianbin and Metzler, Ralf}, title = {Anomalous diffusion and nonergodicity for heterogeneous diffusion processes with fractional Gaussian noise}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {102}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {1}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.102.012146}, pages = {012146-1 -- 012146-16}, year = {2020}, abstract = {Heterogeneous diffusion processes (HDPs) feature a space-dependent diffusivity of the form D(x) = D-0|x|(alpha). Such processes yield anomalous diffusion and weak ergodicity breaking, the asymptotic disparity between ensemble and time averaged observables, such as the mean-squared displacement. Fractional Brownian motion (FBM) with its long-range correlated yet Gaussian increments gives rise to anomalous and ergodic diffusion. Here, we study a combined model of HDPs and FBM to describe the particle dynamics in complex systems with position-dependent diffusivity driven by fractional Gaussian noise. This type of motion is, inter alia, relevant for tracer-particle diffusion in biological cells or heterogeneous complex fluids. We show that the long-time scaling behavior predicted theoretically and by simulations for the ensemble-and time-averaged mean-squared displacements couple the scaling exponents alpha of HDPs and the Hurst exponent H of FBM in a characteristic way. Our analysis of the simulated data in terms of the rescaled variable y similar to |x|(1/(2/(2-alpha)))/t(H) coupling particle position x and time t yields a simple, Gaussian probability density function (PDF), PHDP-FBM(y) = e(-y2)/root pi. Its universal shape agrees well with theoretical predictions for both uni- and bimodal PDF distributions.}, language = {en} } @article{SposiniKrapfMarinarietal.2022, author = {Sposini, Vittoria and Krapf, Diego and Marinari, Enzo and Sunyer, Raimon and Ritort, Felix and Taheri, Fereydoon and Selhuber-Unkel, Christine and Benelli, Rebecca and Weiss, Matthias and Metzler, Ralf and Oshanin, Gleb}, title = {Towards a robust criterion of anomalous diffusion}, series = {Communications Physics}, volume = {5}, journal = {Communications Physics}, publisher = {Springer Nature}, address = {London}, issn = {2399-3650}, doi = {10.1038/s42005-022-01079-8}, pages = {10}, year = {2022}, abstract = {Anomalous-diffusion, the departure of the spreading dynamics of diffusing particles from the traditional law of Brownian-motion, is a signature feature of a large number of complex soft-matter and biological systems. Anomalous-diffusion emerges due to a variety of physical mechanisms, e.g., trapping interactions or the viscoelasticity of the environment. However, sometimes systems dynamics are erroneously claimed to be anomalous, despite the fact that the true motion is Brownian—or vice versa. This ambiguity in establishing whether the dynamics as normal or anomalous can have far-reaching consequences, e.g., in predictions for reaction- or relaxation-laws. Demonstrating that a system exhibits normal- or anomalous-diffusion is highly desirable for a vast host of applications. Here, we present a criterion for anomalous-diffusion based on the method of power-spectral analysis of single trajectories. The robustness of this criterion is studied for trajectories of fractional-Brownian-motion, a ubiquitous stochastic process for the description of anomalous-diffusion, in the presence of two types of measurement errors. In particular, we find that our criterion is very robust for subdiffusion. Various tests on surrogate data in absence or presence of additional positional noise demonstrate the efficacy of this method in practical contexts. Finally, we provide a proof-of-concept based on diverse experiments exhibiting both normal and anomalous-diffusion.}, language = {en} } @article{XuZhouMetzleretal.2020, author = {Xu, Pengbo and Zhou, Tian and Metzler, Ralf and Deng, Weihua}, title = {L{\´e}vy walk dynamics in an external harmonic potential}, series = {Physical review : E, Statistical, nonlinear, and soft matter physics}, volume = {101}, journal = {Physical review : E, Statistical, nonlinear, and soft matter physics}, number = {6}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.101.062127}, pages = {12}, year = {2020}, abstract = {Levy walks (LWs) are spatiotemporally coupled random-walk processes describing superdiffusive heat conduction in solids, propagation of light in disordered optical materials, motion of molecular motors in living cells, or motion of animals, humans, robots, and viruses. We here investigate a key feature of LWs-their response to an external harmonic potential. In this generic setting for confined motion we demonstrate that LWs equilibrate exponentially and may assume a bimodal stationary distribution. We also show that the stationary distribution has a horizontal slope next to a reflecting boundary placed at the origin, in contrast to correlated superdiffusive processes. Our results generalize LWs to confining forces and settle some longstanding puzzles around LWs.}, language = {en} } @article{VilkAghionAvgaretal.2022, author = {Vilk, Ohad and Aghion, Erez and Avgar, Tal and Beta, Carsten and Nagel, Oliver and Sabri, Adal and Sarfati, Raphael and Schwartz, Daniel K. and Weiß, Matthias and Krapf, Diego and Nathan, Ran and Metzler, Ralf and Assaf, Michael}, title = {Unravelling the origins of anomalous diffusion}, series = {Physical Review Research}, volume = {4}, journal = {Physical Review Research}, number = {3}, publisher = {American Physical Society}, address = {College Park, MD}, issn = {2643-1564}, doi = {10.1103/PhysRevResearch.4.033055}, pages = {033055-1 -- 033055-16}, year = {2022}, abstract = {Anomalous diffusion or, more generally, anomalous transport, with nonlinear dependence of the mean-squared displacement on the measurement time, is ubiquitous in nature. It has been observed in processes ranging from microscopic movement of molecules to macroscopic, large-scale paths of migrating birds. Using data from multiple empirical systems, spanning 12 orders of magnitude in length and 8 orders of magnitude in time, we employ a method to detect the individual underlying origins of anomalous diffusion and transport in the data. This method decomposes anomalous transport into three primary effects: long-range correlations ("Joseph effect"), fat-tailed probability density of increments ("Noah effect"), and nonstationarity ("Moses effect"). We show that such a decomposition of real-life data allows us to infer nontrivial behavioral predictions and to resolve open questions in the fields of single-particle tracking in living cells and movement ecology.}, language = {en} } @article{SarabadaniMetzlerAlaNissila2022, author = {Sarabadani, Jalal and Metzler, Ralf and Ala-Nissila, Tapio}, title = {Driven polymer translocation into a channel: Isoflux tension propagation theory and Langevin dynamics simulations}, series = {Physical Review Research}, volume = {4}, journal = {Physical Review Research}, edition = {3}, publisher = {American Physical Society}, address = {College Park, Maryland, USA}, issn = {2643-1564}, doi = {10.1103/PhysRevResearch.4.033003}, pages = {033003-1 -- 033003-14}, year = {2022}, abstract = {Isoflux tension propagation (IFTP) theory and Langevin dynamics (LD) simulations are employed to study the dynamics of channel-driven polymer translocation in which a polymer translocates into a narrow channel and the monomers in the channel experience a driving force fc. In the high driving force limit, regardless of the channel width, IFTP theory predicts τ ∝ f βc for the translocation time, where β = -1 is the force scaling exponent. Moreover, LD data show that for a very narrow channel fitting only a single file of monomers, the entropic force due to the subchain inside the channel does not play a significant role in the translocation dynamics and the force exponent β = -1 regardless of the force magnitude. As the channel width increases the number of possible spatial configurations of the subchain inside the channel becomes significant and the resulting entropic force causes the force exponent to drop below unity.}, language = {en} } @article{WangCherstvyChechkinetal.2020, author = {Wang, Wei and Cherstvy, Andrey G. and Chechkin, Aleksei V. and Thapa, Samudrajit and Seno, Flavio and Liu, Xianbin and Metzler, Ralf}, title = {Fractional Brownian motion with random diffusivity}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {53}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {47}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/aba467}, pages = {34}, year = {2020}, abstract = {Numerous examples for a priori unexpected non-Gaussian behaviour for normal and anomalous diffusion have recently been reported in single-particle tracking experiments. Here, we address the case of non-Gaussian anomalous diffusion in terms of a random-diffusivity mechanism in the presence of power-law correlated fractional Gaussian noise. We study the ergodic properties of this model via examining the ensemble- and time-averaged mean-squared displacements as well as the ergodicity breaking parameter EB quantifying the trajectory-to-trajectory fluctuations of the latter. For long measurement times, interesting crossover behaviour is found as function of the correlation time tau characterising the diffusivity dynamics. We unveil that at short lag times the EB parameter reaches a universal plateau. The corresponding residual value of EB is shown to depend only on tau and the trajectory length. The EB parameter at long lag times, however, follows the same power-law scaling as for fractional Brownian motion. We also determine a corresponding plateau at short lag times for the discrete representation of fractional Brownian motion, absent in the continuous-time formulation. These analytical predictions are in excellent agreement with results of computer simulations of the underlying stochastic processes. Our findings can help distinguishing and categorising certain nonergodic and non-Gaussian features of particle displacements, as observed in recent single-particle tracking experiments.}, language = {en} } @article{SinghMetzlerSandev2020, author = {Singh, Rishu Kumar and Metzler, Ralf and Sandev, Trifce}, title = {Resetting dynamics in a confining potential}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {53}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {50}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/abc83a}, pages = {28}, year = {2020}, abstract = {We study Brownian motion in a confining potential under a constant-rate resetting to a reset position x(0). The relaxation of this system to the steady-state exhibits a dynamic phase transition, and is achieved in a light cone region which grows linearly with time. When an absorbing boundary is introduced, effecting a symmetry breaking of the system, we find that resetting aids the barrier escape only when the particle starts on the same side as the barrier with respect to the origin. We find that the optimal resetting rate exhibits a continuous phase transition with critical exponent of unity. Exact expressions are derived for the mean escape time, the second moment, and the coefficient of variation (CV).}, language = {en} } @article{FernandezCharcharCherstvyetal.2020, author = {Fernandez, Amanda Diez and Charchar, Patrick and Cherstvy, Andrey G. and Metzler, Ralf and Finnis, Michael W.}, title = {The diffusion of doxorubicin drug molecules in silica nanoslits is non-Gaussian, intermittent and anticorrelated}, series = {Physical chemistry, chemical physics}, volume = {22}, journal = {Physical chemistry, chemical physics}, number = {48}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/d0cp03849k}, pages = {27955 -- 27965}, year = {2020}, abstract = {In this study we investigate, using all-atom molecular-dynamics computer simulations, the in-plane diffusion of a doxorubicin drug molecule in a thin film of water confined between two silica surfaces. We find that the molecule diffuses along the channel in the manner of a Gaussian diffusion process, but with parameters that vary according to its varying transversal position. Our analysis identifies that four Gaussians, each describing particle motion in a given transversal region, are needed to adequately describe the data. Each of these processes by itself evolves with time at a rate slower than that associated with classical Brownian motion due to a predominance of anticorrelated displacements. Long adsorption events lead to ageing, a property observed when the diffusion is intermittently hindered for periods of time with an average duration which is theoretically infinite. This study presents a simple system in which many interesting features of anomalous diffusion can be explored. It exposes the complexity of diffusion in nanoconfinement and highlights the need to develop new understanding.}, language = {en} } @article{WangCherstvyMetzleretal.2022, author = {Wang, Wei and Cherstvy, Andrey G. and Metzler, Ralf and Sokolov, Igor M.}, title = {Restoring ergodicity of stochastically reset anomalous-diffusion processes}, series = {Physical Review Research}, volume = {4}, journal = {Physical Review Research}, edition = {1}, publisher = {American Physical Society}, address = {College Park, Maryland, United States}, issn = {2643-1564}, doi = {10.1103/PhysRevResearch.4.013161}, pages = {013161-1 -- 013161-13}, year = {2022}, abstract = {How do different reset protocols affect ergodicity of a diffusion process in single-particle-tracking experiments? We here address the problem of resetting of an arbitrary stochastic anomalous-diffusion process (ADP) from the general mathematical points of view and assess ergodicity of such reset ADPs for an arbitrary resetting protocol. The process of stochastic resetting describes the events of the instantaneous restart of a particle's motion via randomly distributed returns to a preset initial position (or a set of those). The waiting times of such resetting events obey the Poissonian, Gamma, or more generic distributions with specified conditions regarding the existence of moments. Within these general approaches, we derive general analytical results and support them by computer simulations for the behavior of the reset mean-squared displacement (MSD), the new reset increment-MSD (iMSD), and the mean reset time-averaged MSD (TAMSD). For parental nonreset ADPs with the MSD(t)∝ tμ we find a generic behavior and a switch of the short-time growth of the reset iMSD and mean reset TAMSDs from ∝ _μ for subdiffusive to ∝ _1 for superdiffusive reset ADPs. The critical condition for a reset ADP that recovers its ergodicity is found to be more general than that for the nonequilibrium stationary state, where obviously the iMSD and the mean TAMSD are equal. The consideration of the new statistical quantifier, the iMSD—as compared to the standard MSD—restores the ergodicity of an arbitrary reset ADP in all situations when the μth moment of the waiting-time distribution of resetting events is finite. Potential applications of these new resetting results are, inter alia, in the area of biophysical and soft-matter systems.}, language = {en} } @article{XuZhouMetzleretal.2022, author = {Xu, Pengbo and Zhou, Tian and Metzler, Ralf and Deng, Weihua}, title = {Stochastic harmonic trapping of a L{\´e}vy walk}, series = {New journal of physics : the open-access journal for physics / Deutsche Physikalische Gesellschaft ; IOP, Institute of Physics}, volume = {24}, journal = {New journal of physics : the open-access journal for physics / Deutsche Physikalische Gesellschaft ; IOP, Institute of Physics}, number = {3}, publisher = {Deutsche Physikalische Gesellschaft}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac5282}, pages = {1 -- 28}, year = {2022}, abstract = {We introduce and study a L{\´e}vy walk (LW) model of particle spreading with a finite propagation speed combined with soft resets, stochastically occurring periods in which an harmonic external potential is switched on and forces the particle towards a specific position. Soft resets avoid instantaneous relocation of particles that in certain physical settings may be considered unphysical. Moreover, soft resets do not have a specific resetting point but lead the particle towards a resetting point by a restoring Hookean force. Depending on the exact choice for the LW waiting time density and the probability density of the periods when the harmonic potential is switched on, we demonstrate a rich emerging response behaviour including ballistic motion and superdiffusion. When the confinement periods of the soft-reset events are dominant, we observe a particle localisation with an associated non-equilibrium steady state. In this case the stationary particle probability density function turns out to acquire multimodal states. Our derivations are based on Markov chain ideas and LWs with multiple internal states, an approach that may be useful and flexible for the investigation of other generalised random walks with soft and hard resets. The spreading efficiency of soft-rest LWs is characterised by the first-passage time statistic.}, language = {en} } @article{GrebenkovMetzlerOshanin2021, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {Distribution of first-reaction times with target regions on boundaries of shell-like domains}, series = {New Journal of Physics (NJP)}, volume = {2021}, journal = {New Journal of Physics (NJP)}, edition = {23}, publisher = {IOP Publishing}, address = {London}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac4282}, pages = {1 -- 23}, year = {2021}, abstract = {We study the probability density function (PDF) of the first-reaction times between a diffusive ligand and a membrane-bound, immobile imperfect target region in a restricted 'onion-shell' geometry bounded by two nested membranes of arbitrary shapes. For such a setting, encountered in diverse molecular signal transduction pathways or in the narrow escape problem with additional steric constraints, we derive an exact spectral form of the PDF, as well as present its approximate form calculated by help of the so-called self-consistent approximation. For a particular case when the nested domains are concentric spheres, we get a fully explicit form of the approximated PDF, assess the accuracy of this approximation, and discuss various facets of the obtained distributions. Our results can be straightforwardly applied to describe the PDF of the terminal reaction event in multi-stage signal transduction processes.}, language = {en} } @article{SafdariCherstvyChechkinetal.2017, author = {Safdari, Hadiseh and Cherstvy, Andrey G. and Chechkin, Aleksei V. and Bodrova, Anna and Metzler, Ralf}, title = {Aging underdamped scaled Brownian motion}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {95}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.95.012120}, pages = {15}, year = {2017}, abstract = {We investigate both analytically and by computer simulations the ensemble- and time-averaged, nonergodic, and aging properties of massive particles diffusing in a medium with a time dependent diffusivity. We call this stochastic diffusion process the (aging) underdamped scaled Brownian motion (UDSBM). We demonstrate how the mean squared displacement (MSD) and the time-averaged MSD of UDSBM are affected by the inertial term in the Langevin equation, both at short, intermediate, and even long diffusion times. In particular, we quantify the ballistic regime for the MSD and the time-averaged MSD as well as the spread of individual time-averaged MSD trajectories. One of the main effects we observe is that, both for the MSD and the time-averaged MSD, for superdiffusive UDSBM the ballistic regime is much shorter than for ordinary Brownian motion. In contrast, for subdiffusive UDSBM, the ballistic region extends to much longer diffusion times. Therefore, particular care needs to be taken under what conditions the overdamped limit indeed provides a correct description, even in the long time limit. We also analyze to what extent ergodicity in the Boltzmann-Khinchin sense in this nonstationary system is broken, both for subdiffusive and superdiffusive UDSBM. Finally, the limiting case of ultraslow UDSBM is considered, with a mixed logarithmic and power-law dependence of the ensemble-and time-averaged MSDs of the particles. In the limit of strong aging, remarkably, the ordinary UDSBM and the ultraslow UDSBM behave similarly in the short time ballistic limit. The approaches developed here open ways for considering other stochastic processes under physically important conditions when a finite particle mass and aging in the system cannot be neglected.}, language = {en} } @article{LiuCherstvyMetzler2017, author = {Liu, Lin and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Facilitated Diffusion of Transcription Factor Proteins with Anomalous Bulk Diffusion}, series = {The journal of physical chemistry : B, Condensed matter, materials, surfaces, interfaces \& biophysical chemistry}, volume = {121}, journal = {The journal of physical chemistry : B, Condensed matter, materials, surfaces, interfaces \& biophysical chemistry}, publisher = {American Chemical Society}, address = {Washington}, issn = {1520-6106}, doi = {10.1021/acs.jpcb.6b12413}, pages = {1284 -- 1289}, year = {2017}, abstract = {What are the physical laws of the diffusive search of proteins for their specific binding sites on DNA in the presence of the macromolecular crowding in cells? We performed extensive computer simulations to elucidate the protein target search on DNA. The novel feature is the viscoelastic non-Brownian protein bulk diffusion recently observed experimentally. We examine the influence of the protein-DNA binding affinity and the anomalous diffusion exponent on the target search time. In all cases an optimal search time is found. The relative contribution of intermittent three-dimensional bulk diffusion and one-dimensional sliding of proteins along the DNA is quantified. Our results are discussed in the light of recent single molecule tracking experiments, aiming at a better understanding of the influence of anomalous kinetics of proteins on the facilitated diffusion mechanism.}, language = {en} } @article{GodecMetzler2017, author = {Godec, Aljaž and Metzler, Ralf}, title = {First passage time statistics for two-channel diffusion}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {50}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {8}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/aa5204}, pages = {17}, year = {2017}, abstract = {We present rigorous results for the mean first passage time and first passage time statistics for two-channel Markov additive diffusion in a 3-dimensional spherical domain. Inspired by biophysical examples we assume that the particle can only recognise the target in one of the modes, which is shown to effect a non-trivial first passage behaviour. We also address the scenario of intermittent immobilisation. In both cases we prove that despite the perfectly non-recurrent motion of two-channel Markov additive diffusion in 3 dimensions the first passage statistics at long times do not display Poisson-like behaviour if none of the phases has a vanishing diffusion coefficient. This stands in stark contrast to the standard (one-channel) Markov diffusion counterpart. We also discuss the relevance of our results in the context of cellular signalling.}, language = {en} } @article{AydinerCherstvyMetzler2018, author = {Aydiner, Ekrem and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Wealth distribution, Pareto law, and stretched exponential decay of money}, series = {Physica : europhysics journal ; A, Statistical mechanics and its applications}, volume = {490}, journal = {Physica : europhysics journal ; A, Statistical mechanics and its applications}, publisher = {Elsevier}, address = {Amsterdam}, issn = {0378-4371}, doi = {10.1016/j.physa.2017.08.017}, pages = {278 -- 288}, year = {2018}, abstract = {We study by Monte Carlo simulations a kinetic exchange trading model for both fixed and distributed saving propensities of the agents and rationalize the person and wealth distributions. We show that the newly introduced wealth distribution - that may be more amenable in certain situations - features a different power-law exponent, particularly for distributed saving propensities of the agents. For open agent-based systems, we analyze the person and wealth distributions and find that the presence of trap agents alters their amplitude, leaving however the scaling exponents nearly unaffected. For an open system, we show that the total wealth - for different trap agent densities and saving propensities of the agents - decreases in time according to the classical Kohlrausch-Williams-Watts stretched exponential law. Interestingly, this decay does not depend on the trap agent density, but rather on saving propensities. The system relaxation for fixed and distributed saving schemes are found to be different.}, language = {en} } @article{SandevMetzlerChechkin2018, author = {Sandev, Trifce and Metzler, Ralf and Chechkin, Aleksei V.}, title = {From continuous time random walks to the generalized diffusion equation}, series = {Fractional calculus and applied analysis : an international journal for theory and applications}, volume = {21}, journal = {Fractional calculus and applied analysis : an international journal for theory and applications}, number = {1}, publisher = {De Gruyter}, address = {Berlin}, issn = {1311-0454}, doi = {10.1515/fca-2018-0002}, pages = {10 -- 28}, year = {2018}, abstract = {We obtain a generalized diffusion equation in modified or Riemann-Liouville form from continuous time random walk theory. The waiting time probability density function and mean squared displacement for different forms of the equation are explicitly calculated. We show examples of generalized diffusion equations in normal or Caputo form that encode the same probability distribution functions as those obtained from the generalized diffusion equation in modified form. The obtained equations are general and many known fractional diffusion equations are included as special cases.}, language = {en} } @article{KrapfMarinariMetzleretal.2018, author = {Krapf, Diego and Marinari, Enzo and Metzler, Ralf and Oshanin, Gleb and Xu, Xinran and Squarcini, Alessio}, title = {Power spectral density of a single Brownian trajectory}, series = {New journal of physics : the open-access journal for physics}, volume = {20}, journal = {New journal of physics : the open-access journal for physics}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/aaa67c}, pages = {30}, year = {2018}, abstract = {The power spectral density (PSD) of any time-dependent stochastic processX (t) is ameaningful feature of its spectral content. In its text-book definition, the PSD is the Fourier transform of the covariance function of X-t over an infinitely large observation timeT, that is, it is defined as an ensemble-averaged property taken in the limitT -> infinity. Alegitimate question is what information on the PSD can be reliably obtained from single-trajectory experiments, if one goes beyond the standard definition and analyzes the PSD of a single trajectory recorded for a finite observation timeT. In quest for this answer, for a d-dimensional Brownian motion (BM) we calculate the probability density function of a single-trajectory PSD for arbitrary frequency f, finite observation time T and arbitrary number k of projections of the trajectory on different axes. We show analytically that the scaling exponent for the frequency-dependence of the PSD specific to an ensemble of BM trajectories can be already obtained from a single trajectory, while the numerical amplitude in the relation between the ensemble-averaged and single-trajectory PSDs is afluctuating property which varies from realization to realization. The distribution of this amplitude is calculated exactly and is discussed in detail. Our results are confirmed by numerical simulations and single-particle tracking experiments, with remarkably good agreement. In addition we consider a truncated Wiener representation of BM, and the case of a discrete-time lattice random walk. We highlight some differences in the behavior of a single-trajectory PSD for BM and for the two latter situations. The framework developed herein will allow for meaningful physical analysis of experimental stochastic trajectories.}, language = {en} } @article{KarCherstvyMetzler2017, author = {Kar, Prathitha and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Acceleration of bursty multiprotein target search kinetics on DNA by colocalisation}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {12}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c7cp06922g}, pages = {7931 -- 7946}, year = {2017}, abstract = {Proteins are capable of locating specific targets on DNA by employing a facilitated diffusion process with intermittent 1D and 3D search steps. Gene colocalisation and coregulation-i.e. the spatial proximity of two communicating genes-is one factor capable of accelerating the target search process along the DNA. We perform Monte Carlo computer simulations and demonstrate the benefits of gene colocalisation for minimising the search time in a model DNA-protein system. We use a simple diffusion model to mimic the search for targets by proteins, produced initially in bursts of multiple proteins and performing the first-passage search on the DNA chain. The behaviour of the mean first-passage times to the target is studied as a function of distance between the initial position of proteins and the DNA target position, as well as versus the concentration of proteins. We also examine the properties of bursty target search kinetics for varying physical-chemical protein-DNA binding affinity. Our findings underline the relevance of colocalisation of production and binding sites for protein search inside biological cells.}, language = {en} } @article{GrebenkovMetzlerOshanin2018, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {Towards a full quantitative description of single-molecule reaction kinetics in biological cells}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {24}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c8cp02043d}, pages = {16393 -- 16401}, year = {2018}, abstract = {The first-passage time (FPT), i.e., the moment when a stochastic process reaches a given threshold value for the first time, is a fundamental mathematical concept with immediate applications. In particular, it quantifies the statistics of instances when biomolecules in a biological cell reach their specific binding sites and trigger cellular regulation. Typically, the first-passage properties are given in terms of mean first-passage times. However, modern experiments now monitor single-molecular binding-processes in living cells and thus provide access to the full statistics of the underlying first-passage events, in particular, inherent cell-to-cell fluctuations. We here present a robust explicit approach for obtaining the distribution of FPTs to a small partially reactive target in cylindrical-annulus domains, which represent typical bacterial and neuronal cell shapes. We investigate various asymptotic behaviours of this FPT distribution and show that it is typically very broad in many biological situations, thus, the mean FPT can differ from the most probable FPT by orders of magnitude. The most probable FPT is shown to strongly depend only on the starting position within the geometry and to be almost independent of the target size and reactivity. These findings demonstrate the dramatic relevance of knowing the full distribution of FPTs and thus open new perspectives for a more reliable description of many intracellular processes initiated by the arrival of one or few biomolecules to a small, spatially localised region inside the cell.}, language = {en} } @article{EstradaDelvenneHatanoetal.2018, author = {Estrada, Ernesto and Delvenne, Jean-Charles and Hatano, Naomichi and Mateos, Jose L. and Metzler, Ralf and Riascos, Alejandro P. and Schaub, Michael T.}, title = {Random multi-hopper model}, series = {Journal of Complex Networks}, volume = {6}, journal = {Journal of Complex Networks}, number = {3}, publisher = {Oxford Univ. Press}, address = {Oxford}, issn = {2051-1310}, doi = {10.1093/comnet/cnx043}, pages = {382 -- 403}, year = {2018}, abstract = {We develop a mathematical model considering a random walker with long-range hops on arbitrary graphs. The random multi-hopper can jump to any node of the graph from an initial position, with a probability that decays as a function of the shortest-path distance between the two nodes in the graph. We consider here two decaying functions in the form of Laplace and Mellin transforms of the shortest-path distances. We prove that when the parameters of these transforms approach zero asymptotically, the hitting time in the multi-hopper approaches the minimum possible value for a normal random walker. We show by computational experiments that the multi-hopper explores a graph with clusters or skewed degree distributions more efficiently than a normal random walker. We provide computational evidences of the advantages of the random multi-hopper model with respect to the normal random walk by studying deterministic, random and real-world networks.}, language = {en} } @article{GrebenkovMetzlerOshanin2021, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {A molecular relay race: sequential first-passage events to the terminal reaction centre in a cascade of diffusion controlled processes}, series = {New Journal of Physics (NJP)}, volume = {23}, journal = {New Journal of Physics (NJP)}, publisher = {IOP - Institute of Physics Publishing}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac1e42}, pages = {18}, year = {2021}, abstract = {We consider a sequential cascade of molecular first-reaction events towards a terminal reaction centre in which each reaction step is controlled by diffusive motion of the particles. The model studied here represents a typical reaction setting encountered in diverse molecular biology systems, in which, e.g. a signal transduction proceeds via a series of consecutive 'messengers': the first messenger has to find its respective immobile target site triggering a launch of the second messenger, the second messenger seeks its own target site and provokes a launch of the third messenger and so on, resembling a relay race in human competitions. For such a molecular relay race taking place in infinite one-, two- and three-dimensional systems, we find exact expressions for the probability density function of the time instant of the terminal reaction event, conditioned on preceding successful reaction events on an ordered array of target sites. The obtained expressions pertain to the most general conditions: number of intermediate stages and the corresponding diffusion coefficients, the sizes of the target sites, the distances between them, as well as their reactivities are arbitrary.}, language = {en} } @article{AkimotoCherstvyMetzler2018, author = {Akimoto, Takuma and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Ergodicity, rejuvenation, enhancement, and slow relaxation of diffusion in biased continuous-time random walks}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {98}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.98.022105}, pages = {6}, year = {2018}, abstract = {Bias plays an important role in the enhancement of diffusion in periodic potentials. Using the continuous-time random walk in the presence of a bias, we report on an interesting phenomenon for the enhancement of diffusion by the start of the measurement in a random energy landscape. When the variance of the waiting time diverges, in contrast to the bias-free case, the dynamics with bias becomes superdiffusive. In the superdiffusive regime, we find a distinct initial ensemble dependence of the diffusivity. Moreover, the diffusivity can be increased by the aging time when the initial ensemble is not in equilibrium. We show that the time-averaged variance converges to the corresponding ensemble-averaged variance; i.e., ergodicity is preserved. However, trajectory-to-trajectory fluctuations of the time-averaged variance decay unexpectedly slowly. Our findings provide a rejuvenation phenomenon in the superdiffusive regime, that is, the diffusivity for a nonequilibrium initial ensemble gradually increases to that for an equilibrium ensemble when the start of the measurement is delayed.}, language = {en} } @article{MardoukhiJeonChechkinetal.2018, author = {Mardoukhi, Yousof and Jeon, Jae-Hyung and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Fluctuations of random walks in critical random environments}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {31}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c8cp03212b}, pages = {20427 -- 20438}, year = {2018}, abstract = {Percolation networks have been widely used in the description of porous media but are now found to be relevant to understand the motion of particles in cellular membranes or the nucleus of biological cells. Random walks on the infinite cluster at criticality of a percolation network are asymptotically ergodic. On any finite size cluster of the network stationarity is reached at finite times, depending on the cluster's size. Despite of this we here demonstrate by combination of analytical calculations and simulations that at criticality the disorder and cluster size average of the ensemble of clusters leads to a non-vanishing variance of the time averaged mean squared displacement, regardless of the measurement time. Fluctuations of this relevant experimental quantity due to the disorder average of such ensembles are thus persistent and non-negligible. The relevance of our results for single particle tracking analysis in complex and biological systems is discussed.}, language = {en} } @article{CherstvyThapaMardoukhietal.2018, author = {Cherstvy, Andrey G. and Thapa, Samudrajit and Mardoukhi, Yousof and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Time averages and their statistical variation for the Ornstein-Uhlenbeck process}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {98}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.98.022134}, pages = {15}, year = {2018}, abstract = {How ergodic is diffusion under harmonic confinements? How strongly do ensemble- and time-averaged displacements differ for a thermally-agitated particle performing confined motion for different initial conditions? We here study these questions for the generic Ornstein-Uhlenbeck (OU) process and derive the analytical expressions for the second and fourth moment. These quantifiers are particularly relevant for the increasing number of single-particle tracking experiments using optical traps. For a fixed starting position, we discuss the definitions underlying the ensemble averages. We also quantify effects of equilibrium and nonequilibrium initial particle distributions onto the relaxation properties and emerging nonequivalence of the ensemble- and time-averaged displacements (even in the limit of long trajectories). We derive analytical expressions for the ergodicity breaking parameter quantifying the amplitude scatter of individual time-averaged trajectories, both for equilibrium and outof-equilibrium initial particle positions, in the entire range of lag times. Our analytical predictions are in excellent agreement with results of computer simulations of the Langevin equation in a parabolic potential. We also examine the validity of the Einstein relation for the ensemble- and time-averaged moments of the OU-particle. Some physical systems, in which the relaxation and nonergodic features we unveiled may be observable, are discussed.}, language = {en} } @article{HouCherstvyMetzleretal.2018, author = {Hou, Ru and Cherstvy, Andrey G. and Metzler, Ralf and Akimoto, Takuma}, title = {Biased continuous-time random walks for ordinary and equilibrium cases}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {32}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c8cp01863d}, pages = {20827 -- 20848}, year = {2018}, abstract = {We examine renewal processes with power-law waiting time distributions (WTDs) and non-zero drift via computing analytically and by computer simulations their ensemble and time averaged spreading characteristics. All possible values of the scaling exponent alpha are considered for the WTD psi(t) similar to 1/t(1+alpha). We treat continuous-time random walks (CTRWs) with 0 < alpha < 1 for which the mean waiting time diverges, and investigate the behaviour of the process for both ordinary and equilibrium CTRWs for 1 < alpha < 2 and alpha > 2. We demonstrate that in the presence of a drift CTRWs with alpha < 1 are ageing and non-ergodic in the sense of the non-equivalence of their ensemble and time averaged displacement characteristics in the limit of lag times much shorter than the trajectory length. In the sense of the equivalence of ensemble and time averages, CTRW processes with 1 < alpha < 2 are ergodic for the equilibrium and non-ergodic for the ordinary situation. Lastly, CTRW renewal processes with alpha > 2-both for the equilibrium and ordinary situation-are always ergodic. For the situations 1 < alpha < 2 and alpha > 2 the variance of the diffusion process, however, depends on the initial ensemble. For biased CTRWs with alpha > 1 we also investigate the behaviour of the ergodicity breaking parameter. In addition, we demonstrate that for biased CTRWs the Einstein relation is valid on the level of the ensemble and time averaged displacements, in the entire range of the WTD exponent alpha.}, language = {en} } @article{CherstvyNagelBetaetal.2018, author = {Cherstvy, Andrey G. and Nagel, Oliver and Beta, Carsten and Metzler, Ralf}, title = {Non-Gaussianity, population heterogeneity, and transient superdiffusion in the spreading dynamics of amoeboid cells}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, number = {35}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c8cp04254c}, pages = {23034 -- 23054}, year = {2018}, abstract = {What is the underlying diffusion process governing the spreading dynamics and search strategies employed by amoeboid cells? Based on the statistical analysis of experimental single-cell tracking data of the two-dimensional motion of the Dictyostelium discoideum amoeboid cells, we quantify their diffusive behaviour based on a number of standard and complementary statistical indicators. We compute the ensemble- and time-averaged mean-squared displacements (MSDs) of the diffusing amoebae cells and observe a pronounced spread of short-time diffusion coefficients and anomalous MSD-scaling exponents for individual cells. The distribution functions of the cell displacements, the long-tailed distribution of instantaneous speeds, and the velocity autocorrelations are also computed. In particular, we observe a systematic superdiffusive short-time behaviour for the ensemble- and time-averaged MSDs of the amoeboid cells. Also, a clear anti-correlation of scaling exponents and generalised diffusivity values for different cells is detected. Most significantly, we demonstrate that the distribution function of the cell displacements has a strongly non-Gaussian shape andusing a rescaled spatio-temporal variablethe cell-displacement data collapse onto a universal master curve. The current analysis of single-cell motions can be implemented for quantifying diffusive behaviours in other living-matter systems, in particular, when effects of active transport, non-Gaussian displacements, and heterogeneity of the population are involved in the dynamics.}, language = {en} } @article{ThapaLukatSelhuberUnkeletal.2019, author = {Thapa, Samudrajit and Lukat, Nils and Selhuber-Unkel, Christine and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Transient superdiffusion of polydisperse vacuoles in highly motile amoeboid cells}, series = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, volume = {150}, journal = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, number = {14}, publisher = {American Institute of Physics}, address = {Melville}, issn = {0021-9606}, doi = {10.1063/1.5086269}, pages = {18}, year = {2019}, abstract = {We perform a detailed statistical analysis of diffusive trajectories of membrane-enclosed vesicles (vacuoles) in the supercrowded cytoplasm of living Acanthamoeba castellanii cells. From the vacuole traces recorded in the center-of-area frame of moving amoebae, we examine the statistics of the time-averaged mean-squared displacements of vacuoles, their generalized diffusion coefficients and anomalous scaling exponents, the ergodicity breaking parameter, the non-Gaussian features of displacement distributions of vacuoles, the displacement autocorrelation function, as well as the distributions of speeds and positions of vacuoles inside the amoeba cells. Our findings deliver novel insights into the internal dynamics of cellular structures in these infectious pathogens. Published under license by AIP Publishing.}, language = {en} } @article{DybiecCapalaChechkinetal.2018, author = {Dybiec, Bartlomiej and Capala, Karol and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Conservative random walks in confining potentials}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {52}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {1}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/aaefc2}, pages = {25}, year = {2018}, abstract = {Levy walks are continuous time random walks with spatio-temporal coupling of jump lengths and waiting times, often used to model superdiffusive spreading processes such as animals searching for food, tracer motion in weakly chaotic systems, or even the dynamics in quantum systems such as cold atoms. In the simplest version Levy walks move with a finite speed. Here, we present an extension of the Levy walk scenario for the case when external force fields influence the motion. The resulting motion is a combination of the response to the deterministic force acting on the particle, changing its velocity according to the principle of total energy conservation, and random velocity reversals governed by the distribution of waiting times. For the fact that the motion stays conservative, that is, on a constant energy surface, our scenario is fundamentally different from thermal motion in the same external potentials. In particular, we present results for the velocity and position distributions for single well potentials of different steepness. The observed dynamics with its continuous velocity changes enriches the theory of Levy walk processes and will be of use in a variety of systems, for which the particles are externally confined.}, language = {en} } @article{SposiniChechkinMetzler2018, author = {Sposini, Vittoria and Chechkin, Aleksei V. and Metzler, Ralf}, title = {First passage statistics for diffusing diffusivity}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {52}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {4}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/aaf6ff}, pages = {11}, year = {2018}, abstract = {A rapidly increasing number of systems is identified in which the stochastic motion of tracer particles follows the Brownian law < r(2)(t)> similar or equal to Dt yet the distribution of particle displacements is strongly non-Gaussian. A central approach to describe this effect is the diffusing diffusivity (DD) model in which the diffusion coefficient itself is a stochastic quantity, mimicking heterogeneities of the environment encountered by the tracer particle on its path. We here quantify in terms of analytical and numerical approaches the first passage behaviour of the DD model. We observe significant modifications compared to Brownian-Gaussian diffusion, in particular that the DD model may have a faster first passage dynamics. Moreover we find a universal crossover point of the survival probability independent of the initial condition.}, language = {en} } @article{KrapfLukatMarinarietal.2019, author = {Krapf, Diego and Lukat, Nils and Marinari, Enzo and Metzler, Ralf and Oshanin, Gleb and Selhuber-Unkel, Christine and Squarcini, Alessio and Stadler, Lorenz and Weiss, Matthias and Xu, Xinran}, title = {Spectral Content of a Single Non-Brownian Trajectory}, series = {Physical review : X, Expanding access}, volume = {9}, journal = {Physical review : X, Expanding access}, number = {1}, publisher = {American Physical Society}, address = {College Park}, issn = {2160-3308}, doi = {10.1103/PhysRevX.9.011019}, pages = {13}, year = {2019}, abstract = {Time-dependent processes are often analyzed using the power spectral density (PSD) calculated by taking an appropriate Fourier transform of individual trajectories and finding the associated ensemble average. Frequently, the available experimental datasets are too small for such ensemble averages, and hence, it is of a great conceptual and practical importance to understand to which extent relevant information can be gained from S(f, T), the PSD of a single trajectory. Here we focus on the behavior of this random, realization-dependent variable parametrized by frequency f and observation time T, for a broad family of anomalous diffusions-fractional Brownian motion with Hurst index H-and derive exactly its probability density function. We show that S(f, T) is proportional-up to a random numerical factor whose universal distribution we determine-to the ensemble-averaged PSD. For subdiffusion (H < 1/2), we find that S(f, T) similar to A/f(2H+1) with random amplitude A. In sharp contrast, for superdiffusion (H > 1/2) S(f, T) similar to BT2H-1/f(2) with random amplitude B. Remarkably, for H > 1/2 the PSD exhibits the same frequency dependence as Brownian motion, a deceptive property that may lead to false conclusions when interpreting experimental data. Notably, for H > 1/2 the PSD is ageing and is dependent on T. Our predictions for both sub-and superdiffusion are confirmed by experiments in live cells and in agarose hydrogels and by extensive simulations.}, language = {en} } @article{GrebenkovSposiniMetzleretal.2020, author = {Grebenkov, Denis S. and Sposini, Vittoria and Metzler, Ralf and Oshanin, Gleb and Seno, Flavio}, title = {Exact distributions of the maximum and range of random diffusivity processes}, series = {New Journal of Physics}, volume = {23}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/abd313}, pages = {23}, year = {2020}, abstract = {We study the extremal properties of a stochastic process xt defined by the Langevin equation ẋₜ =√2Dₜ ξₜ, in which ξt is a Gaussian white noise with zero mean and Dₜ is a stochastic'diffusivity', defined as a functional of independent Brownian motion Bₜ.We focus on threechoices for the random diffusivity Dₜ: cut-off Brownian motion, Dₜt ∼ Θ(Bₜ), where Θ(x) is the Heaviside step function; geometric Brownian motion, Dₜ ∼ exp(-Bₜ); and a superdiffusive process based on squared Brownian motion, Dₜ ∼ B²ₜ. For these cases we derive exact expressions for the probability density functions of the maximal positive displacement and of the range of the process xₜ on the time interval ₜ ∈ (0, T).We discuss the asymptotic behaviours of the associated probability density functions, compare these against the behaviour of the corresponding properties of standard Brownian motion with constant diffusivity (Dₜ = D0) and also analyse the typical behaviour of the probability density functions which is observed for a majority of realisations of the stochastic diffusivity process.}, language = {en} } @article{CherstvyThapaWagneretal.2019, author = {Cherstvy, Andrey G. and Thapa, Samudrajit and Wagner, Caroline E. and Metzler, Ralf}, title = {Non-Gaussian, non-ergodic, and non-Fickian diffusion of tracers in mucin hydrogels}, series = {Soft matter}, volume = {15}, journal = {Soft matter}, number = {12}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1744-683X}, doi = {10.1039/c8sm02096e}, pages = {2526 -- 2551}, year = {2019}, abstract = {Native mucus is polymer-based soft-matter material of paramount biological importance. How non-Gaussian and non-ergodic is the diffusive spreading of pathogens in mucus? We study the passive, thermally driven motion of micron-sized tracers in hydrogels of mucins, the main polymeric component of mucus. We report the results of the Bayesian analysis for ranking several diffusion models for a set of tracer trajectories [C. E. Wagner et al., Biomacromolecules, 2017, 18, 3654]. The models with "diffusing diffusivity', fractional and standard Brownian motion are used. The likelihood functions and evidences of each model are computed, ranking the significance of each model for individual traces. We find that viscoelastic anomalous diffusion is often most probable, followed by Brownian motion, while the model with a diffusing diffusion coefficient is only realised rarely. Our analysis also clarifies the distribution of time-averaged displacements, correlations of scaling exponents and diffusion coefficients, and the degree of non-Gaussianity of displacements at varying pH levels. Weak ergodicity breaking is also quantified. We conclude that-consistent with the original study-diffusion of tracers in the mucin gels is most non-Gaussian and non-ergodic at low pH that corresponds to the most heterogeneous networks. Using the Bayesian approach with the nested-sampling algorithm, together with the quantitative analysis of multiple statistical measures, we report new insights into possible physical mechanisms of diffusion in mucin gels.}, language = {en} } @article{AydinerCherstvyMetzler2019, author = {Aydiner, Ekrem and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Money distribution in agent-based models with position-exchange dynamics}, series = {The European physical journal : B, Condensed matter and complex systems}, volume = {92}, journal = {The European physical journal : B, Condensed matter and complex systems}, number = {5}, publisher = {Springer}, address = {New York}, issn = {1434-6028}, doi = {10.1140/epjb/e2019-90674-0}, pages = {4}, year = {2019}, abstract = {Wealth and income distributions are known to feature country-specific Pareto exponents for their long power-law tails. To propose a rationale for this, we introduce an agent-based dynamic model and use Monte Carlo simulations to unveil the wealth distributions in closed and open economical systems. The standard money-exchange scenario is supplemented with the position-exchange agent dynamics that vitally affects the Pareto law. Specifically, in closed systems with position-exchange dynamics the power law changes to an exponential shape, while for open systems with traps the Pareto law remains valid.}, language = {en} } @article{GrebenkovMetzlerOshaninetal.2019, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb and Dagdug, Leonardo and Berezhkovskii, Alexander M. and Skvortsov, Alexei T.}, title = {Trapping of diffusing particles by periodic absorbing rings on a cylindrical tube}, series = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, volume = {150}, journal = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, number = {20}, publisher = {American Institute of Physics}, address = {Melville}, issn = {0021-9606}, doi = {10.1063/1.5098390}, pages = {2}, year = {2019}, language = {en} } @article{ThapaWyłomańskaSikoraetal.2021, author = {Thapa, Samudrajit and Wyłomańska, Agnieszka and Sikora, Grzegorz and Wagner, Caroline E. and Krapf, Diego and Kantz, Holger and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Leveraging large-deviation statistics to decipher the stochastic properties of measured trajectories}, series = {New Journal of Physics}, volume = {23}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges. ; IOP}, address = {Bad Honnef ; London}, issn = {1367-2630}, doi = {10.1088/1367-2630/abd50e}, pages = {22}, year = {2021}, abstract = {Extensive time-series encoding the position of particles such as viruses, vesicles, or individualproteins are routinely garnered insingle-particle tracking experiments or supercomputing studies.They contain vital clues on how viruses spread or drugs may be delivered in biological cells.Similar time-series are being recorded of stock values in financial markets and of climate data.Such time-series are most typically evaluated in terms of time-averaged mean-squareddisplacements (TAMSDs), which remain random variables for finite measurement times. Theirstatistical properties are different for differentphysical stochastic processes, thus allowing us toextract valuable information on the stochastic process itself. To exploit the full potential of thestatistical information encoded in measured time-series we here propose an easy-to-implementand computationally inexpensive new methodology, based on deviations of the TAMSD from itsensemble average counterpart. Specifically, we use the upper bound of these deviations forBrownian motion (BM) to check the applicability of this approach to simulated and real data sets.By comparing the probability of deviations fordifferent data sets, we demonstrate how thetheoretical bound for BM reveals additional information about observed stochastic processes. Weapply the large-deviation method to data sets of tracer beads tracked in aqueous solution, tracerbeads measured in mucin hydrogels, and of geographic surface temperature anomalies. Ouranalysis shows how the large-deviation properties can be efficiently used as a simple yet effectiveroutine test to reject the BM hypothesis and unveil relevant information on statistical propertiessuch as ergodicity breaking and short-time correlations.}, language = {en} } @article{KosztolowiczMetzlerWąsiketal.2020, author = {Kosztolowicz, Tadeusz and Metzler, Ralf and Wąsik, Slawomir and Arabski, Michal}, title = {Modelling experimentally measured of ciprofloxacin antibiotic diffusion in Pseudomonas aeruginosa biofilm formed in artificial sputum medium}, series = {PLoS ONE}, volume = {15}, journal = {PLoS ONE}, publisher = {PLOS}, address = {San Francisco, California, US}, issn = {1932-6203}, doi = {10.1371/journal.pone.0243003}, pages = {14}, year = {2020}, abstract = {We study the experimentally measured ciprofloxacin antibiotic diffusion through a gel-like artificial sputum medium (ASM) mimicking physiological conditions typical for a cystic fibrosis layer, in which regions occupied by Pseudomonas aeruginosa bacteria are present. To quantify the antibiotic diffusion dynamics we employ a phenomenological model using a subdiffusion-absorption equation with a fractional time derivative. This effective equation describes molecular diffusion in a medium structured akin Thompson's plumpudding model; here the 'pudding' background represents the ASM and the 'plums' represent the bacterial biofilm. The pudding is a subdiffusion barrier for antibiotic molecules that can affect bacteria found in plums. For the experimental study we use an interferometric method to determine the time evolution of the amount of antibiotic that has diffused through the biofilm. The theoretical model shows that this function is qualitatively different depending on whether or not absorption of the antibiotic in the biofilm occurs. We show that the process can be divided into three successive stages: (1) only antibiotic subdiffusion with constant biofilm parameters, (2) subdiffusion and absorption of antibiotic molecules with variable biofilm transport parameters, (3) subdiffusion and absorption in the medium but the biofilm parameters are constant again. Stage 2 is interpreted as the appearance of an intensive defence build-up of bacteria against the action of the antibiotic, and in the stage 3 it is likely that the bacteria have been inactivated. Times at which stages change are determined from the experimentally obtained temporal evolution of the amount of antibiotic that has diffused through the ASM with bacteria. Our analysis shows good agreement between experimental and theoretical results and is consistent with the biologically expected biofilm response. We show that an experimental method to study the temporal evolution of the amount of a substance that has diffused through a biofilm is useful in studying the processes occurring in a biofilm. We also show that the complicated biological process of antibiotic diffusion in a biofilm can be described by a fractional subdiffusion-absorption equation with subdiffusion and absorption parameters that change over time.}, language = {en} } @article{GrebenkovMetzlerOshanin2020, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {From single-particle stochastic kinetics to macroscopic reaction rates}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/abb1de}, pages = {28}, year = {2020}, abstract = {We consider the first-passage problem for N identical independent particles that are initially released uniformly in a finite domain Ω and then diffuse toward a reactive area Γ, which can be part of the outer boundary of Ω or a reaction centre in the interior of Ω. For both cases of perfect and partial reactions, we obtain the explicit formulas for the first two moments of the fastest first-passage time (fFPT), i.e., the time when the first out of the N particles reacts with Γ. Moreover, we investigate the full probability density of the fFPT. We discuss a significant role of the initial condition in the scaling of the average fFPT with the particle number N, namely, a much stronger dependence (1/N and 1/N² for partially and perfectly reactive targets, respectively), in contrast to the well known inverse-logarithmic behaviour found when all particles are released from the same fixed point. We combine analytic solutions with scaling arguments and stochastic simulations to rationalise our results, which open new perspectives for studying the relevance of multiple searchers in various situations of molecular reactions, in particular, in living cells.}, language = {en} } @article{EliazarMetzlerReuveni2019, author = {Eliazar, Iddo and Metzler, Ralf and Reuveni, Shlomi}, title = {Poisson-process limit laws yield Gumbel max-min and min-max}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {100}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.100.022129}, pages = {12}, year = {2019}, abstract = {"A chain is only as strong as its weakest link" says the proverb. But what about a collection of statistically identical chains: How long till all chains fail? The answer to this question is given by the max-min of a matrix whose (i,j)entry is the failure time of link j of chain i: take the minimum of each row, and then the maximum of the rows' minima. The corresponding min-max is obtained by taking the maximum of each column, and then the minimum of the columns' maxima. The min-max applies to the storage of critical data. Indeed, consider multiple backup copies of a set of critical data items, and consider the (i,j) matrix entry to be the time at which item j on copy i is lost; then, the min-max is the time at which the first critical data item is lost. In this paper we address random matrices whose entries are independent and identically distributed random variables. We establish Poisson-process limit laws for the row's minima and for the columns' maxima. Then, we further establish Gumbel limit laws for the max-min and for the min-max. The limit laws hold whenever the entries' distribution has a density, and yield highly applicable approximation tools and design tools for the max-min and min-max of large random matrices. A brief of the results presented herein is given in: Gumbel central limit theorem for max-min and min-max}, language = {en} } @article{EliazarMetzlerReuveni2019, author = {Eliazar, Iddo and Metzler, Ralf and Reuveni, Shlomi}, title = {Gumbel central limit theorem for max-min and min-max}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {100}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {2}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.100.020104}, pages = {6}, year = {2019}, abstract = {The max-min and min-max of matrices arise prevalently in science and engineering. However, in many real-world situations the computation of the max-min and min-max is challenging as matrices are large and full information about their entries is lacking. Here we take a statistical-physics approach and establish limit laws—akin to the central limit theorem—for the max-min and min-max of large random matrices. The limit laws intertwine random-matrix theory and extreme-value theory, couple the matrix dimensions geometrically, and assert that Gumbel statistics emerge irrespective of the matrix entries' distribution. Due to their generality and universality, as well as their practicality, these results are expected to have a host of applications in the physical sciences and beyond.}, language = {en} } @article{KrapfMetzler2019, author = {Krapf, Diego and Metzler, Ralf}, title = {Strange interfacial molecular dynamics}, series = {Physics today}, volume = {72}, journal = {Physics today}, number = {9}, publisher = {American Institute of Physics}, address = {Melville}, issn = {0031-9228}, doi = {10.1063/PT.3.4294}, pages = {48 -- 54}, year = {2019}, language = {en} } @article{TeomyMetzler2019, author = {Teomy, Eial and Metzler, Ralf}, title = {Transport in exclusion processes with one-step memory: density dependence and optimal acceleration}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {52}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {38}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ab37e4}, pages = {19}, year = {2019}, abstract = {We study a lattice gas of persistent walkers, in which each site is occupied by at most one particle and the direction each particle attempts to move to depends on its last step. We analyse the mean squared displacement (MSD) of the particles as a function of the particle density and their persistence (the tendency to continue moving in the same direction). For positive persistence the MSD behaves as expected: it increases with the persistence and decreases with the density. However, for strong anti-persistence we find two different regimes, in which the dependence of the MSD on the density is non-monotonic. For very strong anti-persistence there is an optimal density at which the MSD reaches a maximum. In an intermediate regime, the MSD as a function of the density exhibits both a minimum and a maximum, a phenomenon which has not been observed before. We derive a mean-field theory which qualitatively explains this behaviour.}, language = {en} } @article{TeomyMetzler2019, author = {Teomy, Eial and Metzler, Ralf}, title = {Correlations and transport in exclusion processes with general finite memory}, series = {Journal of statistical mechanics: theory and experiment}, volume = {2019}, journal = {Journal of statistical mechanics: theory and experiment}, number = {10}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1742-5468}, doi = {10.1088/1742-5468/ab47fb}, pages = {31}, year = {2019}, language = {en} } @article{PalyulinBlackburnLomholtetal.2019, author = {Palyulin, Vladimir V. and Blackburn, George and Lomholt, Michael A. and Watkins, Nicholas W. and Metzler, Ralf and Klages, Rainer and Chechkin, Aleksei V.}, title = {First passage and first hitting times of Levy flights and Levy walks}, series = {New journal of physics : the open-access journal for physics}, volume = {21}, journal = {New journal of physics : the open-access journal for physics}, number = {10}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/ab41bb}, pages = {23}, year = {2019}, abstract = {For both L{\´e}vy flight and L{\´e}vy walk search processes we analyse the full distribution of first-passage and first-hitting (or first-arrival) times. These are, respectively, the times when the particle moves across a point at some given distance from its initial position for the first time, or when it lands at a given point for the first time. For L{\´e}vy motions with their propensity for long relocation events and thus the possibility to jump across a given point in space without actually hitting it ('leapovers'), these two definitions lead to significantly different results. We study the first-passage and first-hitting time distributions as functions of the L{\´e}vy stable index, highlighting the different behaviour for the cases when the first absolute moment of the jump length distribution is finite or infinite. In particular we examine the limits of short and long times. Our results will find their application in the mathematical modelling of random search processes as well as computer algorithms.}, language = {en} } @article{WangSenoSokolovetal.2020, author = {Wang, Wei and Seno, Flavio and Sokolov, Igor M. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Unexpected crossovers in correlated random-diffusivity processes}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/aba390}, pages = {17}, year = {2020}, abstract = {The passive and active motion of micron-sized tracer particles in crowded liquids and inside living biological cells is ubiquitously characterised by 'viscoelastic' anomalous diffusion, in which the increments of the motion feature long-ranged negative and positive correlations. While viscoelastic anomalous diffusion is typically modelled by a Gaussian process with correlated increments, so-called fractional Gaussian noise, an increasing number of systems are reported, in which viscoelastic anomalous diffusion is paired with non-Gaussian displacement distributions. Following recent advances in Brownian yet non-Gaussian diffusion we here introduce and discuss several possible versions of random-diffusivity models with long-ranged correlations. While all these models show a crossover from non-Gaussian to Gaussian distributions beyond some correlation time, their mean squared displacements exhibit strikingly different behaviours: depending on the model crossovers from anomalous to normal diffusion are observed, as well as a priori unexpected dependencies of the effective diffusion coefficient on the correlation exponent. Our observations of the non-universality of random-diffusivity viscoelastic anomalous diffusion are important for the analysis of experiments and a better understanding of the physical origins of 'viscoelastic yet non-Gaussian' diffusion.}, language = {en} } @article{GranadoAbadMetzleretal.2020, author = {Granado, Felipe Le Vot and Abad, Enrique and Metzler, Ralf and Yuste, Santos B.}, title = {Continuous time random walk in a velocity field}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/ab9ae2}, pages = {27}, year = {2020}, abstract = {We consider the emerging dynamics of a separable continuous time random walk (CTRW) in the case when the random walker is biased by a velocity field in a uniformly growing domain. Concrete examples for such domains include growing biological cells or lipid vesicles, biofilms and tissues, but also macroscopic systems such as expanding aquifers during rainy periods, or the expanding Universe. The CTRW in this study can be subdiffusive, normal diffusive or superdiffusive, including the particular case of a L{\´e}vy flight. We first consider the case when the velocity field is absent. In the subdiffusive case, we reveal an interesting time dependence of the kurtosis of the particle probability density function. In particular, for a suitable parameter choice, we find that the propagator, which is fat tailed at short times, may cross over to a Gaussian-like propagator. We subsequently incorporate the effect of the velocity field and derive a bi-fractional diffusion-advection equation encoding the time evolution of the particle distribution. We apply this equation to study the mixing kinetics of two diffusing pulses, whose peaks move towards each other under the action of velocity fields acting in opposite directions. This deterministic motion of the peaks, together with the diffusive spreading of each pulse, tends to increase particle mixing, thereby counteracting the peak separation induced by the domain growth. As a result of this competition, different regimes of mixing arise. In the case of L{\´e}vy flights, apart from the non-mixing regime, one has two different mixing regimes in the long-time limit, depending on the exact parameter choice: in one of these regimes, mixing is mainly driven by diffusive spreading, while in the other mixing is controlled by the velocity fields acting on each pulse. Possible implications for encounter-controlled reactions in real systems are discussed.}, language = {en} } @article{VojtaSkinnerMetzler2019, author = {Vojta, Thomas and Skinner, Sarah and Metzler, Ralf}, title = {Probability density of the fractional Langevin equation with reflecting walls}, series = {Physical review : E, Statistical, nonlinear and soft matter physics}, volume = {100}, journal = {Physical review : E, Statistical, nonlinear and soft matter physics}, number = {4}, publisher = {American Physical Society}, address = {College Park}, issn = {2470-0045}, doi = {10.1103/PhysRevE.100.042142}, pages = {11}, year = {2019}, abstract = {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 behavior observed for normal diffusion. If the correlations of the random force are persistent (positive), particles accumulate at the reflecting wall while antipersistent (negative) correlations lead to a depletion of particles near the wall. We compare and contrast these results with the strong accumulation and depletion effects recently observed for nonthermal fractional Brownian motion with reflecting walls, and we discuss broader implications.}, language = {en} } @article{Metzler2019, author = {Metzler, Ralf}, title = {Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion}, series = {Journal of statistical mechanics: theory and experiment}, volume = {2019}, journal = {Journal of statistical mechanics: theory and experiment}, number = {11}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1742-5468}, doi = {10.1088/1742-5468/ab4988}, pages = {18}, year = {2019}, abstract = {Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in general have been addressed in Statistical Physics. In particular, there now exists a very large range of applications of stochastic processes in various disciplines. Here we provide a summary of some of the recent developments in the field of stochastic processes, highlighting both the experimental findings and theoretical frameworks.}, language = {en} } @article{PadashChechkinDybiecetal.2019, author = {Padash, Amin and Chechkin, Aleksei V. and Dybiec, Bartlomiej and Pavlyukevich, Ilya and Shokri, Babak and Metzler, Ralf}, title = {First-passage properties of asymmetric Levy flights}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {52}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {45}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8121/ab493e}, pages = {48}, year = {2019}, abstract = {L{\´e}vy flights are paradigmatic generalised random walk processes, in which the independent stationary increments—the 'jump lengths'—are drawn from an -stable jump length distribution with long-tailed, power-law asymptote. As a result, the variance of L{\´e}vy flights diverges and the trajectory is characterised by occasional extremely long jumps. Such long jumps significantly decrease the probability to revisit previous points of visitation, rendering L{\´e}vy flights efficient search processes in one and two dimensions. To further quantify their precise property as random search strategies we here study the first-passage time properties of L{\´e}vy flights in one-dimensional semi-infinite and bounded domains for symmetric and asymmetric jump length distributions. To obtain the full probability density function of first-passage times for these cases we employ two complementary methods. One approach is based on the space-fractional diffusion equation for the probability density function, from which the survival probability is obtained for different values of the stable index and the skewness (asymmetry) parameter . The other approach is based on the stochastic Langevin equation with -stable driving noise. Both methods have their advantages and disadvantages for explicit calculations and numerical evaluation, and the complementary approach involving both methods will be profitable for concrete applications. We also make use of the Skorokhod theorem for processes with independent increments and demonstrate that the numerical results are in good agreement with the analytical expressions for the probability density function of the first-passage times.}, language = {en} } @article{SposiniGrebenkovMetzleretal.2020, author = {Sposini, Vittoria and Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb and Seno, Flavio}, title = {Universal spectral features of different classes of random-diffusivity processes}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, number = {6}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/ab9200}, pages = {26}, year = {2020}, abstract = {Stochastic models based on random diffusivities, such as the diffusing-diffusivity approach, are popular concepts for the description of non-Gaussian diffusion in heterogeneous media. Studies of these models typically focus on the moments and the displacement probability density function. Here we develop the complementary power spectral description for a broad class of random-diffusivity processes. In our approach we cater for typical single particle tracking data in which a small number of trajectories with finite duration are garnered. Apart from the diffusing-diffusivity model we study a range of previously unconsidered random-diffusivity processes, for which we obtain exact forms of the probability density function. These new processes are different versions of jump processes as well as functionals of Brownian motion. The resulting behaviour subtly depends on the specific model details. Thus, the central part of the probability density function may be Gaussian or non-Gaussian, and the tails may assume Gaussian, exponential, log-normal, or even power-law forms. For all these models we derive analytically the moment-generating function for the single-trajectory power spectral density. We establish the generic 1/f²-scaling of the power spectral density as function of frequency in all cases. Moreover, we establish the probability density for the amplitudes of the random power spectral density of individual trajectories. The latter functions reflect the very specific properties of the different random-diffusivity models considered here. Our exact results are in excellent agreement with extensive numerical simulations.}, language = {en} } @article{MardoukhiChechkinMetzler2020, author = {Mardoukhi, Yousof and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Spurious ergodicity breaking in normal and fractional Ornstein-Uhlenbeck process}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, publisher = {IOP}, address = {London}, issn = {1367-2630}, doi = {10.1088/1367-2630/ab950b}, pages = {18}, year = {2020}, abstract = {The Ornstein-Uhlenbeck process is a stationary and ergodic Gaussian process, that is fully determined by its covariance function and mean. We show here that the generic definitions of the ensemble- and time-averaged mean squared displacements fail to capture these properties consistently, leading to a spurious ergodicity breaking. We propose to remedy this failure by redefining the mean squared displacements such that they reflect unambiguously the statistical properties of any stochastic process. In particular we study the effect of the initial condition in the Ornstein-Uhlenbeck process and its fractional extension. For the fractional Ornstein-Uhlenbeck process representing typical experimental situations in crowded environments such as living biological cells, we show that the stationarity of the process delicately depends on the initial condition.}, language = {en} } @article{LiMeiXuetal.2020, author = {Li, Yongge and Mei, Ruoxing and Xu, Yong and Kurths, J{\"u}rgen and Duan, Jinqiao and Metzler, Ralf}, title = {Particle dynamics and transport enhancement in a confined channel with position-dependent diffusivity}, series = {New Journal of Physics}, volume = {22}, journal = {New Journal of Physics}, publisher = {Dt. Physikalische Ges.}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/ab81b9}, pages = {27}, year = {2020}, abstract = {This work focuses on the dynamics of particles in a confined geometry with position-dependent diffusivity, where the confinement is modelled by a periodic channel consisting of unit cells connected by narrow passage ways. We consider three functional forms for the diffusivity, corresponding to the scenarios of a constant (D ₀), as well as a low (D ₘ) and a high (D d) mobility diffusion in cell centre of the longitudinally symmetric cells. Due to the interaction among the diffusivity, channel shape and external force, the system exhibits complex and interesting phenomena. By calculating the probability density function, mean velocity and mean first exit time with the It{\^o} calculus form, we find that in the absence of external forces the diffusivity D d will redistribute particles near the channel wall, while the diffusivity D ₘ will trap them near the cell centre. The superposition of external forces will break their static distributions. Besides, our results demonstrate that for the diffusivity D d, a high dependence on the x coordinate (parallel with the central channel line) will improve the mean velocity of the particles. In contrast, for the diffusivity D ₘ, a weak dependence on the x coordinate will dramatically accelerate the moving speed. In addition, it shows that a large external force can weaken the influences of different diffusivities; inversely, for a small external force, the types of diffusivity affect significantly the particle dynamics. In practice, one can apply these results to achieve a prominent enhancement of the particle transport in two- or three-dimensional channels by modulating the local tracer diffusivity via an engineered gel of varying porosity or by adding a cold tube to cool down the diffusivity along the central line, which may be a relevant effect in engineering applications. Effects of different stochastic calculi in the evaluation of the underlying multiplicative stochastic equation for different physical scenarios are discussed.}, language = {en} } @article{ThapaLomholtKrogetal.2018, author = {Thapa, Samudrajit and Lomholt, Michael Andersen and Krog, Jens and Cherstvy, Andrey G. and Metzler, Ralf}, title = {Bayesian analysis of single-particle tracking data using the nested-sampling algorithm: maximum-likelihood model selection applied to stochastic-diffusivity data}, series = {Physical chemistry, chemical physics : PCCP ; a journal of European Chemical Societies}, volume = {20}, journal = {Physical chemistry, chemical physics : PCCP ; a journal of European Chemical Societies}, number = {46}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c8cp04043e}, pages = {29018 -- 29037}, year = {2018}, abstract = {We employ Bayesian statistics using the nested-sampling algorithm to compare and rank multiple models of ergodic diffusion (including anomalous diffusion) as well as to assess their optimal parameters for in silico-generated and real time-series. We focus on the recently-introduced model of Brownian motion with "diffusing diffusivity'-giving rise to widely-observed non-Gaussian displacement statistics-and its comparison to Brownian and fractional Brownian motion, also for the time-series with some measurement noise. We conduct this model-assessment analysis using Bayesian statistics and the nested-sampling algorithm on the level of individual particle trajectories. We evaluate relative model probabilities and compute best-parameter sets for each diffusion model, comparing the estimated parameters to the true ones. We test the performance of the nested-sampling algorithm and its predictive power both for computer-generated (idealised) trajectories as well as for real single-particle-tracking trajectories. Our approach delivers new important insight into the objective selection of the most suitable stochastic model for a given time-series. We also present first model-ranking results in application to experimental data of tracer diffusion in polymer-based hydrogels.}, language = {en} } @article{ChechkinSenoMetzleretal.2017, author = {Chechkin, Aleksei V. and Seno, Flavio and Metzler, Ralf and Sokolov, Igor M.}, title = {Brownian yet Non-Gaussian Diffusion: From Superstatistics to Subordination of Diffusing Diffusivities}, series = {Physical review : X, Expanding access}, volume = {7}, journal = {Physical review : X, Expanding access}, publisher = {American Physical Society}, address = {College Park}, issn = {2160-3308}, doi = {10.1103/PhysRevX.7.021002}, pages = {20}, year = {2017}, abstract = {A growing number of biological, soft, and active matter systems are observed to exhibit normal diffusive dynamics with a linear growth of the mean-squared displacement, yet with a non-Gaussian distribution of increments. Based on the Chubinsky-Slater idea of a diffusing diffusivity, we here establish and analyze a minimal model framework of diffusion processes with fluctuating diffusivity. In particular, we demonstrate the equivalence of the diffusing diffusivity process with a superstatistical approach with a distribution of diffusivities, at times shorter than the diffusivity correlation time. At longer times, a crossover to a Gaussian distribution with an effective diffusivity emerges. Specifically, we establish a subordination picture of Brownian but non-Gaussian diffusion processes, which can be used for a wide class of diffusivity fluctuation statistics. Our results are shown to be in excellent agreement with simulations and numerical evaluations.}, language = {en} } @article{SchwarzlGodecMetzler2017, author = {Schwarzl, Maria and Godec, Aljaz and Metzler, Ralf}, title = {Quantifying non-ergodicity of anomalous diffusion with higher order moments}, series = {Scientific reports}, volume = {7}, journal = {Scientific reports}, publisher = {Nature Publ. Group}, address = {London}, issn = {2045-2322}, doi = {10.1038/s41598-017-03712-x}, pages = {18}, year = {2017}, abstract = {Anomalous diffusion is being discovered in a fast growing number of systems. The exact nature of this anomalous diffusion provides important information on the physical laws governing the studied system. One of the central properties analysed for finite particle motion time series is the intrinsic variability of the apparent diffusivity, typically quantified by the ergodicity breaking parameter EB. Here we demonstrate that frequently EB is insufficient to provide a meaningful measure for the observed variability of the data. Instead, important additional information is provided by the higher order moments entering by the skewness and kurtosis. We analyse these quantities for three popular anomalous diffusion models. In particular, we find that even for the Gaussian fractional Brownian motion a significant skewness in the results of physical measurements occurs and needs to be taken into account. Interestingly, the kurtosis and skewness may also provide sensitive estimates of the anomalous diffusion exponent underlying the data. We also derive a new result for the EB parameter of fractional Brownian motion valid for the whole range of the anomalous diffusion parameter. Our results are important for the analysis of anomalous diffusion but also provide new insights into the theory of anomalous stochastic processes.}, language = {en} } @article{CherstvyVinodAghionetal.2017, author = {Cherstvy, Andrey G. and Vinod, Deepak and Aghion, Erez and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Time averaging, ageing and delay analysis of financial time series}, series = {New journal of physics : the open-access journal for physics}, volume = {19}, journal = {New journal of physics : the open-access journal for physics}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/aa7199}, pages = {135 -- 147}, year = {2017}, abstract = {We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.}, language = {en} } @article{SandevSokolovMetzleretal.2017, author = {Sandev, Trifce and Sokolov, Igor M. and Metzler, Ralf and Chechkin, Aleksei V.}, title = {Beyond monofractional kinetics}, series = {Chaos, solitons \& fractals : applications in science and engineering ; an interdisciplinary journal of nonlinear science}, volume = {102}, journal = {Chaos, solitons \& fractals : applications in science and engineering ; an interdisciplinary journal of nonlinear science}, publisher = {Elsevier}, address = {Oxford}, issn = {0960-0779}, doi = {10.1016/j.chaos.2017.05.001}, pages = {210 -- 217}, year = {2017}, abstract = {We discuss generalized integro-differential diffusion equations whose integral kernels are not of a simple power law form, and thus these equations themselves do not belong to the family of fractional diffusion equations exhibiting a monoscaling behavior. They instead generate a broad class of anomalous nonscaling patterns, which correspond either to crossovers between different power laws, or to a non-power-law behavior as exemplified by the logarithmic growth of the width of the distribution. We consider normal and modified forms of these generalized diffusion equations and provide a brief discussion of three generic types of integral kernels for each form, namely, distributed order, truncated power law and truncated distributed order kernels. For each of the cases considered we prove the non-negativity of the solution of the corresponding generalized diffusion equation and calculate the mean squared displacement. (C) 2017 Elsevier Ltd. All rights reserved.}, language = {en} } @article{PalyulinMantsevichKlagesetal.2017, author = {Palyulin, Vladimir V. and Mantsevich, Vladimir N. and Klages, Rainer and Metzler, Ralf and Chechkin, Aleksei V.}, title = {Comparison of pure and combined search strategies for single and multiple targets}, series = {The European physical journal : B, Condensed matter and complex systems}, volume = {90}, journal = {The European physical journal : B, Condensed matter and complex systems}, publisher = {Springer}, address = {New York}, issn = {1434-6028}, doi = {10.1140/epjb/e2017-80372-4}, pages = {20 -- 37}, year = {2017}, abstract = {We address the generic problem of random search for a point-like target on a line. Using the measures of search reliability and efficiency to quantify the random search quality, we compare Brownian search with Levy search based on long-tailed jump length distributions. We then compare these results with a search process combined of two different long-tailed jump length distributions. Moreover, we study the case of multiple targets located by a Levy searcher.}, language = {en} } @article{JavanainenMartinezSearaMetzleretal.2017, author = {Javanainen, Matti and Martinez-Seara, Hector and Metzler, Ralf and Vattulainen, Ilpo}, title = {Diffusion of Integral Membrane Proteins in Protein-Rich Membranes}, series = {The journal of physical chemistry letters}, volume = {8}, journal = {The journal of physical chemistry letters}, publisher = {American Chemical Society}, address = {Washington}, issn = {1948-7185}, doi = {10.1021/acs.jpclett.7b01758}, pages = {4308 -- 4313}, year = {2017}, abstract = {The lateral diffusion of embedded proteins along lipid membranes in protein-poor conditions has been successfully described in terms of the Saffman-Delbruck (SD) model, which predicts that the protein diffusion coefficient D is weakly dependent on its radius R as D proportional to ln(1/R). However, instead of being protein-poor, native cell membranes are extremely crowded with proteins. On the basis of extensive molecular simulations, we here demonstrate that protein crowding of the membrane at physiological levels leads to deviations from the SD relation and to the emergence of a stronger Stokes-like dependence D proportional to 1/R. We propose that this 1/R law mainly arises due to geometrical factors: smaller proteins are able to avoid confinement effects much better than their larger counterparts. The results highlight that the lateral dynamics in the crowded setting found in native membranes is radically different from protein-poor conditions and plays a significant role in formation of functional multiprotein complexes.}, language = {en} } @article{CaetanodeCarvalhoMetzleretal.2017, author = {Caetano, Daniel L. Z. and de Carvalho, Sidney J. and Metzler, Ralf and Cherstvy, Andrey G.}, title = {Critical adsorption of periodic and random polyampholytes onto charged surfaces}, series = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, volume = {19}, journal = {Physical chemistry, chemical physics : a journal of European Chemical Societies}, publisher = {Royal Society of Chemistry}, address = {Cambridge}, issn = {1463-9076}, doi = {10.1039/c7cp04040g}, pages = {23397 -- 23413}, year = {2017}, abstract = {How different are the properties of critical adsorption of polyampholytes and polyelectrolytes onto charged surfaces? How important are the details of polyampholyte charge distribution on the onset of critical adsorption transition? What are the scaling relations governing the dependence of critical surface charge density on salt concentration in the surrounding solution? Here, we employ Metropolis Monte Carlo simulations and uncover the scaling relations for critical adsorption for quenched periodic and random charge distributions along the polyampholyte chains. We also evaluate and discuss the dependence of the adsorbed layer width on solution salinity and details of the charge distribution. We contrast our findings to the known results for polyelectrolyte adsorption onto oppositely charged surfaces, in particular, their dependence on electrolyte concentration.}, language = {en} } @article{HerrmannMetzlerEngbert2017, author = {Herrmann, Carl J. J. and Metzler, Ralf and Engbert, Ralf}, title = {A self-avoiding walk with neural delays as a model of fixational eye movements}, series = {Scientific reports}, volume = {7}, journal = {Scientific reports}, publisher = {Nature Publ. Group}, address = {London}, issn = {2045-2322}, doi = {10.1038/s41598-017-13489-8}, pages = {17}, year = {2017}, abstract = {Fixational eye movements show scaling behaviour of the positional mean-squared displacement with a characteristic transition from persistence to antipersistence for increasing time-lag. These statistical patterns were found to be mainly shaped by microsaccades (fast, small-amplitude movements). However, our re-analysis of fixational eye-movement data provides evidence that the slow component (physiological drift) of the eyes exhibits scaling behaviour of the mean-squared displacement that varies across human participants. These results suggest that drift is a correlated movement that interacts with microsaccades. Moreover, on the long time scale, the mean-squared displacement of the drift shows oscillations, which is also present in the displacement auto-correlation function. This finding lends support to the presence of time-delayed feedback in the control of drift movements. Based on an earlier non-linear delayed feedback model of fixational eye movements, we propose and discuss different versions of a new model that combines a self-avoiding walk with time delay. As a result, we identify a model that reproduces oscillatory correlation functions, the transition from persistence to antipersistence, and microsaccades.}, language = {en} } @article{GrebenkovMetzlerOshanin2017, author = {Grebenkov, Denis S. and Metzler, Ralf and Oshanin, Gleb}, title = {Effects of the target aspect ratio and intrinsic reactivity onto diffusive search in bounded domains}, series = {New journal of physics : the open-access journal for physics}, volume = {19}, journal = {New journal of physics : the open-access journal for physics}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/aa8ed9}, pages = {11}, year = {2017}, abstract = {We study the mean first passage time (MFPT) to a reaction event on a specific site in a cylindrical geometry-characteristic, for instance, for bacterial cells, with a concentric inner cylinder representing the nuclear region of the bacterial cell. A similar problem emerges in the description of a diffusive search by a transcription factor protein for a specific binding region on a single strand of DNA. We develop a unified theoretical approach to study the underlying boundary value problem which is based on a self-consistent approximation of the mixed boundary condition. Our approach permits us to derive explicit, novel, closed-form expressions for the MFPT valid for a generic setting with an arbitrary relation between the system parameters. We analyse this general result in the asymptotic limits appropriate for the above-mentioned biophysical problems. Our investigation reveals the crucial role of the target aspect ratio and of the intrinsic reactivity of the binding region, which were disregarded in previous studies. Theoretical predictions are confirmed by numerical simulations.}, language = {en} } @article{ChechkinKantzMetzler2017, author = {Chechkin, Aleksei V. and Kantz, Holger and Metzler, Ralf}, title = {Ageing effects in ultraslow continuous time random walks}, series = {The European physical journal : B, Condensed matter and complex systems}, volume = {90}, journal = {The European physical journal : B, Condensed matter and complex systems}, publisher = {Springer}, address = {New York}, issn = {1434-6028}, doi = {10.1140/epjb/e2017-80270-9}, pages = {12}, year = {2017}, abstract = {In ageing systems physical observables explicitly depend on the time span elapsing between the original initiation of the system and the actual start of the recording of the particle motion. We here study the signatures of ageing in the framework of ultraslow continuous time random walk processes with super-heavy tailed waiting time densities. We derive the density for the forward or recurrent waiting time of the motion as function of the ageing time, generalise the Montroll-Weiss equation for this process, and analyse the ageing behaviour of the ensemble and time averaged mean squared displacements.}, language = {en} } @article{SandevIominKantzetal.2016, author = {Sandev, Trifce and Iomin, Alexander and Kantz, Holger and Metzler, Ralf and Chechkin, Aleksei V.}, title = {Comb Model with Slow and Ultraslow Diffusion}, series = {Mathematical modelling of natural phenomena}, volume = {11}, journal = {Mathematical modelling of natural phenomena}, publisher = {EDP Sciences}, address = {Les Ulis}, issn = {0973-5348}, doi = {10.1051/mmnp/201611302}, pages = {18 -- 33}, year = {2016}, abstract = {We consider a generalized diffusion equation in two dimensions for modeling diffusion on a comb-like structures. We analyze the probability distribution functions and we derive the mean squared displacement in x and y directions. Different forms of the memory kernels (Dirac delta, power-law, and distributed order) are considered. It is shown that anomalous diffusion may occur along both x and y directions. Ultraslow diffusion and some more general diffusive processes are observed as well. We give the corresponding continuous time random walk model for the considered two dimensional diffusion-like equation on a comb, and we derive the probability distribution functions which subordinate the process governed by this equation to the Wiener process.}, language = {en} }