@misc{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 = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, journal = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, number = {1118}, issn = {1866-8372}, doi = {10.25932/publishup-49349}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-493494}, pages = {24}, 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} } @misc{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}, number = {1006}, issn = {1866-8372}, doi = {10.25932/publishup-48004}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-480049}, pages = {18}, 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} } @misc{MardoukhiChechkinMetzler2020, author = {Mardoukhi, Yousof and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Spurious ergodicity breaking in normal and fractional Ornstein-Uhlenbeck process}, series = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, journal = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, number = {981}, issn = {1866-8372}, doi = {10.25932/publishup-47487}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-474875}, pages = {20}, 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} } @misc{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 L{\´e}vy flights and L{\´e}vy walks}, series = {Postprints der Universit{\"a}t Potsdam Mathematisch-Naturwissenschaftliche Reihe}, journal = {Postprints der Universit{\"a}t Potsdam Mathematisch-Naturwissenschaftliche Reihe}, number = {785}, issn = {1866-8372}, doi = {10.25932/publishup-43983}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-439832}, pages = {25}, 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} } @misc{SposiniChechkinFlavioetal.2018, author = {Sposini, Vittoria and Chechkin, Aleksei V. and Flavio, Seno and Pagnini, Gianni and Metzler, Ralf}, title = {Random diffusivity from stochastic equations}, series = {New Journal of Physics}, journal = {New Journal of Physics}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-409743}, pages = {33}, year = {2018}, abstract = {Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability density function of the particle displacement is distinctly non-Gaussian, and often of exponential(Laplace) shape. This apparently ubiquitous behaviour observed in very different physical systems has been interpreted as resulting from diffusion in inhomogeneous environments and mathematically represented through a variable, stochastic diffusion coefficient. Indeed different models describing a fluctuating diffusivity have been studied. Here we present a new view of the stochastic basis describing time dependent random diffusivities within a broad spectrum of distributions. Concretely, our study is based on the very generic class of the generalised Gamma distribution. Two models for the particle spreading in such random diffusivity settings are studied. The first belongs to the class of generalised grey Brownian motion while the second follows from the idea of diffusing diffusivities. The two processes exhibit significant characteristics which reproduce experimental results from different biological and physical systems. We promote these two physical models for the description of stochastic particle motion in complex environments.}, language = {en} } @misc{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}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-400541}, pages = {11}, 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} } @misc{BodrovaChechkinCherstvyetal.2016, author = {Bodrova, Anna S. and Chechkin, Aleksei V. and Cherstvy, Andrey G. and Safdari, Hadiseh and Sokolov, Igor M. and Metzler, Ralf}, title = {Underdamped scaled Brownian motion}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-97158}, pages = {16}, year = {2016}, abstract = {It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases.}, language = {en} } @misc{MetzlerCherstvyChechkinetal.2015, author = {Metzler, Ralf and Cherstvy, Andrey G. and Chechkin, Aleksei V. and Bodrova, Anna S.}, title = {Ultraslow scaled Brownian motion}, series = {New journal of physics : the open-access journal for physics}, journal = {New journal of physics : the open-access journal for physics}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-78618}, year = {2015}, abstract = {We define and study in detail utraslow scaled Brownian motion (USBM) characterized by a time dependent diffusion coefficient of the form . For unconfined motion the mean squared displacement (MSD) of USBM exhibits an ultraslow, logarithmic growth as function of time, in contrast to the conventional scaled Brownian motion. In a harmonic potential the MSD of USBM does not saturate but asymptotically decays inverse-proportionally to time, reflecting the highly non-stationary character of the process. We show that the process is weakly non-ergodic in the sense that the time averaged MSD does not converge to the regular MSD even at long times, and for unconfined motion combines a linear lag time dependence with a logarithmic term. The weakly non-ergodic behaviour is quantified in terms of the ergodicity breaking parameter. The USBM process is also shown to be ageing: observables of the system depend on the time gap between initiation of the test particle and start of the measurement of its motion. Our analytical results are shown to agree excellently with extensive computer simulations.}, language = {en} } @misc{JeonChechkinMetzler2014, author = {Jeon, Jae-Hyung and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Scaled Brownian motion: a paradoxical process with a time dependent diffusivity for the description of anomalous diffusion}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-76302}, pages = {15811 -- 15817}, year = {2014}, abstract = {Anomalous diffusion is frequently described by scaled Brownian motion (SBM){,} a Gaussian process with a power-law time dependent diffusion coefficient. Its mean squared displacement is ?x2(t)? [similar{,} equals] 2K(t)t with K(t) [similar{,} equals] t[small alpha]-1 for 0 < [small alpha] < 2. SBM may provide a seemingly adequate description in the case of unbounded diffusion{,} for which its probability density function coincides with that of fractional Brownian motion. Here we show that free SBM is weakly non-ergodic but does not exhibit a significant amplitude scatter of the time averaged mean squared displacement. More severely{,} we demonstrate that under confinement{,} the dynamics encoded by SBM is fundamentally different from both fractional Brownian motion and continuous time random walks. SBM is highly non-stationary and cannot provide a physical description for particles in a thermalised stationary system. Our findings have direct impact on the modelling of single particle tracking experiments{,} in particular{,} under confinement inside cellular compartments or when optical tweezers tracking methods are used.}, language = {en} }