TY - JOUR A1 - Thapa, Samudrajit A1 - Wyłomańska, Agnieszka A1 - Sikora, Grzegorz A1 - Wagner, Caroline E. A1 - Krapf, Diego A1 - Kantz, Holger A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Leveraging large-deviation statistics to decipher the stochastic properties of measured trajectories JF - New Journal of Physics N2 - 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. KW - diffusion KW - anomalous diffusion KW - large-deviation statistic KW - time-averaged mean squared displacement KW - Chebyshev inequality Y1 - 2020 U6 - https://doi.org/10.1088/1367-2630/abd50e SN - 1367-2630 VL - 23 PB - Dt. Physikalische Ges. ; IOP CY - Bad Honnef ; London ER - TY - JOUR A1 - Sposini, Vittoria A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - First passage statistics for diffusing diffusivity JF - Journal of physics : A, Mathematical and theoretical N2 - 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. KW - diffusion KW - superstatistics KW - first passage Y1 - 2018 U6 - https://doi.org/10.1088/1751-8121/aaf6ff SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 4 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Dybiec, Bartlomiej A1 - Capala, Karol A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Conservative random walks in confining potentials JF - Journal of physics : A, Mathematical and theoretical N2 - 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. KW - Levy walk KW - conservative random walks KW - Levy flight Y1 - 2018 U6 - https://doi.org/10.1088/1751-8121/aaefc2 SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 1 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Mardoukhi, Yousof A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Spurious ergodicity breaking in normal and fractional Ornstein–Uhlenbeck process JF - New Journal of Physics N2 - 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. KW - Ornstein–Uhlenbeck process KW - stationary stochastic process KW - ensemble and time averaged mean squared displacement Y1 - 2020 U6 - https://doi.org/10.1088/1367-2630/ab950b SN - 1367-2630 VL - 22 PB - IOP CY - London ER - TY - JOUR A1 - Eliazar, Iddo A1 - Metzler, Ralf A1 - Reuveni, Shlomi T1 - Poisson-process limit laws yield Gumbel max-min and min-max JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - “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 Y1 - 2019 U6 - https://doi.org/10.1103/PhysRevE.100.022129 SN - 2470-0045 SN - 2470-0053 VL - 100 IS - 2 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Eliazar, Iddo A1 - Metzler, Ralf A1 - Reuveni, Shlomi T1 - Gumbel central limit theorem for max-min and min-max JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - 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. Y1 - 2019 U6 - https://doi.org/10.1103/PhysRevE.100.020104 SN - 2470-0045 SN - 2470-0053 VL - 100 IS - 2 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Krapf, Diego A1 - Metzler, Ralf T1 - Strange interfacial molecular dynamics JF - Physics today Y1 - 2019 U6 - https://doi.org/10.1063/PT.3.4294 SN - 0031-9228 SN - 1945-0699 VL - 72 IS - 9 SP - 48 EP - 54 PB - American Institute of Physics CY - Melville ER - TY - JOUR A1 - Teomy, Eial A1 - Metzler, Ralf T1 - Transport in exclusion processes with one-step memory: density dependence and optimal acceleration JF - Journal of physics : A, Mathematical and theoretical N2 - 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. KW - exclusion process KW - persistence KW - lattice gas Y1 - 2019 U6 - https://doi.org/10.1088/1751-8121/ab37e4 SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 38 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Blackburn, George A1 - Lomholt, Michael A. A1 - Watkins, Nicholas W. A1 - Metzler, Ralf A1 - Klages, Rainer A1 - Chechkin, Aleksei V. T1 - First passage and first hitting times of Levy flights and Levy walks JF - New journal of physics : the open-access journal for physics N2 - For both Lévy flight and Lévy 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 Lévy 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 Lévy 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. KW - Levy flights KW - Levy walks KW - first-passage time KW - first-hitting time Y1 - 2019 U6 - https://doi.org/10.1088/1367-2630/ab41bb SN - 1367-2630 VL - 21 IS - 10 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Teomy, Eial A1 - Metzler, Ralf T1 - Correlations and transport in exclusion processes with general finite memory JF - Journal of statistical mechanics: theory and experiment KW - Brownian motion KW - exclusion processes Y1 - 2019 U6 - https://doi.org/10.1088/1742-5468/ab47fb SN - 1742-5468 VL - 2019 IS - 10 PB - IOP Publ. Ltd. CY - Bristol ER -