TY - GEN A1 - Ślęzak, Jakub A1 - Metzler, Ralf A1 - Magdziarz, Marcin T1 - Codifference can detect ergodicity breaking and non-Gaussianity T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe N2 - We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context of stable processes, we here extend its range of applicability to random-parameter and diffusing-diffusivity models which are important in contemporary physics, biology and financial engineering. We prove that the codifference detects forms of dependence and ergodicity breaking which are not visible from analysing the covariance and correlation functions. We also discuss a related measure of dispersion, which is a nonlinear analogue of the mean squared displacement. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 748 KW - diffusion KW - anomalous diffusion KW - stochastic time series Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-436178 IS - 748 ER - TY - GEN A1 - Ślęzak, Jakub A1 - Burnecki, Krzysztof A1 - Metzler, Ralf T1 - Random coefficient autoregressive processes describe Brownian yet non-Gaussian diffusion in heterogeneous systems T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe N2 - Many studies on biological and soft matter systems report the joint presence of a linear mean-squared displacement and a non-Gaussian probability density exhibiting, for instance, exponential or stretched-Gaussian tails. This phenomenon is ascribed to the heterogeneity of the medium and is captured by random parameter models such as ‘superstatistics’ or ‘diffusing diffusivity’. Independently, scientists working in the area of time series analysis and statistics have studied a class of discrete-time processes with similar properties, namely, random coefficient autoregressive models. In this work we try to reconcile these two approaches and thus provide a bridge between physical stochastic processes and autoregressive models.Westart from the basic Langevin equation of motion with time-varying damping or diffusion coefficients and establish the link to random coefficient autoregressive processes. By exploring that link we gain access to efficient statistical methods which can help to identify data exhibiting Brownian yet non-Gaussian diffusion. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 765 KW - diffusion KW - Langevin equation KW - Brownian yet non-Gaussian diffusion KW - diffusing diffusivity KW - superstatistics KW - autoregressive models KW - time series analysis KW - codifference Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-437923 SN - 1866-8372 IS - 765 ER - TY - GEN A1 - Xu, Pengbo A1 - Zhou, Tian A1 - Metzler, Ralf A1 - Deng, Weihua T1 - Stochastic harmonic trapping of a Lévy walk: transport and first-passage dynamics under soft resetting strategies T2 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - We introduce and study a Lévy 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1262 KW - diffusion KW - anomalous diffusion KW - stochastic resetting KW - Levy walks Y1 - 2022 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-560402 SN - 1866-8372 SP - 1 EP - 28 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - GEN A1 - Weber, Ariane A1 - Bahrs, Marco A1 - Alirezaeizanjani, Zahra A1 - Zhang, Xingyu A1 - Beta, Carsten A1 - Zaburdaev, Vasily T1 - Rectification of Bacterial Diffusion in Microfluidic Labyrinths T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe N2 - In nature as well as in the context of infection and medical applications, bacteria often have to move in highly complex environments such as soil or tissues. Previous studies have shown that bacteria strongly interact with their surroundings and are often guided by confinements. Here, we investigate theoretically how the dispersal of swimming bacteria can be augmented by microfluidic environments and validate our theoretical predictions experimentally. We consider a system of bacteria performing the prototypical run-and-tumble motion inside a labyrinth with square lattice geometry. Narrow channels between the square obstacles limit the possibility of bacteria to reorient during tumbling events to an area where channels cross. Thus, by varying the geometry of the lattice it might be possible to control the dispersal of cells. We present a theoretical model quantifying diffusive spreading of a run-and-tumble random walker in a square lattice. Numerical simulations validate our theoretical predictions for the dependence of the diffusion coefficient on the lattice geometry. We show that bacteria moving in square labyrinths exhibit enhanced dispersal as compared to unconfined cells. Importantly, confinement significantly extends the duration of the phase with strongly non-Gaussian diffusion, when the geometry of channels is imprinted in the density profiles of spreading cells. Finally, in good agreement with our theoretical findings, we observe the predicted behaviors in experiments with E. coli bacteria swimming in a square lattice labyrinth created in amicrofluidic device. Altogether, our comprehensive understanding of bacterial dispersal in a simple two-dimensional labyrinth makes the first step toward the analysis of more complex geometries relevant for real world applications. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 801 KW - diffusion KW - rectification KW - random walk KW - bacteria KW - confinement Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-441222 SN - 1866-8372 IS - 801 ER - TY - GEN A1 - Wang, Wei A1 - Seno, Flavio A1 - Sokolov, Igor M. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Unexpected crossovers in correlated random-diffusivity processes N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1006 KW - diffusion KW - anomalous diffusion KW - non-Gaussianity KW - fractional Brownian motion Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-480049 SN - 1866-8372 IS - 1006 ER - TY - GEN 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 T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1118 KW - diffusion KW - anomalous diffusion KW - large-deviation statistic KW - time-averaged mean squared displacement KW - Chebyshev inequality Y1 - 2021 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-493494 SN - 1866-8372 IS - 1118 ER - TY - GEN A1 - Sposini, Vittoria A1 - Metzler, Ralf A1 - Oshanin, Gleb T1 - Single-trajectory spectral analysis of scaled Brownian motion T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe N2 - Astandard approach to study time-dependent stochastic processes is the power spectral density (PSD), an ensemble-averaged property defined as the Fourier transform of the autocorrelation function of the process in the asymptotic limit of long observation times, T → ∞. In many experimental situations one is able to garner only relatively few stochastic time series of finite T, such that practically neither an ensemble average nor the asymptotic limit T → ∞ can be achieved. To accommodate for a meaningful analysis of such finite-length data we here develop the framework of single-trajectory spectral analysis for one of the standard models of anomalous diffusion, scaled Brownian motion.Wedemonstrate that the frequency dependence of the single-trajectory PSD is exactly the same as for standard Brownian motion, which may lead one to the erroneous conclusion that the observed motion is normal-diffusive. However, a distinctive feature is shown to be provided by the explicit dependence on the measurement time T, and this ageing phenomenon can be used to deduce the anomalous diffusion exponent.Wealso compare our results to the single-trajectory PSD behaviour of another standard anomalous diffusion process, fractional Brownian motion, and work out the commonalities and differences. Our results represent an important step in establishing singletrajectory PSDs as an alternative (or complement) to analyses based on the time-averaged mean squared displacement. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 753 KW - diffusion KW - anomalous diffusion KW - power spectral analysis KW - single trajectory analysis Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-436522 SN - 1866-8372 IS - 753 ER - TY - GEN A1 - Sposini, Vittoria A1 - Grebenkov, Denis S. A1 - Metzler, Ralf A1 - Oshanin, Gleb A1 - Seno, Flavio T1 - Universal spectral features of different classes of random-diffusivity processes T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 999 KW - diffusion KW - power spectrum KW - random diffusivity KW - single trajectories Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-476960 SN - 1866-8372 IS - 999 ER - TY - THES A1 - Sposini, Vittoria T1 - The random diffusivity approach for diffusion in heterogeneous systems N2 - The two hallmark features of Brownian motion are the linear growth < x2(t)> = 2Ddt of the mean squared displacement (MSD) with diffusion coefficient D in d spatial dimensions, and the Gaussian distribution of displacements. With the increasing complexity of the studied systems deviations from these two central properties have been unveiled over the years. Recently, a large variety of systems have been reported in which the MSD exhibits the linear growth in time of Brownian (Fickian) transport, however, the distribution of displacements is pronouncedly non-Gaussian (Brownian yet non-Gaussian, BNG). A similar behaviour is also observed for viscoelastic-type motion where an anomalous trend of the MSD, i.e., ~ ta, is combined with a priori unexpected non-Gaussian distributions (anomalous yet non-Gaussian, ANG). This kind of behaviour observed in BNG and ANG diffusions has been related to the presence of heterogeneities in the systems and a common approach has been established to address it, that is, the random diffusivity approach. This dissertation explores extensively the field of random diffusivity models. Starting from a chronological description of all the main approaches used as an attempt of describing BNG and ANG diffusion, different mathematical methodologies are defined for the resolution and study of these models. The processes that are reported in this work can be classified in three subcategories, i) randomly-scaled Gaussian processes, ii) superstatistical models and iii) diffusing diffusivity models, all belonging to the more general class of random diffusivity models. Eventually, the study focuses more on BNG diffusion, which is by now well-established and relatively well-understood. Nevertheless, many examples are discussed for the description of ANG diffusion, in order to highlight the possible scenarios which are known so far for the study of this class of processes. The second part of the dissertation deals with the statistical analysis of random diffusivity processes. A general description based on the concept of moment-generating function is initially provided to obtain standard statistical properties of the models. Then, the discussion moves to the study of the power spectral analysis and the first passage statistics for some particular random diffusivity models. A comparison between the results coming from the random diffusivity approach and the ones for standard Brownian motion is discussed. In this way, a deeper physical understanding of the systems described by random diffusivity models is also outlined. To conclude, a discussion based on the possible origins of the heterogeneity is sketched, with the main goal of inferring which kind of systems can actually be described by the random diffusivity approach. N2 - Die zwei grundlegenden Eigenschaften der Brownschen Molekularbewegung sind das lineare Wachstum < x2(t)> = 2Ddt der mittleren quadratischen Verschiebung (mean squared displacement, MSD) mit dem Diffusionskoeffizienten D in Dimension d und die Gauß Verteilung der räumlichen Verschiebung. Durch die zunehmende Komplexität der untersuchten Systeme wurden in den letzten Jahren Abweichungen von diesen zwei grundlegenden Eigenschaften gefunden. Hierbei, wurde über eine große Anzahl von Systemen berichtet, in welchen die MSD das lineare Wachstum der Brownschen Bewegung (Ficksches Gesetzt) zeigt, jedoch die Verteilung der Verschiebung nicht einer Gaußverteilung folgt (Brownian yet non-Gaussian, BNG). Auch in viskoelastischen Systemen Bewegung wurde ein analoges Verhalten beobachtet. Hier ist ein anomales Verhalten des MSD, ~ ta, in Verbindung mit einer a priori unerwarteten nicht gaußchen Verteilung (anomalous yet non-Gaussian, ANG). Dieses Verhalten, welches sowohl in BNG- als auch in ANG-Diffusion beobachtet wird, ist auf eine Heterogenität in den Systemen zurückzuführen. Um diese Systeme zu beschreiben, wurde ein einheitlicher Ansatz, basierend auf den Konzept der zufälligen Diffusivität, entwickelt. Die vorliegende Dissertation widmet sich ausführlich Modellen mit zufälligen Diffusivität. Ausgehend von einem chronologischen Überblick der grundlegenden Ansätze der Beschreibung der BNG- und ANG-Diffusion werden mathematische Methoden entwickelt, um die verschiedenen Modelle zu untersuchen. Die in dieser Arbeit diskutierten Prozesse können in drei Kategorien unterteil werden: i) randomly-scaled Gaussian processes, ii) superstatistical models und iii) diffusing diffusivity models, welche alle zu den allgemeinen Modellen mit zufälligen Diffusivität gehören. Der Hauptteil dieser Arbeit ist die Untersuchung auf die BNG Diffusion, welche inzwischen relativ gut verstanden ist. Dennoch werden auch viele Beispiele für die Beschreibung von ANG-Diffusion diskutiert, um die Möglichkeiten der Analyse solcher Prozesse aufzuzeigen. Der zweite Teil der Dissertation widmet sich der statistischen Analyse von Modellen mit zufälligen Diffusivität. Eine allgemeine Beschreibung basierend auf dem Konzept der momenterzeugenden Funktion wurde zuerst herangezogen, um grundsätzliche statistische Eigenschaften der Modelle zu erhalten. Anschließend konzentriert sich die Diskussion auf die Analyse der spektralen Leistungsdichte und der first passage Statistik für einige spezielle Modelle mit zufälligen Diffusivität. Diese Ergebnisse werden mit jenen der normalen Brownschen Molekularbewegung verglichen. Dadurch wird ein tiefergehendes physikalisches Verständnis über die Systeme erlangt, welche durch ein Modell mit zufälligen Diffusivität beschrieben werden. Abschließend, zeigt eine Diskussion mögliche Ursachen für die Heterogenität auf, mit dem Ziel darzustellen, welche Arten von Systemen durch den Zufalls-Diffusivitäts-Ansatz beschrieben werden können. N2 - Las dos características distintivas del movimiento Browniano son el crecimiento lineal < x2(t)> = 2Ddt del desplazamiento cuadrático medio (mean squared displacement}, MSD) con el coeficiente de difusión D en dimensiones espaciales d, y la distribución Gaussiana de los desplazamientos. Con los continuos avances en tecnologías experimentales y potencia de cálculo, se logra estudiar con mayor detalle sistemas cada vez más complejos y algunos sistemas revelan desviaciones de estas dos propiedades centrales. En los últimos años se ha observado una gran variedad de sistemas en los que el MSD presenta un crecimiento lineal en el tiempo (típico del transporte Browniano), no obstante, la distribución de los desplazamientos es pronunciadamente no Gaussiana (Brownian yet non-Gaussian diffusion}, BNG). Un comportamiento similar se observa asimismo en el caso del movimiento de tipo viscoelástico, en el que se combina una tendencia anómala del MSD, es decir, ~ ta, con a, con distribuciones inesperadamente no Gaussianas (Anomalous yet non-Gaussian diffusion, ANG). Este tipo de comportamiento observado en las difusiones BNG y ANG se ha relacionado con la presencia de heterogeneidades en los sistemas y se ha establecido un enfoque común para abordarlo: el enfoque de difusividad aleatoria. En la primera parte de esta disertación se explora extensamente el área de los modelos de difusividad aleatoria. A través de una descripción cronológica de los principales enfoques utilizados para caracterizar las difusiones BNG y ANG, se definen diferentes metodologías matemáticas para la resolución y el estudio de estos modelos. Los procesos expuestos en este trabajo, pertenecientes a la clase más general de modelos de difusividad aleatoria, pueden clasificarse en tres subcategorías: i) randomly-scaled Gaussian processes, ii) superstatistical models y iii) diffusing diffusivity models. Fundamentalmente el enfoque de este trabajo se centra en la difusión BNG, bien establecida y ampliamente estudiada en los últimos años. No obstante, múltiples ejemplos son examinados para la descripción de la difusión ANG, a fin de remarcar los diferentes modelos de estudio disponibles hasta el momento. En la segunda parte de la disertación se desarolla el análisis estadístico de los procesos de difusividad aleatoria. Inicialmente se expone una descripción general basada en el concepto de la función generadora de momentos para obtener las propiedades estadísticas estándar de los modelos. A continuación, la discusión aborda el estudio de la densidad espectral de potencia y la estadística del tiempo de primer paso para algunos modelos de difusividad aleatoria. Adicionalmente, los resultados del método de difusividad aleatoria se comparan junto a los de movimiento browniano estándar. Como resultado, se obtiene una mayor comprensión física de los sistemas descritos por los modelos de difusividad aleatoria. Para concluir, se presenta una discusión acerca de los posibles orígenes de la heterogeneidad, con el objetivo principal de inferir qué tipo de sistemas pueden describirse apropiadamente según el enfoque de la difusividad aleatoria. KW - diffusion KW - non-gaussianity KW - random diffusivity KW - power spectral analysis KW - first passage KW - Diffusion KW - zufälligen Diffusivität KW - spektrale Leistungsdichte KW - first passage KW - Heterogenität Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-487808 ER - TY - THES A1 - Mulansky, Mario T1 - Chaotic diffusion in nonlinear Hamiltonian systems T1 - Chaotische Diffusion in nichtlinearen Hamiltonschen Systemen N2 - This work investigates diffusion in nonlinear Hamiltonian systems. The diffusion, more precisely subdiffusion, in such systems is induced by the intrinsic chaotic behavior of trajectories and thus is called chaotic diffusion''. Its properties are studied on the example of one- or two-dimensional lattices of harmonic or nonlinear oscillators with nearest neighbor couplings. The fundamental observation is the spreading of energy for localized initial conditions. Methods of quantifying this spreading behavior are presented, including a new quantity called excitation time. This new quantity allows for a more precise analysis of the spreading than traditional methods. Furthermore, the nonlinear diffusion equation is introduced as a phenomenologic description of the spreading process and a number of predictions on the density dependence of the spreading are drawn from this equation. Two mathematical techniques for analyzing nonlinear Hamiltonian systems are introduced. The first one is based on a scaling analysis of the Hamiltonian equations and the results are related to similar scaling properties of the NDE. From this relation, exact spreading predictions are deduced. Secondly, the microscopic dynamics at the edge of spreading states are thoroughly analyzed, which again suggests a scaling behavior that can be related to the NDE. Such a microscopic treatment of chaotically spreading states in nonlinear Hamiltonian systems has not been done before and the results present a new technique of connecting microscopic dynamics with macroscopic descriptions like the nonlinear diffusion equation. All theoretical results are supported by heavy numerical simulations, partly obtained on one of Europe's fastest supercomputers located in Bologna, Italy. In the end, the highly interesting case of harmonic oscillators with random frequencies and nonlinear coupling is studied, which resembles to some extent the famous Discrete Anderson Nonlinear Schroedinger Equation. For this model, a deviation from the widely believed power-law spreading is observed in numerical experiments. Some ideas on a theoretical explanation for this deviation are presented, but a conclusive theory could not be found due to the complicated phase space structure in this case. Nevertheless, it is hoped that the techniques and results presented in this work will help to eventually understand this controversely discussed case as well. N2 - Diese Arbeit beschäftigt sich mit dem Phänomen der Diffusion in nichtlinearen Systemen. Unter Diffusion versteht man normalerweise die zufallsmä\ss ige Bewegung von Partikeln durch den stochastischen Einfluss einer thermodynamisch beschreibbaren Umgebung. Dieser Prozess ist mathematisch beschrieben durch die Diffusionsgleichung. In dieser Arbeit werden jedoch abgeschlossene Systeme ohne Einfluss der Umgebung betrachtet. Dennoch wird eine Art von Diffusion, üblicherweise bezeichnet als Subdiffusion, beobachtet. Die Ursache dafür liegt im chaotischen Verhalten des Systems. Vereinfacht gesagt, erzeugt das Chaos eine intrinsische Pseudo-Zufälligkeit, die zu einem gewissen Grad mit dem Einfluss einer thermodynamischen Umgebung vergleichbar ist und somit auch diffusives Verhalten provoziert. Zur quantitativen Beschreibung dieses subdiffusiven Prozesses wird eine Verallgemeinerung der Diffusionsgleichung herangezogen, die Nichtlineare Diffusionsgleichung. Desweiteren wird die mikroskopische Dynamik des Systems mit analytischen Methoden untersucht, und Schlussfolgerungen für den makroskopischen Diffusionsprozess abgeleitet. Die Technik der Verbindung von mikroskopischer Dynamik und makroskopischen Beobachtungen, die in dieser Arbeit entwickelt wird und detailliert beschrieben ist, führt zu einem tieferen Verständnis von hochdimensionalen chaotischen Systemen. Die mit mathematischen Mitteln abgeleiteten Ergebnisse sind darüber hinaus durch ausführliche Simulationen verifiziert, welche teilweise auf einem der leistungsfähigsten Supercomputer Europas durchgeführt wurden, dem sp6 in Bologna, Italien. Desweiteren können die in dieser Arbeit vorgestellten Erkenntnisse und Techniken mit Sicherheit auch in anderen Fällen bei der Untersuchung chaotischer Systeme Anwendung finden. KW - Chaos KW - Diffusion KW - Thermalisierung KW - Energieausbreitung KW - chaos KW - diffusion KW - thermalization KW - energy spreading Y1 - 2012 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-63180 ER - TY - GEN A1 - Makwana, Kirit D. A1 - Yan, Huirong T1 - Properties of magnetohydrodynamic modes in compressively driven plasma turbulence T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - We study properties of magnetohydrodynamic (MHD) eigenmodes by decomposing the data of MHD simulations into linear MHD modes-namely, the Alfven, slow magnetosonic, and fast magnetosonic modes. We drive turbulence with a mixture of solenoidal and compressive driving while varying the Alfven Mach number (M-A), plasma beta, and the sonic Mach number from subsonic to transsonic. We find that the proportion of fast and slow modes in the mode mixture increases with increasing compressive forcing. This proportion of the magnetosonic modes can also become the dominant fraction in the mode mixture. The anisotropy of the modes is analyzed by means of their structure functions. The Alfven-mode anisotropy is consistent with the Goldreich-Sridhar theory. We find a transition from weak to strong Alfvenic turbulence as we go from low to high M-A. The slow-mode properties are similar to the Alfven mode. On the other hand, the isotropic nature of fast modes is verified in the cases where the fast mode is a significant fraction of the mode mixture. The fast-mode behavior does not show any transition in going from low to high M-A. We find indications that there is some interaction between the different modes, and the properties of the dominant mode can affect the properties of the weaker modes. This work identifies the conditions under which magnetosonic modes can be a major fraction of turbulent astrophysical plasmas, including the regime of weak turbulence. Important astrophysical implications for cosmic-ray transport and magnetic reconnection are discussed. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1225 KW - mhd turbulence KW - star formation KW - simulations KW - Anisotropy KW - diffusion Y1 - 2022 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-531607 SN - 1866-8372 VL - 10 IS - 3 PB - American Physical Society (APS) CY - College Park ER - TY - GEN A1 - Li, Yongge A1 - Mei, Ruoxing A1 - Xu, Yong A1 - Kurths, Jürgen A1 - Duan, Jinqiao A1 - Metzler, Ralf T1 - Particle dynamics and transport enhancement in a confined channel with position-dependent diffusivity T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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 Itô 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 974 KW - diffusion KW - channel KW - space-dependent diffusivity Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-474542 SN - 1866-8372 IS - 974 ER - TY - THES A1 - Klumpp, Stefan T1 - Movements of molecular motors : diffusion and directed walks N2 - Bewegungen von prozessiven molekularen Motoren des Zytoskeletts sind durch ein Wechselspiel von gerichteter Bewegung entlang von Filamenten und Diffusion in der umgebenden Lösung gekennzeichnet. Diese eigentümlichen Bewegungen werden in der vorliegenden Arbeit untersucht, indem sie als Random Walks auf einem Gitter modelliert werden. Ein weiterer Gegenstand der Untersuchung sind Effekte von Wechselwirkungen zwischen den Motoren auf diese Bewegungen. Im einzelnen werden vier Transportphänomene untersucht: (i) Random Walks von einzelnen Motoren in Kompartimenten verschiedener Geometrien, (ii) stationäre Konzentrationsprofile, die sich in geschlossenen Kompartimenten infolge dieser Bewegungen einstellen, (iii) randinduzierte Phasenübergänge in offenen röhrenartigen Kompartimenten, die an Motorenreservoirs gekoppelt sind, und (iv) der Einfluß von kooperativen Effekten bei der Motor-Filament-Bindung auf die Bewegung. Alle diese Phänomene sind experimentell zugänglich, und mögliche experimentelle Realisierungen werden diskutiert. N2 - Movements of processive cytoskeletal motors are characterized by an interplay between directed motion along filament and diffusion in the surrounding solution. In the present work, these peculiar movements are studied by modeling them as random walks on a lattice. An additional subject of our studies is the effect of motor-motor interactions on these movements. In detail, four transport phenomena are studied: (i) Random walks of single motors in compartments of various geometries, (ii) stationary concentration profiles which build up as a result of these movements in closed compartments, (iii) boundary-induced phase transitions in open tube-like compartments coupled to reservoirs of motors, and (iv) the influence of cooperative effects in motor-filament binding on the movements. All these phenomena are experimentally accessible and possible experimental realizations are discussed. KW - molekulare Motoren KW - aktive Prozesse KW - Diffusion KW - Random Walks KW - Gittermodelle KW - Phasenübergänge KW - Staus KW - kooperative Phänomene KW - molecular motors KW - active processes KW - diffusion KW - random walks KW - lattice models KW - phase transitions KW - traffic jams KW - cooperative phenomena Y1 - 2003 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-0000806 ER - TY - GEN A1 - Grebenkov, Denis S. A1 - Sposini, Vittoria A1 - Metzler, Ralf A1 - Oshanin, Gleb A1 - Seno, Flavio T1 - Exact distributions of the maximum and range of random diffusivity processes T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1142 KW - random diffusivity KW - extremal values KW - maximum and range KW - diffusion KW - Brownian motion Y1 - 2021 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-503976 SN - 1866-8372 IS - 1142 ER - TY - GEN A1 - Grebenkov, Denis S. A1 - Metzler, Ralf A1 - Oshanin, Gleb T1 - Distribution of first-reaction times with target regions on boundaries of shell-like domains T2 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1255 KW - diffusion KW - first-passage time KW - first-reaction time KW - shell-like geometries KW - approximate methods Y1 - 2022 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-557542 SN - 1866-8372 SP - 1 EP - 23 PB - Universitätsverlag Potsdam CY - Potsdam ER - TY - GEN A1 - Grebenkov, Denis S. A1 - Metzler, Ralf A1 - Oshanin, Gleb T1 - From single-particle stochastic kinetics to macroscopic reaction rates BT - fastest first-passage time of N random walkers T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1018 KW - diffusion KW - first-passage KW - fastest first-passage time of N walkers Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-484059 SN - 1866-8372 IS - 1018 ER - TY - GEN A1 - Grebenkov, Denis S. A1 - Metzler, Ralf A1 - Oshanin, Gleb T1 - A molecular relay race: sequential first-passage events to the terminal reaction centre in a cascade of diffusion controlled processes T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1159 KW - diffusion KW - reaction cascade KW - first passage time Y1 - 2021 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-521942 SN - 1866-8372 ER - TY - GEN A1 - Granado, Felipe Le Vot A1 - Abad, Enrique A1 - Metzler, Ralf A1 - Yuste, Santos B. T1 - Continuous time random walk in a velocity field BT - role of domain growth, Galilei-invariant advection-diffusion, and kinetics of particle mixing T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - 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 Lévy 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 Lévy 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1005 KW - diffusion KW - expanding medium KW - continuous time random walk Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-479997 SN - 1866-8372 IS - 1005 SP - 28 ER - TY - GEN A1 - Cherstvy, Andrey G. A1 - Vinod, Deepak A1 - Aghion, Erez A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Time averaging, ageing and delay analysis of financial time series N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 347 KW - diffusion KW - financial time series KW - geometric Brownian motion KW - time averaging Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-400541 ER -