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Quantifying the non-ergodicity of scaled Brownian motion

  • We examine the non-ergodic properties of scaled Brownian motion (SBM), a non-stationary stochastic process with a time dependent diffusivity of the form D(t) similar or equal to t(alpha-1). We compute the ergodicity breaking parameter EB in the entire range of scaling exponents a, both analytically and via extensive computer simulations of the stochastic Langevin equation. We demonstrate that in the limit of long trajectory lengths T and short lag times Delta the EB parameter as function of the scaling exponent a has no divergence at alpha - 1/2 and present the asymptotes for EB in different limits. We generalize the analytical and simulations results for the time averaged and ergodic properties of SBM in the presence of ageing, that is, when the observation of the system starts only a finite time span after its initiation. The approach developed here for the calculation of the higher time averaged moments of the particle displacement can be applied to derive the ergodic properties of other stochastic processes such as fractionalWe examine the non-ergodic properties of scaled Brownian motion (SBM), a non-stationary stochastic process with a time dependent diffusivity of the form D(t) similar or equal to t(alpha-1). We compute the ergodicity breaking parameter EB in the entire range of scaling exponents a, both analytically and via extensive computer simulations of the stochastic Langevin equation. We demonstrate that in the limit of long trajectory lengths T and short lag times Delta the EB parameter as function of the scaling exponent a has no divergence at alpha - 1/2 and present the asymptotes for EB in different limits. We generalize the analytical and simulations results for the time averaged and ergodic properties of SBM in the presence of ageing, that is, when the observation of the system starts only a finite time span after its initiation. The approach developed here for the calculation of the higher time averaged moments of the particle displacement can be applied to derive the ergodic properties of other stochastic processes such as fractional Brownian motion.zeige mehrzeige weniger

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Metadaten
Verfasserangaben:Hadiseh SafdariORCiD, Andrey G. CherstvyORCiD, Aleksei V. ChechkinORCiDGND, Felix Thiel, Igor M. SokolovORCiDGND, Ralf MetzlerORCiDGND
DOI:https://doi.org/10.1088/1751-8113/48/37/375002
ISSN:1751-8113
ISSN:1751-8121
Titel des übergeordneten Werks (Englisch):Journal of physics : A, Mathematical and theoretical
Verlag:IOP Publ. Ltd.
Verlagsort:Bristol
Publikationstyp:Wissenschaftlicher Artikel
Sprache:Englisch
Jahr der Erstveröffentlichung:2015
Erscheinungsjahr:2015
Datum der Freischaltung:27.03.2017
Freies Schlagwort / Tag:ageing; anomalous diffusion; scaled Brownian motion
Band:48
Ausgabe:37
Seitenanzahl:18
Fördernde Institution:Academy of Finland (Suomen Akatemia, Finland Distinguished Professorship); Deutsche Forschungsgemeinschaft; IMU Berlin Einstein Foundation
Organisationseinheiten:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie
Peer Review:Referiert
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