@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{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{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{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{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{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{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} } @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} } @article{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}, series = {Physical chemistry, chemical physics : PCCP}, volume = {30}, journal = {Physical chemistry, chemical physics : PCCP}, number = {16}, publisher = {The Royal Society of Chemistry}, address = {Cambridge}, doi = {10.1039/C4CP02019G}, 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} } @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} } @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{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{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} } @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} } @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{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{SchulzChechkinMetzler2013, author = {Schulz, Johannes H. P. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Correlated continuous time random walks - combining scale-invariance with long-range memory for spatial and temporal dynamics}, series = {Journal of physics : A, Mathematical and theoretical}, volume = {46}, journal = {Journal of physics : A, Mathematical and theoretical}, number = {47}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1751-8113}, doi = {10.1088/1751-8113/46/47/475001}, pages = {22}, year = {2013}, abstract = {Standard continuous time random walk (CTRW) models are renewal processes in the sense that at each jump a new, independent pair of jump length and waiting time are chosen. Globally, anomalous diffusion emerges through scale-free forms of the jump length and/or waiting time distributions by virtue of the generalized central limit theorem. Here we present a modified version of recently proposed correlated CTRW processes, where we incorporate a power-law correlated noise on the level of both jump length and waiting time dynamics. We obtain a very general stochastic model, that encompasses key features of several paradigmatic models of anomalous diffusion: discontinuous, scale-free displacements as in Levy flights, scale-free waiting times as in subdiffusive CTRWs, and the long-range temporal correlations of fractional Brownian motion (FBM). We derive the exact solutions for the single-time probability density functions and extract the scaling behaviours. Interestingly, we find that different combinations of the model parameters lead to indistinguishable shapes of the emerging probability density functions and identical scaling laws. Our model will be useful for describing recent experimental single particle tracking data that feature a combination of CTRW and FBM properties.}, language = {en} } @article{CherstvyChechkinMetzler2013, author = {Cherstvy, Andrey G. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Anomalous diffusion and ergodicity breaking in heterogeneous diffusion processes}, series = {New journal of physics : the open-access journal for physics}, volume = {15}, journal = {New journal of physics : the open-access journal for physics}, number = {15}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/15/8/083039}, pages = {13}, year = {2013}, abstract = {We demonstrate the non-ergodicity of a simple Markovian stochastic process with space-dependent diffusion coefficient D(x). For power-law forms D(x) similar or equal to vertical bar x vertical bar(alpha), this process yields anomalous diffusion of the form < x(2)(t)> similar or equal to t(2/(2-alpha)). Interestingly, in both the sub- and superdiffusive regimes we observe weak ergodicity breaking: the scaling of the time-averaged mean-squared displacement <(delta(2)(Delta))over bar> remains linear in the lag time Delta and thus differs from the corresponding ensemble average < x(2)(t)>. We analyse the non-ergodic behaviour of this process in terms of the time-averaged mean- squared displacement (delta(2)) over bar and its random features, i.e. the statistical distribution of (delta(2)) over bar and the ergodicity breaking parameters. The heterogeneous diffusion model represents an alternative approach to non- ergodic, anomalous diffusion that might be particularly relevant for diffusion in heterogeneous media.}, language = {en} } @article{PalyulinChechkinMetzler2014, author = {Palyulin, Vladimir V. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Space-fractional Fokker-Planck equation and optimization of random search processes in the presence of an external bias}, series = {Journal of statistical mechanics: theory and experiment}, journal = {Journal of statistical mechanics: theory and experiment}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1742-5468}, doi = {10.1088/1742-5468/2014/11/P11031}, pages = {32}, year = {2014}, abstract = {Based on the space-fractional Fokker-Planck equation with a delta-sink term, we study the efficiency of random search processes based on Levy flights with power-law distributed jump lengths in the presence of an external drift, for instance, an underwater current, an airflow, or simply the preference of the searcher based on prior experience. While Levy flights turn out to be efficient search processes when the target is upstream relative to the starting point, in the downstream scenario, regular Brownian motion turns out to be advantageous. This is caused by the occurrence of leapovers of Levy flights, due to which Levy flights typically overshoot a point or small interval. Studying the solution of the fractional Fokker-Planck equation, we establish criteria when the combination of the external stream and the initial distance between the starting point and the target favours Levy flights over the regular Brownian search. Contrary to the common belief that Levy flights with a Levy index alpha = 1 (i.e. Cauchy flights) are optimal for sparse targets, we find that the optimal value for alpha may range in the entire interval (1, 2) and explicitly include Brownian motion as the most efficient search strategy overall.}, language = {en} } @article{NezhadhaghighiChechkinMetzler2014, author = {Nezhadhaghighi, M. Ghasemi and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Numerical approach to unbiased and driven generalized elastic model}, series = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, volume = {140}, journal = {The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr}, number = {2}, publisher = {American Institute of Physics}, address = {Melville}, issn = {0021-9606}, doi = {10.1063/1.4858425}, pages = {9}, year = {2014}, abstract = {From scaling arguments and numerical simulations, we investigate the properties of the generalized elastic model (GEM) that is used to describe various physical systems such as polymers, membranes, single-file systems, or rough interfaces. We compare analytical and numerical results for the subdiffusion exponent beta characterizing the growth of the mean squared displacement <(delta h)(2)> of the field h described by the GEM dynamic equation. We study the scaling properties of the qth order moments with time, finding that the interface fluctuations show no intermittent behavior. We also investigate the ergodic properties of the process h in terms of the ergodicity breaking parameter and the distribution of the time averaged mean squared displacement. Finally, we study numerically the driven GEM with a constant, localized perturbation and extract the characteristics of the average drift for a tagged probe.}, language = {en} }