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 - Sandev, Trifce A1 - Tomovski, Zivorad A1 - Dubbeldam, Johan L. A. A1 - Chechkin, Aleksei V. T1 - Generalized diffusion-wave equation with memory kernel JF - Journal of physics : A, Mathematical and theoretical N2 - We study generalized diffusion-wave equation in which the second order time derivative is replaced by an integro-differential operator. It yields time fractional and distributed order time fractional diffusion-wave equations as particular cases. We consider different memory kernels of the integro-differential operator, derive corresponding fundamental solutions, specify the conditions of their non-negativity and calculate the mean squared displacement for all cases. In particular, we introduce and study generalized diffusion-wave equations with a regularized Prabhakar derivative of single and distributed orders. The equations considered can be used for modeling the broad spectrum of anomalous diffusion processes and various transitions between different diffusion regimes. KW - diffusion-wave equation KW - Mittag-Leffler function KW - anomalous diffusion Y1 - 2018 U6 - https://doi.org/10.1088/1751-8121/aaefa3 SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 1 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Gajda, J. A1 - Wylomanska, Agnieszka A1 - Kantz, Holger A1 - Chechkin, Aleksei V. A1 - Sikora, Grzegorz T1 - Large deviations of time-averaged statistics for Gaussian processes JF - Statistics & Probability Letters N2 - In this paper we study the large deviations of time averaged mean square displacement (TAMSD) for Gaussian processes. The theory of large deviations is related to the exponential decay of probabilities of large fluctuations in random systems. From the mathematical point of view a given statistics satisfies the large deviation principle, if the probability that it belongs to a certain range decreases exponentially. The TAMSD is one of the main statistics used in the problem of anomalous diffusion detection. Applying the theory of generalized chi-squared distribution and sub-gamma random variables we prove the upper bound for large deviations of TAMSD for Gaussian processes. As a special case we consider fractional Brownian motion, one of the most popular models of anomalous diffusion. Moreover, we derive the upper bound for large deviations of the estimator for the anomalous diffusion exponent. (C) 2018 Elsevier B.V. All rights reserved. KW - Large deviation statistics KW - Fractional Brownian motion KW - Anomalous diffusion exponent KW - Sub-gamma random variable Y1 - 2018 U6 - https://doi.org/10.1016/j.spl.2018.07.013 SN - 0167-7152 SN - 1879-2103 VL - 143 SP - 47 EP - 55 PB - Elsevier CY - Amsterdam 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 - Delle Side, Domenico A1 - Nassisi, Vincenzo A1 - Pennetta, Cecilia A1 - Alifano, Pietro A1 - Di Salvo, Marco A1 - Tala, Adelfia A1 - Chechkin, Aleksei V. A1 - Seno, Flavio A1 - Trovato, Antonio T1 - Bacterial bioluminescence onset and quenching: a dynamical model for a quorum sensing-mediated property JF - Royal Society Open Science N2 - We present an effective dynamical model for the onset of bacterial bioluminescence, one of the most studied quorum sensing-mediated traits. Our model is built upon simple equations that describe the growth of the bacterial colony, the production and accumulation of autoinducer signal molecules, their sensing within bacterial cells, and the ensuing quorum activation mechanism that triggers bioluminescent emission. The model is directly tested to quantitatively reproduce the experimental distributions of photon emission times, previously measured for bacterial colonies of Vibrio jasicida, a luminescent bacterium belonging to the Harveyi clade, growing in a highly drying environment. A distinctive and novel feature of the proposed model is bioluminescence ‘quenching’ after a given time elapsed from activation. Using an advanced fitting procedure based on the simulated annealing algorithm, we are able to infer from the experimental observations the biochemical parameters used in the model. Such parameters are in good agreement with the literature data. As a further result, we find that, at least in our experimental conditions, light emission in bioluminescent bacteria appears to originate from a subtle balance between colony growth and quorum activation due to autoinducers diffusion, with the two phenomena occurring on the same time scale. This finding is consistent with a negative feedback mechanism previously reported for Vibrio harveyi. KW - quorum sensing KW - bioluminescence KW - biophysical model KW - Vibrio Harveyi clade KW - oxygen quenching KW - Gompertz growth function Y1 - 2017 U6 - https://doi.org/10.1098/rsos.171586 SN - 2054-5703 VL - 4 PB - Royal Society CY - London ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Mantsevich, Vladimir N. A1 - Klages, Rainer A1 - Metzler, Ralf A1 - Chechkin, Aleksei V. T1 - Comparison of pure and combined search strategies for single and multiple targets JF - The European physical journal : B, Condensed matter and complex systems N2 - 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. Y1 - 2017 U6 - https://doi.org/10.1140/epjb/e2017-80372-4 SN - 1434-6028 SN - 1434-6036 VL - 90 SP - 20 EP - 37 PB - Springer CY - New York 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 - Cherstvy, Andrey G. A1 - Thapa, Samudrajit A1 - Mardoukhi, Yousof A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Time averages and their statistical variation for the Ornstein-Uhlenbeck process BT - Role of initial particle distributions and relaxation to stationarity JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - 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. Y1 - 2018 U6 - https://doi.org/10.1103/PhysRevE.98.022134 SN - 2470-0045 SN - 2470-0053 VL - 98 IS - 2 PB - American Physical Society CY - College Park ER - TY - GEN 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 Lévy flights and Lévy walks T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 785 KW - Lévy flights KW - Lévy walks KW - first-passage time KW - first-hitting time Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-439832 SN - 1866-8372 IS - 785 ER - TY - JOUR A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Particle invasion, survival, and non-ergodicity in 2D diffusion processes with space-dependent diffusivity JF - Soft matter N2 - We study the thermal Markovian diffusion of tracer particles in a 2D medium with spatially varying diffusivity D(r), mimicking recently measured, heterogeneous maps of the apparent diffusion coefficient in biological cells. For this heterogeneous diffusion process (HDP) we analyse the mean squared displacement (MSD) of the tracer particles, the time averaged MSD, the spatial probability density function, and the first passage time dynamics from the cell boundary to the nucleus. Moreover we examine the non-ergodic properties of this process which are important for the correct physical interpretation of time averages of observables obtained from single particle tracking experiments. From extensive computer simulations of the 2D stochastic Langevin equation we present an in-depth study of this HDP. In particular, we find that the MSDs along the radial and azimuthal directions in a circular domain obey anomalous and Brownian scaling, respectively. We demonstrate that the time averaged MSD stays linear as a function of the lag time and the system thus reveals a weak ergodicity breaking. Our results will enable one to rationalise the diffusive motion of larger tracer particles such as viruses or submicron beads in biological cells. KW - anomalous diffusion KW - intracellular-transport KW - adenoassociated virus KW - infection pathway KW - escherichia-coli KW - endosomal escape KW - living cells KW - trafficking KW - cytoplasm KW - models Y1 - 2014 U6 - https://doi.org/10.1039/c3sm52846d SN - 2046-2069 VL - 2014 IS - 10 SP - 1591 EP - 1601 PB - Royal Society of Chemistry ER - TY - GEN A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Particle invasion, survival, and non-ergodicity in 2D diffusion processes with space-dependent diffusivity N2 - We study the thermal Markovian diffusion of tracer particles in a 2D medium with spatially varying diffusivity D(r), mimicking recently measured, heterogeneous maps of the apparent diffusion coefficient in biological cells. For this heterogeneous diffusion process (HDP) we analyse the mean squared displacement (MSD) of the tracer particles, the time averaged MSD, the spatial probability density function, and the first passage time dynamics from the cell boundary to the nucleus. Moreover we examine the non-ergodic properties of this process which are important for the correct physical interpretation of time averages of observables obtained from single particle tracking experiments. From extensive computer simulations of the 2D stochastic Langevin equation we present an in-depth study of this HDP. In particular, we find that the MSDs along the radial and azimuthal directions in a circular domain obey anomalous and Brownian scaling, respectively. We demonstrate that the time averaged MSD stays linear as a function of the lag time and the system thus reveals a weak ergodicity breaking. Our results will enable one to rationalise the diffusive motion of larger tracer particles such as viruses or submicron beads in biological cells. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - paper 168 KW - adenoassociated virus KW - anomalous diffusion KW - cytoplasm KW - endosomal escape KW - escherichia-coli KW - infection pathway KW - intracellular-transport KW - living cells KW - models KW - trafficking Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-74021 IS - 168 SP - 1591 EP - 1601 ER - TY - JOUR A1 - Jeon, Jae-Hyung A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Scaled Brownian motion: a paradoxical process with a time dependent diffusivity for the description of anomalous diffusion JF - Physical chemistry, chemical physics : PCCP N2 - 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. KW - single-particle tracking KW - living cells KW - random-walks KW - subdiffusion KW - dynamics KW - nonergodicity KW - coefficients KW - transport KW - membrane KW - behavior Y1 - 2014 U6 - https://doi.org/10.1039/C4CP02019G VL - 30 IS - 16 SP - 15811 EP - 15817 PB - The Royal Society of Chemistry CY - Cambridge ER - TY - GEN A1 - Mardoukhi, Yousof A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Spurious ergodicity breaking in normal and fractional Ornstein–Uhlenbeck process T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 981 KW - Ornstein–Uhlenbeck process KW - stationary stochastic process KW - ensemble and time averaged mean squared displacement Y1 - 2020 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-474875 SN - 1866-8372 IS - 981 ER - TY - JOUR A1 - Mardoukhi, Yousof A1 - Jeon, Jae-Hyung A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Fluctuations of random walks in critical random environments JF - Physical chemistry, chemical physics : a journal of European Chemical Societies N2 - 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. Y1 - 2018 U6 - https://doi.org/10.1039/c8cp03212b SN - 1463-9076 SN - 1463-9084 VL - 20 IS - 31 SP - 20427 EP - 20438 PB - Royal Society of Chemistry CY - Cambridge ER - TY - JOUR A1 - Padash, Amin A1 - Chechkin, Aleksei V. A1 - Dybiec, Bartlomiej A1 - Pavlyukevich, Ilya A1 - Shokri, Babak A1 - Metzler, Ralf T1 - First-passage properties of asymmetric Levy flights JF - Journal of physics : A, Mathematical and theoretical N2 - Lévy 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 Lévy 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 Lévy 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 Lévy 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. KW - Levy flights KW - first-passage KW - search dynamics Y1 - 2019 U6 - https://doi.org/10.1088/1751-8121/ab493e SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 45 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Sliusarenko, Oleksii Yu A1 - Vitali, Silvia A1 - Sposini, Vittoria A1 - Paradisi, Paolo A1 - Chechkin, Aleksei V. A1 - Castellani, Gastone A1 - Pagnini, Gianni T1 - Finite-energy Levy-type motion through heterogeneous ensemble of Brownian particles JF - Journal of physics : A, Mathematical and theoretical N2 - Complex systems are known to display anomalous diffusion, whose signature is a space/time scaling x similar to t(delta) with delta not equal 1/2 in the probability density function (PDF). Anomalous diffusion can emerge jointly with both Gaussian, e.g. fractional Brownian motion, and power-law decaying distributions, e.g. Levy Flights or Levy Walks (LWs). Levy flights get anomalous scaling, but, being jumps of any size allowed even at short times, have infinite position variance, infinite energy and discontinuous paths. LWs, which are based on random trapping events, overcome these limitations: they resemble a Levy-type power-law distribution that is truncated in the large displacement range and have finite moments, finite energy and, even with discontinuous velocity, they are continuous. However, LWs do not take into account the role of strong heterogeneity in many complex systems, such as biological transport in the crowded cell environment. In this work we propose and discuss a model describing a heterogeneous ensemble of Brownian particles (HEBP). Velocity of each single particle obeys a standard underdamped Langevin equation for the velocity, with linear friction term and additive Gaussian noise. Each particle is characterized by its own relaxation time and velocity diffusivity. We show that, for proper distributions of relaxation time and velocity diffusivity, the HEBP resembles some LW statistical features, in particular power-law decaying PDF, long-range correlations and anomalous diffusion, at the same time keeping finite position moments and finite energy. The main differences between the HEBP model and two different LWs are investigated, finding that, even when both velocity and position PDFs are similar, they differ in four main aspects: (i) LWs are biscaling, while HEBP is monoscaling; (ii) a transition from anomalous (delta = 1/2) to normal (delta = 1/2) diffusion in the long-time regime is seen in the HEBP and not in LWs; (iii) the power-law index of the position PDF and the space/time diffusion scaling are independent in the HEBP, while they both depend on the scaling of the interevent time PDF in LWs; (iv) at variance with LWs, our HEBP model obeys a fluctuation-dissipation theorem. KW - anomalous diffusion KW - heterogeneous ensemble of Brownian particles KW - biological transport KW - Langevin equation KW - Gaussian processes KW - fractional diffusion KW - Levy walk Y1 - 2019 U6 - https://doi.org/10.1088/1751-8121/aafe90 SN - 1751-8113 SN - 1751-8121 VL - 52 IS - 9 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Sandev, Trifce A1 - Metzler, Ralf A1 - Chechkin, Aleksei V. T1 - From continuous time random walks to the generalized diffusion equation JF - Fractional calculus and applied analysis : an international journal for theory and applications N2 - We obtain a generalized diffusion equation in modified or Riemann-Liouville form from continuous time random walk theory. The waiting time probability density function and mean squared displacement for different forms of the equation are explicitly calculated. We show examples of generalized diffusion equations in normal or Caputo form that encode the same probability distribution functions as those obtained from the generalized diffusion equation in modified form. The obtained equations are general and many known fractional diffusion equations are included as special cases. KW - continuous time random walk (CTRW) KW - generalized diffusion equation KW - Mittag-Leffler functions KW - anomalous diffusion Y1 - 2018 U6 - https://doi.org/10.1515/fca-2018-0002 SN - 1311-0454 SN - 1314-2224 VL - 21 IS - 1 SP - 10 EP - 28 PB - De Gruyter CY - Berlin ER - TY - JOUR A1 - Wang, Wei A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Thapa, Samudrajit A1 - Seno, Flavio A1 - Liu, Xianbin A1 - Metzler, Ralf T1 - Fractional Brownian motion with random diffusivity BT - emerging residual nonergodicity below the correlation time JF - Journal of physics : A, Mathematical and theoretical N2 - 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. KW - stochastic processes KW - anomalous diffusion KW - fractional Brownian motion KW - diffusing diffusivity KW - weak ergodicity breaking Y1 - 2020 U6 - https://doi.org/10.1088/1751-8121/aba467 SN - 1751-8113 SN - 1751-8121 VL - 53 IS - 47 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Kurilovich, Aleksandr A. A1 - Mantsevich, Vladimir A1 - Stevenson, Keith J. A1 - Chechkin, Aleksei V. A1 - Palyulin, V. V. T1 - Complex diffusion-based kinetics of photoluminescence in semiconductor nanoplatelets JF - Physical chemistry, chemical physics : a journal of European Chemical Societies N2 - We present a diffusion-based simulation and theoretical models for explanation of the photoluminescence (PL) emission intensity in semiconductor nanoplatelets. It is shown that the shape of the PL intensity curves can be reproduced by the interplay of recombination, diffusion and trapping of excitons. The emission intensity at short times is purely exponential and is defined by recombination. At long times, it is governed by the release of excitons from surface traps and is characterized by a power-law tail. We show that the crossover from one limit to another is controlled by diffusion properties. This intermediate region exhibits a rich behaviour depending on the value of diffusivity. The proposed approach reproduces all the features of experimental curves measured for different nanoplatelet systems. Y1 - 2020 U6 - https://doi.org/10.1039/d0cp03744c SN - 1463-9076 SN - 1463-9084 VL - 22 IS - 42 SP - 24686 EP - 24696 PB - Royal Society of Chemistry CY - Cambridge ER - TY - JOUR A1 - Schulz, Johannes H. P. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Correlated continuous time random walks - combining scale-invariance with long-range memory for spatial and temporal dynamics JF - Journal of physics : A, Mathematical and theoretical N2 - 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. Y1 - 2013 U6 - https://doi.org/10.1088/1751-8113/46/47/475001 SN - 1751-8113 SN - 1751-8121 VL - 46 IS - 47 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Anomalous diffusion and ergodicity breaking in heterogeneous diffusion processes JF - New journal of physics : the open-access journal for physics N2 - 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. Y1 - 2013 U6 - https://doi.org/10.1088/1367-2630/15/8/083039 SN - 1367-2630 VL - 15 IS - 15 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Jeon, Jae-Hyung A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Scaled Brownian motion: a paradoxical process with a time dependent diffusivity for the description of anomalous diffusion JF - Physical chemistry, chemical physics : a journal of European Chemical Societies N2 - 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 < x(2)(t) similar or equal to 2K(t)t with K(t) similar or equal to t(alpha-1) for 0 < 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. Y1 - 2014 U6 - https://doi.org/10.1039/c4cp02019g SN - 1463-9076 SN - 1463-9084 VL - 16 IS - 30 SP - 15811 EP - 15817 PB - Royal Society of Chemistry CY - Cambridge ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Space-fractional Fokker-Planck equation and optimization of random search processes in the presence of an external bias JF - Journal of statistical mechanics: theory and experiment N2 - 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. KW - driven diffusive systems (theory) KW - fluctuations (theory) KW - stochastic processes (theory) KW - diffusion Y1 - 2014 U6 - https://doi.org/10.1088/1742-5468/2014/11/P11031 SN - 1742-5468 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Nezhadhaghighi, M. Ghasemi A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Numerical approach to unbiased and driven generalized elastic model JF - The journal of chemical physics : bridges a gap between journals of physics and journals of chemistr N2 - 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. Y1 - 2014 U6 - https://doi.org/10.1063/1.4858425 SN - 0021-9606 SN - 1089-7690 VL - 140 IS - 2 PB - American Institute of Physics CY - Melville ER - TY - JOUR A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Ultraslow scaled Brownian motion JF - New journal of physics : the open-access journal for physics N2 - We define and study in detail utraslow scaled Brownian motion (USBM) characterized by a time dependent diffusion coefficient of the form D(t) similar or equal to 1/t. For unconfined motion the mean squared displacement (MSD) of USBM exhibits an ultraslow, logarithmic growth as function of time, in contrast to the conventional scaled Brownian motion. In a harmonic potential the MSD of USBM does not saturate but asymptotically decays inverse-proportionally to time, reflecting the highly non-stationary character of the process. We show that the process is weakly non-ergodic in the sense that the time averaged MSD does not converge to the regular MSD even at long times, and for unconfined motion combines a linear lag time dependence with a logarithmic term. The weakly non-ergodic behaviour is quantified in terms of the ergodicity breaking parameter. The USBM process is also shown to be ageing: observables of the system depend on the time gap between initiation of the test particle and start of the measurement of its motion. Our analytical results are shown to agree excellently with extensive computer simulations. KW - anomalous diffusion KW - stochastic processes KW - ageing Y1 - 2015 U6 - https://doi.org/10.1088/1367-2630/17/6/063038 SN - 1367-2630 VL - 17 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Burnecki, Krzysztof A1 - Wylomanska, Agnieszka A1 - Beletskii, Aleksei A1 - Gonchar, Vsevolod A1 - Chechkin, Aleksei V. T1 - Recognition of stable distribution with levy index alpha close to 2 JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We address the problem of recognizing alpha-stable Levy distribution with Levy index close to 2 from experimental data. We are interested in the case when the sample size of available data is not large, thus the power law asymptotics of the distribution is not clearly detectable, and the shape of the empirical probability density function is close to a Gaussian. We propose a testing procedure combining a simple visual test based on empirical fourth moment with the Anderson-Darling and Jarque-Bera statistical tests and we check the efficiency of the method on simulated data. Furthermore, we apply our method to the analysis of turbulent plasma density and potential fluctuations measured in the stellarator-type fusion device and demonstrate that the phenomenon of the L-H transition from low confinement, L mode, to a high confinement, H mode, which occurs in this device is accompanied by the transition from Levy to Gaussian fluctuation statistics. Y1 - 2012 U6 - https://doi.org/10.1103/PhysRevE.85.056711 SN - 1539-3755 VL - 85 IS - 5 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Lenz, F. A1 - Klages, Rainer T1 - Normal and anomalous fluctuation relations for gaussian stochastic dynamics JF - Journal of statistical mechanics: theory and experiment N2 - We study transient work fluctuation relations (FRs) for Gaussian stochastic systems generating anomalous diffusion. For this purpose we use a Langevin approach by employing two different types of additive noise: (i) internal noise where the fluctuation dissipation relation of the second kind (FDR II) holds, and (ii) external noise without FDR II. For internal noise we demonstrate that the existence of FDR II implies the existence of the fluctuation dissipation relation of the first kind (FDR I), which in turn leads to conventional (normal) forms of transient work FRs. For systems driven by external noise we obtain violations of normal FRs, which we call anomalous FRs. We derive them in the long-time limit and demonstrate the existence of logarithmic factors in FRs for intermediate times. We also outline possible experimental verifications. KW - stochastic particle dynamics (theory) KW - fluctuations (theory) KW - stochastic processes (theory) KW - diffusion Y1 - 2012 U6 - https://doi.org/10.1088/1742-5468/2012/11/L11001 SN - 1742-5468 IS - 4 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Levy flights do not always optimize random blind search for sparse targets JF - Proceedings of the National Academy of Sciences of the United States of America N2 - It is generally believed that random search processes based on scale-free, Levy stable jump length distributions (Levy flights) optimize the search for sparse targets. Here we show that this popular search advantage is less universal than commonly assumed. We study the efficiency of a minimalist search model based on Levy flights in the absence and presence of an external drift (underwater current, atmospheric wind, a preference of the walker owing to prior experience, or a general bias in an abstract search space) based on two different optimization criteria with respect to minimal search time and search reliability (cumulative arrival probability). Although Levy flights turn out to be efficient search processes when the target is far from the starting point, or when relative to the starting point the target is upstream, we show that for close targets and for downstream target positioning regular Brownian motion turns out to be the advantageous search strategy. Contrary to claims that Levy flights with a critical exponent alpha = 1 are optimal for the search of sparse targets in different settings, based on our optimization parameters the optimal a may range in the entire interval (1, 2) and especially include Brownian motion as the overall most efficient search strategy. KW - search optimization KW - stochastic processes KW - Levy foraging hypothesis Y1 - 2014 U6 - https://doi.org/10.1073/pnas.1320424111 SN - 0027-8424 VL - 111 IS - 8 SP - 2931 EP - 2936 PB - National Acad. of Sciences CY - Washington ER - TY - JOUR A1 - Dieterich, Peter A1 - Klages, Rainer A1 - Chechkin, Aleksei V. T1 - Fluctuation relations for anomalous dynamics generated by time-fractional Fokker-Planck equations JF - New journal of physics : the open-access journal for physics N2 - Anomalous dynamics characterized by non-Gaussian probability distributions (PDFs) and/or temporal long-range correlations can cause subtle modifications of conventional fluctuation relations (FRs). As prototypes we study three variants of a generic time-fractional Fokker-Planck equation with constant force. Type A generates superdiffusion, type B subdiffusion and type C both super-and subdiffusion depending on parameter variation. Furthermore type C obeys a fluctuation-dissipation relation whereas A and B do not. We calculate analytically the position PDFs for all three cases and explore numerically their strongly non-Gaussian shapes. While for type C we obtain the conventional transient work FR, type A and type B both yield deviations by featuring a coefficient that depends on time and by a nonlinear dependence on the work. We discuss possible applications of these types of dynamics and FRs to experiments. KW - fluctuation relations KW - anomalous diffusion KW - stochastic processes KW - stochastic thermodynamics KW - Fokker-Planck equations Y1 - 2015 U6 - https://doi.org/10.1088/1367-2630/17/7/075004 SN - 1367-2630 VL - 17 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Sandev, Trifce A1 - Chechkin, Aleksei V. A1 - Kantz, Holger A1 - Metzler, Ralf T1 - Diffusion and fokker-planck-smoluchowski equations with generalized memory kernel JF - Fractional calculus and applied analysis : an international journal for theory and applications N2 - We consider anomalous stochastic processes based on the renewal continuous time random walk model with different forms for the probability density of waiting times between individual jumps. In the corresponding continuum limit we derive the generalized diffusion and Fokker-Planck-Smoluchowski equations with the corresponding memory kernels. We calculate the qth order moments in the unbiased and biased cases, and demonstrate that the generalized Einstein relation for the considered dynamics remains valid. The relaxation of modes in the case of an external harmonic potential and the convergence of the mean squared displacement to the thermal plateau are analyzed. KW - continuous time random walk (CTRW) KW - Fokker-Planck-Smoluchowski equation KW - Mittag-Leffler functions KW - anomalous diffusion KW - multi-scaling Y1 - 2015 U6 - https://doi.org/10.1515/fca-2015-0059 SN - 1311-0454 SN - 1314-2224 VL - 18 IS - 4 SP - 1006 EP - 1038 PB - De Gruyter CY - Berlin ER - TY - JOUR A1 - Sliusarenko, O. Yu. A1 - Surkov, D. A. A1 - Gonchar, V. Yu. A1 - Chechkin, Aleksei V. T1 - Stationary states in bistable system driven by Levy noise JF - European physical journal special topics N2 - We study the properties of the probability density function (PDF) of a bistable system driven by heavy tailed white symmetric L,vy noise. The shape of the stationary PDF is found analytically for the particular case of the L,vy index alpha = 1 (Cauchy noise). For an arbitrary L,vy index we employ numerical methods based on the solution of the stochastic Langevin equation and space fractional kinetic equation. In contrast to the bistable system driven by Gaussian noise, in the L,vy case, the positions of maxima of the stationary PDF do not coincide with the positions of minima of the bistable potential. We provide a detailed study of the distance between the maxima and the minima as a function of the depth of the potential and the L,vy noise parameters. Y1 - 2013 U6 - https://doi.org/10.1140/epjst/e2013-01736-0 SN - 1951-6355 VL - 216 IS - 1 SP - 133 EP - 138 PB - Springer CY - Heidelberg ER - TY - JOUR A1 - Godec, Aljaz A1 - Chechkin, Aleksei V. A1 - Barkai, Eli A1 - Kantz, Holger A1 - Metzler, Ralf T1 - Localisation and universal fluctuations in ultraslow diffusion processes JF - Journal of physics : A, Mathematical and theoretical N2 - We study ultraslow diffusion processes with logarithmic mean squared displacement (MSD) < x(2)(t)> similar or equal to log(gamma)t. Comparison of annealed (renewal) continuous time random walks (CTRWs) with logarithmic waiting time distribution psi(tau) similar or equal to 1/(tau log(1+gamma)tau) and Sinai diffusion in quenched random landscapes reveals striking similarities, despite the great differences in their physical nature. In particular, they exhibit a weakly non-ergodic disparity of the time-averaged and ensemble-averaged MSDs. Remarkably, for the CTRW we observe that the fluctuations of time averages become universal, with an exponential suppression of mobile trajectories. We discuss the fundamental connection between the Golosov localization effect and non-ergodicity in the sense of the disparity between ensemble-averaged MSD and time-averaged MSD. KW - Sinai diffusion KW - anomalous diffusion KW - quenched energy landscape Y1 - 2014 U6 - https://doi.org/10.1088/1751-8113/47/49/492002 SN - 1751-8113 SN - 1751-8121 VL - 47 IS - 49 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Ageing and confinement in non-ergodic heterogeneous diffusion processes JF - Journal of physics : A, Mathematical and theoretical N2 - We study the effects of ageing-the time delay between initiation of the physical process at t = 0 and start of observation at some time t(a) > 0-and spatial confinement on the properties of heterogeneous diffusion processes (HDPs) with deterministic power-law space-dependent diffusivities, D(x) = D-0 vertical bar x vertical bar(alpha). From analysis of the ensemble and time averaged mean squared displacements and the ergodicity breaking parameter quantifying the inherent degree of irreproducibility of individual realizations of the HDP we obtain striking similarities to ageing subdiffusive continuous time random walks with scale-free waiting time distributions. We also explore how both processes can be distinguished. For confined HDPs we study the long-time saturation of the ensemble and time averaged particle displacements as well as the magnitude of the inherent scatter of time averaged displacements and contrast the outcomes to the results known for other anomalous diffusion processes under confinement. KW - stochastic processes KW - anomalous diffusion KW - ageing KW - weak ergodicity breaking Y1 - 2014 U6 - https://doi.org/10.1088/1751-8113/47/48/485002 SN - 1751-8113 SN - 1751-8121 VL - 47 IS - 48 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Particle invasion, survival, and non-ergodicity in 2D diffusion processes with space-dependent diffusivity JF - Soft matter N2 - We study the thermal Markovian diffusion of tracer particles in a 2D medium with spatially varying diffusivity D(r), mimicking recently measured, heterogeneous maps of the apparent diffusion coefficient in biological cells. For this heterogeneous diffusion process (HDP) we analyse the mean squared displacement (MSD) of the tracer particles, the time averaged MSD, the spatial probability density function, and the first passage time dynamics from the cell boundary to the nucleus. Moreover we examine the non-ergodic properties of this process which are important for the correct physical interpretation of time averages of observables obtained from single particle tracking experiments. From extensive computer simulations of the 2D stochastic Langevin equation we present an in-depth study of this HDP. In particular, we find that the MSDs along the radial and azimuthal directions in a circular domain obey anomalous and Brownian scaling, respectively. We demonstrate that the time averaged MSD stays linear as a function of the lag time and the system thus reveals a weak ergodicity breaking. Our results will enable one to rationalise the diffusive motion of larger tracer particles such as viruses or submicron beads in biological cells. Y1 - 2014 U6 - https://doi.org/10.1039/c3sm52846d SN - 1744-683X SN - 1744-6848 VL - 10 IS - 10 SP - 1591 EP - 1601 PB - Royal Society of Chemistry CY - Cambridge ER - TY - JOUR A1 - Sposini, Vittoria A1 - Chechkin, Aleksei V. A1 - Seno, Flavio A1 - Pagnini, Gianni A1 - Metzler, Ralf T1 - Random diffusivity from stochastic equations BT - comparison of two models for Brownian yet non-Gaussian diffusion JF - New Journal of Physics N2 - A considerable number of systems have recently been reported in which Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability density function of the particle displacement is distinctly non-Gaussian, and often of exponential(Laplace) shape. This apparently ubiquitous behaviour observed in very different physical systems has been interpreted as resulting from diffusion in inhomogeneous environments and mathematically represented through a variable, stochastic diffusion coefficient. Indeed different models describing a fluctuating diffusivity have been studied. Here we present a new view of the stochastic basis describing time dependent random diffusivities within a broad spectrum of distributions. Concretely, our study is based on the very generic class of the generalised Gamma distribution. Two models for the particle spreading in such random diffusivity settings are studied. The first belongs to the class of generalised grey Brownian motion while the second follows from the idea of diffusing diffusivities. The two processes exhibit significant characteristics which reproduce experimental results from different biological and physical systems. We promote these two physical models for the description of stochastic particle motion in complex environments. Y1 - 2018 U6 - https://doi.org/10.1088/1367-2630/aab696 SN - 1367-2630 SP - 1 EP - 33 PB - Deutsche Physikalische Gesellschaft / Institute of Physics CY - Bad Honnef und London ER - TY - GEN A1 - Sposini, Vittoria A1 - Chechkin, Aleksei V. A1 - Flavio, Seno A1 - Pagnini, Gianni A1 - Metzler, Ralf T1 - Random diffusivity from stochastic equations BT - comparison of two models for Brownian yet non-Gaussian diffusion T2 - New Journal of Physics N2 - Brownian yet non-Gaussian dynamics was observed. These are processes characterised by a linear growth in time of the mean squared displacement, yet the probability density function of the particle displacement is distinctly non-Gaussian, and often of exponential(Laplace) shape. This apparently ubiquitous behaviour observed in very different physical systems has been interpreted as resulting from diffusion in inhomogeneous environments and mathematically represented through a variable, stochastic diffusion coefficient. Indeed different models describing a fluctuating diffusivity have been studied. Here we present a new view of the stochastic basis describing time dependent random diffusivities within a broad spectrum of distributions. Concretely, our study is based on the very generic class of the generalised Gamma distribution. Two models for the particle spreading in such random diffusivity settings are studied. The first belongs to the class of generalised grey Brownian motion while the second follows from the idea of diffusing diffusivities. The two processes exhibit significant characteristics which reproduce experimental results from different biological and physical systems. We promote these two physical models for the description of stochastic particle motion in complex environments. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 416 Y1 - 2018 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-409743 ER - TY - GEN A1 - Burnecki, Krzysztof A1 - Wylomanska, Agnieszka A1 - Chechkin, Aleksei V. T1 - Discriminating between light- and heavy-tailed distributions with limit theorem T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - In this paper we propose an algorithm to distinguish between light- and heavy-tailed probability laws underlying random datasets. The idea of the algorithm, which is visual and easy to implement, is to check whether the underlying law belongs to the domain of attraction of the Gaussian or non-Gaussian stable distribution by examining its rate of convergence. The method allows to discriminate between stable and various non-stable distributions. The test allows to differentiate between distributions, which appear the same according to standard Kolmogorov-Smirnov test. In particular, it helps to distinguish between stable and Student's t probability laws as well as between the stable and tempered stable, the cases which are considered in the literature as very cumbersome. Finally, we illustrate the procedure on plasma data to identify cases with so-called L-H transition. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 495 KW - levy fight KW - statistical-analysis KW - fractional dynamics KW - stochastic-process KW - edge turbulence KW - scaling laws KW - stable laws KW - power-law KW - convergence KW - fluctuations Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-408172 SN - 1866-8372 IS - 495 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 Lévy flights and Lévy walks JF - New Journal of 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 - Lévy flights KW - Lévy 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 PB - Dt. Physikalische Ges. CY - Bad Honnef ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Chechkin, Aleksei V. A1 - Klages, Rainer A1 - Metzler, Ralf T1 - Search reliability and search efficiency of combined Levy-Brownian motion: long relocations mingled with thorough local exploration JF - Journal of physics : A, Mathematical and theoretical N2 - A combined dynamics consisting of Brownian motion and Levy flights is exhibited by a variety of biological systems performing search processes. Assessing the search reliability of ever locating the target and the search efficiency of doing so economically of such dynamics thus poses an important problem. Here we model this dynamics by a one-dimensional fractional Fokker-Planck equation combining unbiased Brownian motion and Levy flights. By solving this equation both analytically and numerically we show that the superposition of recurrent Brownian motion and Levy flights with stable exponent alpha < 1, by itself implying zero probability of hitting a point on a line, leads to transient motion with finite probability of hitting any point on the line. We present results for the exact dependence of the values of both the search reliability and the search efficiency on the distance between the starting and target positions as well as the choice of the scaling exponent a of the Levy flight component. KW - random search process KW - first passage KW - first arrival KW - Levy flights KW - Brownian motion Y1 - 2016 U6 - https://doi.org/10.1088/1751-8113/49/39/394002 SN - 1751-8113 SN - 1751-8121 VL - 49 SP - 2189 EP - 2193 PB - IOP Publ. Ltd. CY - Bristol ER - TY - GEN A1 - Jeon, Jae-Hyung A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Scaled Brownian motion: a paradoxical process with a time dependent diffusivity for the description of anomalous diffusion N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 180 KW - single-particle tracking KW - living cells KW - random-walks KW - subdiffusion KW - dynamics KW - nonergodicity KW - coefficients KW - transport KW - membrane KW - behavior Y1 - 2014 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-76302 SP - 15811 EP - 15817 ER - TY - JOUR A1 - Bodrova, Anna A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Quantifying non-ergodic dynamics of force-free granular gases JF - Physical chemistry, chemical physics : PCCP ; a journal of European Chemical Societies N2 - Brownianmotion is ergodic in the Boltzmann–Khinchin sense that long time averages of physical observables such as the mean squared displacement provide the same information as the corresponding ensemble average, even at out-of-equilibrium conditions. This property is the fundamental prerequisite for single particle tracking and its analysis in simple liquids. We study analytically and by event-driven molecular dynamics simulations the dynamics of force-free cooling granular gases and reveal a violation of ergodicity in this Boltzmann– Khinchin sense as well as distinct ageing of the system. Such granular gases comprise materials such as dilute gases of stones, sand, various types of powders, or large molecules, and their mixtures are ubiquitous in Nature and technology, in particular in Space. We treat—depending on the physical-chemical properties of the inter-particle interaction upon their pair collisions—both a constant and a velocity-dependent (viscoelastic) restitution coefficient e. Moreover we compare the granular gas dynamics with an effective single particle stochastic model based on an underdamped Langevin equation with time dependent diffusivity. We find that both models share the same behaviour of the ensemble mean squared displacement (MSD) and the velocity correlations in the limit of weak dissipation. Qualitatively, the reported non-ergodic behaviour is generic for granular gases with any realistic dependence of e on the impact velocity of particles. Y1 - 2015 U6 - https://doi.org/10.1039/C5CP02824H SN - 1463-9084 IS - 17 SP - 21791 EP - 21798 ER - TY - GEN A1 - Bodrova, Anna A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Quantifying non-ergodic dynamics of force-free granular gases N2 - Brownianmotion is ergodic in the Boltzmann–Khinchin sense that long time averages of physical observables such as the mean squared displacement provide the same information as the corresponding ensemble average, even at out-of-equilibrium conditions. This property is the fundamental prerequisite for single particle tracking and its analysis in simple liquids. We study analytically and by event-driven molecular dynamics simulations the dynamics of force-free cooling granular gases and reveal a violation of ergodicity in this Boltzmann-Khinchin sense as well as distinct ageing of the system. Such granular gases comprise materials such as dilute gases of stones, sand, various types of powders, or large molecules, and their mixtures are ubiquitous in Nature and technology, in particular in Space. We treat—depending on the physical-chemical properties of the inter-particle interaction upon their pair collisions—both a constant and a velocity-dependent (viscoelastic) restitution coefficient e. Moreover we compare the granular gas dynamics with an effective single particle stochastic model based on an underdamped Langevin equation with time dependent diffusivity. We find that both models share the same behaviour of the ensemble mean squared displacement (MSD) and the velocity correlations in the limit of weak dissipation. Qualitatively, the reported non-ergodic behaviour is generic for granular gases with any realistic dependence of e on the impact velocity of particles. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 206 Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-85200 ER - TY - JOUR A1 - Metzler, Ralf A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Bodrova, Anna S. T1 - Ultraslow scaled Brownian motion JF - New journal of physics : the open-access journal for physics N2 - We define and study in detail utraslow scaled Brownian motion (USBM) characterized by a time dependent diffusion coefficient of the form . For unconfined motion the mean squared displacement (MSD) of USBM exhibits an ultraslow, logarithmic growth as function of time, in contrast to the conventional scaled Brownian motion. In a harmonic potential the MSD of USBM does not saturate but asymptotically decays inverse-proportionally to time, reflecting the highly non-stationary character of the process. We show that the process is weakly non-ergodic in the sense that the time averaged MSD does not converge to the regular MSD even at long times, and for unconfined motion combines a linear lag time dependence with a logarithmic term. The weakly non-ergodic behaviour is quantified in terms of the ergodicity breaking parameter. The USBM process is also shown to be ageing: observables of the system depend on the time gap between initiation of the test particle and start of the measurement of its motion. Our analytical results are shown to agree excellently with extensive computer simulations. KW - anomalous diffusion KW - stochastic processes KW - ageing Y1 - 2015 U6 - https://doi.org/10.1088/1367-2630/17/6/063038 SN - 1367-2630 VL - 17 IS - 063038 PB - Dt. Physikalische Ges., IOP CY - Bad Honnef, London ER - TY - GEN A1 - Metzler, Ralf A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Bodrova, Anna S. T1 - Ultraslow scaled Brownian motion T2 - New journal of physics : the open-access journal for physics N2 - We define and study in detail utraslow scaled Brownian motion (USBM) characterized by a time dependent diffusion coefficient of the form . For unconfined motion the mean squared displacement (MSD) of USBM exhibits an ultraslow, logarithmic growth as function of time, in contrast to the conventional scaled Brownian motion. In a harmonic potential the MSD of USBM does not saturate but asymptotically decays inverse-proportionally to time, reflecting the highly non-stationary character of the process. We show that the process is weakly non-ergodic in the sense that the time averaged MSD does not converge to the regular MSD even at long times, and for unconfined motion combines a linear lag time dependence with a logarithmic term. The weakly non-ergodic behaviour is quantified in terms of the ergodicity breaking parameter. The USBM process is also shown to be ageing: observables of the system depend on the time gap between initiation of the test particle and start of the measurement of its motion. Our analytical results are shown to agree excellently with extensive computer simulations. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 188 KW - anomalous diffusion KW - stochastic processes KW - ageing Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-78618 ER - TY - JOUR 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 JF - New journal of physics 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. KW - time averaging KW - diffusion KW - geometric Brownian motion KW - financial time series Y1 - 2017 U6 - https://doi.org/10.1088/1367-2630/aa7199 SN - 1367-2630 VL - 19 SP - 1 EP - 11 PB - IOP CY - London 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 - TY - JOUR A1 - Bodrova, Anna A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Quantifying non-ergodic dynamics of force-free granular gases JF - Physical chemistry, chemical physics : a journal of European Chemical Societies N2 - Brownian motion is ergodic in the Boltzmann-Khinchin sense that long time averages of physical observables such as the mean squared displacement provide the same information as the corresponding ensemble average, even at out-of-equilibrium conditions. This property is the fundamental prerequisite for single particle tracking and its analysis in simple liquids. We study analytically and by event-driven molecular dynamics simulations the dynamics of force-free cooling granular gases and reveal a violation of ergodicity in this Boltzmann-Khinchin sense as well as distinct ageing of the system. Such granular gases comprise materials such as dilute gases of stones, sand, various types of powders, or large molecules, and their mixtures are ubiquitous in Nature and technology, in particular in Space. We treat-depending on the physical-chemical properties of the inter-particle interaction upon their pair collisions-both a constant and a velocity-dependent (viscoelastic) restitution coefficient epsilon. Moreover we compare the granular gas dynamics with an effective single particle stochastic model based on an underdamped Langevin equation with time dependent diffusivity. We find that both models share the same behaviour of the ensemble mean squared displacement (MSD) and the velocity correlations in the limit of weak dissipation. Qualitatively, the reported non-ergodic behaviour is generic for granular gases with any realistic dependence of epsilon on the impact velocity of particles. Y1 - 2015 U6 - https://doi.org/10.1039/c5cp02824h SN - 1463-9076 SN - 1463-9084 VL - 17 IS - 34 SP - 21791 EP - 21798 PB - Royal Society of Chemistry CY - Cambridge ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Kantz, Holger A1 - Metzler, Ralf T1 - Ageing effects in ultraslow continuous time random walks JF - The European physical journal : B, Condensed matter and complex systems N2 - In ageing systems physical observables explicitly depend on the time span elapsing between the original initiation of the system and the actual start of the recording of the particle motion. We here study the signatures of ageing in the framework of ultraslow continuous time random walk processes with super-heavy tailed waiting time densities. We derive the density for the forward or recurrent waiting time of the motion as function of the ageing time, generalise the Montroll-Weiss equation for this process, and analyse the ageing behaviour of the ensemble and time averaged mean squared displacements. Y1 - 2017 U6 - https://doi.org/10.1140/epjb/e2017-80270-9 SN - 1434-6028 SN - 1434-6036 VL - 90 PB - Springer CY - New York ER - TY - JOUR 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 JF - New journal of physics : the open-access journal for physics 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. KW - time averaging KW - diffusion KW - geometric Brownian motion KW - financial time series Y1 - 2017 U6 - https://doi.org/10.1088/1367-2630/aa7199 SN - 1367-2630 VL - 19 SP - 135 EP - 147 PB - IOP Publ. Ltd. CY - Bristol 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 - JOUR A1 - Guggenberger, Tobias A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Fractional Brownian motion in superharmonic potentials and non-Boltzmann stationary distributions JF - Journal of physics : A, Mathematical and theoretical N2 - 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. KW - anomalous diffusion KW - Boltzmann distribution KW - non-Gaussian distribution Y1 - 2021 U6 - https://doi.org/10.1088/1751-8121/ac019b SN - 1751-8113 SN - 1751-8121 VL - 54 IS - 29 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Sandev, T. A1 - Iomin, Alexander A1 - Kantz, Holger A1 - Metzler, Ralf A1 - Chechkin, Aleksei V. T1 - Comb Model with Slow and Ultraslow Diffusion JF - Mathematical modelling of natural phenomena N2 - We consider a generalized diffusion equation in two dimensions for modeling diffusion on a comb-like structures. We analyze the probability distribution functions and we derive the mean squared displacement in x and y directions. Different forms of the memory kernels (Dirac delta, power-law, and distributed order) are considered. It is shown that anomalous diffusion may occur along both x and y directions. Ultraslow diffusion and some more general diffusive processes are observed as well. We give the corresponding continuous time random walk model for the considered two dimensional diffusion-like equation on a comb, and we derive the probability distribution functions which subordinate the process governed by this equation to the Wiener process. KW - comb-like model KW - anomalous diffusion KW - mean squared displacement KW - probability density function Y1 - 2016 U6 - https://doi.org/10.1051/mmnp/201611302 SN - 0973-5348 SN - 1760-6101 VL - 11 SP - 18 EP - 33 PB - EDP Sciences CY - Les Ulis ER - TY - JOUR A1 - Capała, Karol A1 - Padash, Amin A1 - Chechkin, Aleksei V. A1 - Shokri, Babak A1 - Metzler, Ralf A1 - Dybiec, Bartłomiej T1 - Levy noise-driven escape from arctangent potential wells JF - Chaos : an interdisciplinary journal of nonlinear science N2 - 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. Y1 - 2020 U6 - https://doi.org/10.1063/5.0021795 SN - 1054-1500 SN - 1089-7682 VL - 30 IS - 12 PB - American Institute of Physics CY - Woodbury, NY ER - TY - JOUR A1 - Pavlyukevich, Ilya A1 - Li, Yongge A1 - Xu, Yong A1 - Chechkin, Aleksei V. T1 - Directed transport induced by spatially modulated Levy flights JF - Journal of physics : A, Mathematical and theoretical N2 - In this paper we study the dynamics of a particle in a ratchet potential subject to multiplicative alpha-stable Levy noise, alpha is an element of(0, 2), in the limit of a noise amplitude epsilon -> 0. We compare the dynamics for Ito and Marcus multiplicative noises and obtain the explicit asymptotics of the escape time in the wells and transition probabilities between the wells. A detailed analysis of the noise-induced current is performed for the Seebeck ratchet with a weak multiplicative noise for alpha is an element of(0, 2]. KW - Levy flights KW - multiplicative noise KW - Seebeck ratchet KW - directed transport Y1 - 2015 U6 - https://doi.org/10.1088/1751-8113/48/49/495004 SN - 1751-8113 SN - 1751-8121 VL - 48 IS - 49 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Dieterich, Peter A1 - Lindemann, Otto A1 - Moskopp, Mats Leif A1 - Tauzin, Sebastien A1 - Huttenlocher, Anna A1 - Klages, Rainer A1 - Chechkin, Aleksei V. A1 - Schwab, Albrecht T1 - Anomalous diffusion and asymmetric tempering memory in neutrophil chemotaxis JF - PLoS Computational Biology : a new community journal N2 - Neutrophil granulocytes are essential for the first host defense. After leaving the blood circulation they migrate efficiently towards sites of inflammation. They are guided by chemoattractants released from cells within the inflammatory foci. On a cellular level, directional migration is a consequence of cellular front-rear asymmetry which is induced by the concentration gradient of the chemoattractants. The generation and maintenance of this asymmetry, however, is not yet fully understood. Here we analyzed the paths of chemotacting neutrophils with different stochastic models to gain further insight into the underlying mechanisms. Wildtype chemotacting neutrophils show an anomalous superdiffusive behavior. CXCR2 blockade and TRPC6-knockout cause the tempering of temporal correlations and a reduction of chemotaxis. Importantly, such tempering is found both in vitro and in vivo. These findings indicate that the maintenance of anomalous dynamics is crucial for chemotactic behavior and the search efficiency of neutrophils. The motility of neutrophils and their ability to sense and to react to chemoattractants in their environment are of central importance for the innate immunity. Neutrophils are guided towards sites of inflammation following the activation of G-protein coupled chemoattractant receptors such as CXCR2 whose signaling strongly depends on the activity of Ca2+ permeable TRPC6 channels. It is the aim of this study to analyze data sets obtained in vitro (murine neutrophils) and in vivo (zebrafish neutrophils) with a stochastic mathematical model to gain deeper insight into the underlying mechanisms. The model is based on the analysis of trajectories of individual neutrophils. Bayesian data analysis, including the covariances of positions for fractional Brownian motion as well as for exponentially and power-law tempered model variants, allows the estimation of parameters and model selection. Our model-based analysis reveals that wildtype neutrophils show pure superdiffusive fractional Brownian motion. This so-called anomalous dynamics is characterized by temporal long-range correlations for the movement into the direction of the chemotactic CXCL1 gradient. Pure superdiffusion is absent vertically to this gradient. This points to an asymmetric 'memory' of the migratory machinery, which is found both in vitro and in vivo. CXCR2 blockade and TRPC6-knockout cause tempering of temporal correlations in the chemotactic gradient. This can be interpreted as a progressive loss of memory, which leads to a marked reduction of chemotaxis and search efficiency of neutrophils. In summary, our findings indicate that spatially differential regulation of anomalous dynamics appears to play a central role in guiding efficient chemotactic behavior. KW - neutrophils KW - chemotaxis KW - autocorrelation KW - zebrafish KW - cell migration KW - covariance KW - brownian motion KW - stochastic processes Y1 - 2022 U6 - https://doi.org/10.1371/journal.pcbi.1010089 SN - 1553-734X SN - 1553-7358 VL - 18 IS - 5 PB - PLoS CY - San Fransisco ER - TY - JOUR A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Sokolov, Igor M. T1 - Scaled Brownian motion with renewal resetting JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We investigate an intermittent stochastic process in which the diffusive motion with time-dependent diffusion coefficient D(t)∼tα−1 with α>0 (scaled Brownian motion) is stochastically reset to its initial position, and starts anew. In the present work we discuss the situation in which the memory on the value of the diffusion coefficient at a resetting time is erased, so that the whole process is a fully renewal one. The situation when the resetting of the coordinate does not affect the diffusion coefficient's time dependence is considered in the other work of this series [A. S. Bodrova et al., Phys. Rev. E 100, 012119 (2019)]. We show that the properties of the probability densities in such processes (erasing or retaining the memory on the diffusion coefficient) are vastly different. In addition we discuss the first-passage properties of the scaled Brownian motion with renewal resetting and consider the dependence of the efficiency of search on the parameters of the process. Y1 - 2019 U6 - https://doi.org/10.1103/PhysRevE.100.012120 SN - 2470-0045 SN - 2470-0053 VL - 100 IS - 1 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Zaid, I. M. A1 - Lomholt, M. A. A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Bulk-mediated surface diffusion on a cylinder in the fast exchange limit JF - Mathematical modelling of natural phenomena N2 - In various biological systems and small scale technological applications particles transiently bind to a cylindrical surface. Upon unbinding the particles diffuse in the vicinal bulk before rebinding to the surface. Such bulk-mediated excursions give rise to an effective surface translation, for which we here derive and discuss the dynamic equations, including additional surface diffusion. We discuss the time evolution of the number of surface-bound particles, the effective surface mean squared displacement, and the surface propagator. In particular, we observe sub- and superdiffusive regimes. A plateau of the surface mean-squared displacement reflects a stalling of the surface diffusion at longer times. Finally, the corresponding first passage problem for the cylindrical geometry is analysed. KW - Bulk-mediated diffusion KW - anomalous diffusion KW - Levy flights KW - stochastic processes Y1 - 2013 U6 - https://doi.org/10.1051/mmnp/20138208 SN - 0973-5348 VL - 8 IS - 2 SP - 114 EP - 126 PB - EDP Sciences CY - Les Ulis ER - TY - JOUR A1 - Sandev, Trifce A1 - Chechkin, Aleksei V. A1 - Korabel, Nickolay A1 - Kantz, Holger A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Distributed-order diffusion equations and multifractality: Models and solutions JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We study distributed-order time fractional diffusion equations characterized by multifractal memory kernels, in contrast to the simple power-law kernel of common time fractional diffusion equations. Based on the physical approach to anomalous diffusion provided by the seminal Scher-Montroll-Weiss continuous time random walk, we analyze both natural and modified-form distributed-order time fractional diffusion equations and compare the two approaches. The mean squared displacement is obtained and its limiting behavior analyzed. We derive the connection between the Wiener process, described by the conventional Langevin equation and the dynamics encoded by the distributed-order time fractional diffusion equation in terms of a generalized subordination of time. A detailed analysis of the multifractal properties of distributed-order diffusion equations is provided. Y1 - 2015 U6 - https://doi.org/10.1103/PhysRevE.92.042117 SN - 1539-3755 SN - 1550-2376 VL - 92 IS - 4 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Zaid, Irwin M. A1 - Lomholt, Michael A. A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Bulk-mediated diffusion on a planar surface full solution JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We consider the effective surface motion of a particle that intermittently unbinds from a planar surface and performs bulk excursions. Based on a random-walk approach, we derive the diffusion equations for surface and bulk diffusion including the surface-bulk coupling. From these exact dynamic equations, we analytically obtain the propagator of the effective surface motion. This approach allows us to deduce a superdiffusive, Cauchy-type behavior on the surface, together with exact cutoffs limiting the Cauchy form. Moreover, we study the long-time dynamics for the surface motion. Y1 - 2012 U6 - https://doi.org/10.1103/PhysRevE.86.041101 SN - 1539-3755 VL - 86 IS - 4 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Sokolov, Igor M. T1 - Nonrenewal resetting of scaled Brownian motion JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We investigate an intermittent stochastic process in which diffusive motion with a time-dependent diffusion coefficient, D(t)∼tα−1, α>0 (scaled Brownian motion), is stochastically reset to its initial position and starts anew. The resetting follows a renewal process with either an exponential or a power-law distribution of the waiting times between successive renewals. The resetting events, however, do not affect the time dependence of the diffusion coefficient, so that the whole process appears to be a nonrenewal one. We discuss the mean squared displacement of a particle and the probability density function of its positions in this process. We show that scaled Brownian motion with resetting demonstrates rich behavior whose properties essentially depend on the interplay of the parameters of the resetting process and the particle's displacement infree motion. The motion of particles can remain almost unaffected by resetting but can also get slowed down or even be completely suppressed. Especially interesting are the nonstationary situations in which the mean squared displacement stagnates but the distribution of positions does not tend to any steady state. This behavior is compared to the situation [discussed in the companion paper; A. S. Bodrova et al., Phys. Rev. E 100, 012120 (2019)] in which the memory of the value of the diffusion coefficient at a resetting time is erased, so that the whole process is a fully renewal one. We show that the properties of the probability densities in such processes (erasing or retaining the memory on the diffusion coefficient) are vastly different. Y1 - 2019 U6 - https://doi.org/10.1103/PhysRevE.100.012119 SN - 2470-0045 SN - 2470-0053 VL - 100 IS - 1 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Sandev, Trifce A1 - Sokolov, Igor M. A1 - Metzler, Ralf A1 - Chechkin, Aleksei V. T1 - Beyond monofractional kinetics JF - Chaos, solitons & fractals : applications in science and engineering ; an interdisciplinary journal of nonlinear science N2 - We discuss generalized integro-differential diffusion equations whose integral kernels are not of a simple power law form, and thus these equations themselves do not belong to the family of fractional diffusion equations exhibiting a monoscaling behavior. They instead generate a broad class of anomalous nonscaling patterns, which correspond either to crossovers between different power laws, or to a non-power-law behavior as exemplified by the logarithmic growth of the width of the distribution. We consider normal and modified forms of these generalized diffusion equations and provide a brief discussion of three generic types of integral kernels for each form, namely, distributed order, truncated power law and truncated distributed order kernels. For each of the cases considered we prove the non-negativity of the solution of the corresponding generalized diffusion equation and calculate the mean squared displacement. (C) 2017 Elsevier Ltd. All rights reserved. KW - Distributed order diffusion-wave equations KW - Complete Bernstein function KW - Completely monotone function Y1 - 2017 U6 - https://doi.org/10.1016/j.chaos.2017.05.001 SN - 0960-0779 SN - 1873-2887 VL - 102 SP - 210 EP - 217 PB - Elsevier CY - Oxford ER - TY - JOUR 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 JF - New Journal of Physics 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. KW - diffusion KW - anomalous diffusion KW - non-Gaussianity KW - fractional Brownian motion Y1 - 2020 U6 - https://doi.org/10.1088/1367-2630/aba390 SN - 1367-2630 VL - 22 PB - Dt. Physikalische Ges. CY - Bad Honnef ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Seno, Flavio A1 - Metzler, Ralf A1 - Sokolov, Igor M. T1 - Brownian yet Non-Gaussian Diffusion: From Superstatistics to Subordination of Diffusing Diffusivities JF - Physical review : X, Expanding access N2 - A growing number of biological, soft, and active matter systems are observed to exhibit normal diffusive dynamics with a linear growth of the mean-squared displacement, yet with a non-Gaussian distribution of increments. Based on the Chubinsky-Slater idea of a diffusing diffusivity, we here establish and analyze a minimal model framework of diffusion processes with fluctuating diffusivity. In particular, we demonstrate the equivalence of the diffusing diffusivity process with a superstatistical approach with a distribution of diffusivities, at times shorter than the diffusivity correlation time. At longer times, a crossover to a Gaussian distribution with an effective diffusivity emerges. Specifically, we establish a subordination picture of Brownian but non-Gaussian diffusion processes, which can be used for a wide class of diffusivity fluctuation statistics. Our results are shown to be in excellent agreement with simulations and numerical evaluations. Y1 - 2017 U6 - https://doi.org/10.1103/PhysRevX.7.021002 SN - 2160-3308 VL - 7 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Sokolov, Igor M. T1 - Random search with resetting BT - a unified renewal approach JF - Physical review letters N2 - We provide a unified renewal approach to the problem of random search for several targets under resetting. This framework does not rely on specific properties of the search process and resetting procedure, allows for simpler derivation of known results, and leads to new ones. Concentrating on minimizing the mean hitting time, we show that resetting at a constant pace is the best possible option if resetting helps at all, and derive the equation for the optimal resetting pace. No resetting may be a better strategy if without resetting the probability of not finding a target decays with time to zero exponentially or faster. We also calculate splitting probabilities between the targets, and define the limits in which these can be manipulated by changing the resetting procedure. We moreover show that the number of moments of the hitting time distribution under resetting is not less than the sum of the numbers of moments of the resetting time distribution and the hitting time distribution without resetting. Y1 - 2018 U6 - https://doi.org/10.1103/PhysRevLett.121.050601 SN - 0031-9007 SN - 1079-7114 VL - 121 IS - 5 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Sokolov, Igor M. T1 - Relation between generalized diffusion equations and subordination schemes JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - Generalized (non-Markovian) diffusion equations with different memory kernels and subordination schemes based on random time change in the Brownian diffusion process are popular mathematical tools for description of a variety of non-Fickian diffusion processes in physics, biology, and earth sciences. Some of such processes (notably, the fluid limits of continuous time random walks) allow for either kind of description, but other ones do not. In the present work we discuss the conditions under which a generalized diffusion equation does correspond to a subordination scheme, and the conditions under which a subordination scheme does possess the corresponding generalized diffusion equation. Moreover, we discuss examples of random processes for which only one, or both kinds of description are applicable. Y1 - 2021 U6 - https://doi.org/10.1103/PhysRevE.103.032133 SN - 2470-0045 SN - 2470-0053 VL - 103 IS - 3 PB - American Physical Society CY - College Park 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 - Chechkin, Aleksei V. A1 - Zaid, Irwin M. A1 - Lomholt, Michael A. A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Bulk-mediated surface diffusion on a cylinder in the fast exchange limit T2 - Postprints der Universität Potsdam : Mathematisch Naturwissenschaftliche Reihe N2 - In various biological systems and small scale technological applications particles transiently bind to a cylindrical surface. Upon unbinding the particles diffuse in the vicinal bulk before rebinding to the surface. Such bulk-mediated excursions give rise to an effective surface translation, for which we here derive and discuss the dynamic equations, including additional surface diffusion. We discuss the time evolution of the number of surface-bound particles, the effective surface mean squared displacement, and the surface propagator. In particular, we observe sub- and superdiffusive regimes. A plateau of the surface mean-squared displacement reflects a stalling of the surface diffusion at longer times. Finally, the corresponding first passage problem for the cylindrical geometry is analysed. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 593 KW - Bulk-mediated diffusion; KW - anomalous diffusion KW - Levy flights KW - stochastic processes Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-415480 SN - 1866-8372 IS - 593 SP - 114 EP - 126 ER - TY - JOUR A1 - Doerries, Timo J. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Apparent anomalous diffusion and non-Gaussian distributions in a simple mobile-immobile transport model with Poissonian switching JF - Interface : journal of the Royal Society N2 - We analyse mobile-immobile transport of particles that switch between the mobile and immobile phases with finite rates. Despite this seemingly simple assumption of Poissonian switching, we unveil a rich transport dynamics including significant transient anomalous diffusion and non-Gaussian displacement distributions. Our discussion is based on experimental parameters for tau proteins in neuronal cells, but the results obtained here are expected to be of relevance for a broad class of processes in complex systems. Specifically, we obtain that, when the mean binding time is significantly longer than the mean mobile time, transient anomalous diffusion is observed at short and intermediate time scales, with a strong dependence on the fraction of initially mobile and immobile particles. We unveil a Laplace distribution of particle displacements at relevant intermediate time scales. For any initial fraction of mobile particles, the respective mean squared displacement (MSD) displays a plateau. Moreover, we demonstrate a short-time cubic time dependence of the MSD for immobile tracers when initially all particles are immobile. KW - diffusion KW - mobile-immobile model KW - tau proteins Y1 - 2022 U6 - https://doi.org/10.1098/rsif.2022.0233 SN - 1742-5689 SN - 1742-5662 VL - 19 IS - 192 PB - Royal Society CY - London ER - TY - GEN A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Safdari, Hadiseh A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Underdamped scaled Brownian motion BT - (non-)existence of the overdamped limit in anomalous diffusion N2 - It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 267 Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-97158 ER - TY - JOUR A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Safdari, Hadiseh A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Underdamped scaled Brownian motion BT - (non-)existence of the overdamped limit in anomalous diffusion JF - Scientific reports N2 - It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases. Y1 - 2016 U6 - https://doi.org/10.1038/srep30520 SN - 2045-2322 VL - 6 PB - Nature Publishing Group CY - London ER - TY - JOUR A1 - Safdari, Hadiseh A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Thiel, Felix A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Quantifying the non-ergodicity of scaled Brownian motion JF - Journal of physics : A, Mathematical and theoretical N2 - 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 fractional Brownian motion. KW - scaled Brownian motion KW - anomalous diffusion KW - ageing Y1 - 2015 U6 - https://doi.org/10.1088/1751-8113/48/37/375002 SN - 1751-8113 SN - 1751-8121 VL - 48 IS - 37 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Safdari, Hadiseh A1 - Chechkin, Aleksei V. A1 - Jafari, Gholamreza R. A1 - Metzler, Ralf T1 - Aging scaled Brownian motion JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - Scaled Brownian motion (SBM) is widely used to model anomalous diffusion of passive tracers in complex and biological systems. It is a highly nonstationary process governed by the Langevin equation for Brownian motion, however, with a power-law time dependence of the noise strength. Here we study the aging properties of SBM for both unconfined and confined motion. Specifically, we derive the ensemble and time averaged mean squared displacements and analyze their behavior in the regimes of weak, intermediate, and strong aging. A very rich behavior is revealed for confined aging SBM depending on different aging times and whether the process is sub- or superdiffusive. We demonstrate that the information on the aging factorizes with respect to the lag time and exhibits a functional form that is identical to the aging behavior of scale-free continuous time random walk processes. While SBM exhibits a disparity between ensemble and time averaged observables and is thus weakly nonergodic, strong aging is shown to effect a convergence of the ensemble and time averaged mean squared displacement. Finally, we derive the density of first passage times in the semi-infinite domain that features a crossover defined by the aging time. Y1 - 2015 U6 - https://doi.org/10.1103/PhysRevE.91.042107 SN - 1539-3755 SN - 1550-2376 VL - 91 IS - 4 PB - American Physical Society CY - College Park ER - TY - GEN A1 - Molina-Garcia, Daniel A1 - Sandev, Trifce A1 - Safdari, Hadiseh A1 - Pagnini, Gianni A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Crossover from anomalous to normal diffusion BT - truncated power-law noise correlations and applications to dynamics in lipid bilayers T2 - Postprints der Universität Potsdam Mathematisch-Naturwissenschaftliche Reihe N2 - Abstract The emerging diffusive dynamics in many complex systems show a characteristic crossover behaviour from anomalous to normal diffusion which is otherwise fitted by two independent power-laws. A prominent example for a subdiffusive–diffusive crossover are viscoelastic systems such as lipid bilayer membranes, while superdiffusive–diffusive crossovers occur in systems of actively moving biological cells. We here consider the general dynamics of a stochastic particle driven by so-called tempered fractional Gaussian noise, that is noise with Gaussian amplitude and power-law correlations, which are cut off at some mesoscopic time scale. Concretely we consider such noise with built-in exponential or power-law tempering, driving an overdamped Langevin equation (fractional Brownian motion) and fractional Langevin equation motion. We derive explicit expressions for the mean squared displacement and correlation functions, including different shapes of the crossover behaviour depending on the concrete tempering, and discuss the physical meaning of the tempering. In the case of power-law tempering we also find a crossover behaviour from faster to slower superdiffusion and slower to faster subdiffusion. As a direct application of our model we demonstrate that the obtained dynamics quantitatively describes the subdiffusion–diffusion and subdiffusion–subdiffusion crossover in lipid bilayer systems. We also show that a model of tempered fractional Brownian motion recently proposed by Sabzikar and Meerschaert leads to physically very different behaviour with a seemingly paradoxical ballistic long time scaling. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 507 KW - anomalous diffusion KW - truncated power-law correlated noise KW - lipid bilayer membrane dynamics Y1 - 2019 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-422590 SN - 1866-8372 IS - 507 ER - TY - JOUR A1 - Molina-Garcia, Daniel A1 - Sandev, Trifce A1 - Safdari, Hadiseh A1 - Pagnini, Gianni A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Crossover from anomalous to normal diffusion BT - truncated power-law noise correlations and applications to dynamics in lipid bilayers JF - New Journal of Physics N2 - Abstract The emerging diffusive dynamics in many complex systems show a characteristic crossover behaviour from anomalous to normal diffusion which is otherwise fitted by two independent power-laws. A prominent example for a subdiffusive–diffusive crossover are viscoelastic systems such as lipid bilayer membranes, while superdiffusive–diffusive crossovers occur in systems of actively moving biological cells. We here consider the general dynamics of a stochastic particle driven by so-called tempered fractional Gaussian noise, that is noise with Gaussian amplitude and power-law correlations, which are cut off at some mesoscopic time scale. Concretely we consider such noise with built-in exponential or power-law tempering, driving an overdamped Langevin equation (fractional Brownian motion) and fractional Langevin equation motion. We derive explicit expressions for the mean squared displacement and correlation functions, including different shapes of the crossover behaviour depending on the concrete tempering, and discuss the physical meaning of the tempering. In the case of power-law tempering we also find a crossover behaviour from faster to slower superdiffusion and slower to faster subdiffusion. As a direct application of our model we demonstrate that the obtained dynamics quantitatively describes the subdiffusion–diffusion and subdiffusion–subdiffusion crossover in lipid bilayer systems. We also show that a model of tempered fractional Brownian motion recently proposed by Sabzikar and Meerschaert leads to physically very different behaviour with a seemingly paradoxical ballistic long time scaling. KW - anomalous diffusion KW - truncated power-law correlated noise KW - lipid bilayer membrane dynamics Y1 - 2018 U6 - https://doi.org/10.1088/1367-2630/aae4b2 SN - 1367-2630 VL - 20 PB - IOP Publishing Ltd CY - London und Bad Honnef ER - TY - JOUR A1 - Bodrova, Anna S. A1 - Chechkin, Aleksei V. A1 - Cherstvy, Andrey G. A1 - Safdari, Hadiseh A1 - Sokolov, Igor M. A1 - Metzler, Ralf T1 - Underdamped scaled Brownian motion: (non-)existence of the overdamped limit in anomalous diffusion JF - Scientific reports N2 - It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases. Y1 - 2016 U6 - https://doi.org/10.1038/srep30520 SN - 2045-2322 VL - 6 PB - Nature Publ. Group CY - London ER - TY - JOUR A1 - Safdari, Hadiseh A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Bodrova, Anna A1 - Metzler, Ralf T1 - Aging underdamped scaled Brownian motion BT - Ensemble- and time-averaged particle displacements, nonergodicity, and the failure of the overdamping approximation JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We investigate both analytically and by computer simulations the ensemble- and time-averaged, nonergodic, and aging properties of massive particles diffusing in a medium with a time dependent diffusivity. We call this stochastic diffusion process the (aging) underdamped scaled Brownian motion (UDSBM). We demonstrate how the mean squared displacement (MSD) and the time-averaged MSD of UDSBM are affected by the inertial term in the Langevin equation, both at short, intermediate, and even long diffusion times. In particular, we quantify the ballistic regime for the MSD and the time-averaged MSD as well as the spread of individual time-averaged MSD trajectories. One of the main effects we observe is that, both for the MSD and the time-averaged MSD, for superdiffusive UDSBM the ballistic regime is much shorter than for ordinary Brownian motion. In contrast, for subdiffusive UDSBM, the ballistic region extends to much longer diffusion times. Therefore, particular care needs to be taken under what conditions the overdamped limit indeed provides a correct description, even in the long time limit. We also analyze to what extent ergodicity in the Boltzmann-Khinchin sense in this nonstationary system is broken, both for subdiffusive and superdiffusive UDSBM. Finally, the limiting case of ultraslow UDSBM is considered, with a mixed logarithmic and power-law dependence of the ensemble-and time-averaged MSDs of the particles. In the limit of strong aging, remarkably, the ordinary UDSBM and the ultraslow UDSBM behave similarly in the short time ballistic limit. The approaches developed here open ways for considering other stochastic processes under physically important conditions when a finite particle mass and aging in the system cannot be neglected. Y1 - 2017 U6 - https://doi.org/10.1103/PhysRevE.95.012120 SN - 2470-0045 SN - 2470-0053 VL - 95 PB - American Physical Society CY - College Park ER -