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 - 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 - 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 - GEN A1 - Thapa, Samudrajit A1 - Wyłomańska, Agnieszka A1 - Sikora, Grzegorz A1 - Wagner, Caroline E. A1 - Krapf, Diego A1 - Kantz, Holger A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Leveraging large-deviation statistics to decipher the stochastic properties of measured trajectories T2 - Postprints der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe N2 - Extensive time-series encoding the position of particles such as viruses, vesicles, or individualproteins are routinely garnered insingle-particle tracking experiments or supercomputing studies.They contain vital clues on how viruses spread or drugs may be delivered in biological cells.Similar time-series are being recorded of stock values in financial markets and of climate data.Such time-series are most typically evaluated in terms of time-averaged mean-squareddisplacements (TAMSDs), which remain random variables for finite measurement times. Theirstatistical properties are different for differentphysical stochastic processes, thus allowing us toextract valuable information on the stochastic process itself. To exploit the full potential of thestatistical information encoded in measured time-series we here propose an easy-to-implementand computationally inexpensive new methodology, based on deviations of the TAMSD from itsensemble average counterpart. Specifically, we use the upper bound of these deviations forBrownian motion (BM) to check the applicability of this approach to simulated and real data sets.By comparing the probability of deviations fordifferent data sets, we demonstrate how thetheoretical bound for BM reveals additional information about observed stochastic processes. Weapply the large-deviation method to data sets of tracer beads tracked in aqueous solution, tracerbeads measured in mucin hydrogels, and of geographic surface temperature anomalies. Ouranalysis shows how the large-deviation properties can be efficiently used as a simple yet effectiveroutine test to reject the BM hypothesis and unveil relevant information on statistical propertiessuch as ergodicity breaking and short-time correlations. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 1118 KW - diffusion KW - anomalous diffusion KW - large-deviation statistic KW - time-averaged mean squared displacement KW - Chebyshev inequality Y1 - 2021 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-493494 SN - 1866-8372 IS - 1118 ER - TY - GEN A1 - 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 - 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 - 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 - 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 - 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 - 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 -