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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.
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.
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.
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.
Underdamped scaled Brownian motion: (non-)existence of the overdamped limit in anomalous diffusion
(2016)
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.
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.
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.
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.
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.
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.