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Raja Venkatesh A, Le KH, Weld DM, Brandman O. Diffusive lensing as a mechanism of intracellular transport and compartmentalization. eLife 2024; 12:RP89794. [PMID: 38896469 PMCID: PMC11186627 DOI: 10.7554/elife.89794] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [MESH Headings] [Grants] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 06/21/2024] Open
Abstract
While inhomogeneous diffusivity has been identified as a ubiquitous feature of the cellular interior, its implications for particle mobility and concentration at different length scales remain largely unexplored. In this work, we use agent-based simulations of diffusion to investigate how heterogeneous diffusivity affects the movement and concentration of diffusing particles. We propose that a nonequilibrium mode of membrane-less compartmentalization arising from the convergence of diffusive trajectories into low-diffusive sinks, which we call 'diffusive lensing,' is relevant for living systems. Our work highlights the phenomenon of diffusive lensing as a potentially key driver of mesoscale dynamics in the cytoplasm, with possible far-reaching implications for biochemical processes.
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Affiliation(s)
- Achuthan Raja Venkatesh
- Department of Biochemistry, Stanford UniversityStanfordUnited States
- Department of Biological Sciences, Indian Institute of Science Education and Research (IISER) MohaliMohaliIndia
| | - Kathy H Le
- Department of Biochemistry, Stanford UniversityStanfordUnited States
| | - David M Weld
- Department of Physics, University of California, Santa BarbaraSanta BarbaraUnited States
| | - Onn Brandman
- Department of Biochemistry, Stanford UniversityStanfordUnited States
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2
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Dupont T, Giordano S, Cleri F, Blossey R. Short-time expansion of one-dimensional Fokker-Planck equations with heterogeneous diffusion. Phys Rev E 2024; 109:064106. [PMID: 39020937 DOI: 10.1103/physreve.109.064106] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/04/2024] [Accepted: 05/07/2024] [Indexed: 07/20/2024]
Abstract
We formulate a short-time expansion for one-dimensional Fokker-Planck equations with spatially dependent diffusion coefficients, derived from stochastic processes with Gaussian white noise, for general values of the discretization parameter 0≤α≤1 of the stochastic integral. The kernel of the Fokker-Planck equation (the propagator) can be expressed as a product of a singular and a regular term. While the singular term can be given in closed form, the regular term can be computed from a Taylor expansion whose coefficients obey simple ordinary differential equations. We illustrate the application of our approach with examples taken from statistical physics and biophysics. Furthermore, we show how our formalism allows us to define a class of stochastic equations which can be treated exactly. The convergence of the expansion cannot be guaranteed independently from the discretization parameter α.
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Affiliation(s)
| | | | - Fabrizio Cleri
- University of Lille, Institut d'Électronique, de Microélectronique et de Nanotechnologie (IEMN CNRS UMR8520) and Departement de Physique, F-59652 Villeneuve d'Ascq, France
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3
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Seckler H, Metzler R, Kelty-Stephen DG, Mangalam M. Multifractal spectral features enhance classification of anomalous diffusion. Phys Rev E 2024; 109:044133. [PMID: 38755826 DOI: 10.1103/physreve.109.044133] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/15/2024] [Accepted: 03/19/2024] [Indexed: 05/18/2024]
Abstract
Anomalous diffusion processes, characterized by their nonstandard scaling of the mean-squared displacement, pose a unique challenge in classification and characterization. In a previous study [Mangalam et al., Phys. Rev. Res. 5, 023144 (2023)2643-156410.1103/PhysRevResearch.5.023144], we established a comprehensive framework for understanding anomalous diffusion using multifractal formalism. The present study delves into the potential of multifractal spectral features for effectively distinguishing anomalous diffusion trajectories from five widely used models: fractional Brownian motion, scaled Brownian motion, continuous-time random walk, annealed transient time motion, and Lévy walk. We generate extensive datasets comprising 10^{6} trajectories from these five anomalous diffusion models and extract multiple multifractal spectra from each trajectory to accomplish this. Our investigation entails a thorough analysis of neural network performance, encompassing features derived from varying numbers of spectra. We also explore the integration of multifractal spectra into traditional feature datasets, enabling us to assess their impact comprehensively. To ensure a statistically meaningful comparison, we categorize features into concept groups and train neural networks using features from each designated group. Notably, several feature groups demonstrate similar levels of accuracy, with the highest performance observed in groups utilizing moving-window characteristics and p varation features. Multifractal spectral features, particularly those derived from three spectra involving different timescales and cutoffs, closely follow, highlighting their robust discriminatory potential. Remarkably, a neural network exclusively trained on features from a single multifractal spectrum exhibits commendable performance, surpassing other feature groups. In summary, our findings underscore the diverse and potent efficacy of multifractal spectral features in enhancing the predictive capacity of machine learning to classify anomalous diffusion processes.
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Affiliation(s)
- Henrik Seckler
- Institute for Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
| | - Ralf Metzler
- Institute for Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
- Asia Pacific Center for Theoretical Physics, Pohang 37673, Republic of Korea
| | - Damian G Kelty-Stephen
- Department of Psychology, State University of New York at New Paltz, New Paltz, New York 12561, USA
| | - Madhur Mangalam
- Department of Biomechanics and Center for Research in Human Movement Variability, University of Nebraska at Omaha, Omaha, Nebraska 68182, USA
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4
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Zhao XB, Zhang X, Guo W. Diffusion of active Brownian particles under quenched disorder. PLoS One 2024; 19:e0298466. [PMID: 38437208 PMCID: PMC10911629 DOI: 10.1371/journal.pone.0298466] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Grants] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 06/30/2023] [Accepted: 01/24/2024] [Indexed: 03/06/2024] Open
Abstract
The motion of a single active particle in one dimension with quenched disorder under the external force is investigated. Within the tailored parameter range, anomalous diffusion that displays weak ergodicity breaking is observed, i.e., non-ergodic subdiffusion and non-ergodic superdiffusion. This non-ergodic anomalous diffusion is analyzed through the time-dependent probability distributions of the particle's velocities and positions. Its origin is attributed to the relative weights of the locked state (predominant in the subdiffusion state) and running state (predominant in the superdiffusion state). These results may contribute to understanding the dynamical behavior of self-propelled particles in nature and the extraordinary response of nonlinear dynamics to the externally biased force.
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Affiliation(s)
- Xiong-Biao Zhao
- Key Laboratory of Artificial Microstructures in Yunnan Higher Education Institutions, School of Physical Science and Technology, Kunming University, Kunming, China
| | - Xiao Zhang
- Key Laboratory of Artificial Microstructures in Yunnan Higher Education Institutions, School of Physical Science and Technology, Kunming University, Kunming, China
| | - Wei Guo
- Key Laboratory of Artificial Microstructures in Yunnan Higher Education Institutions, School of Physical Science and Technology, Kunming University, Kunming, China
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5
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Li MG, Hu M, Fan LM, Bao JD, Li PC. Quantifying the energy landscape in weakly and strongly disordered frictional media. J Chem Phys 2024; 160:024903. [PMID: 38189619 DOI: 10.1063/5.0178092] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 09/26/2023] [Accepted: 12/19/2023] [Indexed: 01/09/2024] Open
Abstract
We investigate the "roughness" of the energy landscape of a system that diffuses in a heterogeneous medium with a random position-dependent friction coefficient α(x). This random friction acting on the system stems from spatial inhomogeneity in the surrounding medium and is modeled using the generalized Caldira-Leggett model. For a weakly disordered medium exhibiting a Gaussian random diffusivity D(x) = kBT/α(x) characterized by its average value ⟨D(x)⟩ and a pair-correlation function ⟨D(x1)D(x2)⟩, we find that the renormalized intrinsic diffusion coefficient is lower than the average one due to the fluctuations in diffusivity. The induced weak internal friction leads to increased roughness in the energy landscape. When applying this idea to diffusive motion in liquid water, the dissociation energy for a hydrogen bond gradually approaches experimental findings as fluctuation parameters increase. Conversely, for a strongly disordered medium (i.e., ultrafast-folding proteins), the energy landscape ranges from a few to a few kcal/mol, depending on the strength of the disorder. By fitting protein folding dynamics to the escape process from a metastable potential, the decreased escape rate conceptualizes the role of strong internal friction. Studying the energy landscape in complex systems is helpful because it has implications for the dynamics of biological, soft, and active matter systems.
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Affiliation(s)
- Ming-Gen Li
- Department of Physics, Shantou University, Shantou, Guangdong 515063, China
| | - Meng Hu
- Department of Mathematics and Physics, North China Electric Power University, Baoding 071003, China
| | - Li-Ming Fan
- College of Physical Science and Technology, Shenyang Normal University, Shenyang 110034, China
| | - Jing-Dong Bao
- Department of Physics, Beijing Normal University, Beijing 100048, China
| | - Peng-Cheng Li
- Department of Physics, Shantou University, Shantou, Guangdong 515063, China
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6
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Li Y, Suleiman K, Xu Y. Anomalous diffusion, non-Gaussianity, nonergodicity, and confinement in stochastic-scaled Brownian motion with diffusing diffusivity dynamics. Phys Rev E 2024; 109:014139. [PMID: 38366530 DOI: 10.1103/physreve.109.014139] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 07/14/2023] [Accepted: 12/07/2023] [Indexed: 02/18/2024]
Abstract
Scaled Brownian motions (SBMs) with power-law time-dependent diffusivity have been used to describe various types of anomalous diffusion yet Gaussian observed in granular gases kinetics, turbulent diffusion, and molecules mobility in cells, to name a few. However, some of these systems may exhibit non-Gaussian behavior which can be described by SBM with diffusing diffusivity (DD-SBM). Here, we numerically investigate both free and confined DD-SBM models characterized by fixed or stochastic scaling exponent of time-dependent diffusivity. The effects of distributed scaling exponent, random diffusivity, and confinement are considered. Different regimes of ultraslow diffusion, subdiffusion, normal diffusion, and superdiffusion are observed. In addition, weak ergodic and non-Gaussian behaviors are also detected. These results provide insights into diffusion in time-fluctuating diffusivity landscapes with potential applications to time-dependent temperature systems spreading in heterogeneous environments.
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Affiliation(s)
- Yongge Li
- School of Mathematics and Statistics, Northwestern Polytechnical University, Xi'an 710072, China
| | - Kheder Suleiman
- School of Mathematics and Statistics, Northwestern Polytechnical University, Xi'an 710072, China
| | - Yong Xu
- School of Mathematics and Statistics, Northwestern Polytechnical University, Xi'an 710072, China
- MOE Key Laboratory for Complexity Science in Aerospace, Northwestern Polytechnical University, Xi'an 710072, China
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7
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Liang Y, Wang W, Metzler R, Cherstvy AG. Anomalous diffusion, nonergodicity, non-Gaussianity, and aging of fractional Brownian motion with nonlinear clocks. Phys Rev E 2023; 108:034113. [PMID: 37849140 DOI: 10.1103/physreve.108.034113] [Citation(s) in RCA: 1] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/17/2023] [Accepted: 08/07/2023] [Indexed: 10/19/2023]
Abstract
How do nonlinear clocks in time and/or space affect the fundamental properties of a stochastic process? Specifically, how precisely may ergodic processes such as fractional Brownian motion (FBM) acquire predictable nonergodic and aging features being subjected to such conditions? We address these questions in the current study. To describe different types of non-Brownian motion of particles-including power-law anomalous, ultraslow or logarithmic, as well as superfast or exponential diffusion-we here develop and analyze a generalized stochastic process of scaled-fractional Brownian motion (SFBM). The time- and space-SFBM processes are, respectively, constructed based on FBM running with nonlinear time and space clocks. The fundamental statistical characteristics such as non-Gaussianity of particle displacements, nonergodicity, as well as aging are quantified for time- and space-SFBM by selecting different clocks. The latter parametrize power-law anomalous, ultraslow, and superfast diffusion. The results of our computer simulations are fully consistent with the analytical predictions for several functional forms of clocks. We thoroughly examine the behaviors of the probability-density function, the mean-squared displacement, the time-averaged mean-squared displacement, as well as the aging factor. Our results are applicable for rationalizing the impact of nonlinear time and space properties superimposed onto the FBM-type dynamics. SFBM offers a general framework for a universal and more precise model-based description of anomalous, nonergodic, non-Gaussian, and aging diffusion in single-molecule-tracking observations.
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Affiliation(s)
- Yingjie Liang
- College of Mechanics and Materials, Hohai University, 211100 Nanjing, China
- Institute of Physics and Astronomy, University of Potsdam, 14476 Potsdam, Germany
| | - Wei Wang
- Institute of Physics and Astronomy, University of Potsdam, 14476 Potsdam, Germany
| | - Ralf Metzler
- Institute of Physics and Astronomy, University of Potsdam, 14476 Potsdam, Germany
- Asia Pacific Center for Theoretical Physics, Pohang 37673, Republic of Korea
| | - Andrey G Cherstvy
- Institute of Physics and Astronomy, University of Potsdam, 14476 Potsdam, Germany
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8
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Jhwueng DC, Wu CY. A Novel Phylogenetic Negative Binomial Regression Model for Count-Dependent Variables. BIOLOGY 2023; 12:1148. [PMID: 37627032 PMCID: PMC10452298 DOI: 10.3390/biology12081148] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Key Words] [Grants] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/09/2023] [Revised: 08/16/2023] [Accepted: 08/18/2023] [Indexed: 08/27/2023]
Abstract
Regression models are extensively used to explore the relationship between a dependent variable and its covariates. These models work well when the dependent variable is categorical and the data are supposedly independent, as is the case with generalized linear models (GLMs). However, trait data from related species do not operate under these conditions due to their shared common ancestry, leading to dependence that can be illustrated through a phylogenetic tree. In response to the analytical challenges of count-dependent variables in phylogenetically related species, we have developed a novel phylogenetic negative binomial regression model that allows for overdispersion, a limitation present in the phylogenetic Poisson regression model in the literature. This model overcomes limitations of conventional GLMs, which overlook the inherent dependence arising from shared lineage. Instead, our proposed model acknowledges this factor and uses the generalized estimating equation (GEE) framework for precise parameter estimation. The effectiveness of the proposed model was corroborated by a rigorous simulation study, which, despite the need for careful convergence monitoring, demonstrated its reasonable efficacy. The empirical application of the model to lizard egg-laying count and mammalian litter size data further highlighted its practical relevance. In particular, our results identified negative correlations between increases in egg mass, litter size, ovulation rate, and gestation length with respective yearly counts, while a positive correlation was observed with species lifespan. This study underscores the importance of our proposed model in providing nuanced and accurate analyses of count-dependent variables in related species, highlighting the often overlooked impact of shared ancestry. The model represents a critical advance in research methodologies, opening new avenues for interpretation of related species data in the field.
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9
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Valizadeh N, Hamzehpour H, Samadpour M, Najafi MN. Edwards-Wilkinson depinning transition in fractional Brownian motion background. Sci Rep 2023; 13:12300. [PMID: 37516759 PMCID: PMC10387108 DOI: 10.1038/s41598-023-39191-6] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 05/11/2023] [Accepted: 07/21/2023] [Indexed: 07/31/2023] Open
Abstract
There are various reports about the critical exponents associated with the depinning transition. In this study, we investigate how the disorder strength present in the support can account for this diversity. Specifically, we examine the depinning transition in the quenched Edwards-Wilkinson (QEW) model on a correlated square lattice, where the correlations are modeled using fractional Brownian motion (FBM) with a Hurst exponent of H.We identify a crossover time [Formula: see text] that separates the dynamics into two distinct regimes: for [Formula: see text], we observe the typical behavior of pinned surfaces, while for [Formula: see text], the behavior differs. We introduce a novel three-variable scaling function that governs the depinning transition for all considered H values. The associated critical exponents exhibit a continuous variation with H, displaying distinct behaviors for anti-correlated ([Formula: see text]) and correlated ([Formula: see text]) cases. The critical driving force decreases with increasing H, as the host medium becomes smoother for higher H values, facilitating fluid mobility. This fact causes the asymptotic velocity exponent [Formula: see text] to increase monotonically with H.
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Affiliation(s)
- N Valizadeh
- Department of Physics, K.N. Toosi University of Technology, Tehran, 15875-4416, Iran
| | - H Hamzehpour
- Department of Physics, K.N. Toosi University of Technology, Tehran, 15875-4416, Iran.
| | - M Samadpour
- Department of Physics, K.N. Toosi University of Technology, Tehran, 15875-4416, Iran
| | - M N Najafi
- Department of Physics, University of Mohaghegh Ardabili, P.O. Box 179, Ardabil, Iran
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10
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Arkashov NS, Seleznev VA. On heterogeneous diffusion processes and the formation of spatial-temporal nonlocality. CHAOS (WOODBURY, N.Y.) 2023; 33:073145. [PMID: 37466421 DOI: 10.1063/5.0159907] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/28/2023] [Accepted: 07/06/2023] [Indexed: 07/20/2023]
Abstract
Heterogeneous diffusion processes defined as a solution to the overdamped Langevin equation with multiplicative noise, the amplitude of which has a power-law space-dependent form, are studied. Particular emphasis is on discrete analogs of these processes, for which, in particular, an asymptotic estimate of their variance behavior in time is obtained. In addition, a class of processes formed by deformation of the discrete analog of the fractional Brownian motion using the Cantor ladder and its inverse transformation is considered. It is found that such a class turns out to be close in structure to discrete analogs of heterogeneous processes. This class of processes allows us to illustrate geometrically the emergence of sub- and superdiffusion transport regimes. On the basis of discrete analogs of heterogeneous processes and memory flow phenomenology, we construct a class of random processes that allows us to model nonlocality in time and space taking into account spatial heterogeneity.
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Affiliation(s)
- N S Arkashov
- Sobolev Institute of Mathematics, 4, Acad. Koptyug Ave., 630090 Novosibirsk, Russia
| | - V A Seleznev
- Department of Engineering Mathematics, Novosibirsk State Technical University, 20, Karl Marx Ave., 630073 Novosibirsk, Russia
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11
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Giordano S, Cleri F, Blossey R. Infinite ergodicity in generalized geometric Brownian motions with nonlinear drift. Phys Rev E 2023; 107:044111. [PMID: 37198762 DOI: 10.1103/physreve.107.044111] [Citation(s) in RCA: 2] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 12/05/2022] [Accepted: 03/25/2023] [Indexed: 05/19/2023]
Abstract
Geometric Brownian motion is an exemplary stochastic processes obeying multiplicative noise, with widespread applications in several fields, e.g., in finance, in physics, and biology. The definition of the process depends crucially on the interpretation of the stochastic integrals which involves the discretization parameter α with 0≤α≤1, giving rise to the well-known special cases α=0 (Itô), α=1/2 (Fisk-Stratonovich), and α=1 (Hänggi-Klimontovich or anti-Itô). In this paper we study the asymptotic limits of the probability distribution functions of geometric Brownian motion and some related generalizations. We establish the conditions for the existence of normalizable asymptotic distributions depending on the discretization parameter α. Using the infinite ergodicity approach, recently applied to stochastic processes with multiplicative noise by E. Barkai and collaborators, we show how meaningful asymptotic results can be formulated in a transparent way.
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Affiliation(s)
- Stefano Giordano
- University of Lille, CNRS, Centrale Lille, Univ. Polytechnique Hauts-de-France, UMR 8520 - IEMN - Institut d'Électronique, de Microélectronique et de Nanotechnologie, F-59000 Lille, France
| | - Fabrizio Cleri
- University of Lille, Institut d'Électronique, de Microélectronique et de Nanotechnologie (IEMN CNRS UMR8520) and Departement de Physique, F-59652 Villeneuve d'Ascq, France
| | - Ralf Blossey
- University of Lille, Unité de Glycobiologie Structurale et Fonctionnelle (UGSF), CNRS UMR8576, F-59000 Lille, France
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12
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Liu J, Jin Y, Bao JD, Chen X. Coexistence of ergodicity and nonergodicity in the aging two-state random walks. SOFT MATTER 2022; 18:8687-8699. [PMID: 36349834 DOI: 10.1039/d2sm01093c] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/16/2023]
Abstract
The two-state stochastic phenomenon is observed in various systems and is attracting more interest, and it can be described by the two-state random walk (TSRW) model. The TSRW model is a typical two-state renewal process alternating between the continuous-time random walk state and the Lévy walk state, in both of which the sojourn time distributions follow a power law. In this paper, by discussing the statistical properties and calculating the ensemble averaged and time averaged mean squared displacement, the ergodic property and the ultimate diffusive behavior of the aging TSRW is studied. Results reveal that because of the two-state intermittent feature, ergodicity and nonergodicity can coexist in the aging TSRW, which behave as the time scalings of the time averages and ensemble averages not being identically equal. In addition, we find that the unique state occupation mechanism caused by the diverging mean of the sojourn times of one state, determines the aging TSRW's ultimate diffusive behavior at extremely large timescales, i.e., instead of the term with the larger diffusion exponent, the diffusion is surprisingly characterized by the term with the smaller one, which is distinctly different from previous conclusions and known results. At last, we note that the Lévy walk with rests model which also displays aging and ergodicity breaking, can be generalized by the TSRW model.
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Affiliation(s)
- Jian Liu
- Department of Physics, Beijing Technology and Business University, Beijing, 100048, China.
- Institute of Systems Science, Beijing Technology and Business University, Beijing, 100048, China
- Institute of Theoretical Physics, Chinese Academy of Sciences, Beijing 100190, China
| | - Yuliang Jin
- Institute of Theoretical Physics, Chinese Academy of Sciences, Beijing 100190, China
- School of Physical Sciences, University of Chinese Academy of Sciences, Beijing 100049, China
- Wenzhou Institute, University of Chinese Academy of Sciences, Wenzhou, Zhejiang 325000, China
| | - Jing-Dong Bao
- Department of Physics, Beijing Normal University, Beijing, 100875, China
| | - Xiaosong Chen
- School of Systems Science, Beijing Normal University, Beijing, 100875, China
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13
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Gomez-Solano JR, Rodríguez RF, Salinas-Rodríguez E. Nonequilibrium dynamical structure factor of a dilute suspension of active particles in a viscoelastic fluid. Phys Rev E 2022; 106:054602. [PMID: 36559383 DOI: 10.1103/physreve.106.054602] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 06/06/2022] [Accepted: 10/11/2022] [Indexed: 11/06/2022]
Abstract
In this work we investigate the dynamics of the number-density fluctuations of a dilute suspension of active particles in a linear viscoelastic fluid. We propose a model for the frequency-dependent diffusion coefficient of the active particles which captures the effect of rotational diffusion on the persistence of their self-propelled motion and the viscoelasticity of the medium. Using fluctuating hydrodynamics, the linearized equations for the active suspension are derived, from which we calculate its dynamic structure factor and the corresponding intermediate scattering function. For a Maxwell-type rheological model, we find an intricate dependence of these functions on the parameters that characterize the viscoelasticity of the solvent and the activity of the particles, which can significantly deviate from those of an inert suspension of passive particles and of an active suspension in a Newtonian solvent. In particular, in some regions of the parameter space we uncover the emergence of oscillations in the intermediate scattering function at certain wave numbers which represent the hallmark of the nonequilibrium particle activity in the dynamical structure of the suspension and also encode the viscoelastic properties of the medium.
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Affiliation(s)
- Juan Ruben Gomez-Solano
- Instituto de Física, Universidad Nacional Autónoma de México, Ciudad de México, Código Postal 04510, Mexico
| | - Rosalío F Rodríguez
- Instituto de Física, Universidad Nacional Autónoma de México, Ciudad de México, Código Postal 04510, Mexico.,FENOMEC, Universidad Nacional Autónoma de México, Apdo. Postal 20-726, 01000 Ciudad de México, Mexico
| | - Elizabeth Salinas-Rodríguez
- Departamento I. P. H., Universidad Autónoma Metropolitana, Iztapalapa, Apdo. Postal 55-534, 09340 Ciudad de México, Mexico
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14
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Vinod D, Cherstvy AG, Metzler R, Sokolov IM. Time-averaging and nonergodicity of reset geometric Brownian motion with drift. Phys Rev E 2022; 106:034137. [PMID: 36266856 DOI: 10.1103/physreve.106.034137] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/18/2022] [Accepted: 08/09/2022] [Indexed: 06/16/2023]
Abstract
How do near-bankruptcy events in the past affect the dynamics of stock-market prices in the future? Specifically, what are the long-time properties of a time-local exponential growth of stock-market prices under the influence of stochastically occurring economic crashes? Here, we derive the ensemble- and time-averaged properties of the respective "economic" or geometric Brownian motion (GBM) with a nonzero drift exposed to a Poissonian constant-rate price-restarting process of "resetting." We examine-based both on thorough analytical calculations and on findings from systematic stochastic computer simulations-the general situation of reset GBM with a nonzero [positive] drift and for all special cases emerging for varying parameters of drift, volatility, and reset rate in the model. We derive and summarize all short- and long-time dependencies for the mean-squared displacement (MSD), the variance, and the mean time-averaged MSD (TAMSD) of the process of Poisson-reset GBM under the conditions of both rare and frequent resetting. We consider three main regions of model parameters and categorize the crossovers between different functional behaviors of the statistical quantifiers of this process. The analytical relations are fully supported by the results of computer simulations. In particular, we obtain that Poisson-reset GBM is a nonergodic stochastic process, with generally MSD(Δ)≠TAMSD(Δ) and Variance(Δ)≠TAMSD(Δ) at short lag times Δ and for long trajectory lengths T. We investigate the behavior of the ergodicity-breaking parameter in each of the three regions of parameters and examine its dependence on the rate of reset at Δ/T≪1. Applications of these theoretical results to the analysis of prices of reset-containing options are pertinent.
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Affiliation(s)
- Deepak Vinod
- Institute for Physics & Astronomy, University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
| | - Andrey G Cherstvy
- Institute for Physics & Astronomy, University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany
| | - Ralf Metzler
- Institute for Physics & Astronomy, University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
| | - Igor M Sokolov
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany
- IRIS Adlershof, Zum Großen Windkanal 6, 12489 Berlin, Germany
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15
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Wang X, Chen Y. Random diffusivity processes in an external force field. Phys Rev E 2022; 106:024112. [PMID: 36109990 DOI: 10.1103/physreve.106.024112] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/03/2022] [Accepted: 07/21/2022] [Indexed: 06/15/2023]
Abstract
Brownian yet non-Gaussian processes have recently been observed in numerous biological systems, and corresponding theories have been constructed based on random diffusivity models. Considering the particularity of random diffusivity, this paper studies the effect of an external force acting on two kinds of random diffusivity models whose difference is embodied in whether the fluctuation-dissipation theorem is valid. Based on the two random diffusivity models, we derive the Fokker-Planck equations with an arbitrary external force, and we analyze various observables in the case with a constant force, including the Einstein relation, the moments, the kurtosis, and the asymptotic behaviors of the probability density function of particle displacement at different timescales. Both the theoretical results and numerical simulations of these observables show a significant difference between the two kinds of random diffusivity models, which implies the important role of the fluctuation-dissipation theorem in random diffusivity systems.
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Affiliation(s)
- Xudong Wang
- School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, People's Republic of China
| | - Yao Chen
- College of Sciences, Nanjing Agricultural University, Nanjing 210095, People's Republic of China
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16
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Šlepavičius J, Avendaño C, Conchúir BÓ, Patti A. Structural relaxation dynamics of colloidal nanotrimers. Phys Rev E 2022; 106:014604. [PMID: 35974591 DOI: 10.1103/physreve.106.014604] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/13/2022] [Accepted: 06/29/2022] [Indexed: 06/15/2023]
Abstract
By Molecular Dynamics simulation, we investigate the dynamics of isotropic fluids of colloidal nanotrimers whose interactions are described by varying the strength of attractive and repulsive terms of the Mie potential. To provide a consistent comparison between the systems described by different force fields, we determine the phase diagram and critical points of each system, characterize the morphology of high-density liquid phases at the same reduced temperature and density, and finally investigate their long-time relaxation dynamics. In particular, we detect an especially complex dynamics that reveals the existence of slow and fast nanotrimers and the resulting occurrence of non-Gaussianity, which develops at intermediate timescales. Deviations from Gaussianity are temporary and vanish within the timescales of the system's density fluctuations decay, when a Fickian-like diffusion regime is eventually observed.
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Affiliation(s)
- Justinas Šlepavičius
- Department of Chemical Engineering, The University of Manchester, Manchester M13 9PL, United Kingdom
| | - Carlos Avendaño
- Department of Chemical Engineering, The University of Manchester, Manchester M13 9PL, United Kingdom
| | - Breanndán Ó Conchúir
- Department of Chemical Engineering, The University of Manchester, Manchester M13 9PL, United Kingdom
- IBM Research Europe, The Hartree Centre STFC Laboratory Sci-Tech Daresbury Warrington, Warrington WA4 4AD, United Kingdom
| | - Alessandro Patti
- Department of Chemical Engineering, The University of Manchester, Manchester M13 9PL, United Kingdom
- Department of Applied Physics, University of Granada, Fuente Nueva s/n, 18071 Granada, Spain
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17
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The Fate of Molecular Species in Water Layers in the Light of Power-Law Time-Dependent Diffusion Coefficient. Symmetry (Basel) 2022. [DOI: 10.3390/sym14061146] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 02/01/2023] Open
Abstract
In the present paper, we propose two methods for tracking molecular species in water layers via two approaches of the diffusion equation with a power-law time-dependent diffusion coefficient. The first approach shows the species densities and the growth of different species via numerical simulation. At the same time, the second approach is built on the fractional diffusion equation with a time-dependent diffusion coefficient in the sense of regularised Caputo fractional derivative. As an illustration, we present here the species densities profiles and track the normal and anomalous growth of five molecular species OH, H2O2, HO2, NO3-, and NO2- via the calculation of the mean square displacement using the two methods.
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18
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Singh P. Extreme value statistics and arcsine laws for heterogeneous diffusion processes. Phys Rev E 2022; 105:024113. [PMID: 35291128 DOI: 10.1103/physreve.105.024113] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 12/22/2021] [Accepted: 01/26/2022] [Indexed: 06/14/2023]
Abstract
Heterogeneous diffusion with a spatially changing diffusion coefficient arises in many experimental systems such as protein dynamics in the cell cytoplasm, mobility of cajal bodies, and confined hard-sphere fluids. Here, we showcase a simple model of heterogeneous diffusion where the diffusion coefficient D(x) varies in a power-law way, i.e., D(x)∼|x|^{-α} with the exponent α>-1. This model is known to exhibit anomalous scaling of the mean-squared displacement (MSD) of the form ∼t^{2/2+α} and weak ergodicity breaking in the sense that ensemble averaged and time averaged MSDs do not converge. In this paper, we look at the extreme value statistics of this model and derive, for all α, the exact probability distributions of the maximum spatial displacement M(t) and arg-maximum t_{m}(t) (i.e., the time at which this maximum is reached) till duration t. In the second part of our paper, we analyze the statistical properties of the residence time t_{r}(t) and the last-passage time t_{ℓ}(t) and compute their distributions exactly for all values of α. Our study unravels that the heterogeneous version (α≠0) displays many rich and contrasting features compared to that of the standard Brownian motion (BM). For example, while for BM (α=0), the distributions of t_{m}(t),t_{r}(t), and t_{ℓ}(t) are all identical (á la "arcsine laws" due to Lévy), they turn out to be significantly different for nonzero α. Another interesting property of t_{r}(t) is the existence of a critical α (which we denote by α_{c}=-0.3182) such that the distribution exhibits a local maximum at t_{r}=t/2 for α<α_{c} whereas it has minima at t_{r}=t/2 for α≥α_{c}. The underlying reasoning for this difference hints at the very contrasting natures of the process for α≥α_{c} and α<α_{c} which we thoroughly examine in our paper. All our analytical results are backed by extensive numerical simulations.
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Affiliation(s)
- Prashant Singh
- International Centre for Theoretical Sciences, Tata Institute of Fundamental Research, Bengaluru 560089, India
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19
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Klett K, Cherstvy AG, Shin J, Sokolov IM, Metzler R. Non-Gaussian, transiently anomalous, and ergodic self-diffusion of flexible dumbbells in crowded two-dimensional environments: Coupled translational and rotational motions. Phys Rev E 2022; 104:064603. [PMID: 35030844 DOI: 10.1103/physreve.104.064603] [Citation(s) in RCA: 4] [Impact Index Per Article: 2.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 09/06/2021] [Accepted: 11/18/2021] [Indexed: 12/22/2022]
Abstract
We employ Langevin-dynamics simulations to unveil non-Brownian and non-Gaussian center-of-mass self-diffusion of massive flexible dumbbell-shaped particles in crowded two-dimensional solutions. We study the intradumbbell dynamics of the relative motion of the two constituent elastically coupled disks. Our main focus is on effects of the crowding fraction ϕ and of the particle structure on the diffusion characteristics. We evaluate the time-averaged mean-squared displacement (TAMSD), the displacement probability-density function (PDF), and the displacement autocorrelation function (ACF) of the dimers. For the TAMSD at highly crowded conditions of dumbbells, e.g., we observe a transition from the short-time ballistic behavior, via an intermediate subdiffusive regime, to long-time Brownian-like spreading dynamics. The crowded system of dimers exhibits two distinct diffusion regimes distinguished by the scaling exponent of the TAMSD, the dependence of the diffusivity on ϕ, and the features of the displacement-ACF. We attribute these regimes to a crowding-induced transition from viscous to viscoelastic diffusion upon growing ϕ. We also analyze the relative motion in the dimers, finding that larger ϕ suppress their vibrations and yield strongly non-Gaussian PDFs of rotational displacements. For the diffusion coefficients D(ϕ) of translational and rotational motion of the dumbbells an exponential decay with ϕ for weak and a power-law variation D(ϕ)∝(ϕ-ϕ^{★})^{2.4} for strong crowding is found. A comparison of simulation results with theoretical predictions for D(ϕ) is discussed and some relevant experimental systems are overviewed.
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Affiliation(s)
- Kolja Klett
- Institute of Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
| | - Andrey G Cherstvy
- Institute of Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany.,Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany
| | - Jaeoh Shin
- Department of Chemistry, Rice University, Houston, Texas 77005, USA.,Center for Theoretical Biological Physics, Rice University, Houston, Texas 77005, USA
| | - Igor M Sokolov
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany.,IRIS Adlershof, Zum Großen Windkanal 6, 12489 Berlin, Germany
| | - Ralf Metzler
- Institute of Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
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20
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Bley M, Hurtado PI, Dzubiella J, Moncho-Jordá A. Active interaction switching controls the dynamic heterogeneity of soft colloidal dispersions. SOFT MATTER 2022; 18:397-411. [PMID: 34904609 DOI: 10.1039/d1sm01507a] [Citation(s) in RCA: 10] [Impact Index Per Article: 5.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/14/2023]
Abstract
We employ Reactive Dynamical Density Functional Theory (R-DDFT) and Reactive Brownian Dynamics (R-BD) simulations to investigate the dynamics of a suspension of active soft Gaussian colloids with binary interaction switching, i.e., a one-component colloidal system in which every particle stochastically switches at predefined rates between two interaction states with different mobility. Using R-DDFT we extend a theory previously developed to access the dynamics of inhomogeneous liquids [Archer et al., Phys. Rev. E: Stat., Nonlinear, Soft Matter Phys., 2007, 75, 040501] to study the influence of the switching activity on the self and distinct part of the Van Hove function in bulk solution, and determine the corresponding mean squared displacement of the switching particles. Our results demonstrate that, even though the average diffusion coefficient is not affected by the switching activity, it significantly modifies the non-equilibrium dynamics and diffusion coefficients of the individual particles, leading to a crossover from short to long times, with a regime for intermediate times showing anomalous diffusion. In addition, the self-part of the van Hove function has a Gaussian form at short and long times, but becomes non-Gaussian at intermediates ones, having a crossover between short and large displacements. The corresponding self-intermediate scattering function shows the two-step relaxation patters typically observed in soft materials with heterogeneous dynamics such as glasses and gels. We also introduce a phenomenological Continuous Time Random Walk (CTRW) theory to understand the heterogeneous diffusion of this system. R-DDFT results are in excellent agreement with R-BD simulations and the analytical predictions of CTRW theory, thus confirming that R-DDFT constitutes a powerful method to investigate not only the structure and phase behavior, but also the dynamical properties of non-equilibrium active switching colloidal suspensions.
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Affiliation(s)
- Michael Bley
- Physikalisches Institut, Albert-Ludwigs-Universität Freiburg, Hermann-Herder Straße 3, D-79104 Freiburg, Germany.
| | - Pablo I Hurtado
- Departamento de Electromagnetismo y Física de la Materia, Universidad de Granada, Campus Fuentenueva S/N, 18071 Granada, Spain
- Institute Carlos I for Theoretical and Computational Physics, Facultad de Ciencias, Universidad de Granada, Campus Fuentenueva S/N, 18071 Granada, Spain.
| | - Joachim Dzubiella
- Physikalisches Institut, Albert-Ludwigs-Universität Freiburg, Hermann-Herder Straße 3, D-79104 Freiburg, Germany.
- Research Group for Simulations of Energy Materials, Helmholtz-Zentrum Berlin für Materialien und Energie, D-14109 Berlin, Germany
| | - Arturo Moncho-Jordá
- Institute Carlos I for Theoretical and Computational Physics, Facultad de Ciencias, Universidad de Granada, Campus Fuentenueva S/N, 18071 Granada, Spain.
- Departamento de Física Aplicada, Universidad de Granada, Campus Fuentenueva S/N, 18071 Granada, Spain
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21
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Wang W, Metzler R, Cherstvy AG. Anomalous diffusion, aging, and nonergodicity of scaled Brownian motion with fractional Gaussian noise: overview of related experimental observations and models. Phys Chem Chem Phys 2022; 24:18482-18504. [DOI: 10.1039/d2cp01741e] [Citation(s) in RCA: 3] [Impact Index Per Article: 1.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/21/2022]
Abstract
How does a systematic time-dependence of the diffusion coefficient $D (t)$ affect the ergodic and statistical characteristics of fractional Brownian motion (FBM)? Here, we examine how the behavior of the...
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22
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Wang X, Chen Y. Ergodic property of random diffusivity system with trapping events. Phys Rev E 2022; 105:014106. [PMID: 35193240 DOI: 10.1103/physreve.105.014106] [Citation(s) in RCA: 7] [Impact Index Per Article: 3.5] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 09/14/2021] [Accepted: 12/10/2021] [Indexed: 12/25/2022]
Abstract
A Brownian yet non-Gaussian phenomenon has recently been observed in many biological and active matter systems. The main idea of explaining this phenomenon is to introduce a random diffusivity for particles moving in inhomogeneous environment. This paper considers a Langevin system containing a random diffusivity and an α-stable subordinator with α<1. This model describes the particle's motion in complex media where both the long trapping events and random diffusivity exist. We derive the general expressions of ensemble- and time-averaged mean-squared displacements which only contain the values of the inverse subordinator and diffusivity. Further taking specific time-dependent diffusivity, we obtain the analytic expressions of ergodicity breaking parameter and probability density function of the time-averaged mean-squared displacement. The results imply the nonergodicity of the random diffusivity model with any kind of diffusivity, including the critical case where the model presents normal diffusion.
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Affiliation(s)
- Xudong Wang
- School of Science, Nanjing University of Science and Technology, Nanjing, 210094, P.R. China
| | - Yao Chen
- College of Sciences, Nanjing Agricultural University, Nanjing, 210094, P.R. China
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23
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Valizadeh N, Samadpour M, Hamzehpour H, Najafi MN. Edwards-Wilkinson depinning transition in random Coulomb potential background. Phys Rev E 2021; 104:064140. [PMID: 35030907 DOI: 10.1103/physreve.104.064140] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 05/19/2021] [Accepted: 12/01/2021] [Indexed: 06/14/2023]
Abstract
The quenched Edwards-Wilkinson growth of the 1+1 interface is considered in the background of the correlated random noise. We use random Coulomb potential as the background long-range correlated noise. A depinning transition is observed in a critical driving force F[over ̃]_{c}≈0.037 (in terms of disorder strength unit) in the vicinity of which the final velocity of the interface varies linearly with time. Our data collapse analysis for the velocity shows a crossover time t^{*} at which the velocity is size independent. Based on a two-variable scaling analysis, we extract the exponents, which are different from all universality classes we are aware of. Especially noting that the dynamic and roughness exponents are z_{w}=1.55±0.05, and α_{w}=1.05±0.05 at the criticality, we conclude that the system is different from both Edwards-Wilkinson (EW) and Kardar-Parisi-Zhang (KPZ) universality classes. Our analysis shows therefore that making the noise long-range correlated, drives the system out of the EW universality class. The simulations on the tilted lattice show that the nonlinearity term (λ term in the KPZ equations) goes to zero in the thermodynamic limit.
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Affiliation(s)
- N Valizadeh
- Department of Physics, K.N. Toosi University of Technology, Tehran 15875-4416, Iran
| | - M Samadpour
- Department of Physics, K.N. Toosi University of Technology, Tehran 15875-4416, Iran
| | - H Hamzehpour
- Department of Physics, K.N. Toosi University of Technology, Tehran 15875-4416, Iran
| | - M N Najafi
- Department of Physics, University of Mohaghegh Ardabili, P.O. Box 179, Ardabil, Iran
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24
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Cherstvy AG, Wang W, Metzler R, Sokolov IM. Inertia triggers nonergodicity of fractional Brownian motion. Phys Rev E 2021; 104:024115. [PMID: 34525594 DOI: 10.1103/physreve.104.024115] [Citation(s) in RCA: 11] [Impact Index Per Article: 3.7] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 06/17/2021] [Accepted: 07/29/2021] [Indexed: 11/07/2022]
Abstract
How related are the ergodic properties of the over- and underdamped Langevin equations driven by fractional Gaussian noise? We here find that for massive particles performing fractional Brownian motion (FBM) inertial effects not only destroy the stylized fact of the equivalence of the ensemble-averaged mean-squared displacement (MSD) to the time-averaged MSD (TAMSD) of overdamped or massless FBM, but also dramatically alter the values of the ergodicity-breaking parameter (EB). Our theoretical results for the behavior of EB for underdamped or massive FBM for varying particle mass m, Hurst exponent H, and trace length T are in excellent agreement with the findings of stochastic computer simulations. The current results can be of interest for the experimental community employing various single-particle-tracking techniques and aiming at assessing the degree of nonergodicity for the recorded time series (studying, e.g., the behavior of EB versus lag time). To infer FBM as a realizable model of anomalous diffusion for a set single-particle-tracking data when massive particles are being tracked, the EBs from the data should be compared to EBs of massive (rather than massless) FBM.
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Affiliation(s)
- Andrey G Cherstvy
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany.,Institute for Physics & Astronomy, University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
| | - Wei Wang
- Max Planck Institute for the Physics of Complex Systems, Nöthnitzer Straße 38, 01187 Dresden, Germany
| | - Ralf Metzler
- Institute for Physics & Astronomy, University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
| | - Igor M Sokolov
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany.,IRIS Adlershof, Zum Großen Windkanal 6, 12489 Berlin, Germany
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25
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Górska K. Integral decomposition for the solutions of the generalized Cattaneo equation. Phys Rev E 2021; 104:024113. [PMID: 34525646 DOI: 10.1103/physreve.104.024113] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 05/24/2021] [Accepted: 07/20/2021] [Indexed: 12/26/2022]
Abstract
We present the integral decomposition for the fundamental solution of the generalized Cattaneo equation with both time derivatives smeared through convoluting them with some memory kernels. For power-law kernels t^{-α}, α∈(0,1] this equation becomes the time fractional one governed by the Caputo derivatives in which the highest order is 2. To invert the solutions from the Fourier-Laplace domain to the space-time domain we use analytic methods based on the Efross theorem and find out that solutions looked for are represented by integral decompositions which tangle the fundamental solution of the standard Cattaneo equation with nonnegative and normalizable functions being uniquely dependent on the memory kernels. Furthermore, the use of methodology arising from the theory of complete Bernstein functions allows us to assign such constructed integral decompositions the interpretation of subordination. This fact is preserved in two limit cases built into the generalized Cattaneo equations, i.e., either the diffusion or the wave equations. We point out that applying the Efross theorem enables us to go beyond the standard approach which usually leads to the integral decompositions involving the Gaussian distribution describing the Brownian motion. Our approach clarifies puzzling situation which takes place for the power-law kernels t^{-α} for which the subordination based on the Brownian motion does not work if α∈(1/2,1].
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Affiliation(s)
- K Górska
- Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, PL-31342 Kraków, Poland
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26
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Wang W, Cherstvy AG, Kantz H, Metzler R, Sokolov IM. Time averaging and emerging nonergodicity upon resetting of fractional Brownian motion and heterogeneous diffusion processes. Phys Rev E 2021; 104:024105. [PMID: 34525678 DOI: 10.1103/physreve.104.024105] [Citation(s) in RCA: 20] [Impact Index Per Article: 6.7] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/27/2021] [Accepted: 07/14/2021] [Indexed: 12/12/2022]
Abstract
How different are the results of constant-rate resetting of anomalous-diffusion processes in terms of their ensemble-averaged versus time-averaged mean-squared displacements (MSDs versus TAMSDs) and how does stochastic resetting impact nonergodicity? We examine, both analytically and by simulations, the implications of resetting on the MSD- and TAMSD-based spreading dynamics of particles executing fractional Brownian motion (FBM) with a long-time memory, heterogeneous diffusion processes (HDPs) with a power-law space-dependent diffusivity D(x)=D_{0}|x|^{γ} and their "combined" process of HDP-FBM. We find, inter alia, that the resetting dynamics of originally ergodic FBM for superdiffusive Hurst exponents develops disparities in scaling and magnitudes of the MSDs and mean TAMSDs indicating weak ergodicity breaking. For subdiffusive HDPs we also quantify the nonequivalence of the MSD and TAMSD and observe a new trimodal form of the probability density function. For reset FBM, HDPs and HDP-FBM we compute analytically and verify by simulations the short-time MSD and TAMSD asymptotes and long-time plateaus reminiscent of those for processes under confinement. We show that certain characteristics of these reset processes are functionally similar despite a different stochastic nature of their nonreset variants. Importantly, we discover nonmonotonicity of the ergodicity-breaking parameter EB as a function of the resetting rate r. For all reset processes studied we unveil a pronounced resetting-induced nonergodicity with a maximum of EB at intermediate r and EB∼(1/r)-decay at large r. Alongside the emerging MSD-versus-TAMSD disparity, this r-dependence of EB can be an experimentally testable prediction. We conclude by discussing some implications to experimental systems featuring resetting dynamics.
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Affiliation(s)
- Wei Wang
- Max Planck Institute for the Physics of Complex Systems, Nöthnitzer Straße 38, 01187 Dresden, Germany
| | - Andrey G Cherstvy
- Institute for Physics & Astronomy University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany.,Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany
| | - Holger Kantz
- Max Planck Institute for the Physics of Complex Systems, Nöthnitzer Straße 38, 01187 Dresden, Germany
| | - Ralf Metzler
- Institute for Physics & Astronomy University of Potsdam, Karl-Liebknecht-Straße 24/25, 14476 Potsdam-Golm, Germany
| | - Igor M Sokolov
- Institut für Physik, Humboldt-Universität zu Berlin, Newtonstraße 15, 12489 Berlin, Germany.,IRIS Adlershof, Zum Großen Windkanal 6, 12489 Berlin, Germany
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27
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Cherstvy AG, Vinod D, Aghion E, Sokolov IM, Metzler R. Scaled geometric Brownian motion features sub- or superexponential ensemble-averaged, but linear time-averaged mean-squared displacements. Phys Rev E 2021; 103:062127. [PMID: 34271619 DOI: 10.1103/physreve.103.062127] [Citation(s) in RCA: 8] [Impact Index Per Article: 2.7] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 03/16/2021] [Accepted: 05/24/2021] [Indexed: 01/21/2023]
Abstract
Various mathematical Black-Scholes-Merton-like models of option pricing employ the paradigmatic stochastic process of geometric Brownian motion (GBM). The innate property of such models and of real stock-market prices is the roughly exponential growth of prices with time [on average, in crisis-free times]. We here explore the ensemble- and time averages of a multiplicative-noise stochastic process with power-law-like time-dependent volatility, σ(t)∼t^{α}, named scaled GBM (SGBM). For SGBM, the mean-squared displacement (MSD) computed for an ensemble of statistically equivalent trajectories can grow faster than exponentially in time, while the time-averaged MSD (TAMSD)-based on a sliding-window averaging along a single trajectory-is always linear at short lag times Δ. The proportionality factor between these the two averages of the time series is Δ/T at short lag times, where T is the trajectory length, similarly to GBM. This discrepancy of the scaling relations and pronounced nonequivalence of the MSD and TAMSD at Δ/T≪1 is a manifestation of weak ergodicity breaking for standard GBM and for SGBM with σ(t)-modulation, the main focus of our analysis. The analytical predictions for the MSD and mean TAMSD for SGBM are in quantitative agreement with the results of stochastic computer simulations.
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Affiliation(s)
- Andrey G Cherstvy
- Institute for Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany.,Institut für Physik, Humboldt-Universität zu Berlin, 12489 Berlin, Germany
| | - Deepak Vinod
- Institute for Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
| | - Erez Aghion
- Max Planck Institute for the Physics of Complex Systems, 01187 Dresden, Germany
| | - Igor M Sokolov
- Institut für Physik and IRIS Adlershof, Humboldt-Universität zu Berlin, 12489 Berlin, Germany
| | - Ralf Metzler
- Institute for Physics & Astronomy, University of Potsdam, 14476 Potsdam-Golm, Germany
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28
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A Fractional-in-Time Prey–Predator Model with Hunting Cooperation: Qualitative Analysis, Stability and Numerical Approximations. AXIOMS 2021. [DOI: 10.3390/axioms10020078] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/16/2022]
Abstract
A prey–predator system with logistic growth of prey and hunting cooperation of predators is studied. The introduction of fractional time derivatives and the related persistent memory strongly characterize the model behavior, as many dynamical systems in the applied sciences are well described by such fractional-order models. Mathematical analysis and numerical simulations are performed to highlight the characteristics of the proposed model. The existence, uniqueness and boundedness of solutions is proved; the stability of the coexistence equilibrium and the occurrence of Hopf bifurcation is investigated. Some numerical approximations of the solution are finally considered; the obtained trajectories confirm the theoretical findings. It is observed that the fractional-order derivative has a stabilizing effect and can be useful to control the coexistence between species.
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29
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Generalised Geometric Brownian Motion: Theory and Applications to Option Pricing. ENTROPY 2020; 22:e22121432. [PMID: 33353060 PMCID: PMC7766185 DOI: 10.3390/e22121432] [Citation(s) in RCA: 18] [Impact Index Per Article: 4.5] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Download PDF] [Figures] [Subscribe] [Scholar Register] [Received: 10/30/2020] [Revised: 12/11/2020] [Accepted: 12/16/2020] [Indexed: 12/13/2022]
Abstract
Classical option pricing schemes assume that the value of a financial asset follows a geometric Brownian motion (GBM). However, a growing body of studies suggest that a simple GBM trajectory is not an adequate representation for asset dynamics, due to irregularities found when comparing its properties with empirical distributions. As a solution, we investigate a generalisation of GBM where the introduction of a memory kernel critically determines the behaviour of the stochastic process. We find the general expressions for the moments, log-moments, and the expectation of the periodic log returns, and then obtain the corresponding probability density functions using the subordination approach. Particularly, we consider subdiffusive GBM (sGBM), tempered sGBM, a mix of GBM and sGBM, and a mix of sGBMs. We utilise the resulting generalised GBM (gGBM) in order to examine the empirical performance of a selected group of kernels in the pricing of European call options. Our results indicate that the performance of a kernel ultimately depends on the maturity of the option and its moneyness.
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Dos Santos MAF, Dornelas V, Colombo EH, Anteneodo C. Critical patch size reduction by heterogeneous diffusion. Phys Rev E 2020; 102:042139. [PMID: 33212705 DOI: 10.1103/physreve.102.042139] [Citation(s) in RCA: 7] [Impact Index Per Article: 1.8] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 08/06/2020] [Accepted: 10/13/2020] [Indexed: 06/11/2023]
Abstract
Population survival depends on a large set of factors and on how they are distributed in space. Due to landscape heterogeneity, species can occupy particular regions that provide the ideal scenario for development, working as a refuge from harmful environmental conditions. Survival occurs if population growth overcomes the losses caused by adventurous individuals that cross the patch edge. In this work, we consider a single species dynamics in a patch with a space-dependent diffusion coefficient. We show analytically, within the Stratonovich framework, that heterogeneous diffusion reduces the minimal patch size for population survival when contrasted with the homogeneous case with the same average diffusivity. Furthermore, this result is robust regardless of the particular choice of the diffusion coefficient profile. We also discuss how this picture changes beyond the Stratonovich framework. Particularly, the Itô case, which is nonanticipative, can promote the opposite effect, while Hänggi-Klimontovich interpretation reinforces the reduction effect.
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Affiliation(s)
- M A F Dos Santos
- Department of Physics, PUC-Rio, Rua Marquês de São Vicente 225, 22451-900, Rio de Janeiro, RJ, Brazil
| | - V Dornelas
- Department of Physics, PUC-Rio, Rua Marquês de São Vicente 225, 22451-900, Rio de Janeiro, RJ, Brazil
- ICTP-SAIFR & IFT-UNESP, Rua Dr. Bento Teobaldo Ferraz 271, 01140-070, São Paulo, SP, Brazil
| | - E H Colombo
- Department of Ecology & Evolutionary Biology, Princeton University, Princeton, New Jersey 08544, USA
- Department of Ecology, Evolution, and Natural Resources, Rutgers University, New Brunswick, New Jersey 08901, USA
| | - C Anteneodo
- Department of Physics, PUC-Rio, Rua Marquês de São Vicente 225, 22451-900, Rio de Janeiro, RJ, Brazil
- Institute of Science and Technology for Complex Systems (INCT-SC), Rio de Janeiro, Brazil
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