1
|
Iaconis FR, Meo M, Del Punta JA, Gasaneo G. Modelling the eye movements of dyslexic children during reading as a continuous time random walk. CHAOS (WOODBURY, N.Y.) 2023; 33:083116. [PMID: 37549112 DOI: 10.1063/5.0140886] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 12/31/2022] [Accepted: 07/22/2023] [Indexed: 08/09/2023]
Abstract
The study of eye movements during reading is considered a valuable tool for understanding the underlying cognitive processes and for its ability to detect alterations that could be associated with neurocognitive deficiencies or visual conditions. During reading, the gaze moves from one position to the next on the text performing a saccade-fixation sequence. This dynamics resembles processes usually described as continuous time random walk, where the jumps are the saccadic movements and waiting times are the duration of fixations. The time between jumps (intersaccadic time) consists of stochastic waiting time and flight time, which is a function of the jump length (the amplitude of the saccade). This motivates the present proposal of a model of eye movements during reading in the framework of the intermittent random walk but considering the time between jumps as a combined stochastic-deterministic process. The parameters used in this model were obtained from records of eye movements of children with dyslexia and typically developed for children performing a reading task. The jump lengths arise from the characteristics of the selected text. The time required for the flights was obtained based on a previously proposed model. Synthetic signals were generated and compared with actual eye movement signals in a complexity-entropy plane.
Collapse
Affiliation(s)
- F R Iaconis
- Instituto de Física del Sur, Departamento de Física, Universidad Nacional del Sur (UNS)-CONICET, Bahía Blanca 8000, Argentina
| | - M Meo
- Instituto de Física del Sur, Departamento de Física, Universidad Nacional del Sur (UNS)-CONICET, Bahía Blanca 8000, Argentina
| | - J A Del Punta
- Instituto de Física del Sur, Departamento de Física, Universidad Nacional del Sur (UNS)-CONICET and Departamento de Matemática, Universidad Nacional del Sur (UNS), Bahía Blanca 8000, Argentina
| | - G Gasaneo
- Instituto de Física del Sur, Departamento de Física, Universidad Nacional del Sur (UNS)-CONICET, Bahía Blanca 8000, Argentina
- Centro Integral de Neuricencias Aplicadas, Bahía Blanca 8000, Argentina
| |
Collapse
|
2
|
Gharari F, Arias-Calluari K, Alonso-Marroquin F, Najafi MN. Space-time fractional porous media equation: Application on modeling of S&P500 price return. Phys Rev E 2021; 104:054140. [PMID: 34942814 DOI: 10.1103/physreve.104.054140] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Received: 10/13/2020] [Accepted: 10/27/2021] [Indexed: 11/07/2022]
Abstract
We present the fractional extensions of the porous media equation (PME) with an emphasis on the applications in stock markets. Three kinds of "fractionalization" are considered: local, where the fractional derivatives for both space and time are local; nonlocal, where both space and time fractional derivatives are nonlocal; and mixed, where one derivative is local, and another is nonlocal. Our study shows that these fractional equations admit solutions in terms of generalized q-Gaussian functions. Each solution of these fractional formulations contains a certain number of free parameters that can be fitted with experimental data. Our focus is to analyze stock market data and determine the model that better describes the time evolution of the probability distribution of the price return. We proposed a generalized PME motivated by recent observations showing that q-Gaussian distributions can model the evolution of the probability distribution. Various phases (weak, strong super diffusion, and normal diffusion) were observed on the time evolution of the probability distribution of the price return separated by different fitting parameters [Phys. Rev. E 99, 062313 (2019)1063-651X10.1103/PhysRevE.99.062313]. After testing the obtained solutions for the S&P500 price return, we found that the local and nonlocal schemes fit the data better than the classic porous media equation.
Collapse
Affiliation(s)
- Fatemeh Gharari
- Department of Statistics and Computer Science, University of Mohaghegh Ardabili, Ardabil 56199-11367, Iran
| | | | | | - Morteza N Najafi
- Department of Physics, University of Mohaghegh Ardabili, Ardabil 56199-11367, Iran
| |
Collapse
|
3
|
Continuous Time Random Walk with Correlated Waiting Times. The Crucial Role of Inter-Trade Times in Volatility Clustering. ENTROPY 2021; 23:e23121576. [PMID: 34945887 PMCID: PMC8699828 DOI: 10.3390/e23121576] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.7] [Reference Citation Analysis] [Abstract] [Key Words] [Track Full Text] [Download PDF] [Figures] [Subscribe] [Scholar Register] [Received: 10/17/2021] [Revised: 11/04/2021] [Accepted: 11/20/2021] [Indexed: 11/17/2022]
Abstract
In many physical, social, and economic phenomena, we observe changes in a studied quantity only in discrete, irregularly distributed points in time. The stochastic process usually applied to describe this kind of variable is the continuous-time random walk (CTRW). Despite the popularity of these types of stochastic processes and strong empirical motivation, models with a long-term memory within the sequence of time intervals between observations are rare in the physics literature. Here, we fill this gap by introducing a new family of CTRWs. The memory is introduced to the model by assuming that many consecutive time intervals can be the same. Surprisingly, in this process we can observe a slowly decaying nonlinear autocorrelation function without a fat-tailed distribution of time intervals. Our model, applied to high-frequency stock market data, can successfully describe the slope of decay of the nonlinear autocorrelation function of stock market returns. We achieve this result without imposing any dependence between consecutive price changes. This proves the crucial role of inter-event times in the volatility clustering phenomenon observed in all stock markets.
Collapse
|
4
|
On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk. MATHEMATICS 2020. [DOI: 10.3390/math8040641] [Citation(s) in RCA: 9] [Impact Index Per Article: 2.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 11/17/2022]
Abstract
In this survey article, at first, the author describes how he was involved in the late 1990s on Econophysics, considered in those times an emerging science. Inside a group of colleagues the methods of the Fractional Calculus were developed to deal with the continuous-time random walks adopted to model the tick-by-tick dynamics of financial markets Then, the analytical results of this approach are presented pointing out the relevance of the Mittag-Leffler function. The consistence of the theoretical analysis is validated with fitting the survival probability for certain futures (BUND and BTP) traded in 1997 at LIFFE, London. Most of the theoretical and numerical results (including figures) reported in this paper were presented by the author at the first Nikkei symposium on Econophysics, held in Tokyo on November 2000 under the title “Empirical Science of Financial Fluctuations” on behalf of his colleagues and published by Springer. The author acknowledges Springer for the license permission of re-using this material.
Collapse
|
5
|
Zhokh A, Strizhak P. Non-Fickian Transport in Porous Media: Always Temporally Anomalous? Transp Porous Media 2018. [DOI: 10.1007/s11242-018-1066-6] [Citation(s) in RCA: 10] [Impact Index Per Article: 1.7] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 01/18/2023]
|
6
|
Zhokh AA, Strizhak PE. An accurate computational method for the diffusion regime verification. Chem Phys Lett 2018. [DOI: 10.1016/j.cplett.2018.03.020] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 10/17/2022]
|
7
|
Zhokh AA, Strizhak PE. Effect of zeolite ZSM-5 content on the methanol transport in the ZSM-5/alumina catalysts for methanol-to-olefin reaction. Chem Eng Res Des 2017. [DOI: 10.1016/j.cherd.2017.09.010] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/29/2022]
|
8
|
Zhokh A, Strizhak P. Non-Fickian diffusion of methanol in mesoporous media: Geometrical restrictions or adsorption-induced? J Chem Phys 2017; 146:124704. [PMID: 28388159 DOI: 10.1063/1.4978944] [Citation(s) in RCA: 25] [Impact Index Per Article: 3.6] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/14/2022] Open
Abstract
The methanol mass transfer in the mesoporous silica and alumina/zeolite H-ZSM-5 grains has been studied. We demonstrate that the methanol diffusion is characterized as a time-fractional for both solids. Methanol transport occurs in the super-diffusive regime, which is faster comparing to the Fickian diffusion. We show that the fractional exponents defining the regime of transport are different for each porous grain. The difference between the values of the fractional exponents is associated with a difference in the energetic strength of the active sites of the surface of the media of different chemical nature as well as the geometrical restrictions of the porous media. Increasing by six-fold, the pore diameter leads to a 1.1 fold increase of the fractional exponent. Decreasing by three-fold, the methanol desorption energy results into the same increasing the fractional exponent. Our findings support that mainly the adsorption process, which is defined by the energetic disorder of the corresponding surface active sites, is likely to be the driving force of the abnormality of the mass transfer in the porous media. Therefore, the fractional exponent is a fundamental characteristic which is individual for each combination of the porous solid and diffusing species.
Collapse
Affiliation(s)
- Alexey Zhokh
- L.V. Pisarzhevsky Institute of Physical Chemistry, National Academy of Sciences of Ukraine, Prospect Nauki, 31, Kiev 03028, Ukraine
| | - Peter Strizhak
- L.V. Pisarzhevsky Institute of Physical Chemistry, National Academy of Sciences of Ukraine, Prospect Nauki, 31, Kiev 03028, Ukraine
| |
Collapse
|
9
|
Herminghaus S, Mazza MG. Phase separation in driven granular gases: exploring the elusive character of nonequilibrium steady states. SOFT MATTER 2017; 13:898-910. [PMID: 28102416 DOI: 10.1039/c6sm02224c] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 06/06/2023]
Abstract
The emergence of patterns and phase separation in many-body systems far from thermal equilibrium is discussed using the example of driven granular gases. It is shown that phase separation follows a similar mechanism as in the systems of active Brownian particles. Depending on the quantities chosen for observation, it may or may not be easy to find functionals analogous to the free energy in equilibrium statistical physics. We argue that although such functionals can always be derived from the dynamics, it is of only limited value for predicting relevant aspects of the nonequilibrium steady state of the system. Consequently, although there is indeed a 'principle' governing the selection of collective nonequilibrium steady states (and the corresponding large deviation functional can be identified), it is not generally useful for predicting the behaviour of the system.
Collapse
Affiliation(s)
- S Herminghaus
- Max-Planck-Institute for Dynamics and Self-Organization, Am Fassberg 17, 37073 Göttingen, Germany.
| | | |
Collapse
|
10
|
Georgiou N, Kiss IZ, Scalas E. Solvable non-Markovian dynamic network. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2015; 92:042801. [PMID: 26565283 DOI: 10.1103/physreve.92.042801] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 03/17/2015] [Indexed: 05/12/2023]
Abstract
Non-Markovian processes are widespread in natural and human-made systems, yet explicit modeling and analysis of such systems is underdeveloped. We consider a non-Markovian dynamic network with random link activation and deletion (RLAD) and heavy-tailed Mittag-Leffler distribution for the interevent times. We derive an analytically and computationally tractable system of Kolmogorov-like forward equations utilizing the Caputo derivative for the probability of having a given number of active links in the network and solve them. Simulations for the RLAD are also studied for power-law interevent times and we show excellent agreement with the Mittag-Leffler model. This agreement holds even when the RLAD network dynamics is coupled with the susceptible-infected-susceptible spreading dynamics. Thus, the analytically solvable Mittag-Leffler model provides an excellent approximation to the case when the network dynamics is characterized by power-law-distributed interevent times. We further discuss possible generalizations of our result.
Collapse
Affiliation(s)
- Nicos Georgiou
- School of Mathematics and Physical Sciences, University of Sussex, Brighton BN1 9QH, United Kingdom
| | - Istvan Z Kiss
- School of Mathematics and Physical Sciences, University of Sussex, Brighton BN1 9QH, United Kingdom
| | - Enrico Scalas
- School of Mathematics and Physical Sciences, University of Sussex, Brighton BN1 9QH, United Kingdom
| |
Collapse
|
11
|
|
12
|
Fa KS. Uncoupled continuous-time random walk model: analytical and numerical solutions. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2014; 89:052141. [PMID: 25353773 DOI: 10.1103/physreve.89.052141] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/25/2013] [Indexed: 06/04/2023]
Abstract
Solutions for the continuous-time random walk (CTRW) model are known in few cases. In this work, the uncoupled CTRW model is investigated analytically and numerically. In particular, the probability density function (PDF) and n-moment are obtained and analyzed. Exponential and Gaussian functions are used for the jump length PDF, whereas the Mittag-Leffler function and a combination of exponential and power-laws function is used for the waiting time PDF. The exponential and Gaussian jump length PDFs have finite jump length variances and they give the same second moment; however, their distribution functions present different behaviors near the origin. The combination of exponential and power-law function for the waiting time PDF can generate a crossover from anomalous regime to normal regime. Moreover, the parameter of the exponential jump length PDF does not change the behavior of the n-moment for all time intervals, and for the Gaussian jump length PDF the n-moment also indicates a similar behavior.
Collapse
Affiliation(s)
- Kwok Sau Fa
- Departamento de Física, Universidade Estadual de Maringá, Avenida Colombo 5790, 87020-900, Maringá, Paraná, Brazil
| |
Collapse
|
13
|
Shi L, Yu Z, Mao Z, Xiao A. A directed continuous time random walk model with jump length depending on waiting time. ScientificWorldJournal 2014; 2014:182508. [PMID: 24757412 PMCID: PMC3976852 DOI: 10.1155/2014/182508] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Download PDF] [Journal Information] [Subscribe] [Scholar Register] [Received: 01/03/2014] [Accepted: 02/10/2014] [Indexed: 11/30/2022] Open
Abstract
In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x, t) of finding the walker at position x at time t is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.
Collapse
Affiliation(s)
- Long Shi
- Hunan Key Laboratory for Computation and Simulation in Science and Engineering and Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education, Xiangtan University, Xiangtan, Hunan 411105, China
- Institute of Mathematics and Physics, Central South University of Forest and Technology, Changsha, Hunan 410004, China
| | - Zuguo Yu
- Hunan Key Laboratory for Computation and Simulation in Science and Engineering and Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education, Xiangtan University, Xiangtan, Hunan 411105, China
- School of Mathematical Sciences, Queensland University of Technology, G.P.O. Box 2434, Brisbane, QLD 4001, Australia
| | - Zhi Mao
- Hunan Key Laboratory for Computation and Simulation in Science and Engineering and Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education, Xiangtan University, Xiangtan, Hunan 411105, China
| | - Aiguo Xiao
- Hunan Key Laboratory for Computation and Simulation in Science and Engineering and Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education, Xiangtan University, Xiangtan, Hunan 411105, China
| |
Collapse
|
14
|
Herrera-Hernández EC, Coronado M, Hernández-Coronado H. Fractal continuum model for tracer transport in a porous medium. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2013; 88:063004. [PMID: 24483554 DOI: 10.1103/physreve.88.063004] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/09/2013] [Revised: 08/21/2013] [Indexed: 06/03/2023]
Abstract
A model based on the fractal continuum approach is proposed to describe tracer transport in fractal porous media. The original approach has been extended to treat tracer transport and to include systems with radial and uniform flow, which are cases of interest in geoscience. The models involve advection due to the fluid motion in the fractal continuum and dispersion whose mathematical expression is taken from percolation theory. The resulting advective-dispersive equations are numerically solved for continuous and for pulse tracer injection. The tracer profile and the tracer breakthrough curve are evaluated and analyzed in terms of the fractal parameters. It has been found in this work that anomalous transport frequently appears, and a condition on the fractal parameter values to predict when sub- or superdiffusion might be expected has been obtained. The fingerprints of fractality on the tracer breakthrough curve in the explored parameter window consist of an early tracer breakthrough and long tail curves for the spherical and uniform flow cases, and symmetric short tailed curves for the radial flow case.
Collapse
Affiliation(s)
- E C Herrera-Hernández
- Instituto Mexicano del Petróleo, Eje Central Lázaro Cárdenas 152, 07730, México D.F., Mexico
| | - M Coronado
- Instituto Mexicano del Petróleo, Eje Central Lázaro Cárdenas 152, 07730, México D.F., Mexico
| | - H Hernández-Coronado
- Instituto Mexicano del Petróleo, Eje Central Lázaro Cárdenas 152, 07730, México D.F., Mexico, and Instituto de Ciencias Nucleares, Universidad Nacional Autónoma de México, C. U., 04510, México D.F., Mexico
| |
Collapse
|
15
|
Höfling F, Franosch T. Anomalous transport in the crowded world of biological cells. REPORTS ON PROGRESS IN PHYSICS. PHYSICAL SOCIETY (GREAT BRITAIN) 2013; 76:046602. [PMID: 23481518 DOI: 10.1088/0034-4885/76/4/046602] [Citation(s) in RCA: 580] [Impact Index Per Article: 52.7] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 05/04/2023]
Abstract
A ubiquitous observation in cell biology is that the diffusive motion of macromolecules and organelles is anomalous, and a description simply based on the conventional diffusion equation with diffusion constants measured in dilute solution fails. This is commonly attributed to macromolecular crowding in the interior of cells and in cellular membranes, summarizing their densely packed and heterogeneous structures. The most familiar phenomenon is a sublinear, power-law increase of the mean-square displacement (MSD) as a function of the lag time, but there are other manifestations like strongly reduced and time-dependent diffusion coefficients, persistent correlations in time, non-Gaussian distributions of spatial displacements, heterogeneous diffusion and a fraction of immobile particles. After a general introduction to the statistical description of slow, anomalous transport, we summarize some widely used theoretical models: Gaussian models like fractional Brownian motion and Langevin equations for visco-elastic media, the continuous-time random walk model, and the Lorentz model describing obstructed transport in a heterogeneous environment. Particular emphasis is put on the spatio-temporal properties of the transport in terms of two-point correlation functions, dynamic scaling behaviour, and how the models are distinguished by their propagators even if the MSDs are identical. Then, we review the theory underlying commonly applied experimental techniques in the presence of anomalous transport like single-particle tracking, fluorescence correlation spectroscopy (FCS) and fluorescence recovery after photobleaching (FRAP). We report on the large body of recent experimental evidence for anomalous transport in crowded biological media: in cyto- and nucleoplasm as well as in cellular membranes, complemented by in vitro experiments where a variety of model systems mimic physiological crowding conditions. Finally, computer simulations are discussed which play an important role in testing the theoretical models and corroborating the experimental findings. The review is completed by a synthesis of the theoretical and experimental progress identifying open questions for future investigation.
Collapse
Affiliation(s)
- Felix Höfling
- Max-Planck-Institut für Intelligente Systeme, Heisenbergstraße 3, 70569 Stuttgart, and Institut für Theoretische Physik IV, Universität Stuttgart, Pfaffenwaldring 57, 70569 Stuttgart, Germany
| | | |
Collapse
|
16
|
Montero M, Villarroel J. Monotonic continuous-time random walks with drift and stochastic reset events. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2013; 87:012116. [PMID: 23410292 DOI: 10.1103/physreve.87.012116] [Citation(s) in RCA: 23] [Impact Index Per Article: 2.1] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 06/21/2012] [Revised: 11/29/2012] [Indexed: 06/01/2023]
Abstract
In this paper we consider a stochastic process that may experience random reset events which suddenly bring the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonic continuous-time random walks with a constant drift: The process increases between the reset events, either by the effect of the random jumps, or by the action of the deterministic drift. As a result of all these combined factors interesting properties emerge, like the existence (for any drift strength) of a stationary transition probability density function, or the faculty of the model to reproduce power-law-like behavior. General formulas for two extreme statistics, the survival probability, and the mean exit time are also derived. To corroborate in an independent way the results of the paper, Monte Carlo methods were used. These numerical estimations are in full agreement with the analytical predictions.
Collapse
Affiliation(s)
- Miquel Montero
- Departament de Física Fonamental, Universitat de Barcelona (UB), Martí i Franquès 1, E-08028 Barcelona, Spain.
| | | |
Collapse
|
17
|
Rukolaine SA, Samsonov AM. Delayed uncoupled continuous-time random walks do not provide a model for the telegraph equation. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2012; 85:021150. [PMID: 22463195 DOI: 10.1103/physreve.85.021150] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 09/21/2011] [Revised: 12/23/2011] [Indexed: 05/31/2023]
Abstract
It has been alleged in several papers that the so-called delayed continuous-time random walks (DCTRWs) provide a model for the one-dimensional telegraph equation at microscopic level. This conclusion, being widespread now, is strange, since the telegraph equation describes phenomena with finite propagation speed, while the velocity of the motion of particles in the DCTRWs is infinite. In this paper we investigate the accuracy of the approximations to the DCTRWs provided by the telegraph equation. We show that the diffusion equation, being the correct limit of the DCTRWs, gives better approximations in L(2) norm to the DCTRWs than the telegraph equation. We conclude, therefore, that first, the DCTRWs do not provide any correct microscopic interpretation of the one-dimensional telegraph equation, and second, the kinetic (exact) model of the telegraph equation is different from the model based on the DCTRWs.
Collapse
Affiliation(s)
- S A Rukolaine
- The Ioffe Physical Technical Institute of the Russian Academy of Sciences, 26 Polytekhnicheskaya, St. Petersburg 194021, Russia.
| | | |
Collapse
|
18
|
Montero M. Parrondo-like behavior in continuous-time random walks with memory. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2011; 84:051139. [PMID: 22181400 DOI: 10.1103/physreve.84.051139] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/12/2011] [Revised: 09/27/2011] [Indexed: 05/31/2023]
Abstract
The continuous-time random walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this paper we will show how the random combination of two different unbiased CTRWs can give rise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as noise, the effect can be thought of as a kind of stochastic resonance. The ultimate origin of this phenomenon is the same as that of the Parrondo paradox in game theory.
Collapse
Affiliation(s)
- Miquel Montero
- Departament de Física Fonamental, Universitat de Barcelona (UB), Barcelona, Spain.
| |
Collapse
|
19
|
Abstract
In this paper, we outline a model of graph (or network) dynamics based on two ingredients. The first ingredient is a Markov chain on the space of possible graphs. The second ingredient is a semi-Markov counting process of renewal type. The model consists in subordinating the Markov chain to the semi-Markov counting process. In simple words, this means that the chain transitions occur at random time instants called epochs. The model is quite rich and its possible connections with algebraic geometry are briefly discussed. Moreover, for the sake of simplicity, we focus on the space of undirected graphs with a fixed number of nodes. However, in an example, we present an interbank market model where it is meaningful to use directed graphs or even weighted graphs.
Collapse
|
20
|
Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond. PLoS One 2010; 5:e15102. [PMID: 21151931 PMCID: PMC2997071 DOI: 10.1371/journal.pone.0015102] [Citation(s) in RCA: 14] [Impact Index Per Article: 1.0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 09/24/2010] [Accepted: 10/20/2010] [Indexed: 11/19/2022] Open
Abstract
We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of Lévy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in applications. In recent years also Lévy processes, of which Brownian Motion is a special case, have become increasingly popular. Lévy processes are spatially homogeneous, but empirical data often suggest the use of spatially inhomogeneous processes. Thus it seems necessary to go to the next level of generalization: Feller processes. These include Lévy processes and in particular Brownian motion as special cases but allow spatial inhomogeneities. Many properties of Feller processes are known, but proving the very existence is, in general, very technical. Moreover, an applicable framework for the generation of sample paths of a Feller process was missing. We explain, with practitioners in mind, how to overcome both of these obstacles. In particular our simulation technique allows to apply Monte Carlo methods to Feller processes.
Collapse
|
21
|
Gubiec T, Kutner R. Backward jump continuous-time random walk: an application to market trading. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2010; 82:046119. [PMID: 21230357 DOI: 10.1103/physreve.82.046119] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/28/2010] [Revised: 08/27/2010] [Indexed: 05/30/2023]
Abstract
The backward jump modification of the continuous-time random walk model or the version of the model driven by the negative feedback was herein derived for spatiotemporal continuum in the context of a share price evolution on a stock exchange. In the frame of the model, we described stochastic evolution of a typical share price on a stock exchange with a moderate liquidity within a high-frequency time scale. The model was validated by satisfactory agreement of the theoretical velocity autocorrelation function with its empirical counterpart obtained for the continuous quotation. This agreement is mainly a result of a sharp backward correlation found and considered in this article. This correlation is a reminiscence of such a bid-ask bounce phenomenon where backward price jump has the same or almost the same length as preceding jump. We suggested that this correlation dominated the dynamics of the stock market with moderate liquidity. Although assumptions of the model were inspired by the market high-frequency empirical data, its potential applications extend beyond the financial market, for instance, to the field covered by the Le Chatelier-Braun principle of contrariness.
Collapse
Affiliation(s)
- Tomasz Gubiec
- Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Smyczkowa Str 5/7, PL-02678 Warsaw, Poland.
| | | |
Collapse
|
22
|
Montero M, Villarroel J. Exit times in non-Markovian drifting continuous-time random-walk processes. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2010; 82:021102. [PMID: 20866770 DOI: 10.1103/physreve.82.021102] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 02/03/2010] [Revised: 06/15/2010] [Indexed: 05/29/2023]
Abstract
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to the corrections ensuing from the non-Markovian nature of the process. We show that when drift and jumps have the same sign the relevant integral equations can be solved in closed form. The case when holding times have the classical Erlang distribution is considered in detail.
Collapse
Affiliation(s)
- Miquel Montero
- Departament de Física Fonamental, Universitat de Barcelona, Spain.
| | | |
Collapse
|
23
|
Ganti V, Meerschaert MM, Foufoula-Georgiou E, Viparelli E, Parker G. Normal and anomalous diffusion of gravel tracer particles in rivers. ACTA ACUST UNITED AC 2010. [DOI: 10.1029/2008jf001222] [Citation(s) in RCA: 129] [Impact Index Per Article: 9.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/09/2022]
Affiliation(s)
- Vamsi Ganti
- Saint Anthony Falls Laboratory and National Center for Earth-surface Dynamics, Department of Civil Engineering; University of Minnesota-Twin Cities; Minneapolis Minnesota USA
| | - Mark M. Meerschaert
- Department of Statistics and Probability; Michigan State University; East Lansing Michigan USA
| | - Efi Foufoula-Georgiou
- Saint Anthony Falls Laboratory and National Center for Earth-surface Dynamics, Department of Civil Engineering; University of Minnesota-Twin Cities; Minneapolis Minnesota USA
| | - Enrica Viparelli
- Ven Te Chow Hydrosystems Laboratory, Department of Civil and Environmental Engineering; University of Illinois at Urbana Champaign; Urbana Illinois USA
| | - Gary Parker
- Ven Te Chow Hydrosystems Laboratory, Department of Civil and Environmental Engineering; University of Illinois at Urbana Champaign; Urbana Illinois USA
| |
Collapse
|
24
|
Dybiec B, Gudowska-Nowak E. Discriminating between normal and anomalous random walks. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2009; 80:061122. [PMID: 20365133 DOI: 10.1103/physreve.80.061122] [Citation(s) in RCA: 14] [Impact Index Per Article: 0.9] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/09/2009] [Revised: 10/16/2009] [Indexed: 05/26/2023]
Abstract
Commonly, normal diffusive behavior is characterized by a linear dependence of the second central moment on time, {x2(t) proportional t, while anomalous behavior is expected to show a different time dependence, x2(t) proportional t{delta} with delta<1 for subdiffusive and delta>1 for superdiffusive motions. Here we explore in details the fact that this kind of qualification, if applied straightforwardly, may be misleading: there are anomalous transport motions revealing perfectly "normal" diffusive character (x2(t) proportional t) yet being non-Markov and non-Gaussian in nature. We use recently developed framework of Monte Carlo simulations which incorporates anomalous diffusion statistics in time and space and creates trajectories of such an extended random walk. For special choice of stability indices describing statistics of waiting times and jump lengths, the ensemble analysis of anomalous diffusion is shown to hide temporal memory effects which can be properly detected only by examination of formal criteria of Markovianity (fulfillment of the Chapman-Kolmogorov equation).
Collapse
Affiliation(s)
- Bartłomiej Dybiec
- Marian Smoluchowski Institute of Physics and Mark Kac Center for Complex Systems Research, Jagellonian University, ul Reymonta 4, 30-059 Kraków, Poland.
| | | |
Collapse
|
25
|
Yuste SB, Ruiz-Lorenzo JJ, Lindenberg K. Coagulation reactions in low dimensions: Revisiting subdiffusive A+A reactions in one dimension. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2009; 80:051114. [PMID: 20364954 DOI: 10.1103/physreve.80.051114] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/08/2009] [Indexed: 05/29/2023]
Abstract
We present a theory for the coagulation reaction A+A-->A for particles moving subdiffusively in one dimension. Our theory is tested against numerical simulations of the concentration of A particles as a function of time ("anomalous kinetics") and of the interparticle distribution function as a function of interparticle distance and time. We find that the theory captures the correct behavior asymptotically and also at early times, and that it does so whether the particles are nearly diffusive or very subdiffusive. We find that, as in the normal diffusion problem, an interparticle gap responsible for the anomalous kinetics develops and grows with time. This corrects an earlier claim to the contrary on our part.
Collapse
Affiliation(s)
- S B Yuste
- Departamento de Física, Universidad de Extremadura, E-06071 Badajoz, Spain
| | | | | |
Collapse
|
26
|
Germano G, Politi M, Scalas E, Schilling RL. Stochastic calculus for uncoupled continuous-time random walks. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2009; 79:066102. [PMID: 19658559 DOI: 10.1103/physreve.79.066102] [Citation(s) in RCA: 17] [Impact Index Per Article: 1.1] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 02/25/2008] [Revised: 02/24/2009] [Indexed: 05/28/2023]
Abstract
The continuous-time random walk (CTRW) is a pure-jump stochastic process with several applications not only in physics but also in insurance, finance, and economics. A definition is given for a class of stochastic integrals driven by a CTRW, which includes the Itō and Stratonovich cases. An uncoupled CTRW with zero-mean jumps is a martingale. It is proved that, as a consequence of the martingale transform theorem, if the CTRW is a martingale, the Itō integral is a martingale too. It is shown how the definition of the stochastic integrals can be used to easily compute them by Monte Carlo simulation. The relations between a CTRW, its quadratic variation, its Stratonovich integral, and its Itō integral are highlighted by numerical calculations when the jumps in space of the CTRW have a symmetric Lévy alpha -stable distribution and its waiting times have a one-parameter Mittag-Leffler distribution. Remarkably, these distributions have fat tails and an unbounded quadratic variation. In the diffusive limit of vanishing scale parameters, the probability density of this kind of CTRW satisfies the space-time fractional diffusion equation (FDE) or more in general the fractional Fokker-Planck equation, which generalizes the standard diffusion equation, solved by the probability density of the Wiener process, and thus provides a phenomenologic model of anomalous diffusion. We also provide an analytic expression for the quadratic variation of the stochastic process described by the FDE and check it by Monte Carlo.
Collapse
Affiliation(s)
- Guido Germano
- Fachbereich Chemie und WZMW, Philipps-Universität Marburg, 35032 Marburg, Germany.
| | | | | | | |
Collapse
|
27
|
Watkins NW, Credgington D, Sanchez R, Rosenberg SJ, Chapman SC. Kinetic equation of linear fractional stable motion and applications to modeling the scaling of intermittent bursts. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2009; 79:041124. [PMID: 19518190 DOI: 10.1103/physreve.79.041124] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/03/2008] [Revised: 02/11/2009] [Indexed: 05/27/2023]
Abstract
Lévy flights and fractional Brownian motion have become exemplars of the heavy-tailed jumps and long-ranged memory widely seen in physics. Natural time series frequently combine both effects, and linear fractional stable motion (lfsm) is a model process of this type, combining alpha-stable jumps with a memory kernel. In contrast complex physical spatiotemporal diffusion processes where both the above effects compete have for many years been modeled using the fully fractional kinetic equation for the continuous-time random walk (CTRW), with power laws in the probability density functions of both jump size and waiting time. We derive the analogous kinetic equation for lfsm and show that it has a diffusion coefficient with a power law in time rather than having a fractional time derivative like the CTRW. We discuss some preliminary results on the scaling of burst "sizes" and "durations" in lfsm time series, with applications to modeling existing observations in space physics and elsewhere.
Collapse
Affiliation(s)
- N W Watkins
- Physical Sciences Division, British Antarctic Survey (NERC), Cambridge CB3 0ET, United Kingdom
| | | | | | | | | |
Collapse
|
28
|
Perelló J, Masoliver J, Kasprzak A, Kutner R. Model for interevent times with long tails and multifractality in human communications: an application to financial trading. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2008; 78:036108. [PMID: 18851106 DOI: 10.1103/physreve.78.036108] [Citation(s) in RCA: 4] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/07/2008] [Indexed: 05/26/2023]
Abstract
Social, technological, and economic time series are divided by events which are usually assumed to be random, albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed with resting and active periods interwoven. Understanding mechanisms generating consistent statistics has therefore become a central issue. The approach we present is taken from the continuous-time random-walk formalism and represents an analytical alternative to models of nontrivial priority that have been recently proposed. Our analysis also goes one step further by looking at the multifractal structure of the interevent times of human decisions. We here analyze the intertransaction time intervals of several financial markets. We observe that empirical data describe a subtle multifractal behavior. Our model explains this structure by taking the pausing-time density in the form of a superstatistics where the integral kernel quantifies the heterogeneous nature of the executed tasks. A stretched exponential kernel provides a multifractal profile valid for a certain limited range. A suggested heuristic analytical profile is capable of covering a broader region.
Collapse
Affiliation(s)
- Josep Perelló
- Departament de Física Fonamental, Universitat de Barcelona, Diagonal, 647, E-08028 Barcelona, Spain.
| | | | | | | |
Collapse
|
29
|
Langlands TAM, Henry BI, Wearne SL. Anomalous subdiffusion with multispecies linear reaction dynamics. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2008; 77:021111. [PMID: 18351991 DOI: 10.1103/physreve.77.021111] [Citation(s) in RCA: 6] [Impact Index Per Article: 0.4] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 10/21/2007] [Indexed: 05/26/2023]
Abstract
We have introduced a set of coupled fractional reaction-diffusion equations to model a multispecies system undergoing anomalous subdiffusion with linear reaction dynamics. The model equations are derived from a mesoscopic continuous time random walk formulation of anomalously diffusing species with linear mean field reaction kinetics. The effect of reactions is manifest in reaction modified spatiotemporal diffusion operators as well as in additive mean field reaction terms. One consequence of the nonseparability of reaction and subdiffusion terms is that the governing evolution equation for the concentration of one particular species may include both reactive and diffusive contributions from other species. The general solution is derived for the multispecies system and some particular special cases involving both irreversible and reversible reaction dynamics are analyzed in detail. We have carried out Monte Carlo simulations corresponding to these special cases and we find excellent agreement with theory.
Collapse
Affiliation(s)
- T A M Langlands
- Department of Applied Mathematics, School of Mathematics and Statistics, University of New South Wales, Sydney, NSW, Australia
| | | | | |
Collapse
|
30
|
Fulger D, Scalas E, Germano G. Monte Carlo simulation of uncoupled continuous-time random walks yielding a stochastic solution of the space-time fractional diffusion equation. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2008; 77:021122. [PMID: 18352002 DOI: 10.1103/physreve.77.021122] [Citation(s) in RCA: 25] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/24/2007] [Revised: 11/03/2007] [Indexed: 05/11/2023]
Abstract
We present a numerical method for the Monte Carlo simulation of uncoupled continuous-time random walks with a Lévy alpha -stable distribution of jumps in space and a Mittag-Leffler distribution of waiting times, and apply it to the stochastic solution of the Cauchy problem for a partial differential equation with fractional derivatives both in space and in time. The one-parameter Mittag-Leffler function is the natural survival probability leading to time-fractional diffusion equations. Transformation methods for Mittag-Leffler random variables were found later than the well-known transformation method by Chambers, Mallows, and Stuck for Lévy alpha -stable random variables and so far have not received as much attention; nor have they been used together with the latter in spite of their mathematical relationship due to the geometric stability of the Mittag-Leffler distribution. Combining the two methods, we obtain an accurate approximation of space- and time-fractional diffusion processes almost as easy and fast to compute as for standard diffusion processes.
Collapse
Affiliation(s)
- Daniel Fulger
- Department of Chemistry and WZMW, Computer Simulation Group, Philipps-University Marburg, Marburg, Germany.
| | | | | |
Collapse
|
31
|
Montero M, Masoliver J. Nonindependent continuous-time random walks. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2007; 76:061115. [PMID: 18233822 DOI: 10.1103/physreve.76.061115] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/27/2007] [Revised: 09/21/2007] [Indexed: 05/25/2023]
Abstract
The usual development of the continuous-time random walk (CTRW) assumes that jumps and time intervals are a two-dimensional set of independent and identically distributed random variables. In this paper, we address the theoretical setting of nonindependent CTRWs where consecutive jumps and/or time intervals are correlated. An exact solution to the problem is obtained for the special but relevant case in which the correlation solely depends on the signs of consecutive jumps. Even in this simple case, some interesting features arise, such as transitions from unimodal to bimodal distributions due to correlation. We also develop the necessary analytical techniques and approximations to handle more general situations that can appear in practice.
Collapse
Affiliation(s)
- Miquel Montero
- Departament de Física Fonamental, Universitat de Barcelona, Diagonal 647, Barcelona, Spain.
| | | |
Collapse
|
32
|
Cartea A, del-Castillo-Negrete D. Fluid limit of the continuous-time random walk with general Lévy jump distribution functions. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2007; 76:041105. [PMID: 17994934 DOI: 10.1103/physreve.76.041105] [Citation(s) in RCA: 21] [Impact Index Per Article: 1.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 04/26/2007] [Revised: 07/27/2007] [Indexed: 05/25/2023]
Abstract
The continuous time random walk (CTRW) is a natural generalization of the Brownian random walk that allows the incorporation of waiting time distributions psi(t) and general jump distribution functions eta(x). There are two well-known fluid limits of this model in the uncoupled case. For exponential decaying waiting times and Gaussian jump distribution functions the fluid limit leads to the diffusion equation. On the other hand, for algebraic decaying waiting times psi approximately t(-(1+beta)) and algebraic decaying jump distributions eta approximately x(-(1+alpha)) corresponding to Lévy stable processes, the fluid limit leads to the fractional diffusion equation of order alpha in space and order beta in time. However, these are two special cases of a wider class of models. Here we consider the CTRW for the most general Lévy stochastic processes in the Lévy-Khintchine representation for the jump distribution function and obtain an integrodifferential equation describing the dynamics in the fluid limit. The resulting equation contains as special cases the regular and the fractional diffusion equations. As an application we consider the case of CTRWs with exponentially truncated Lévy jump distribution functions. In this case the fluid limit leads to a transport equation with exponentially truncated fractional derivatives which describes the interplay between memory, long jumps, and truncation effects in the intermediate asymptotic regime. The dynamics exhibits a transition from superdiffusion to subdiffusion with the crossover time scaling as tauc approximately lambda(-alpha/beta), where 1/lambda is the truncation length scale. The asymptotic behavior of the propagator (Green's function) of the truncated fractional equation exhibits a transition from algebraic decay for t<<tauc to stretched Gaussian decay for t>>tauc.
Collapse
Affiliation(s)
- A Cartea
- Birkbeck, University of London, London, United Kingdom
| | | |
Collapse
|
33
|
Yadav A, Horsthemke W. Kinetic equations for reaction-subdiffusion systems: derivation and stability analysis. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2006; 74:066118. [PMID: 17280132 DOI: 10.1103/physreve.74.066118] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/21/2006] [Indexed: 05/13/2023]
Abstract
We derive general kinetic equations for reacting and subdiffusing entities based on a nonlinear continuous time random walk formalism proposed by Vlad and Ross [Phys. Rev. E 66, 061908 (2002)]. Reaction and diffusion processes are separable in a typical reaction-diffusion system, and their combined influence on the evolution of the density of a species is a simple sum. Our derivation shows that this is no longer true for subdiffusive entities undergoing reactions. The strong memory effects in the transport process, i.e., the non-Markovian nature of subdiffusion, results in a nontrivial combination of reactions and spatial dispersal, which we discuss in detail. We carry out a linear stability analysis of the derived reaction-subdiffusion system to understand the effects of memory on pattern formation. We find that the Turing instability persists in the subdiffusive system. However, the memory modifies the Turing threshold and the characteristics of the band of unstable modes close to this threshold.
Collapse
Affiliation(s)
- A Yadav
- Department of Chemistry, Southern Methodist University, Dallas, Texas 75275-0314, USA
| | | |
Collapse
|
34
|
Marseguerra M, Zoia A. Normal and anomalous transport across an interface: Monte Carlo and analytical approach. ANN NUCL ENERGY 2006. [DOI: 10.1016/j.anucene.2006.09.012] [Citation(s) in RCA: 29] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/16/2022]
|
35
|
Henry BI, Langlands TAM, Wearne SL. Anomalous diffusion with linear reaction dynamics: from continuous time random walks to fractional reaction-diffusion equations. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2006; 74:031116. [PMID: 17025603 DOI: 10.1103/physreve.74.031116] [Citation(s) in RCA: 28] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 04/13/2006] [Indexed: 05/12/2023]
Abstract
We have revisited the problem of anomalously diffusing species, modeled at the mesoscopic level using continuous time random walks, to include linear reaction dynamics. If a constant proportion of walkers are added or removed instantaneously at the start of each step then the long time asymptotic limit yields a fractional reaction-diffusion equation with a fractional order temporal derivative operating on both the standard diffusion term and a linear reaction kinetics term. If the walkers are added or removed at a constant per capita rate during the waiting time between steps then the long time asymptotic limit has a standard linear reaction kinetics term but a fractional order temporal derivative operating on a nonstandard diffusion term. Results from the above two models are compared with a phenomenological model with standard linear reaction kinetics and a fractional order temporal derivative operating on a standard diffusion term. We have also developed further extensions of the CTRW model to include more general reaction dynamics.
Collapse
Affiliation(s)
- B I Henry
- Department of Applied Mathematics, School of Mathematics, University of New South Wales, Sydney NSW 2052, Australia.
| | | | | |
Collapse
|
36
|
Srokowski T, Kamińska A. Diffusion equations for a Markovian jumping process. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2006; 74:021103. [PMID: 17025389 DOI: 10.1103/physreve.74.021103] [Citation(s) in RCA: 5] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 04/28/2006] [Indexed: 05/12/2023]
Abstract
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency. For small steps, we derive the Fokker-Planck equation and show the presence of the normal diffusion, subdiffusion, and superdiffusion. For the Lévy distribution of the step size, we construct a fractional equation, which possesses a variable coefficient, and solve it in the diffusion limit. Then we calculate fractional moments and define the fractional diffusion coefficient as a natural extension to the cases with the divergent variance. We also solve the master equation numerically and demonstrate that there are deviations from the Lévy stable distribution for large wave numbers.
Collapse
Affiliation(s)
- T Srokowski
- Institute of Nuclear Physics, Polish Academy of Sciences, PL-31-342 Kraków, Poland
| | | |
Collapse
|
37
|
Krepysheva N, Di Pietro L, Néel MC. Space-fractional advection-diffusion and reflective boundary condition. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2006; 73:021104. [PMID: 16605326 DOI: 10.1103/physreve.73.021104] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 07/21/2005] [Revised: 11/29/2005] [Indexed: 05/08/2023]
Abstract
Anomalous diffusive transport arises in a large diversity of disordered media. Stochastic formulations in terms of continuous time random walks (CTRWs) with transition probability densities showing space- and/or time-diverging moments were developed to account for anomalous behaviors. A broad class of CTRWs was shown to correspond, on the macroscopic scale, to advection-diffusion equations involving derivatives of noninteger order. In particular, CTRWs with Lévy distribution of jumps and finite mean waiting time lead to a space-fractional equation that accounts for superdiffusion and involves a nonlocal integral-differential operator. Within this framework, we analyze the evolution of particles performing symmetric Lévy flights with respect to a fluid moving at uniform speed . The particles are restricted to a semi-infinite domain limited by a reflective barrier. We show that the introduction of the boundary condition induces a modification in the kernel of the nonlocal operator. Thus, the macroscopic space-fractional advection-diffusion equation obtained is different from that in an infinite medium.
Collapse
Affiliation(s)
- Natalia Krepysheva
- INRA d'Avignon, UMRA Climat Sol Environnement, Domaine Saint Paul--Site Agroparc, F-84914 Avignon Cedex 9, France.
| | | | | |
Collapse
|
38
|
Gorenflo R, Mainardi F. Simply and multiply scaled diffusion limits for continuous time random walks. ACTA ACUST UNITED AC 2005. [DOI: 10.1088/1742-6596/7/1/001] [Citation(s) in RCA: 30] [Impact Index Per Article: 1.6] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/12/2022]
|
39
|
Sánchez R, Carreras BA, van Milligen BP. Fluid limit of nonintegrable continuous-time random walks in terms of fractional differential equations. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2005; 71:011111. [PMID: 15697584 DOI: 10.1103/physreve.71.011111] [Citation(s) in RCA: 2] [Impact Index Per Article: 0.1] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 08/23/2004] [Indexed: 05/24/2023]
Abstract
The fluid limit of a recently introduced family of nonintegrable (nonlinear) continuous-time random walks is derived in terms of fractional differential equations. In this limit, it is shown that the formalism allows for the modeling of the interaction between multiple transport mechanisms with not only disparate spatial scales but also different temporal scales. For this reason, the resulting fluid equations may find application in the study of a large number of nonlinear multiscale transport problems, ranging from the study of self-organized criticality to the modeling of turbulent transport in fluids and plasmas.
Collapse
Affiliation(s)
- R Sánchez
- Departamento de Física, Universidad Carlos III de Madrid, 28911 Leganés, Madrid, Spain.
| | | | | |
Collapse
|
40
|
Srokowski T, Kamińska A. Stochastic equation for a jumping process with long-time correlations. PHYSICAL REVIEW. E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS 2004; 70:051102. [PMID: 15600585 DOI: 10.1103/physreve.70.051102] [Citation(s) in RCA: 3] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Abstract] [Track Full Text] [Subscribe] [Scholar Register] [Received: 05/02/2004] [Indexed: 05/24/2023]
Abstract
A jumping process, defined in terms of the jump size and waiting time distributions, is presented. The jumping rate depends on the process value. The process, which is Markovian and stationary, relaxes to an equilibrium and is characterized by a power-law autocorrelation function. Therefore, it can serve as a model of 1/f noise as well as of the stochastic force in the generalized Langevin equation. This equation is solved for noise correlations approximately 1/t ; the resulting velocity distribution has sharply falling tails. The system preserves memory about the initial condition for a very long time.
Collapse
Affiliation(s)
- T Srokowski
- Institute of Nuclear Physics, PL-31-342 Kraków, Poland
| | | |
Collapse
|