Distributions of waiting times of dynamic single-electron emitters

The distribution of waiting times between elementary tunneling events is of fundamental importance for understanding the stochastic charge transfer processes in nanoscale conductors. Here we investigate the waiting time distributions (WTDs) of periodically driven single-electron emitters and evaluate them for the specific example of a mesoscopic capacitor. We show that the WTDs provide a particularly informative characterization of periodically driven devices and we demonstrate how the WTDs allow us to reconstruct the full counting statistics (FCS) of charges that have been transferred after a large number of periods. We find that the WTDs are capable of describing short-time physics and correlations which are not accessible via the FCS alone.     

Asymptotic properties of multistate random walks. I. Theory

A calculation is presented of the long-time behavior of various random walk properties (moments, probability of return to the origin, expected number of distinct sites visited) formultistate random walks on periodic lattices. In particular, we consider inhomogeneous periodic lattices, consisting of a periodically repeated unit cell which contains a finite number of internal states (sites). The results are identical to those for perfect lattices except for a renormalization of coefficients. For walks without drift, it is found that all the asymptotic random walk properties are determined by the diffusion coefficients for the multistate random walk. The diffusion coefficients can be obtained by a simple matrix algorithm presented here. Both discrete and continuous time random walks are considered. The results are not restricted to nearest-neighbor random walks but apply as long as the single-step probability distributions associated with each of the internal states have finite means and variances.     

From diffusion to anomalous diffusion: a century after Einstein's Brownian motion

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term memory. The coarse-grained behavior of such processes is described by the diffusion equation. However, many natural processes do not possess the Markovian property and exhibit anomalous diffusion. We consider here the case of subdiffusive processes, which correspond to continuous-time random walks in which the waiting time for a step is given by a probability distribution with a diverging mean value. Such a process can be considered as a process subordinated to normal diffusion under operational time which depends on this pathological waiting-time distribution. We derive two different but equivalent forms of kinetic equations, which reduce to known fractional diffusion or Fokker-Planck equations for waiting-time distributions following a power law. For waiting time distributions which are not pure power laws one or the other form of the kinetic equation is advantageous, depending on whether the process slows down or accelerates in the course of time.     

Residence time statistics for N renewal processes

We present a study of residence time statistics for N renewal processes with a long tailed distribution of the waiting time. Such processes describe many nonequilibrium systems ranging from the intensity of N blinking quantum dots to the residence time of N Brownian particles. With numerical simulations and exact calculations, we show sharp transitions for a critical number of degrees of freedom N. In contrast to the expectation, the fluctuations in the limit of N→∞ are nontrivial. We briefly discuss how our approach can be used to detect nonergodic kinetics from the measurements of many blinking chromophores, without the need to reach the single molecule limit.     

Phase Diagram in Stored-Energy-Driven Lévy Flight

Phase diagram based on the mean square displacement (MSD) and the distribution of diffusion coefficients of the time-averaged MSD for the stored-energy-driven Lévy flight (SEDLF) is presented. In the SEDLF, a random walker cannot move while storing energy, and it jumps by the stored energy. The SEDLF shows a whole spectrum of anomalous diffusions including subdiffusion and superdiffusion, depending on the coupling parameter between storing time (trapping time) and stored energy. This stochastic process can be investigated analytically with the aid of renewal theory. Here, we consider two different renewal processes, i.e., ordinary renewal process and equilibrium renewal process, when the mean trapping time does not diverge. We analytically show the phase diagram according to the coupling parameter and the power exponent in the trapping-time distribution. In particular, we find that distributional behavior of time-averaged MSD intrinsically appears in superdiffusive as well as normal diffusive regime even when the mean trapping time does not diverge.     

The distribution of first-passage times and durations in FOREX and future markets

Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of distributions are used, namely a distribution derived from the Mittag-Leffler survival function and the Weibull distribution. For the Mittag-Leffler type distribution, the average waiting time (residual life time) is strongly dependent on the choice of a cut-off parameter t_max, whereas the results based on the Weibull distribution do not depend on such a cut-off. Therefore, a Weibull distribution is more convenient than a Mittag-Leffler type if one wishes to evaluate relevant statistics such as average waiting time in financial markets with long durations. On the other hand, we find that the Gini index is rather independent of the cut-off parameter. Based on the above considerations, we propose a good candidate for describing the distribution of first-passage time in a market: The Weibull distribution with a power-law tail. This distribution compensates the gap between theoretical and empirical results more efficiently than a simple Weibull distribution. It should be stressed that a Weibull distribution with a power-law tail is more flexible than the Mittag-Leffler distribution, which itself can be approximated by a Weibull distribution and a power-law. Indeed, the key point is that in the former case there is freedom of choice for the exponent of the power-law attached to the Weibull distribution, which can exceed 1 in order to reproduce decays faster than possible with a Mittag-Leffler distribution. We also give a useful formula to determine an optimal crossover point minimizing the difference between the empirical average waiting time and the one predicted from renewal theory. Moreover, we discuss the limitation of our distributions by applying our distribution to the analysis of the BTP future and calculating the average waiting time. We find that our distribution is applicable as long as durations follow a Weibull law for short times and do not have too heavy a tail.     

Diffusion dynamics and first passage time in a two-coupled pendulum system

We present the numerical investigation of diffusion process and features of first passage time (FPT) and mean FPT (MFPT) in a two-coupled damped and periodically driven pendulum system. The effect of amplitude of the external periodic force and phase of the force on diffusion constant, distribution of FPT, P(tFPT), and MFPT is analyzed. Normal diffusion is found. Diffusion constant is found to show power-law variation near intermittency and sudden widening crises while linear variation is observed in the quasiperiodic region. In the intermittency crisis the divergence of diffusion constant is similar to the divergence of mean bursting length. P(tFPT) of critical distances of state variable exhibit periodic multiple peaks with decaying amplitude. MFPT of critical distances also follows power-law variation. Diffusion constant and MFPT are sensitive to the phase factor of the periodic force.     

Nonergodicity mimics inhomogeneity in single particle tracking

Most statistical theories of anomalous diffusion rely on ensemble-averaged quantities such as the mean squared displacement. Single molecule tracking measurements require, however, temporal averaging. We contrast the two approaches in the case of continuous-time random walks with a power-law distribution of waiting times psi(t) proportional to t{-1-alpha}, with 0相似文献   

Superstatistics and renewal critical events

An approach to intermittent systems based on renewal processes is reviewed. The Waiting Times (WTs) between events are the main variables of interest in intermittent systems. A crucial role is played by the class of critical events, characterized by Non-Poisson statistics and non-exponential WT distribution. A particular important case is given by WT distributions with power tail. Critical events play a crucial role in the behavior of a property known as Renewal Aging. Focusing on the role of critical events, the relation between superstatistics and non-homogeneous Poisson processes is discussed, and the role of Renewal Aging is illustrated by comparing a Non-Poisson model with a Poisson one, both of them modulated by a periodic forcing. It is shown that the analysis of Renewal Aging is sensitive to the presence of critical events and that this property can be exploited to detect Non-Poisson statistics in a time series. As a consequence, it is claimed that, apart from the characterization of superstatistical features such as the distribution of the intensive parameter or the separation of the time scales, the Renewal Aging property can give some effort to better determine the role of Non-Poisson critical events in intermittent systems.      

Memory Effects in Quantum Dynamics Modelled by Quantum Renewal Processes

Simple, controllable models play an important role in learning how to manipulate and control quantum resources. We focus here on quantum non-Markovianity and model the evolution of open quantum systems by quantum renewal processes. This class of quantum dynamics provides us with a phenomenological approach to characterise dynamics with a variety of non-Markovian behaviours, here described in terms of the trace distance between two reduced states. By adopting a trajectory picture for the open quantum system evolution, we analyse how non-Markovianity is influenced by the constituents defining the quantum renewal process, namely the time-continuous part of the dynamics, the type of jumps and the waiting time distributions. We focus not only on the mere value of the non-Markovianity measure, but also on how different features of the trace distance evolution are altered, including times and number of revivals.     

Quantum effects of periodic orbits for the kicked top

We analyze traces of powers of the time evolution operator of a periodically kicked top. Semiclassically, such traces are related to periodic orbits of the classical map. We derive the semiclassical traces in a coherent state basis and show how the periodic orbits can be recovered via a Fourier transform. A breakdown of the stationary phase approximation is detected. The quasi energy spectrum remains elusive due to lack of knowledge of sufficiently many periodic orbits. Divergencies of periodic orbit formulas are avoided by appealing to the finiteness of the quantum mechanical Hilbert space. The traces also enter the coefficients of the characteristic polynominal of the Floquet operator. Statistical properties of these coefficients give rise to a new criterion for the distinction of chaos and regular motion.     

Langevin Picture of Lévy Walks and Their Extensions

In this paper we derive Langevin picture of Lévy walks. Applying recent advances in the theory of coupled continuous time random walks we find a limiting process of the properly scaled Lévy walk. Next, we introduce extensions of Levy walks, in which jump sizes are some functions of waiting times. We prove that under proper scaling conditions, such generalized Lévy walks converge in distribution to the appropriate limiting processes. We also derive the corresponding fractional diffusion equations and investigate behavior of the mean square displacements of the limiting processes, showing that different coupling functions lead to various types of anomalous diffusion.     

The effects of unequal diffusion coefficients on periodic travelling waves in oscillatory reaction-diffusion systems

Many oscillatory biological systems show periodic travelling waves. These are often modelled using coupled reaction-diffusion equations. However, the effects of different movement rates (diffusion coefficients) of the interacting components on the predictions of these equations are largely unknown. Here we investigate the ways in which varying the diffusion coefficients in such equations alters the wave speed, time period, wavelength, amplitude and stability of periodic wave solutions. We focus on two sets of kinetics that are commonly used in ecological applications: lambda-omega equations, which are the normal form of an oscillatory coupled reaction-diffusion system close to a supercritical Hopf bifurcation, and a standard predator-prey model. Our results show that changing the ratio of the diffusion coefficients can significantly alter the shape of the one-parameter family of periodic travelling wave solutions. The position of the boundary between stable and unstable waves also depends on the ratio of the diffusion coefficients: in all cases, stability changes through an Eckhaus (‘sideband’) instability. These effects are always symmetrical in the two diffusion coefficients for the lambda-omega equations, but are asymmetric in the predator-prey equations, especially when the limit cycle of the kinetics is of large amplitude. In particular, there are two separate regions of stable waves in the travelling wave family for some parameter values in the predator-prey scenario. Our results also show the existence of a one-parameter family of travelling waves, but not necessarily a Hopf bifurcation, for all values of the diffusion coefficients. Simulations of the full partial differential equations reveals that varying the ratio of the diffusion coefficients can significantly change the properties of periodic travelling waves that arise from particular wave generation mechanisms, and our analysis of the travelling wave families assists in the understanding of these effects.     

Electron waiting times in mesoscopic conductors

Electron transport in mesoscopic conductors has traditionally involved investigations of the mean current and the fluctuations of the current. A complementary view on charge transport is provided by the distribution of waiting times between charge carriers, but a proper theoretical framework for coherent electronic systems has so far been lacking. Here we develop a quantum theory of electron waiting times in mesoscopic conductors expressed by a compact determinant formula. We illustrate our methodology by calculating the waiting time distribution for a quantum point contact and find a crossover from Wigner-Dyson statistics at full transmission to Poisson statistics close to pinch-off. Even when the low-frequency transport is noiseless, the electrons are not equally spaced in time due to their inherent wave nature. We discuss the implications for renewal theory in mesoscopic systems and point out several analogies with level spacing statistics and random matrix theory.     

Dependence of chaotic diffusion on the size and position of holes

A particle driven by deterministic chaos and moving in a spatially extended environment can exhibit normal diffusion, with its mean square displacement growing proportional to the time. Here, we consider the dependence of the diffusion coefficient on the size and the position of areas of phase space linking spatial regions ('holes') in a class of simple one-dimensional, periodically lifted maps. The parameter dependent diffusion coefficient can be obtained analytically via a Taylor-Green-Kubo formula in terms of a functional recursion relation. We find that the diffusion coefficient varies non-monotonically with the size of a hole and its position, which implies that a diffusion coefficient can increase by making the hole smaller. We derive analytic formulas for small holes in terms of periodic orbits covered by the holes. The asymptotic regimes that we observe show deviations from the standard stochastic random walk approximation. The escape rate of the corresponding open system is also calculated. The resulting parameter dependencies are compared with the ones for the diffusion coefficient and explained in terms of periodic orbits.     

Extremal behavior of a coupled continuous time random walk

Coupled continuous time random walks (CTRWs) model normal and anomalous diffusion of random walkers by taking the sum of random jump lengths dependent on the random waiting times immediately preceding each jump. They are used to simulate diffusion-like processes in econophysics such as stock market fluctuations, where jumps represent financial market microstructure like log returns. In this and many other applications, the magnitude of the largest observations (e.g. a stock market crash) is of considerable importance in quantifying risk. We use a stochastic process called a coupled continuous time random maxima (CTRM) to determine the density governing the maximum jump length of a particle undergoing a CTRW. CTRM are similar to continuous time random walks but track maxima instead of sums. The many ways in which observations can depend on waiting times can produce an equally large number of CTRM governing density shapes. We compare densities governing coupled CTRM with their uncoupled counterparts for three simple observation/wait dependence structures.     

The role of dispersal in competition success and in the emerging diversity

The dynamics of dispersal-structured populations, consisting of competing individuals that are characterized by different diffusion coefficients but are otherwise identical, is investigated. Competition is taken into account through demographic processes. The problem addressed models natural selection. It is observed that the mean value and the relative width of the initial distribution of the diffusion coefficients characterizing the individuals together with the temporal fluctuations determine the final distribution of the diffusivities (diffusion coefficients leading to the competition success) as well as the final diversity of the system at finite time (the number of different diffusion coefficients present in the system). Large initial mean diffusivity of the system leads to a rather fast disappearance of the diversity. Instead, small initial mean diffusivity of the system leads to a diversity equal to the number of niches forming in the system due to the competitive interactions. The cluster formation is also associated to the competition success of the slower diffusing individuals. The diversity is diminished by the increase of the temporal fluctuations that give the competition advantage to the faster diffusing individuals. Somewhat counterintuitively, under certain conditions the competition success is given by intermediate values of the diffusion coefficients.     

Dispersion of particles in periodic media

We discuss the long-time properties of the dispersion of particles in periodic media, using the random walk formalism. Exact asymptotic results are obtained for the average velocity and the diffusion coefficient, expressed in terms of the Green's function of the random walk inside the periodically repeated unit cell. We explicitly calculate the transport coefficients for several specific cases of interest, including a system with dead zones, a simple model for field-induced trapping, and a one-dimensional map leading to deterministic diffusion.     

One-Way Markov Process Approach to Repeat Times of Large Earthquakes in Faults

One of the uses of Markov Chains is the simulation of the seismic cycle in a fault, i.e. as a renewal model for the repetition of its characteristic earthquakes. This representation is consistent with Reid??s elastic rebound theory. We propose a general one-way Markovian model in which the waiting time distribution, its first moments, coefficient of variation, and functions of error and alarm (related to the predictability of the model) can be obtained analytically. The fact that in any one-way Markov cycle the coefficient of variation of the corresponding distribution of cycle lengths is always lower than one concurs with observations of large earthquakes in seismic faults. The waiting time distribution of one of the limits of this model is the negative binomial distribution; as an application, we use it to fit the Parkfield earthquake series in the San Andreas fault, California.     

Nonrenewal statistics in the catalytic activity of enzyme molecules at mesoscopic concentrations

Recent fluorescence spectroscopy measurements of single-enzyme kinetics have shown that enzymatic turnovers form a renewal stochastic process in which the inverse of the mean waiting time between turnovers follows the Michaelis-Menten equation. We study enzyme kinetics at physiologically relevant mesoscopic concentrations using a master equation. From the exact solution of the master equation we find that the waiting times are neither independent nor identically distributed, implying that enzymatic turnovers form a nonrenewal stochastic process. The inverse of the mean waiting time shows strong departure from the Michaelis-Menten equation. The waiting times between consecutive turnovers are anticorrelated, where short intervals are more likely to be followed by long intervals and vice versa. Correlations persist beyond consecutive turnovers indicating that multiscale fluctuations govern enzyme kinetics.