Fractional nonlinear diffusion equation and first passage time

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional nonlinear diffusion equation with a space- and time-dependent diffusion coefficient subject to absorbing boundaries and the initial condition. We obtain explicit analytical expression for the probability distribution, the first passage time distribution, the mean first passage time, and the mean squared displacement corresponding to different time-dependent diffusion coefficient. In addition, we compare our results for the first passage time distribution and the mean first passage time with the one obtained by usual linear diffusion equation with time-dependent diffusion coefficient.     

First passage time and escape time distributions for continuous time random walks

We consider an arbitrary continuous time random walk (ctrw)via unbiased nearest-neighbour jumps on a linear lattice. Solutions are presented for the distributions of the first passage time and the time of escape from a bounded region. A simple relation between the conditional probability function and the first passage time distribution is analysed. So is the structure of the relation between the characteristic functions of the first passage time and escape time distributions. The mean first passage time is shown to diverge for all (unbiased)ctrw’s. The divergence of the mean escape time is related to that of the mean time between jumps. A class ofctrw’s displaying a self-similar clustering behaviour in time is considered. The exponent characterising the divergence of the mean escape time is shown to be (1−H), whereH(0<H<1) is the fractal dimensionality of thectrw.     

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.     

First passage time problems for one-dimensional random walks

This note contains a development of the theory of first passage times for one-dimensional lattice random walks with steps to nearest neighbor only. The starting point is a recursion relation for the densities of first passage times from the set of lattice points. When these densities are unrestricted, the formalism allows us to discuss first passage times of continuous time random walks. When they are negative exponential densities we show that the resulting equation is the adjoint of the master equation. This is the lattice analog of a correspondence well known for systems describable by a Fokker-Planck equation. Finally we discuss first passage problems for persistent random walks in which at each step the random walker continues in the same direction as the preceding step with probability a or reverses direction with probability 1–     

Solutions of fractional nonlinear diffusion equation and first passage time: Influence of initial condition and diffusion coefficient

We investigate the solutions and the first passage time for anomalous diffusion processes governed by the fractional nonlinear diffusion equation with diffusion coefficient separable in time and space, D(t,x)=D(t)|x|^−θ, subject to absorbing boundary condition and the conventional initial condition p(x,0)=δ(x−x₀). We obtain explicit analytical expressions for the probability distribution, the first passage time distribution, the mean first passage time and the mean squared displacement, and discuss their behavior corresponding to different time dependent diffusion coefficients.     

First passage time distributions for finite one-dimensional random walks

We present closed expressions for the characteristic function of the first passage time distribution for biased and unbiased random walks on finite chains and continuous segments with reflecting boundary conditions. Earlier results on mean first passage times for one-dimensional random walks emerge as special cases. The divergences that result as the boundary is moved out to infinity are exhibited explicitly. For a symmetric random walk on a line, the distribution is an elliptic theta function that goes over into the known Lévy distribution with exponent 1/2 as the boundary tends to ∞.     

Evolution of the initial box-signal for time-fractional diffusion-wave equation in a case of different spatial dimensions

In the case of time-fractional diffusion-wave equation considered in the spatial domain −∞<x<∞, evolution of initial box-signal was investigated by Mainardi [F. Mainardi, Fractional relaxation-oscillation and fractional diffusion-wave phenomena, Chaos Solitons Fractals 7 (1996) 1461-1477]. In the present paper, we supplement Mainardi’s results with additional numerical calculations illustrating the behavior of the solution and solve the corresponding problems for axisymmetric and central symmetric cases. The obtained results show an unusual behavior of solutions.     

Diffusion of oriented particles in porous media

Diffusion of particles in porous media often shows subdiffusive behavior. Here, we analyze the dynamics of particles exhibiting an orientation. The features we focus on are geometrical restrictions and the dynamical consequences of the interactions between the local surrounding structure and the particle orientation. This interaction can lead to particles getting temporarily stuck in parts of the structure. Modeling this interaction by a particular random walk dynamics on fractal structures we find that the random walk dimension is not affected while the diffusion constant shows a variety of interesting and surprising features.     

Decay times in one-dimensional chains

We calculate the average residence time for a particle performing a random walk over a chain ofN neighboring sitesi=1,..., N, with decay rates _i, depending on the location of the particle in the chain. Exact results are given for some particular cases, while bounds on are given for specific initial conditions. In the continuum limit, various results from the literature are recovered or improved upon.On leave of absence from the Limburgs Universitair Centrum, B-3610 Diepenbeek, Belgium. Research associate, N.F.W.O., Belgium.     

Correlation function induced by a generalized diffusion equation with the presence of a harmonic potential

An integro-differential diffusion equation with linear force, based on the continuous time random walk model, is considered. The equation generalizes the ordinary and fractional diffusion equations, which includes short, intermediate and long-time memory effects described by the waiting time probability density function. Analytical expression for the correlation function is obtained and analyzed, which can be used to describe, for instance, internal motions of proteins. The result shows that the generalized diffusion equation has a broad application and it may be used to describe different kinds of systems.     

Fox function representation of non-debye relaxation processes

Applying the Liouville-Riemann fractional calculus, we derive and solve a fractional operator relaxation equation. We demonstrate how the exponent of the asymptotic power law decay t ^– relates to the order of the fractional operatord ^v/dt ^v (0<<1). Continuous-time random walk (CTRW) models offer a physical interpretation of fractional order equations, and thus we point out a connection between a special type of CTRW and our fractional relaxation model. Exact analytical solutions of the fractional relaxation equation are obtained in terms of Fox functions by using Laplace and Mellin transforms. Apart from fractional relaxation, Fox functions are further used to calculate Fourier integrals of Kohlrausch-Williams-Watts type relaxation functions. Because of its close connection to integral transforms, the rich class of Fox functions forms a suitable framework for discussing slow relaxation phenomena.     

First passage time problems in time-dependent fields

This paper discusses the simplest first passage time problems for random walks and diffusion processes on a line segment. When a diffusing particle moves in a time-varying field, use of the adjoint equation does not lead to any simplification in the calculation of moments of the first passage time as is the case for diffusion in a time-invariant field. We show that for a discrete random walk in the presence of a sinusoidally varying field there is a resonant frequency * for which the mean residence time on the line segment is a minimum. It is shown that for a random walk on a line segment of lengthL the mean residence time goes likeL ² for largeL when *, but when =* the dependence is proportional toL. The results of our simulation are numerical, but can be regarded as exact. Qualitatively similar results are shown to hold for diffusion processes by a perturbation expansion in powers of a dimensionless velocity. These results are extended to higher values of this parameter by a numerical solution of the forward equation.     

Integro-differential equation for joint probability density in phase space associated with continuous-time random walk

We derive an integro-differential equation for the joint probability density function in phase space associated with the continuous-time random walk, with generic waiting time probability density function and external force. This equation permits us to investigate whole diffusion processes covering initial-, intermediate-, and long-time ranges, which can distinguish the evolution details for systems having the same behavior in the long-time limit with different initial- and intermediate-time behaviors. Moreover, we obtained analytic solutions for probability density functions both in velocity and phase spaces, and interesting dynamic behaviors are discovered.     

Long time tails in stationary random media II: Applications

In a previous paper we developed a mode-coupling theory to describe the long time properties of diffusion in stationary, statistically homogeneous, random media. Here the general theory is applied to deterministic and stochastic Lorentz models and several hopping models. The mode-coupling theory predicts that the amplitudes of the long time tails for these systems are determined by spatial fluctuations in a coarse-grained diffusion coefficient and a coarse-grained free volume. For one-dimensional models these amplitudes can be evaluated, and the mode-coupling theory is shown to agree with exact solutions obtained for these models. For higher-dimensional Lorentz models the formal theory yields expressions which are difficult to evaluate. For these models we develop an approximation scheme based upon projecting fluctuations in the diffusion coefficient and free volume onto fluctuations in the density of scatterers.Work supported by grant No. CHE 77-16308 from the National Science Foundation and by a Nato Travel Grant.     

Fractional Hamilton’s equations of motion in fractional time

The Hamiltonian formulation for mechanical systems containing Riemman-Liouville fractional derivatives are investigated in fractional time. The fractional Hamilton’s equations are obtained and two examples are investigated in detail.      

Reflection principles for biased random walks and application to escape time distributions

We present a reflection principle for an arbitrarybiased continuous time random walk (comprising both Markovian and non-Markovian processes) in the presence of areflecting barrier on semi-infinite and finite chains. For biased walks in the presence of a reflecting barrier this principle (which cannot be derived from combinatorics) is completely different from its familiar form in the presence of an absorbing barrier. The result enables us to obtain closed-form solutions for the Laplace transform of the conditional probability for biased walks on finite chains for all three combinations of absorbing and reflecting barriers at the two ends. An important application of these solutions is the calculation of various first-passage-time and escape-time distributions. We obtain exact results for the characteristic functions of various kinds of escape time distributions for biased random walks on finite chains. For processes governed by a long-tailed event-time distribution we show that the mean time of escape from bounded regions diverges even in the presence of a bias—suggesting, in a sense, the absence of true long-range diffusion in such frozen processes.     

Anomalous diffusion expressed through fractional order differential operators in the Bloch-Torrey equation

Diffusion weighted MRI is used clinically to detect and characterize neurodegenerative, malignant and ischemic diseases. The correlation between developing pathology and localized diffusion relies on diffusion-weighted pulse sequences to probe biophysical models of molecular diffusion-typically exp[-(bD)]-where D is the apparent diffusion coefficient (mm(2)/s) and b depends on the specific gradient pulse sequence parameters. Several recent studies have investigated the so-called anomalous diffusion stretched exponential model-exp[-(bD)(alpha)], where alpha is a measure of tissue complexity that can be derived from fractal models of tissue structure. In this paper we propose an alternative derivation for the stretched exponential model using fractional order space and time derivatives. First, we consider the case where the spatial Laplacian in the Bloch-Torrey equation is generalized to incorporate a fractional order Brownian model of diffusivity. Second, we consider the case where the time derivative in the Bloch-Torrey equation is replaced by a Riemann-Liouville fractional order time derivative expressed in the Caputo form. Both cases revert to the classical results for integer order operations. Fractional order dynamics derived for the first case were observed to fit the signal attenuation in diffusion-weighted images obtained from Sephadex gels, human articular cartilage and human brain. Future developments of this approach may be useful for classifying anomalous diffusion in tissues with developing pathology.     

On the first passage time and leapover properties of Lévy motions

We investigate two coupled properties of Lévy stable random motions: the first passage times (FPTs) and the first passage leapovers (FPLs). While, in general, the FPT problem has been studied quite extensively, the FPL problem has hardly attracted any attention. Considering a particle that starts at the origin and performs random jumps with independent increments chosen from a Lévy stable probability law λ_α,β(x), the FPT measures how long it takes the particle to arrive at or cross a target. The FPL addresses a different question: given that the first passage jump crosses the target, then how far does it get beyond the target? These two properties are investigated for three subclasses of Lévy stable motions: (i) symmetric Lévy motions characterized by Lévy index α(0<α<2) and skewness parameter β=0, (ii) one-sided Lévy motions with 0<α<1, β=1, and (iii) two-sided skewed Lévy motions, the extreme case, 1<α<2, β=−1.     

On the relation between a fluctuating diffusion equation and long time tails in stationary random media

Ernst, Machta, Dorfman, and van Beijeren [J. Stat. Phys. 34:477 (1984);35:413 (1984)] have proposed that diffusion in a stationary random medium is described by a fluctuating diffusion equation involving a coarse-grained local diffusion coefficient K(r) and free volume fraction(r). We show that for a particular class of models [lattice diffusion with random transition rates and constant(r)], their prediction for the long time tail in the velocity autocorrelation function is the correct asymptotic limit.