Environment-dependent continuous time random walk

A generalized continuous time random walk model which is dependent on environmental damping is proposed in which the two key parameters of the usual random walk theory: the jumping distance and the waiting time, are replaced by two new ones: the pulse velocity and the flight time. The anomalous diffusion of a free particle which is characterized by the asymptotical mean square displacement <x²(t)>～t^α is realized numerically and analysed theoretically, where the value of the power index α is in a region of 0 < α < 2. Particularly, the damping leads to a sub-diffusion when the impact velocities are drawn from a Gaussian density function and the super-diffusive effect is related to statistical extremes, which are called rare-though-dominant events.     

Multienergetic continuous time random walk

We have extended the CTRW theory of Montroll and Weiss including the effect of extra variables, like the energy. This MCTRW scheme can be written in a simple matrix notation, that simplifies its solution. As an example of their usefulness we have studied a two-energy-group neutron diffusion problem. This has shown the peculiarities of the transient behaviour for the variance of the probability distribution, due to the coupling between the groups.Comisión Nacional de Energiá AtómicaComisión Nacional de Energía Atómica and Universidad Nacional de Cuyo     

Subordinated diffusion and continuous time random walk asymptotics

Anomalous transport is usually described either by models of continuous time random walks (CTRWs) or, otherwise, by fractional Fokker-Planck equations (FFPEs). The asymptotic relation between properly scaled CTRW and fractional diffusion process has been worked out via various approaches widely discussed in literature. Here, we focus on a correspondence between CTRWs and time and space fractional diffusion equation stemming from two different methods aimed to accurately approximate anomalous diffusion processes. One of them is the Monte Carlo simulation of uncoupled CTRW with a Le?vy α-stable distribution of jumps in space and a one-parameter Mittag-Leffler distribution of waiting times. The other is based on a discretized form of a subordinated Langevin equation in which the physical time defined via the number of subsequent steps of motion is itself a random variable. Both approaches are tested for their numerical performance and verified with known analytical solutions for the Green function of a space-time fractional diffusion equation. The comparison demonstrates a trade off between precision of constructed solutions and computational costs. The method based on the subordinated Langevin equation leads to a higher accuracy of results, while the CTRW framework with a Mittag-Leffler distribution of waiting times provides efficiently an approximate fundamental solution to the FFPE and converges to the probability density function of the subordinated process in a long-time limit.     

A continuous time random walk approach to magnetic disaccommodation

We extend the Dietze theory for the diffusion after-effect to the case where the defects perform a continuous time random walk. Using a waiting time density of the fractional exponential type ψ(t) = (1−n)vt⁻ⁿe^-vt1−n a temporal dependence of a fractional power type t¹⁻ⁿ at short times is reported.     

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.     

基于连续时间无规行走模型研究反常扩散

基于连续时间无规行走(CTRW)理论，数值研究了布朗粒子的欠扩散、正常扩散和超扩散三种扩散行为.解决了CTRW模型的跳跃步长和等待时间分布函数的可实现化问题，对Metropolis抽样方法进行了改进以适用于周期势.探讨了布朗马达依靠闪烁棘轮和摇摆棘轮整流反常扩散所获得的定向速度，结果显示，闪烁布朗马达定向流极大值出现在超扩散条件下；摇摆布朗马达定向流最大值出现在弹道扩散条件下.     

Origins and applications of the Montroll-Weiss continuous time random walk

The Continuous Time Random Walk (CTRW) was introduced by Montroll and Weiss in 1965 in a purely mathematical paper. Its antecedents and later applications beginning in 1973 are discussed, especially for the case of fractal time where the mean waiting time between jumps is infinite.     

基于连续时间无规行走模型研究反常扩散

基于连续时间无规行走(CTRW)理论,数值研究了布朗粒子的欠扩散、正常扩散和超扩散三种扩散行为.解决了CTRW模型的跳跃步长和等待时间分布函数的可实现化问题,对Metropolis抽样方法进行了改进以适用于周期势.探讨了布朗马达依靠闪烁棘轮和摇摆棘轮整流反常扩散所获得的定向速度,结果显示,闪烁布朗马达定向流极大值出现在超扩散条件下;摇摆布朗马达定向流最大值出现在弹道扩散条件下. 关键词： 无规行走 反常扩散 Metropolis抽样 棘轮势     

Two models of quantum random walk

We present an overview of two models of quantum random walk. In the first model, the discrete quantum random walk, we present the explicit solution for the recurring amplitude of the quantum random walk on a one-dimensional lattice. We also introduce a new method of solving the problem of random walk in the most general case and use it to derive the hitting amplitude for quantum random walk on the hypercube. The second is a special model based on a local interaction between neighboring spin-1/2 particles on a one-dimensional lattice. We present explicit results for the relevant quantities and obtain an upper bound on the speed of convergence to limiting probability distribution.     

A continuous time random walk (CTRW) integro-differential equation with chemical interaction

A nonlocal-in-time integro-differential equation is introduced that accounts for close coupling between transport and chemical reaction terms. The structure of the equation contains these terms in a single convolution with a memory function M?(t), which includes the source of non-Fickian (anomalous) behavior, within the framework of a continuous time random walk (CTRW). The interaction is non-linear and second-order, relevant for a bimolecular reaction A + B → C. The interaction term ΓP _A ?(s, t)?P _B ?(s, t) is symmetric in the concentrations of A and B (i.e. P _A and P _B ); thus the source terms in the equations for A, B and C are similar, but with a change in sign for that of C. Here, the chemical rate coefficient, Γ, is constant. The fully coupled equations are solved numerically using a finite element method (FEM) with a judicious representation of M?(t) that eschews the need for the entire time history, instead using only values at the former time step. To begin to validate the equations, the FEM solution is compared, in lieu of experimental data, to a particle tracking method (CTRW-PT); the results from the two approaches, particularly for the C profiles, are in agreement. The FEM solution, for a range of initial and boundary conditions, can provide a good model for reactive transport in disordered media.     

Anomalous dispersion in correlated porous media: a coupled continuous time random walk approach

We study the causes of anomalous dispersion in Darcy-scale porous media characterized by spatially heterogeneous hydraulic properties. Spatial variability in hydraulic conductivity leads to spatial variability in the flow properties through Darcy’s law and thus impacts on solute and particle transport. We consider purely advective transport in heterogeneity scenarios characterized by broad distributions of heterogeneity length scales and point values. Particle transport is characterized in terms of the stochastic properties of equidistantly sampled Lagrangian velocities, which are determined by the flow and conductivity statistics. The persistence length scales of flow and transport velocities are imprinted in the spatial disorder and reflect the distribution of heterogeneity length scales. Particle transitions over the velocity length scales are kinematically coupled with the transition time through velocity. We show that the average particle motion follows a coupled continuous time random walk (CTRW), which is fully parameterized by the distribution of flow velocities and the medium geometry in terms of the heterogeneity length scales. The coupled CTRW provides a systematic framework for the investigation of the origins of anomalous dispersion in terms of heterogeneity correlation and the distribution of conductivity point values. We derive analytical expressions for the asymptotic scaling of the moments of the spatial particle distribution and first arrival time distribution (FATD), and perform numerical particle tracking simulations of the coupled CTRW to capture the full average transport behavior. Broad distributions of heterogeneity point values and lengths scales may lead to very similar dispersion behaviors in terms of the spatial variance. Their mechanisms, however are very different, which manifests in the distributions of particle positions and arrival times, which plays a central role for the prediction of the fate of dissolved substances in heterogeneous natural and engineered porous materials.     

Coherent and incoherent exciton motion in the framework of the continuous time random walk

We derive the hopping time distribution functions of the continuous time random walk theory starting from an exact kernel for one-dimensional exciton motion. The derivation is based on exact relations between the kernel and the hopping time distribution functions.     

Exact probability distributions for noncorrelated random walk models

A stochastic model for the idealized locomotion of cells is studied. The cell is assumed to cover a polygonal line in ⁿ , the times between turns are exponentially distributed and independent of the directions, and the density of thenth directione does not depend on the (n–1)th directione. The resulting Markov process (X(t), D(t)) for position and direction of the motion at timet is studied by using the integrodifferential equation for the transition function. For example, the joint distribution of (X(t), D(t)) is derived in closed form ifn=2 orn=3 and all chosen directions (including the initial one) are uniformly distributed. For higher dimensions the combined Fourier-Laplace transform ofX(t) is given. The case of a fixed initial direction is also considered.     

First passage time densities for random walk spans

A general expression is derived for the Laplace transform of the probability density of the first passage time for the span of a symmetric continuous-time random walk to reach levelS. We show that when the mean time between steps is finite, the mean first passage time toS is proportional toS ₂. When the pausing time density is asymptotic to a stable density we show that the first passage density is also asymptotically stable. Finally when the jump distribution of the random walk has the asymptotic formp(j)A/|j| ₊₁, 0 < < 2 it is shown that the mean first passage time toS goes likeS .     

Continuous time random walk with jump length correlated with waiting time

A coupled continuous time random walk (CTRW) model is proposed, in which the jump length of a walker is correlated with waiting time. The power law distribution is chosen as the probability density function of waiting time and the Gaussian-like distribution as the probability density function of jump length. Normal diffusion, subdiffusion and superdiffusion can be realized within the present model. It is shown that the competition between long-tailed distribution and correlation of jump length and waiting time will lead to different diffusive behavior.     

The continuous time random walk,still trendy: fifty-year history,state of art and outlook

In this article we demonstrate the very inspiring role of the continuous-time random walk (CTRW) formalism, the numerous modifications permitted by its flexibility, its various applications, and the promising perspectives in the various fields of knowledge. A short review of significant achievements and possibilities is given. However, this review is still far from completeness. We focused on a pivotal role of CTRWs mainly in anomalous stochastic processes discovered in physics and beyond. This article plays the role of an extended announcement of the Eur. Phys. J. B Special Issue [http://epjb.epj.org/open-calls-for-papers/123-epj-b/1090-ctrw-50-years-on] containing articles which show incredible possibilities of the CTRWs.     

A first passage time problem for random walk occupancy

Two recent studies of diffusion and flow properties of polymers in a melt have suggested the problem of finding the average time form Brownian particles to leave a sphere for the first time, given that exited particles can also reenter the sphere. We prove that the asymptotic density (asm) for the time to first emptiness of the sphere for zero-mean Brownian motion is a delta function, characterized by the exit timea(m/lnm)^2/D ,a being a constant andD being the dimension. The presence of a field leaves the delta-function form for the density, but changes the time dependence toa lnm, with only the constanta depending on the dimension. Simulations of the process suggest that the value ofm needed for the validity of the asymptotic result is orders of magnitude greater than 1000.     

Solvable models of temporally correlated random walk on a lattice

We seek the conditional probability functionP(m,t) for the position of a particle executing a random walk on a lattice, governed by the distributionW(n, t) specifying the probability ofn jumps or steps occurring in timet. Uncorrelated diffusion occurs whenW is a Poisson distribution. The solutions corresponding to two different families of distributionsW are found and discussed. The Poissonian is a limiting case in each of these families. This permits a quantitative investigation of the effects, on the diffusion process, of varying degrees of temporal correlation in the step sequences. In the first part, the step sequences are regarded as realizations of an ongoing renewal process with a probability densityψ(t) for the time interval between successive jumps.W is constructed in terms ofψ using the continuous-time random walk approach. The theory is then specialized to the case whenψ belongs to the class of special Erlangian density functions. In the second part,W is taken to belong to the family of negative binomial distributions, ranging from the geometric (most correlated) to the Poissonian (uncorrelated). Various aspects such as the continuum limit, the master equation forP, the asymptotic behaviour ofP, etc., are discussed.