Lévy Stable Probability Laws, Lévy Flights, Space-Fractional Diffusion and Kinetic Equations (Two Lectures)
Lévy Stable Probability Laws, Lévy Flights, Space-Fractional Diffusion and Kinetic Equations (Two Lectures)
Lévy Stable Probability Laws, Lévy Flights, Space-Fractional Diffusion and Kinetic Equations (Two Lectures)
I.
# 1 Definition. Stability = invariance under summation. X1, X2, X3, , X i.i.d. (independent
identically distributed) r.v. (random variables) possess a stable distribution if cn > 0 and dn such
that
n
X 1 + X 2 + . . . + X n = X i = cn X + d n
i =1
(1)
equal in probability
cn scaling factor
Theorem. cn = n
1/a
Alternative definition. X1, X2, and X i.i.d. r.v. possess stable distribution if for A > 0, B > 0 C
> 0, D such that
d
AX1 + BX 2 = CX + D
(2)
(3)
Noteworthy examples:
1. = 2 (Gaussian distribution)
Probability density function (PDF) pG ( x; , ) =
( x )2
1
exp
, dx pG ( x; , ) = 1
2
2 2
mean, variance.
2
PDF pC ( x; , ) =
( x )2 + 2
dx pC ( x; , ) = 1 .
These two distributions belong to the class of stable distributions, but they are very different.
dx x pC ( x; , ) dx x q x 2 < if
q
q <1 .
p(k ) =
p( x) =
dk
ikx
2 p(k )e
(4)
p , (k ; , ) = exp i k | k | (1 i (k , ) ) ,
(5)
where
(k , ) =
p , ( x; , ) =
;0,1 .
p ,
Notation: p , ( x;0,1) p , ( x)
p , ( x) = p , ( x) .
(3) Symmetric stable laws: = 0 p ,0 ( x) = p ,0 ( x) (Next lecture: play important role in random
walk theory).
p ,0 (k ) p (k ) = exp | k |
1
p (k ) 1 | k | + | k |2 ... k 0 .
2
The first non-analytical term is responsible for asymptotics of the PDF at x :
p ( x)
C ( )
| x |1+
, x .
[Here: digression on the derivation of C() with the use of improper integral].
C ( ) =
sin
2
1
(1 + )
1 x2 / 4
e
.
4
p1 ( x) =
(1 + x 2 )
(4) Extremal stable laws = 1. Important subclass 0 < < 1. Next lecture: play important role in
random walk theory as distributions of waiting times.
1
e1/ 2 x , x 0
3
p1/ 2,1 ( x) = 2 x
0 , x<0
Generalized Central Limit Theorem: stable distributions are the limit ones for
distributions of sums of random variables (has domains of attraction) appear,
when evolution of the system or the result of experiment is determined by the sum
of a large number of random quantities
X1, X2, X3, .Xn i.i.d.r.v. PDF f(x): what is the distribution of their sum at n ?
- Gauss, = 2: attracts f(x) with finite variance
x2 =
f ( x)dx <
- Lvy, 0 < < 2: attract f(x) with infinite variance and the same asymptotic
behavior
x
x 2 f ( x) dx = ,
f ( x) x 1 , 0 < < 2
X1 , ... X n i. i. d . r. v. f ( x ) ~
1
x
1+
, x
0 < < 2
S n =
X 1 +
(x )
...
X n
: n
(x ) ~
1
x
1+
(x )
, x
Also:
gravity field of stars ( = 3/2)
electric fields of dipoles (= 1)
velocity field of point vortices in fully developed turbulence (=3/2)
II. Continuous time random walk and space fractional diffusion equation
# 1 Basics of CTRW
Return to random walk (RM Lecture #2) : P(x,t) PDF to find a particle at position x at time t.
dx ( x )e
ikx
1 (u )
1
u
1 ( k ) (u )
(2.1)
< (u ) 1 u + O (u ) , u 0 , > 1 ,
d
= d ( ) = d ( )e u
du
0
0
(2.2)
d (u )
.
=
du u = 0
u =0
( ) < ( k ) 1
2
2
k 2 + O (k ) , k 0, > 2 .
d2
d 2 ( k )
ikx
=
=
dx ( x )e
.
dk 2
dk 2
k =0
k =0
MW equation gives
P(k , u ) = .... =
1
u + Dk 2
, D=
2
2
(2.3)
uP( k , u ) 1 = Dk 2 P(k , u ) .
Now, recalling that
2
d
L (t ) = u (u ) (t = 0) , F
( x ) = k 2 ( k ) ,
2
dt
dx
we can immediately make an inverse Fourier-Laplace transform of (2.3) to get normal diffusion
equation
2
P( x, t ) = D
P( x, t ) , P( x, t = 0) = ( x ) , < x < , D =
2
t
x 2
(2.4)
Solution:
1
P( x, t ) =
4 Dt
x2
4 Dt
(2.5)
dx x
P( x, t ) = 2 Dt t1 :
normal diffusion
Case 2
Jump PDF belongs to domain of attraction of the stable law with 0 < < 2.
That means
d 2 ( ) = , ( )
| x |1+
, 0 < < 2 , | x |
(k ) 1 | k | +... , k 0
(2.6)
P(k , u ) =
1
=
u + |k |
u + D | k |
, D=
or
uP( k , u ) 1 = D | k | P( k , u )
(2.7)
Rewrite (2.7) as
P( x, t ) = D
P( x, t ) , P( x, t = 0) = ( x ) , 0 < < 2
t
| x |
( x) (k ) =
dx e ( x) , ( x) =
ikx
df
dx
d x
d2 f
dx
/2
( )
d2 f
ikf (k )
d f
( ik )2
dk ikx
e (k )
2
f (k ) = k 2 f (k )
f (k )
( )
dk
d2 f
2
ikx
=
k f (k )e
= 2
2
2
dx
d x
Example.
( x) =
1
1 + x2
( +1)/2
dx
2
2
1+ x
1+
| |
0 < < 2 ,
2 =
ik j
= exp k
, ( ) ( k ) = e
j =1
0 < 2
PX ( x, n) = ?
n
PX (k , n) =
ik j
ik j n
e j =1
eikX (n) =
= e
=e
n k
PX (k ,t ) = etD|k |
, D=
Differentiate:
P( k , t ) = D k P(k , t )
t
d x
k (k )
P ( x, t ) = D
P ( x, t )
t
x
#5
t)
P ( x, t )
Dt
| x |1+
< , q < .
q
dx x P( x, t ) = 2 dx x q
0
= 2 dx x q
0
dk ikx D|k | t
= k k = k ( Dt )1/ =
2 e
dk ik x /( Dt )1/ |k |
= x x =
e
( Dt )1/ 2
= 2( Dt ) q / dx xq
0
x
( Dt )1/
dk ik x |k |
2 e
M 2 (t ; , q ) = x
q 2/ q
( Dt )
2 /
Superdiffusion phenomenon
Examples of LFs:
- Optics photons,
- Levy glass
- Strange diffusion along the DNA
- Scaling law of human travel
Imprisonment of Resonant Radiation in Gases:
Photon Trajectories as Lvy Flights
Compton (1922): transfer of excitation
as a type of Brownian motion
diffusion-type equation for the density of
excited atoms
Essential assumption:
n / t = D2n
p ( r ) exp ( r / )
D = 2 / 3
p (r )
r
( ln r )
1/ 2
or
p(r )
1
r
3/ 2
1
P(r ) 2
r ln ( r / l0 )
Ideal experimental
system to study Lvy
flights in a controlled way
Precisely chosen
distribution of glass
microspheres of
different diameters d
Spatial distribution
of the transmitted intensity
P(d)
P(d) ~ d-(2 + )
n ( x, t ) = DB
+ DL
koff n ( x, t ) + kon nbulk j ( t ) ( x )
t
x
|x|
r = x2 x1
W (t , r ) = D
| r |
W (t , r ) , 0.6, = 2 /
III. Lvy Flights, Lvy motion / Alpha stable Lvy processes (symmetric case)
The same phenomenon from the random processes theory point of view.
# 1 Definitions, terminology, examples.
(1) L(t): non-stationary Markov process with stationary independent increments distributed with
the alpha-stable law
p (k , ) = exp ik ( L (t + ) L (t ) = exp D | k |
E(r , t)
dr E0 ( r ) B0 E ( r , t ) B0
=
+
dt
B02
B02
#2
Two random quantities: first passage time and first passage overshooting (leapover) l: the motion
starts at x0 > 0 the boundary is at x = 0
p(t; x0 ) =
d
d
= dxf ( x, t )
dt
dt
0
Probability to leave the interval (0, ) within the time from t till t+dt.
(1) Universality of the First passage time PDF / Sparre Andersen Universality .
p(t ) t 3/ 2
f ( x, t ) = W ( x x0 , t ) W ( x + x0 , t )
p(t; x0 ) =
,0< 2
x0
4 Dt 3
2
e x0 /(4 Dt ) t 3/ 2
x2
W ( x, t ) =
exp
4 Dt
4 Dt
t = dt t p(t; x0 ) =
0
(3) LFs:
f ( x, t ) = fim ( x, t ) = W ( x x0 , t ) W ( x + x0 , t ) ?
W ( x, t ) =
dk
d
d
pim (t ; x0 ) =
= dxfim ( x, t )
dt
dt
pim (t ) t 11/ t 3/ 2
Method of images breaks down for Lvy flights due to their non-local nature, which manifests
itself in the non-zero leapover
(4) Probability of first arrival time (Problem #3 from the assignment sheet).
f
f
=D
p fa (t ) ( x )
t
|x|
f ( x, t = 0) = ( x x0 ) , x0 > 0 ,
f ( x = 0, t ) = 0
p fa (t ) t 2+1/ t 3/ 2
First arrival first passage for LFs !
(5) First passage overshooting (leapover)
PDF of overshooting:
1
f (l ) 1+ / 2
l
Reminder. For LFs p( x )
1
| x |1+
The PDF of the first overshooting decays slower than the PDF of LFs which produce this
overshooting !
dv
dU
=
mv + (t ) ,
dt
dx
dx
=v
dt
f
dU
f
f +D
=
t x dx
| x |
= 2 : normal Fokker-Planck equation
# 3 Reminder. Boltzmann distribution
d dU
d2 f
+
=0
f
D
dx dx
dx 2
U ( x)
f ( x ) = C exp
, dxf ( x ) = 1
D
x2
U ( x) =
,
2
d
d x
k (k )
f (k ) = exp
sin / 2 ( )
f ( x ) C
,
C
=
,
1+
x2
dx x
2f
( x) =
dx
= x 3 + Y (t )
dt
d 3
d f
=0
x f +
dx
d x
( )
d3 f
dk
= sgn(k ) k
f ( x) =
f (k )
(1 x 2 + x 4 )
xmin = 0
f ( x ) x 4
, =1
xmax = 1/ 2
x2 =
dx x 2 f ( x ) = 1
Confined LFs: finite variance, out of the domain of attraction of stable laws