arXiv subjects

Aleksei Chechkin

Publications and source records attributed to Aleksei Chechkin.

At least 19 recordsLinked to original sources

arXiv2026

The diffusion equation for non-Markovian Gaussian stochastic processes

We derive the exact evolution equation for the probability density function of particle displacements generated by arbitrary Gaussian velocity processes, when neither Markovianity and nor stationarity are assumed. Starting from the characteristic function of the density of the position, we construct a systematic hierarchy of equations based on Wick's theorem, in which the dynamics is governed by sums of geometrically connected Wick contractions. This approach yields a closed non-Markovian diffusion equation that generalizes the Fokker-Planck description and preserves Gaussianity only in the infinite-order limit.

cond-mat.stat-mech↗

arXiv2026

Genuine and spurious (non-)ergodicity in single particle tracking

In single-particle tracking experiments measuring anomalous diffusion dynamics, understanding ergodicity is crucial, as it ensures that the time average of an observable matches the ensemble average, and can thus be fitted with known ensemble-averaged observables. A commonly used criterion for assessing the ergodicity of a stochastic process is based on the comparison of the mean-squared displacement (MSD) with the time-averaged MSD (TAMSD). This approach has been widely applied and proves effective in cases of weak ergodicity breaking across various systems in both theoretical and experimental studies. However, there is relatively little discussion regarding the theoretical justification and limitations of this definition. Here, we demonstrate that this widely accepted criterion to some extent contradicts the classical definition of ergodicity as well as physical intuition, leading to spurious (non-)ergodicity results when applied to several well-known stochastic models. To address this limitation, we propose using the mean-squared increment (MSI) instead of the MSD for comparison of ensemble- and time-averaged observables. Several well-established examples demonstrate that our MSI-TAMSD criterion not only effectively reveals weak ergodicity breaking, equivalent to the MSD-TAMSD approach, but also provides a more accurate characterization of the genuine (non-)ergodicity of systems where the MSD-TAMSD method fails. Additionally, for systems exhibiting "ultraweak" ergodicity breaking, the MSI can reveal the asymptotic stationarity and ergodic nature of the process' increments. Our findings emphasize the important role of the MSI observable for SPT experiments and anomalous diffusion studies.

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arXiv2025

Multifractional Brownian motion with telegraphic, stochastically varying exponent

The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present a simple, analytically tractable model which fills the gap between mathematical formulations of multifractional Brownian motion and empirical studies. In our model, called telegraphic multifractional Brownian motion, the Hurst exponent is modelled by a smoothed telegraph process which results in a stationary beta distribution of exponents as observed in biological experiments. We also provide a methodology to identify our model in experimental data and present concrete examples from biology, climate and finance to demonstrate the efficacy of our approach.

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arXiv2025

Partial versus total resetting for L\'evy flights in d dimensions: similarities and discrepancies

While stochastic resetting (or total resetting) is less young and more established concept in stochastic processes, partial stochastic resetting (PSR) is a relatively new field. PSR means that, at random moments in time, a stochastic process gets multiplied by a factor between 0 and 1, thus approaching but not reaching the resetting position. In this paper, we present new results on PSR highlighting the main similarities and discrepancies with total resetting. Specifically, we consider both symmetric $\alpha$-stable L\'evy processes (L\'evy flights) and Brownian motion with PSR in arbitrary d dimensions. We derive explicit expressions for the propagator and its stationary measure, and discuss in detail their asymptotic behavior. Interestingly, while approaching to stationarity, a dynamical phase transition occurs for the Brownian motion, but not for L\'evy flights. We also analyze the behavior of the process around the resetting position and find significant differences between PSR and total resetting.

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arXiv2024

Fractional Langevin equation far from equilibrium: Riemann-Liouville fractional Brownian motion, spurious nonergodicity and aging

We consider the fractional Langevin equation far from equilibrium (FLEFE) to describe stochastic dynamics which do not obey the fluctuation-dissipation theorem, unlike the conventional fractional Langevin equation (FLE). The solution of this equation is Riemann-Liouville fractional Brownian motion (RL-FBM), also known in the literature as FBM II. Spurious nonergodicity, stationarity, and aging properties of the solution are explored for all admissible values $\alpha>1/2$ of the order $\alpha$ of the time-fractional Caputo derivative in the FLEFE. The increments of the process are asymptotically stationary. However when $1/2<\alpha<3/2$, the time-averaged mean-squared displacement (TAMSD) does not converge to the mean-squared displacement (MSD). Instead, it converges to the mean-squared increment (MSI) or structure function, leading to the phenomenon of spurious nonergodicity. When $\alpha\ge 3/2$, the increments of FLEFE motion are nonergodic, however the higher order increments are asymptotically ergodic. We also discuss the aging effect in the FLEFE by investigating the influence of an aging time $t_a$ on the mean-squared displacement, time-averaged mean-squared displacement and autocovariance function of the increments. We find that under strong aging conditions the process becomes ergodic, and the increments become stationary in the domain $1/2<\alpha<3/2$.

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arXiv2024

Riemann-Liouville fractional Brownian motion with random Hurst exponent

We examine two stochastic processes with random parameters, which in their basic versions (i.e., when the parameters are fixed) are Gaussian and display long range dependence and anomalous diffusion behavior, characterized by the Hurst exponent. Our motivation comes from biological experiments, which show that the basic models are inadequate for accurate description of the data, leading to modifications of these models in the literature through introduction of the random parameters. The first process, fractional Brownian motion with random Hurst exponent (referred to as FBMRE below) has been recently studied, while the second one, Riemann-Liouville fractional Brownian motion with random exponent (RL FBMRE) has not been explored. To advance the theory of such doubly stochastic anomalous diffusion models, we investigate the probabilistic properties of RL FBMRE and compare them to those of FBMRE. Our main focus is on the autocovariance function and the time-averaged mean squared displacement (TAMSD) of the processes. Furthermore, we analyze the second moment of the increment processes for both models, as well as their ergodicity properties. As a specific case, we consider the mixture of two point distributions of the Hurst exponent, emphasizing key differences in the characteristics of RL FBMRE and FBMRE, particularly in their asymptotic behavior. The theoretical findings presented here lay the groundwork for developing new methods to distinguish these processes and estimate their parameters from experimental data.

math.PR↗

arXiv2024

Scaled Brownian motion with random anomalous diffusion exponent

The scaled Brownian motion (SBM) is regarded as one of the paradigmatic random processes, featuring the anomalous diffusion property characterized by the diffusion exponent. It is a Gaussian, self-similar process with independent increments, which has found applications across various fields, from turbulence and stochastic hydrology to biophysics. In our paper, inspired by recent single particle tracking biological experiments, we introduce a process termed the scaled Brownian motion with random exponent (SBMRE), which preserves SBM characteristics at the level of individual trajectories, albeit with randomly varying anomalous diffusion exponents across the trajectories. We discuss the main probabilistic properties of SBMRE, including its probability density function (pdf), and the q-th absolute moment. Additionally, we present the expected value of the time-averaged mean squared displacement (TAMSD) and the ergodicity breaking parameter. Furthermore, we analyze the pdf of the first hitting time in a semi-infinite domain, the martingale property of SBMRE, and its stochastic exponential. As special cases, we consider two distributions of the anomalous diffusion exponent, namely the two-point and beta distributions, and discuss the asymptotics of the presented characteristics in such cases. Theoretical results for SBMRE are validated through numerical simulations and compared with the corresponding characteristics for SBM.

math.PR↗

arXiv2024

Being heterogeneous is disadvantageous: Brownian non-Gaussian searches

Diffusing diffusivity models, polymers in the grand canonical ensemble and polydisperse, and continuous-time random walks all exhibit stages of non-Gaussian diffusion. Is non-Gaussian targeting more efficient than Gaussian? We address this question, central to, e.g., diffusion-limited reactions and some biological processes, through a general approach that makes use of Jensen's inequality and that encompasses all these systems. In terms of customary mean first-passage time, we show that Gaussian searches are more effective than non-Gaussian ones. A companion paper argues that non-Gaussianity becomes instead highly more efficient in applications where only a small fraction of tracers is required to reach the target.

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arXiv2024

Being Heterogeneous Is Advantageous: Extreme Brownian Non-Gaussian Searches

Redundancy in biology may be explained by the need to optimize extreme searching processes, where one or few among many particles are requested to reach the target like in human fertilization. We show that non-Gaussian rare fluctuations in Brownian diffusion dominates such searches, introducing drastic corrections to the known Gaussian behavior. Our demonstration entails different physical systems and pinpoints the relevance of diversity within redundancy to boost fast targeting. We sketch an experimental context to test our results: polydisperse systems.

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arXiv2023

Time-fractional Caputo derivative versus other integro-differential operators in generalized Fokker-Planck and generalized Langevin equations

Fractional diffusion and Fokker-Planck equations are widely used tools to describe anomalous diffusion in a large variety of complex systems. The equivalent formulations in terms of Caputo or Riemann-Liouville fractional derivatives can be derived as continuum limits of continuous time random walks and are associated with the Mittag-Leffler relaxation of Fourier modes, interpolating between a short-time stretched exponential and a long-time inverse power-law scaling. More recently, a number of other integro-differential operators have been proposed, including the Caputo-Fabrizio and Atangana-Baleanu forms. Moreover, the conformable derivative has been introduced. We here study the dynamics of the associated generalized Fokker-Planck equations from the perspective of the moments, the time averaged mean squared displacements, and the autocovariance functions. We also study generalized Langevin equations based on these generalized operators. The differences between the Fokker-Planck and Langevin equations with different integro-differential operators are discussed and compared with the dynamic behavior of established models of scaled Brownian motion and fractional Brownian motion. We demonstrate that the integro-differential operators with exponential and Mittag-Leffler kernels are not suitable to be introduced to Fokker-Planck and Langevin equations for the physically relevant diffusion scenarios discussed in our paper. The conformable and Caputo Langevin equations are unveiled to share similar properties with scaled and fractional Brownian motion, respectively.

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arXiv2022

Universal singularities of anomalous diffusion in the Richardson class

Inhomogeneous environments are rather ubiquitous in nature, often implying anomalies resulting in deviation from Gaussianity of diffusion processes. While sub- and superdiffusion are usually due to conversing environmental features (hindering or favoring the motion, respectively), they are both observed in systems ranging from the micro- to the cosmological scale. Here we show how a model encompassing sub- and superdiffusion in an inhomogeneous environment exhibits a critical singularity in the normalized generator of the cumulants. The singularity originates directly from the asymptotics of the non-Gaussian scaling function of displacement, which we prove to be independent of other details and hence to retain a universal character. Our analysis, based on the method first applied in [A. L. Stella et al., arXiv:2209.02042 (2022)], further allows to establish a relation between the asympototics and diffusion exponents characteristic of processes in the Richardson class. Extensive numerical tests fully confirm the results.

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arXiv2022

Stochastic dynamics with multiplicative dichotomic noise: heterogeneous telegrapher's equation, anomalous crossovers and resetting

We analyze diffusion processes with finite propagation speed in a non-homogeneous medium in terms of the heterogeneous telegrapher's equation. In the diffusion limit of infinite-velocity propagation we recover the results for the heterogeneous diffusion process. The heterogeneous telegrapher's process exhibits a rich variety of diffusion regimes including hyperdiffusion, ballistic motion, superdiffusion, normal diffusion and subdiffusion, and different crossover dynamics characteristic for complex systems in which anomalous diffusion is observed. The anomalous diffusion exponent in the short time limit is twice the exponent in the long time limit, in accordance to the crossover dynamics from ballistic diffusion to normal diffusion in the standard telegrapher's process. We also analyze the finite-velocity heterogeneous diffusion process in presence of stochastic Poissonian resetting. We show that the system reaches a non-equilibrium stationary state. The transition to this non-equilibrium steady state is analysed in terms of the large deviation function.

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arXiv2022

Anomalous dynamical scaling determines universal critical singularities

Anomalous diffusion phenomena occur on length scales spanning from intracellular to astrophysical ranges. A specific form of decay at large argument of the probability density function of rescaled displacement (scaling function) is derived and shown to imply universal singularities in the normalized cumulant generator. Exact calculations for continuous time random walks provide paradigmatic examples connected with singularities of second order phase transitions. In the biased case scaling is restricted to displacements in the drift direction and singularities have no equilibrium analogue.

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arXiv2022

Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions

Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems. The correlation and diffusion properties of this random motion are fully characterized by its index of self-similarity, or the Hurst exponent. However, recent single particle tracking experiments in biological cells revealed highly complicated anomalous diffusion phenomena that can not be attributed to a class of self-similar random processes. Inspired by these observations, we here study the process which preserves the properties of fractional Brownian motion at a single trajectory level, however, the Hurst index randomly changes from trajectory to trajectory. We provide a general mathematical framework for analytical, numerical and statistical analysis of fractional Brownian motion with random Hurst exponent. The explicit formulas for probability density function, mean square displacement and autocovariance function of the increments are presented for three generic distributions of the Hurst exponent, namely two-point, uniform and beta distributions. The important features of the process studied here are accelerating diffusion and persistence transition which we demonstrate analytically and numerically.

cond-mat.stat-mech↗

arXiv2021

Fractional Brownian motion in superharmonic potentials and non-Boltzmann stationary distributions

We study the stochastic motion of particles driven by long-range correlated fractional Gaussian noise in a superharmonic external potential of the form $U(x)\propto x^{2n}$ ($n\in\mathbb{N}$). When the noise is considered to be external, the resulting overdamped motion is described by the non-Markovian Langevin equation for fractional Brownian motion. For this case we show the existence of long time, stationary probability density functions (PDFs) the shape of which strongly deviates from the naively expected Boltzmann PDF in the confining potential $U(x)$. We analyse in detail the temporal approach to stationarity as well as the shape of the non-Boltzmann stationary PDF. A typical characteristic is that subdiffusive, antipersistent (with negative autocorrelation) motion tends to effect an accumulation of probability close to the origin as compared to the corresponding Boltzmann distribution while the opposite trend occurs for superdiffusive (persistent) motion. For this latter case this leads to distinct bimodal shapes of the PDF. This property is compared to a similar phenomenon observed for Markovian L{é}vy flights in superharmonic potentials. We also demonstrate that the motion encoded in the fractional Langevin equation driven by fractional Gaussian noise always relaxes to the Boltzmann distribution, as in this case the fluctuation-dissipation theorem is fulfilled.

cond-mat.stat-mech↗

arXiv2020

On Generalized Langevin Dynamics and the Modelling of Global Mean Temperature

Climate science employs a hierarchy of models, trading the tractability of simplified energy balance models (EBMs) against the detail of Global Circulation Models. Since the pioneering work of Hasselmann, stochastic EBMs have allowed treatment of climate fluctuations and noise. However, it has recently been claimed that observations motivate heavy-tailed temporal response functions in global mean temperature to perturbations. Our complementary approach exploits the correspondence between Hasselmann's EBM and the original mean-reverting stochastic model in physics, Langevin's equation of 1908. We propose mapping a model well known in statistical mechanics, the Mori-Kubo Generalised Langevin Equation (GLE) to generalise the Hasselmann EBM. If present, long range memory then simplifies the GLE to a fractional Langevin equation (FLE). We describe the corresponding EBMs that map to the GLE and FLE, briefly discuss their solutions, and relate them to Lovejoy's new Fractional Energy Balance Model.

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arXiv2019

Generalized diffusion-wave equation with memory kernel

We study generalized diffusion-wave equation in which the second order time derivative is replaced by integro-differential operator. It yields time fractional and distributed order time fractional diffusion-wave equations as particular cases. We consider different memory kernels of the integro-differential operator, derive corresponding fundamental solutions, specify the conditions of their non-negativity and calculate mean squared displacement for all cases. In particular, we introduce and study generalized diffusion-wave equations with regularized Prabhakar derivative of single and distributed orders. The equations considered can be used for modeling broad spectrum of anomalous diffusion processes and various transitions between different diffusion regimes.

cond-mat.stat-mech↗

arXiv2019

Generalised Diffusion and Wave Equations: Recent Advances

We present a short overview of the recent results in the theory of diffusion and wave equations with generalised derivative operators. We give generic examples of such generalised diffusion and wave equations, which include time-fractional, distributed order, and tempered time-fractional diffusion and wave equations. Such equations exhibit multi-scaling time behaviour, which makes them suitable for the description of different diffusive regimes and characteristic crossover dynamics in complex systems.

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