Limit Theorems for the Dynamical Foundation of the Fractional Brownian Motion and Related Models of Anomalous Diffusion with Random Diffusion Coefficient and Time-Dependent Random Hurst parameter
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2024
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| _version_ | 1866913951645696000 |
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| author | Bender, Christian Butko, Yana A. D'Ovidio, Mirko Pagnini, Gianni |
| author_facet | Bender, Christian Butko, Yana A. D'Ovidio, Mirko Pagnini, Gianni |
| contents | Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional Brownian motion (fBm) with a random diffusion coefficient (superstatistical fBm) together with a time-dependent random Hurst parameter. We provide here a dynamical foundation for such general family of models. We consider a dynamical system describing the motion of a test-particle surrounded by $N$ Brownian particles with different masses. This dynamic is governed by underdamped Langevin equations. Physical principles of conservation of momentum and energy are met. We prove that, in the limit $N\to\infty$, the test-particle diffuses in time according to a quite general (non-Markovian) Gaussian process whose covariance function is determined by the distribution of the masses of the surround-particles. In particular, with proper choices of the distribution of the masses of the surround-particles, we obtain fBm together with a number of other special cases of interest in modelling anomalous diffusion including time-dependent anomalous exponent. Furthermore, when the ensemble heterogeneity of the surround-particles embodying the environment becomes non-uniform and joins with the individual inhomogeneity of the test-particles, we show that, in the limit $N\to\infty$, the test-particle diffuses in time according to a quite general conditionally Gaussian process that can be calibrated into a fBm with random diffusion coefficient and random time-dependent Hurst parameter. We conclude our study by reporting the generalised Kolmogorov--Fokker--Planck equations associated to these highly general processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_18775 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Limit Theorems for the Dynamical Foundation of the Fractional Brownian Motion and Related Models of Anomalous Diffusion with Random Diffusion Coefficient and Time-Dependent Random Hurst parameter Bender, Christian Butko, Yana A. D'Ovidio, Mirko Pagnini, Gianni Probability Mathematical Physics Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional Brownian motion (fBm) with a random diffusion coefficient (superstatistical fBm) together with a time-dependent random Hurst parameter. We provide here a dynamical foundation for such general family of models. We consider a dynamical system describing the motion of a test-particle surrounded by $N$ Brownian particles with different masses. This dynamic is governed by underdamped Langevin equations. Physical principles of conservation of momentum and energy are met. We prove that, in the limit $N\to\infty$, the test-particle diffuses in time according to a quite general (non-Markovian) Gaussian process whose covariance function is determined by the distribution of the masses of the surround-particles. In particular, with proper choices of the distribution of the masses of the surround-particles, we obtain fBm together with a number of other special cases of interest in modelling anomalous diffusion including time-dependent anomalous exponent. Furthermore, when the ensemble heterogeneity of the surround-particles embodying the environment becomes non-uniform and joins with the individual inhomogeneity of the test-particles, we show that, in the limit $N\to\infty$, the test-particle diffuses in time according to a quite general conditionally Gaussian process that can be calibrated into a fBm with random diffusion coefficient and random time-dependent Hurst parameter. We conclude our study by reporting the generalised Kolmogorov--Fokker--Planck equations associated to these highly general processes. |
| title | Limit Theorems for the Dynamical Foundation of the Fractional Brownian Motion and Related Models of Anomalous Diffusion with Random Diffusion Coefficient and Time-Dependent Random Hurst parameter |
| topic | Probability Mathematical Physics |
| url | https://arxiv.org/abs/2411.18775 |