Time-Dependent Random Walks and the Theory of Complex Adaptive Systems

Motivated by novel results in the theory of complex adaptive systems, we analyze the dynamics of random walks in which the jumping probabilities are {\it time-dependent}. We determine the survival probability in the presence of an absorbing boundary. For an unbiased walk the survival probability is maximized in the case of large temporal oscillations in the jumping probabilities. On the other hand, a random walker who is drifted towards the absorbing boundary performs best with a constant jumping probability. We use the results to reveal the underlying dynamics responsible for the phenomenon of self-segregation and clustering observed in the evolutionary minority game.Comment: 5 pages, 2 figure

Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries

Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations ~ t^{2H} + s^{2H} - |t-s|^{2H}, where H, with 0<H<1 is called the Hurst exponent. For H = 1/2, x(t) is a Brownian motion, while for H unequal 1/2, x(t) is a non-Markovian process. Here we study x(t) in presence of an absorbing boundary at the origin and focus on the probability density P(x,t) for the process to arrive at x at time t, starting near the origin at time 0, given that it has never crossed the origin. It has a scaling form P(x,t) ~ R(x/t^H)/t^H. Our objective is to compute the scaling function R(y), which up to now was only known for the Markov case H=1/2. We develop a systematic perturbation theory around this limit, setting H = 1/2 + epsilon, to calculate the scaling function R(y) to first order in epsilon. We find that R(y) behaves as R(y) ~ y^phi as y -> 0 (near the absorbing boundary), while R(y) ~ y^gamma exp(-y^2/2) as y -> oo, with phi = 1 - 4 epsilon + O(epsilon^2) and gamma = 1 - 2 epsilon + O(epsilon^2). Our epsilon-expansion result confirms the scaling relation phi = (1-H)/H proposed in Ref. [28]. We verify our findings via numerical simulations for H = 2/3. The tools developed here are versatile, powerful, and adaptable to different situations.Comment: 16 pages, 8 figures; revised version 2 adds discussion on spatial small-distance cutof

Driven particle in a random landscape: disorder correlator, avalanche distribution and extreme value statistics of records

We review how the renormalized force correlator Delta(u), the function computed in the functional RG field theory, can be measured directly in numerics and experiments on the dynamics of elastic manifolds in presence of pinning disorder. We show how this function can be computed analytically for a particle dragged through a 1-dimensional random-force landscape. The limit of small velocity allows to access the critical behavior at the depinning transition. For uncorrelated forces one finds three universality classes, corresponding to the three extreme value statistics, Gumbel, Weibull, and Frechet. For each class we obtain analytically the universal function Delta(u), the corrections to the critical force, and the joint probability distribution of avalanche sizes s and waiting times w. We find P(s)=P(w) for all three cases. All results are checked numerically. For a Brownian force landscape, known as the ABBM model, avalanche distributions and Delta(u) can be computed for any velocity. For 2-dimensional disorder, we perform large-scale numerical simulations to calculate the renormalized force correlator tensor Delta_{ij}(u), and to extract the anisotropic scaling exponents zeta_x > zeta_y. We also show how the Middleton theorem is violated. Our results are relevant for the record statistics of random sequences with linear trends, as encountered e.g. in some models of global warming. We give the joint distribution of the time s between two successive records and their difference in value w.Comment: 41 pages, 35 figure

On the Inelastic Collapse of a Ball Bouncing on a Randomly Vibrating Platform

We study analytically the dynamics of a ball bouncing inelastically on a randomly vibrating platform, as a simple toy model of inelastic collapse. Of principal interest are the distributions of the number of flights n_f till the collapse and the total time \tau_c elapsed before the collapse. In the strictly elastic case, both distributions have power law tails characterised by exponents which are universal, i.e., independent of the details of the platform noise distribution. In the inelastic case, both distributions have exponential tails: P(n_f) ~ exp[-\theta_1 n_f] and P(\tau_c) ~ exp[-\theta_2 \tau_c]. The decay exponents \theta_1 and \theta_2 depend continuously on the coefficient of restitution and are nonuniversal; however as one approches the elastic limit, they vanish in a universal manner that we compute exactly. An explicit expression for \theta_1 is provided for a particular case of the platform noise distribution.Comment: 32 page

Comment on "Mean First Passage Time for Anomalous Diffusion"

We correct a previously erroneous calculation [Phys. Rev. E 62, 6065 (2000)] of the mean first passage time of a subdiffusive process to reach either end of a finite interval in one dimension. The mean first passage time is in fact infinite.Comment: To appear in Phys. Rev.

Asymptotic behavior of self-affine processes in semi-infinite domains

We propose to model the stochastic dynamics of a polymer passing through a pore (translocation) by means of a fractional Brownian motion, and study its behavior in presence of an absorbing boundary. Based on scaling arguments and numerical simulations, we present a conjecture that provides a link between the persistence exponent $\theta$ and the Hurst exponent $H$ of the process, thus sheding light on the spatial and temporal features of translocation. Furthermore, we show that this conjecture applies more generally to a broad class of self affine processes undergoing anomalous diffusion in bounded domains, and we discuss some significant examples.Comment: 4 pages, 3 figures; to be published in Phys. Rev. Let

Survival of a Diffusing Particle in a Transverse Shear Flow: A First-Passage Problem with Continuously Varying Persistence Exponent

We consider a particle diffusing in the y-direction, dy/dt=\eta(t), subject to a transverse shear flow in the x-direction, dx/dt=f(y), where x \ge 0 and x=0 is an absorbing boundary. We treat the class of models defined by f(y) = \pm v_{\pm}(\pm y)^\alpha where the upper (lower) sign refers to y>0 (y<0). We show that the particle survives with probability Q(t) \sim t^{-\theta} with \theta = 1/4, independent of \alpha, if v_{+}=v_{-}. If v_{+} \ne v_{-}, however, we show that \theta depends on both \alpha and the ratio v_{+}/v_{-}, and we determine this dependence.Comment: 4 page

Anomalous diffusion and generalized Sparre-Andersen scaling

We are discussing long-time, scaling limit for the anomalous diffusion composed of the subordinated L\'evy-Wiener process. The limiting anomalous diffusion is in general non-Markov, even in the regime, where ensemble averages of a mean-square displacement or quantiles representing the group spread of the distribution follow the scaling characteristic for an ordinary stochastic diffusion. To discriminate between truly memory-less process and the non-Markov one, we are analyzing deviation of the survival probability from the (standard) Sparre-Andersen scaling.Comment: 5 pages, 3 figure

The problem of analytical calculation of barrier crossing characteristics for Levy flights

By using the backward fractional Fokker-Planck equation we investigate the barrier crossing event in the presence of Levy noise. After shortly review recent results obtained with different approaches on the time characteristics of the barrier crossing, we derive a general differential equation useful to calculate the nonlinear relaxation time. We obtain analytically the nonlinear relaxation time for free Levy flights and a closed expression in quadrature of the same characteristics for cubic potential.Comment: 12 pages, 2 figures, presented at 5th International Conference on Unsolved Problems on Noise, Lyon, France, 2008, to appear in J. Stat. Mech.: Theory and Experimen

Universal Record Statistics of Random Walks and L\'evy Flights

It is shown that statistics of records for time series generated by random walks are independent of the details of the jump distribution, as long as the latter is continuous and symmetric. In N steps, the mean of the record distribution grows as the sqrt(4N/pi) while the standard deviation grows as sqrt((2-4/pi) N), so the distribution is non-self-averaging. The mean shortest and longest duration records grow as sqrt(N/pi) and 0.626508... N, respectively. The case of a discrete random walker is also studied, and similar asymptotic behavior is found.Comment: 4 pages, 3 figures. Added journal ref. and made small changes. Compatible with published versio