Fractional Diffusion Equation for a Power-Law-Truncated Levy Process

Truncated Levy flights are stochastic processes which display a crossover from a heavy-tailed Levy behavior to a faster decaying probability distribution function (pdf). Putting less weight on long flights overcomes the divergence of the Levy distribution second moment. We introduce a fractional generalization of the diffusion equation, whose solution defines a process in which a Levy flight of exponent alpha is truncated by a power-law of exponent 5 - alpha. A closed form for the characteristic function of the process is derived. The pdf of the displacement slowly converges to a Gaussian in its central part showing however a power law far tail. Possible applications are discussed

Computer Simulation Study of the Levy Flight Process

Random walk simulation of the Levy flight shows a linear relation between the mean square displacement and time. We have analyzed different aspects of this linearity. It is shown that the restriction of jump length to a maximum value (lm) affects the diffusion coefficient, even though it remains constant for lm greater than 1464. So, this factor has no effect on the linearity. In addition, it is shown that the number of samples does not affect the results. We have demonstrated that the relation between the mean square displacement and time remains linear in a continuous space, while continuous variables just reduce the diffusion coefficient. The results are also implied that the movement of a levy flight particle is similar to the case the particle moves in each time step with an average length of jumping . Finally, it is shown that the non-linear relation of the Levy flight will be satisfied if we use time average instead of ensemble average. The difference between time average and ensemble average results points that the Levy distribution may be a non-ergodic distribution.Comment: 14 pages, 7 figure

Fractal time random walk and subrecoil laser cooling considered as renewal processes with infinite mean waiting times

There exist important stochastic physical processes involving infinite mean waiting times. The mean divergence has dramatic consequences on the process dynamics. Fractal time random walks, a diffusion process, and subrecoil laser cooling, a concentration process, are two such processes that look qualitatively dissimilar. Yet, a unifying treatment of these two processes, which is the topic of this pedagogic paper, can be developed by combining renewal theory with the generalized central limit theorem. This approach enables to derive without technical difficulties the key physical properties and it emphasizes the role of the behaviour of sums with infinite means.Comment: 9 pages, 7 figures, to appear in the Proceedings of Cargese Summer School on "Chaotic dynamics and transport in classical and quantum systems

Scaling detection in time series: diffusion entropy analysis

The methods currently used to determine the scaling exponent of a complex dynamic process described by a time series are based on the numerical evaluation of variance. This means that all of them can be safely applied only to the case where ordinary statistical properties hold true even if strange kinetics are involved. We illustrate a method of statistical analysis based on the Shannon entropy of the diffusion process generated by the time series, called Diffusion Entropy Analysis (DEA). We adopt artificial Gauss and L\'{e}vy time series, as prototypes of ordinary and anomalus statistics, respectively, and we analyse them with the DEA and four ordinary methods of analysis, some of which are very popular. We show that the DEA determines the correct scaling exponent even when the statistical properties, as well as the dynamic properties, are anomalous. The other four methods produce correct results in the Gauss case but fail to detect the correct scaling in the case of L\'{e}vy statistics.Comment: 21 pages,10 figures, 1 tabl

Accelerating random walks by disorder

We investigate the dynamic impact of heterogeneous environments on superdiffusive random walks known as L\'evy flights. We devote particular attention to the relative weight of source and target locations on the rates for spatial displacements of the random walk. Unlike ordinary random walks which are slowed down for all values of the relative weight of source and target, non-local superdiffusive processes show distinct regimes of attenuation and acceleration for increased source and target weight, respectively. Consequently, spatial inhomogeneities can facilitate the spread of superdiffusive processes, in contrast to common belief that external disorder generally slows down stochastic processes. Our results are based on a novel type of fractional Fokker-Planck equation which we investigate numerically and by perturbation theory for weak disorder.Comment: 8 pages, 5 figure

Superdiffusion in Decoupled Continuous Time Random Walks

Continuous time random walk models with decoupled waiting time density are studied. When the spatial one jump probability density belongs to the Levy distribution type and the total time transition is exponential a generalized superdiffusive regime is established. This is verified by showing that the square width of the probability distribution (appropriately defined)grows as $t^{2/\gamma}$ with $0<\gamma\leq2$ when $t\to \infty$. An important connection of our results and those of Tsallis' nonextensive statistics is shown. The normalized q-expectation value of $x^2$ calculated with the corresponding probability distribution behaves exactly as $t^{2/\gamma}$ in the asymptotic limit.Comment: 9 pages (.tex file), 1 Postscript figures, uses revtex.st

Scaling and Intermittency in Animal Behavior

Scale-invariant spatial or temporal patterns and L\'evy flight motion have been observed in a large variety of biological systems. It has been argued that animals in general might perform L\'evy flight motion with power law distribution of times between two changes of the direction of motion. Here we study the temporal behaviour of nesting gilts. The time spent by a gilt in a given form of activity has power law probability distribution without finite average. Further analysis reveals intermittent eruption of certain periodic behavioural sequences which are responsible for the scaling behaviour and indicates the existence of a critical state. We show that this behaviour is in close analogy with temporal sequences of velocity found in turbulent flows, where random and regular sequences alternate and form an intermittent sequence.Comment: 10 page

Diffusive behavior of a greedy traveling salesman

Using Monte Carlo simulations we examine the diffusive properties of the greedy algorithm in the d-dimensional traveling salesman problem. Our results show that for d=3 and 4 the average squared distance from the origin is proportional to the number of steps t. In the d=2 case such a scaling is modified with some logarithmic corrections, which might suggest that d=2 is the critical dimension of the problem. The distribution of lengths also shows marked differences between d=2 and d>2 versions. A simple strategy adopted by the salesman might resemble strategies chosen by some foraging and hunting animals, for which anomalous diffusive behavior has recently been reported and interpreted in terms of Levy flights. Our results suggest that broad and Levy-like distributions in such systems might appear due to dimension-dependent properties of a search space.Comment: accepted in Phys. Rev.

Relativistic Weierstrass random walks

The Weierstrass random walk is a paradigmatic Markov chain giving rise to a L\'evy-type superdiffusive behavior. It is well known that Special Relativity prevents the arbitrarily high velocities necessary to establish a superdiffusive behavior in any process occurring in Minkowski spacetime, implying, in particular, that any relativistic Markov chain describing spacetime phenomena must be essentially Gaussian. Here, we introduce a simple relativistic extension of the Weierstrass random walk and show that there must exist a transition time $t_c$ delimiting two qualitative distinct dynamical regimes: the (non-relativistic) superdiffusive L\'evy flights, for $t < t_c$, and the usual (relativistic) Gaussian diffusion, for $t>t_c$. Implications of this crossover between different diffusion regimes are discussed for some explicit examples. The study of such an explicit and simple Markov chain can shed some light on several results obtained in much more involved contexts.Comment: 5 pages, final version to appear in PR