Use and abuse of a fractional Fokker-Planck dynamics for time-dependent driving

Principles Entailed by Complexity, Crucial Events, and Multifractal Dimensionality

Complexity is one of those descriptive terms adopted in science that we think we understand until it comes time to form a coherent definition upon which everyone can agree. Suddenly, we are awash in conditions that qualify this or that situation, much like we were in the middle of the last century when it came time to determine the solutions to differential equations that were not linear. Consequently, this tutorial is not an essay on the mathematics of complexity nor is it a rigorous review of the recent growth spurt of complexity science, but is rather an exploration of how physiologic time series (PTS) in the life sciences that have eluded traditional mathematical modeling become less mysterious when certain historical assumptions are discarded and so-called ordinary statistical events in PTS are replaced with crucial events (CEs) using mutifractal dimensionality as the working measure of complexity. The empirical datasets considered include respiration, electrocardiograms (ECGs), and electroencephalograms (EEGs), and as different as these time series appear from one another when recorded, they are in fact shown to be in synchrony when properly processed using the technique of modified diffusion entropy analysis (MDEA). This processing reveals a new synchronization mechanism among the time series which simultaneously measures their complexity by means of the multifractal dimension of each time series and are shown to track one another across time. These results reveal a set of priciples that capture the manner in which information is exchanged among physiologic organ networks.

Population heterogeneity in the fractional master equation, ensemble self-reinforcement, and strong memory effects

We formulate a fractional master equation in continuous time with random transition probabilities across the population of random walkers such that the effective underlying random walk exhibits ensemble self-reinforcement. The population heterogeneity generates a random walk with conditional transition probabilities that increase with the number of steps taken previously (self-reinforcement). Through this, we establish the connection between random walks with a heterogeneous ensemble and those with strong memory where the transition probability depends on the entire history of steps. We find the ensemble-averaged solution of the fractional master equation through subordination involving the fractional Poisson process counting the number of steps at a given time and the underlying discrete random walk with self-reinforcement. We also find the exact solution for the variance which exhibits superdiffusion even as the fractional exponent tends to 1.

The Fractal Tapestry of Life: III Multifractals Entail the Fractional Calculus

This is the third essay advocating the use the (non-integer) fractional calculus (FC) to capture the dynamics of complex networks in the twilight of the Newtonian era. Herein, the focus is on drawing a distinction between networks described by monfractal time series extensively discussed in the prequels and how they differ in function from multifractal time series, using physiological phenomena as exemplars. In prequel II, the network effect was introduced to explain how the collective dynamics of a complex network can transform a many-body non-linear dynamical system modeled using the integer calculus (IC) into a single-body fractional stochastic rate equation. Note that these essays are about biomedical phenomena that have historically been improperly modeled using the IC and how fractional calculus (FC) models better explain experimental results. This essay presents the biomedical entailment of the FC, but it is not a mathematical discussion in the sense that we are not concerned with the formal infrastucture, which is cited, but we are concerned with what that infrastructure entails. For example, the health of a physiologic network is characterized by the width of the multifractal spectrum associated with its time series, and which becomes narrower with the onset of certain pathologies. Physiologic time series that have explicitly related pathology to a narrowing of multifractal time series include but are not limited to heart rate variability (HRV), stride rate variability (SRV) and breath rate variability (BRV). The efficiency of the transfer of information due to the interaction between two such complex networks is determined by their relative spectral width, with information being transferred from the network with the broader to that with the narrower width. A fractional-order differential equation, whose order is random, is shown to generate a multifractal time series, thereby providing a FC model of the information exchange between complex networks. This equivalence between random fractional derivatives and multifractality has not received the recognition in the bioapplications literature we believe it warrants.

Viscoelastic subdiffusion in a random Gaussian environment

Viscoelastic subdiffusion governed by a fractional Langevin equation is studied numerically in a random Gaussian environment modeled by stationary Gaussian potentials with decaying spatial correlations. This anomalous diffusion is archetypal for living cells, where cytoplasm is known to be viscoelastic and a spatial disorder also naturally emerges. We obtain some first important insights into it within a model one-dimensional study. Two basic types of potential correlations are studied: short-range exponentially decaying and algebraically slow decaying with an infinite correlation length, both for a moderate (several k_BT, in the units of thermal energy), and strong (5-10k_BT) disorder. For a moderate disorder, it is shown that on the ensemble level viscoelastic subdiffusion can easily overcome the medium's disorder. Asymptotically, it is not distinguishable from the disorder-free subdiffusion. However, a strong scatter in single-trajectory averages is nevertheless seen even for a moderate disorder. It features a weak ergodicity breaking, which occurs on a very long yet transient time scale. Furthermore, for a strong disorder, a very long transient regime of logarithmic, Sinai-type diffusion emerges. It can last longer and be faster in the absolute terms for weakly decaying correlations as compared with the short-range correlations. Residence time distributions in a finite spatial domain are of a generalized log-normal type and are reminiscent also of a stretched exponential distribution. They can be easily confused for power-law distributions in view of the observed weak ergodicity breaking. This suggests a revision of some experimental data and their interpretation.

Langevin formulation of a subdiffusive continuous-time random walk in physical time

Systems living in complex nonequilibrated environments often exhibit subdiffusion characterized by a sublinear power-law scaling of the mean square displacement. One of the most common models to describe such subdiffusive dynamics is the continuous-time random walk (CTRW). Stochastic trajectories of a CTRW can be described in terms of the subordination of a normal diffusive process by an inverse Lévy-stable process. Here, we propose an equivalent Langevin formulation of a force-free CTRW without subordination. By introducing a different type of non-Gaussian noise, we are able to express the CTRW dynamics in terms of a single Langevin equation in physical time with additive noise. We derive the full multipoint statistics of this noise and compare it with the scaled Brownian motion (SBM), an alternative stochastic model describing subdiffusive dynamics. Interestingly, these two noises are identical up to the second order correlation functions, but different in the higher order statistics. We extend our formalism to general waiting time distributions and force fields and compare our results with those of the SBM. In the presence of external forces, our proposed noise generates a different class of stochastic processes, resembling a CTRW but with forces acting at all times.

Subdiffusion in an external potential: Anomalous effects hiding behind normal behavior

We propose a model of subdiffusion in which an external force is acting on a particle at all times not only at the moment of jump. The implication of this assumption is the dependence of the random trapping time on the force with the dramatic change of particles behavior compared to the standard continuous time random walk model in the long time limit. Constant force leads to the transition from non-ergodic subdiffusion to ergodic diffusive behavior. However, we show this behavior remains anomalous in a sense that the diffusion coefficient depends on the external force and on the anomalous exponent. For quadratic potential we find that the system remains non-ergodic. The anomalous exponent in this case defines not only the speed of convergence but also the stationary distribution which is different from standard Boltzmann equilibrium.

Weak subordination breaking for the quenched trap model

We map the problem of diffusion in the quenched trap model onto a different stochastic process: Brownian motion that is terminated at the coverage time S(α)=∑(x=-∞)(∞)(n(x))(α), with n(x) being the number of visits to site x. Here 0<α=T/T(g)<1 is a measure of the disorder in the original model. This mapping allows us to treat the intricate correlations in the underlying random walk in the random environment. The operational time S(α) is changed to laboratory time t with a Lévy time transformation. Investigation of Brownian motion stopped at time S(α) yields the diffusion front of the quenched trap model, which is favorably compared with numerical simulations. In the zero-temperature limit of α→0 we recover the renormalization group solution obtained by Monthus [Phys. Rev. E 68, 036114 (2003)]. Our theory surmounts the critical slowing down that is found when α→1. Above the critical dimension 2, mapping the problem to a continuous time random walk becomes feasible, though still not trivial.

Fractional-time random walk subdiffusion and anomalous transport with finite mean residence times: faster, not slower

Continuous time random walk (CTRW) subdiffusion along with the associated fractional Fokker-Planck equation (FFPE) is traditionally based on the premise of random clock with divergent mean period. This work considers an alternative CTRW and FFPE description which is featured by finite mean residence times (MRTs) in any spatial domain of finite size. Transient subdiffusive transport can occur on a very large time scale τ(c) which can greatly exceed mean residence time in any trap, τ(c) >>(τ), and even not being related to it. Asymptotically, on a macroscale transport becomes normal for t >> τ(c). However, mesoscopic transport is anomalous. Differently from viscoelastic subdiffusion no long-range anticorrelations among position increments are required. Moreover, our study makes it obvious that the transient subdiffusion and transport are faster than one expects from their normal asymptotic limit on a macroscale. This observation has profound implications for anomalous mesoscopic transport processes in biological cells because the macroscopic viscosity of cytoplasm is finite.

Fractional Brownian motors and stochastic resonance

We study fluctuating tilt Brownian ratchets based on fractional subdiffusion in sticky viscoelastic media characterized by a power law memory kernel. Unlike the normal diffusion case, the rectification effect vanishes in the adiabatically slow modulation limit and optimizes in a driving frequency range. It is shown also that the anomalous rectification effect is maximal (stochastic resonance effect) at optimal temperature and can be of surprisingly good quality. Moreover, subdiffusive current can flow in the counterintuitive direction upon a change of temperature or driving frequency. The dependence of anomalous transport on load exhibits a remarkably simple universality.

Fractional Feynman-Kac equation for weak ergodicity breaking

The continuous-time random walk (CTRW) is a model of anomalous subdiffusion in which particles are immobilized for random times between successive jumps. A power-law distribution of the waiting times, ψ(τ) ~ τ(-(1+α)), leads to subdiffusion (x(2) ~ t(α)) for 0 < α < 1. In closed systems, the long stagnation periods cause time averages to divert from the corresponding ensemble averages, which is a manifestation of weak ergodicity breaking. The time average of a general observable U(t) = 1/t ∫(0)(t) U[x(τ)]dτ is a functional of the path and is described by the well-known Feynman-Kac equation if the motion is Brownian. Here, we derive forward and backward fractional Feynman-Kac equations for functionals of CTRW in a binding potential. We use our equations to study two specific time averages: the fraction of time spent by a particle in half-box, and the time average of the particle's position in a harmonic field. In both cases, we obtain the probability density function of the time averages for t → ∞ and the first two moments. Our results show that both the occupation fraction and the time-averaged position are random variables even for long times, except for α = 1, when they are identical to their ensemble averages. Using our fractional Feynman-Kac equation, we also study the dynamics leading to weak ergodicity breaking, namely the convergence of the fluctuations to their asymptotic values.

Transmission of information between complex systems: 1/f resonance

We study the transport of information between two complex systems with similar properties. Both systems generate non-Poisson renewal fluctuations with a power-law spectrum 1/f(3-μ), the case μ=2 corresponding to ideal 1/f noise. We denote by μ(S) and μ(P) the power-law indexes of the system of interest S and the perturbing system P, respectively. By adopting a generalized fluctuation-dissipation theorem (FDT) we show that the ideal condition of 1/f noise for both systems corresponds to maximal information transport. We prove that to make the system S respond when μ(S)<2 we have to set the condition μ(P)<2. In the latter case, if μ(P)<μ(S), the system S inherits the relaxation properties of the perturbing system. In the case where μ(P)>2, no response and no information transmission occurs in the long-time limit. We consider two possible generalizations of the fluctuation dissipation theorem and show that both lead to maximal information transport in the condition of 1/f noise.

Time transformation for random walks in the quenched trap model

We investigate subdiffusion in the quenched trap model by mapping the problem onto a new stochastic process: Brownian motion stopped at the operational time S(α) = ∑(x=-∞)(∞) (n(x))(α) where n(x) is the visitation number at site x and α is a measure of the disorder. In the limit of zero temperature we recover the renormalization group solution found by Monthus. Our approach is an alternative to the renormalization group and is capable of dealing with any disorder strength.

Subordinated diffusion and continuous time random walk asymptotics

Anomalous transport is usually described either by models of continuous time random walks (CTRWs) or, otherwise, by fractional Fokker-Planck equations (FFPEs). The asymptotic relation between properly scaled CTRW and fractional diffusion process has been worked out via various approaches widely discussed in literature. Here, we focus on a correspondence between CTRWs and time and space fractional diffusion equation stemming from two different methods aimed to accurately approximate anomalous diffusion processes. One of them is the Monte Carlo simulation of uncoupled CTRW with a Lévy α-stable distribution of jumps in space and a one-parameter Mittag-Leffler distribution of waiting times. The other is based on a discretized form of a subordinated Langevin equation in which the physical time defined via the number of subsequent steps of motion is itself a random variable. Both approaches are tested for their numerical performance and verified with known analytical solutions for the Green function of a space-time fractional diffusion equation. The comparison demonstrates a trade off between precision of constructed solutions and computational costs. The method based on the subordinated Langevin equation leads to a higher accuracy of results, while the CTRW framework with a Mittag-Leffler distribution of waiting times provides efficiently an approximate fundamental solution to the FFPE and converges to the probability density function of the subordinated process in a long-time limit.

Fractional Fokker-Planck equations for subdiffusion with space- and time-dependent forces

We derive a fractional Fokker-Planck equation for subdiffusion in a general space- and time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived from a generalized master equation and is shown to be equivalent to a subordinated stochastic Langevin equation.

Beyond the death of linear response: 1/f optimal information transport

Nonergodic renewal processes have recently been shown by several authors to be insensitive to periodic perturbations, thereby apparently sanctioning the death of linear response, a building block of nonequilibrium statistical physics. We show that it is possible to go beyond the "death of linear response" and establish a permanent correlation between an external stimulus and the response of a complex network generating nonergodic renewal processes, by taking as stimulus a similar nonergodic process. The ideal condition of 1/f noise corresponds to a singularity that is expected to be relevant in several experimental conditions.

Fractional chemotaxis diffusion equations

We introduce mesoscopic and macroscopic model equations of chemotaxis with anomalous subdiffusion for modeling chemically directed transport of biological organisms in changing chemical environments with diffusion hindered by traps or macromolecular crowding. The mesoscopic models are formulated using continuous time random walk equations and the macroscopic models are formulated with fractional order differential equations. Different models are proposed depending on the timing of the chemotactic forcing. Generalizations of the models to include linear reaction dynamics are also derived. Finally a Monte Carlo method for simulating anomalous subdiffusion with chemotaxis is introduced and simulation results are compared with numerical solutions of the model equations. The model equations developed here could be used to replace Keller-Segel type equations in biological systems with transport hindered by traps, macromolecular crowding or other obstacles.

Noise-induced anomalous diffusion over a periodically modulated saddle

We study analytically and numerically the anomalous diffusion across periodically modulated parabolic potential within Langevin and Fokker-Planck descriptions. We find that the probability of particles passing over the saddle is affected strikingly by the periodical modulation with average zero bias. Particularly, the initial phase plays an important role in the modulation effect. The effect of the correlation time of external Ornstein-Uhlenbeck noise on dynamical process is also discussed. A reduction in overpassing probability is observed due to finite correlation time.

Spectral density of fluctuations in fractional bistable Klein-Kramers systems

We investigate the stationary spectral density of fractional bistable Klein-Kramers systems. First, we deduce a dissipation-fluctuation relation between the stationary spectral density at thermal equilibrium and the linear response of the system to an applied perturbation. Second, we describe how to obtain the linear dynamic susceptibility from the method of moments, and thus we derive the fluctuating spectral density from the dissipation-fluctuation relation. Finally, we exhibit the structure of this fluctuating spectral distribution and explore the effect of the subdiffusion on it. Compared with the standard bistable Klein-Kramers systems, our observation on the spectral distribution in fractional systems reveals that the subdiffusion weakens the oscillatory components of the intrawell oscillation and the above-barrier motion. This phenomenon should reflect a fact that the particles tend to stand still in separate wells in subdiffusive processes.

Non-Markovian diffusion and the adsorption-desorption process

The non-Markovian diffusion of dispersed particles in a semi-infinite cell of an isotropic fluid limited by an adsorbing-desorbing surface is theoretically investigated. The density of dispersed particles in the bulk is a time dependent function and the time dependent density of surface particles is governed by a modified kinetic equation with a time dependent kernel. In this framework, the densities of bulk and surface particles are analytically determined, taking into account the conservation of the number of particles immersed in the sample. This system exhibits anomalous diffusion behavior as well as memory effects in the adsorption-desorption process. The results obtained here are expected to be useful to investigate the adsorption-desorption phenomena of neutral as well as charged particles in an isotropic fluid in contact with a solid substrate when the anomalous diffusion is present.

Mass transport subject to time-dependent flow with nonuniform sorption in porous media

We address the description of solutes flow with trapping processes in porous media. Starting from a small-scale model for tracer particle trajectories, we derive the corresponding governing equations for the concentration of the mobile and immobile phases within a fractal mobile-immobile model approach. We show that this formulation is fairly general and can easily take into account nonconstant coefficients and in particular space-dependent sorption rates. The transport equations are solved numerically and a comparison with Monte Carlo particle-tracking simulations of spatial contaminant profiles and breakthrough curves is proposed, so as to illustrate the obtained results.

Experimental quenching of harmonic stimuli: universality of linear response theory

We show that liquid crystals in the weak turbulence electroconvective regime respond to harmonic perturbations with oscillations whose intensity decay with an inverse power law of time. We use the results of this experiment to prove that this effect is the manifestation of a form of linear response theory (LRT) valid in the out-of-equilibrium case, as well as at thermodynamic equilibrium where it reduces to the ordinary LRT. We argue that this theory is a universal property, which is not confined to physical processes such as turbulent or excitable media, and that it holds true in all possible conditions, and for all possible systems, including complex networks, thereby establishing a bridge between statistical physics and all the fields of research in complexity.

Fractional Fokker-Planck subdiffusion in alternating force fields

The fractional Fokker-Planck equation for subdiffusion in time-dependent force fields is derived from the underlying continuous time random walk. Its limitations are discussed and it is then applied to the study of subdiffusion under the influence of a time-periodic rectangular force. As a main result, we show that such a force does not affect the universal scaling relation between the anomalous current and diffusion when applied to the biased dynamics: in the long-time limit, subdiffusion current and anomalous diffusion are immune to the driving. This is in sharp contrast with the unbiased case when the subdiffusion coefficient can be strongly enhanced, i.e., a zero-frequency response to a periodic driving is present.

Equivalence of the fractional Fokker-Planck and subordinated Langevin equations: the case of a time-dependent force

A century after the celebrated Langevin paper [C.R. Seances Acad. Sci. 146, 530 (1908)] we study a Langevin-type approach to subdiffusion in the presence of time-dependent force fields. Using a subordination technique, we construct rigorously a stochastic Langevin process, whose probability density function is equal to the solution of the fractional Fokker-Planck equation with a time-dependent force. Our model provides physical insight into the nature of the corresponding process through the simulated trajectories. Moreover, the subordinated Langevin equation allows us to study subdiffusive dynamics both analytically and numerically via Monte Carlo methods.

Effect of a time-dependent field on subdiffusing particles

We analyze the effect of a time-dependent external field on non-Markovian migration described by the continuous time random walk (CTRW) approach. The rigorous method of treating the problem is proposed which is based on the Markovian representations of the CTRW approach and field modulation. With the use of this method we derive the non-Markovian stochastic Liouville equation (SLE), that describes the effect of this field, and thoroughly analyze the relation of the derived SLE with equations proposed earlier. This SLE is applied to the case of subdiffusive migration in which the exact formulas for the first and second moments of spatial distribution are obtained. In the case of oscillating external field they predict unusual dependence of the first moment on oscillation phase and anomalous time behavior of field dependent contribution to the dispersion which agree with results of earlier works. Anomalous time dependence is also found in the case of a fluctuating field. The specific features of this time dependence are analyzed in detail.

Fractional Langevin equation: overdamped, underdamped, and critical behaviors

The dynamical phase diagram of the fractional Langevin equation is investigated for a harmonically bound particle. It is shown that critical exponents mark dynamical transitions in the behavior of the system. Four different critical exponents are found. (i) alpha_{c}=0.402+/-0.002 marks a transition to a nonmonotonic underdamped phase, (ii) alpha_{R}=0.441... marks a transition to a resonance phase when an external oscillating field drives the system, and (iii) alpha_{chi_{1}}=0.527... and (iv) alpha_{chi_{2}}=0.707... mark transitions to a double-peak phase of the "loss" when such an oscillating field present. As a physical explanation we present a cage effect, where the medium induces an elastic type of friction. Phase diagrams describing over and underdamped regimes, with or without resonances, show behaviors different from normal.

Fractional cable models for spiny neuronal dendrites

Cable equations with fractional order temporal operators are introduced to model electrotonic properties of spiny neuronal dendrites. These equations are derived from Nernst-Planck equations with fractional order operators to model the anomalous subdiffusion that arises from trapping properties of dendritic spines. The fractional cable models predict that postsynaptic potentials propagating along dendrites with larger spine densities can arrive at the soma faster and be sustained at higher levels over longer times. Calibration and validation of the models should provide new insight into the functional implications of altered neuronal spine densities, a hallmark of normal aging and many neurodegenerative disorders.

Modeling of subdiffusion in space-time-dependent force fields beyond the fractional Fokker-Planck equation

In this paper we attack the challenging problem of modeling subdiffusion with an arbitrary space-time-dependent driving. Our method is based on a combination of the Langevin-type dynamics with subordination techniques. For the case of a purely time-dependent force, we recover the death of linear response and field-induced dispersion -- two significant physical properties well-known from the studies based on the fractional Fokker-Planck equation. However, our approach allows us to study subdiffusive dynamics without referring to this equation.

Critical exponent of the fractional Langevin equation

We investigate the dynamical phase diagram of the fractional Langevin equation and show that critical exponents mark dynamical transitions in the behavior of the system. For a free and harmonically bound particle the critical exponent alpha(c)=0.402+/-0.002 marks a transition to a nonmonotonic underdamped phase. The critical exponent alpha(R)=0.441... marks a transition to a resonance phase, when an external oscillating field drives the system. Physically, we explain these behaviors using a cage effect, where the medium induces an elastic type of friction. Phase diagrams describing the underdamped, the overdamped and critical frequencies of the fractional oscillator, recently used to model single protein experiments, show behaviors vastly different from normal.

Anomalous relaxation and dielectric response

It is shown that all the known experimental (quasi)stationary dielectric response functions of glassy media can be derived from a standard generalized Langevin description of overdamped torsional dipole oscillators in trapping potentials with random orientations under some minimal assumptions. The non-Markovian theory obeys the fluctuation-dissipation theorem and the Onsager regression theorem. Moreover, it displays no aging on the time scale of the dielectric response, all in assumption of local thermal (quasi)equilibrium. Aging might come from jumping among metastable traps. It occurs on a quite different time scale which is not related to the principal dielectric response. We put the old phenomenological theory of Cole and Cole, Davidson and Cole, and others on a firm basis within a stochastic, thermodynamically consistent approach.