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# Part 4: Diffusion and Hops

From Discrete to Continuous Hopping on a Lattice Notation: Even and Odd From one step to many An example Continuous Langevin equation An integration Gaussian Properties Generating Function A probability Discrete A generating Function A probability calculation we get an answer! fourier transform formulation binomial theorem Higher Dimension continued probability density One dimension Current Diffusion equation Higher Dimension You cannot go back
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff

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Hopping: From Discrete to Continuous
We are going to be spending some time talking about the physics of a particle moving in a solid. Often this motion occurs as a set of discrete hops. The particle gets stuck someplace, sits for a while, acquires some energy from around it, hops free, gets caught in some trap, and then sits for a while. I’m going to describe two mathematical idealizations of this motion: discrete hopping on a lattice and continuous random motion. One point is to see the difference between the two different topologies represented by a continuous and a discrete system. One often approximates one by the other and lots of modern physics and math is devoted to ﬁguring out what is gained and lost by going up and back. There is a ﬁne tradition to this. Boltzmann, one of the inventors of statistical mechanics, liked to do discrete calculations. So he often represented things which are quite continuous, like the energy of a classical particle by discrete approximations, A little later, Planck and Einstein had to ﬁgure out the quantum theory of radiation, which had been thought to be continuous, in terms of discrete photons. So we shall compare continuous and discrete theories of hopping.

Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff

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One way of doing this can be labeled by giving the position r=(n1. so that our times t =j τ. we shall approach it is the simplest possible way by ﬁrst working it all out in one dimension and then stating results for higher dimensions A random walk is a stepping through space in which the successive steps occur at times t=M τ.. where n is an integer. This section is devoted to developing the concept of a random walk.)a where the n’s are integers. which lies on one of the a lattice sites. < σj >=0. It is not accidental that we express the random walk in the same language as the Ising model. In one step of motion one progress from X(t) to X(t+ τ) = X(t)+ aσj. We could do this in any number of dimensions.n2. σj =1 or σj = -1.. We assume that we start at zero. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. At any given time. but of course the average its square is non-zero and is given by < σj2 > =1.. where σj is picked at random from among the two possible nearest neighbor hops along the lattice. We show a picture of this lattice in two dimensions..Hopping On a Lattice A lattice is a group of sites arranged in a regular pattern. We do this to emphasize that geometric problems can often be expressed in algebraic form and vice versa.6 9/11/09 Leo Kadanoff 3 . Thus. the position is X(t). However. If we include all possible values of these integers. x=an. the particular lattice generated is called is called the simple hypercubic lattice.

We shall also use the dimensional variables for time t=M τ and for space X(t)=na. usually x. We use a capital X to remind ourselves that it is a random variable. calculation.6 9/11/09 Leo Kadanoff 4 . the displacement from the origin after M steps. When we need a nonrandom spacial variable. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. we shall use a lower case letter.Notation: Even and Odd We represent the walk by two integers. the number of steps taken and n. We shall have to keep track of this property in our later. M. We start from n=0 at M=0. detailed. The general formula is M n= k=1 σk Notice that n is even if M is even and odd if M is odd.

a random walk does not. much smaller than maximum deviations. but the typical magnetization is only proportional to the square root of that number. and thus as a result the average displacement of the entire walk is zero < X (t ) >= a∑ < σ j >= 0 j =1 M iv.1 However.2 € Our statement is the same that in a zero ﬁeld uncoupled Ising system. cover much ground. on each step the walker goes left as much as right. the maximum magnetization is proportional to the number of spins. We can see this fact by noting that the root mean square average of X2 is a √M.k = a 2M € j .k =1 j .k =1 M M iv. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff 5 . Typical ﬂuctuations are much. since < X (t )2 >= a 2 ∑ < σ j σ k >= a 2 ∑ δ j . In that case we would have had a distance aM. Thus. This distance is is much smaller than the maximum distance which would be covered were all the steps to go in the same direction.From one step to many steps We start from the two statements that <σj >=0 and that <σj σk >=δj. of course the mean squared displacement is not zero. which is the typical end-to-end distance of this random walk.k On the average. in net.

Consider a random walk that consists of M= one million steps steps.An example: The difference between maximum length and RMS length (root mean square length) needs to be emphasized by an example. If each step is one centimeter long the maximum distance traveled is M centimeters. That is quite a difference! Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. On the other hand the typical end to end distance of such a walk is M 1/2 centimeters or ten meters.6 9/11/09 Leo Kadanoff 6 . or 10 thousand meters or 10 kilometers.

4 We would like to have a simple differential equation which appropriately reﬂects this physics.3 iv.5 where η(t) is a random function of time that we shall pick to be uncorrelated at different times and have the properties <η(t)> =0 and <η(t) η(s)> =c δ(t-s)δj. c.6 9/11/09 Leo Kadanoff . dX/dt = η(t) iv.Continuous Random Walks: Langevin Equation The physics of this random motion is well represented by the two equations <X(t)-X(s)> = 0 <[X(t)-X(s)]2> = a2 |t-s|/τ iv.5 has the solution t X(t) = X(s) + s du η(u) 7 Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. The simplest form of differential equation would be a form described as a Langevin equation. Equation iv.k This looks like what we did in the random hopping on the lattice. to agree with what we did before. except that we have to ﬁx the value of the constant.

that as before <R(t)-R(s)> =0.t X(t) = X(s) + s du η(u) Using this result.7 so that < [X (t ) − X (s )]2 > = a 2 | t − s | /τ Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 iv.8 8 . we can calculate.6 9/11/09 Leo Kadanoff ∫ du ∫ dv < η (u )η (v ) > s s t t ∫ du ∫ dv c δ(u − v ) ∫ du c = (t − s )c s s t s t t < [X (t )]2 >= c t iv. € so that a comparison with our previous result indicates that we should choose € c= a2 /τ ` iv. we ﬁnd: (what happens for s>t?) < [X (t ) − X (s )]2 > = = = More speciﬁcally. A new result is that for t>s.

Consequently.9 < ρ(X (t ) = x ) >=   e 2 2πa t  Now we have said everything there is to say about the continuous random walk.6 9/11/09 Leo Kadanoff 9 . X(t) is composed of a sum.Gaussian Properties of Continuous Random Walk In the continuous case. or rather integral. we know everything there is to know about it. it has a probability distribution  τ 1/2 − x 2τ /(2a2t ) iv. Hence. Its average is zero and its variance is a2t/τ . As an extra we can exhibit the generating function for this walk: € < exp[iqX (t )] >= e −q 2a2t /(2τ ) € Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. According to the central limit theorem. of many pieces which are uncorrelated with one another. such a sum or integral is a Gaussian random variable.

Z. as for example <exp(iqX(t))>= [cos(qa)]M at q=0 <1>=1 d/dq { <exp(iqX(t))>= [cos(qa)]M } at q=0 (d/dq)2 { <exp(iqX(t))>= [cos(qa)]M } at q=0 <iX(t)>=Ma sin qa =0 -<[X(t)]2>=-Ma2 d/dq sin qa = -Ma2 10 A generating function: discrete case Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. It is best to start on this calculation by a somewhat indirect route: The spirit of the calculation is that it is simple to ﬁnd the average of exp(iqX(t)) where q is a parameter which we can vary and X(t) is our random walk-result. iv. We start from the simplest such problem. The same approach works for the random walk. Take t=τ so that there is but one step in the motion and < exp(iqX(τ))>= < exp(iqa σ1(t))>= [exp(iqa) + exp(-iqa)]/2 = cos qa Since X(t) is a sum of M identical terms.6 9/11/09 Leo Kadanoff . the traditional approach to the problem is to calculate the partition ﬁunction. as we shall see.9 As we know from our earlier work such a generating function enables us to calculate. If one knew the value of < exp(iqX(t))> it would be easy to calculate all averages by differentions with respect to q and even the probability distribution of X(t) by.In our calculation of the statistical mechanics of the Ising model. or of any other problem involving the statistics of large numbers of particles. a generating function from which we can determine all the statistical properties. the exponential is a product of M terms of the form < exp(iqa σj(t))> and each term in the product has exact the same value. the cosine given here. Thus the ﬁnal result is <exp(iqX(t))>= [cos(qa)]M. a Fourier transform technique.

m n n € iv.10 so that the average is once more the sum of the function times the probability.m. ρn which is the probability X will take on the value na. It says that if X takes on the values na.3) < f (X ) >= ∑ f (na)ρn This is an important deﬁnition. then the average is the sum over n times the value of the function at that n times the probability of having that value. and the probability of it having the value na is ρn . The formula that we shall use is only slightly more complex. We deﬁne X as being time dependent: the probability that X(t) has the value na at time mτ is then deﬁned to be ρn.A Probability We wish to describe our result in terms of a probability. We can use this probability to calculate the value of any function of X in the form (see equation i. € Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff 11 . The formula for the average is then < f (X (mτ )) >= ∑ f (na)ρn . So ρ tells us everything there is to know about the problem.

. let’s say what it is..0 ..-M+2.6 9/11/09 Leo Kadanoff < [cos q ]M >= ∑ exp(iqn )ρn . M-2. For M being even the possible sites are M.... -M. .1. It gives the probability that after a random walk of M steps a walker will ﬁnd itself at a site n=M-2j steps of its starting point. . M-2.11 12 .To calculate probability Start from < f (X ) >= ∑ f (na)ρn n choose the function to be an exponential.. since we have had.. just before -M+2.M iv... . First. The pattern is € slightly strange.. so we ﬁnd € n I’m going to spend some time on this result.-1.t /τ n We have already evaluated the left hand side of this expression. For M being odd the possible sites are M. -M Thus there are a total of M possible sites which could be occupied.. considerable experience dealing with exponentials € < exp(iqX (t ) / a) >= ∑ exp(iqn )ρn .. ... Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.. Is it true then that an average probability of occupation among these sites is 1/M? or maybe 1/ (2M) What’s a typical occupation? What is that going to be? Recall that the RMS distance covered is . by this time.

12 iv.M = 2−M j!(M − j)! ρn.M M! = M +n M −n 2−M ( 2 )!( 2 )! iv. We have an answer. M! ρM−2 j.13b We are a bunch of theorists..11 to expand the left hand side as eiq + e−iq M M! eiqM −i2q j ( ) =∑ e M 2 j j!(M − j)! 2 to get. A formula.We get an answer! n Here M is the number of steps. Now what can we do with that answer? What can we ﬁgure out from here? Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1..M iv. We do not even have to do a Fourier transform to evaluate the probability. We simply use the binomial theorem n M! M (a + b) = aM bM −j € j!(M − j)! j=0 < [cos q ]M >= ∑ exp(iqn )ρn ...13a iv.6 9/11/09 Leo Kadanoff 13 .

the integrand at q is just the same as the integrand at q+π.M eiqp = [cos q]M p=−∞ iv.p 2π To obtain π −π dq −inq e ρp. Therefore one can also write π/2 dq −inq e [cos q]M ρn.11 To invert the Fourier transform use π −π dq i(p−n)q e = δn.M = 2π p=−∞ ∞ π −π dq −inq e [cos q]M 2π Because n=M (mod 2).6 9/11/09 Leo Kadanoff 14 .Fourier transform ∞ ρp.M eiqp = ρn. Now what? Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.M = 2 −π/2 2π We have come across this kind of integral before.

n close to M. We have an answer. n=-M. n=0.M M! = M +n M −n 2−M ( 2 )!( 2 )! We are a bunch of theorists. n close to -M. M! ≈ M M e-M (2 π M )1/2 what happens for n=M.6 9/11/09 Leo Kadanoff 15 .Result From Binomial Theorem M! ρM−2 j. for large M. A formula.M = 2−M j!(M − j)! ρn. Now what can we do with that answer? What can we ﬁgure out from here? sterling approximation. n close to zero? Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.

)/2 or they are all odd. but different signs for example a(1... .-1.g.. There is no ambiguity about how things very close to one another behave. The lattice sites are given by x = a(n1. . which one being choosen at random.). n3.-1.. -1.. x = a(0. -4.. If all hopping occurs from one site to a nearest neighbor site. because things cannot get very close.3. have components which behave entirely independently of one another. .. a. There are two possible kinds of assignments for the n’s: Either they are all even e.n2. We use a lattice constant. x. which is twice as big as the one shown in the picture.. They are either at the same point or different points So now I would like to talk about a random walk in a d-dimensional system by considering a system on a simple lattice constructed as in the picture. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. where each of the m’s have magnitude one. The n’s are integers.6 9/11/09 Leo Kadanoff 16 . the coordinate hops through one of the nearest neighbor vectors.Higher Dimensions Reason for putting many different calculations on a lattice is that the lattice provides a simplicity and control not available in a continuum system...)/2. .. m3. . We then choose to describe the system by saying that in each step. This particular choice makes the entire coordinate.)/2 .)/2. for example x = a(1.m2. the hops are through one of 2d vectors of the form ξα= a(m1. ξα . and exactly the same as the one-dimensional coordinate we have treated up to now...2..

png Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.mit.com/2008/09/randomwalk./CourseHome/index.edu/.ﬁles..wordpress..6 9/11/09 Leo Kadanoff 17 .RANDOM WALKS dspace.htm http://particlezoo.

M n However. viz r2 = x2 +y2 +.Higher Dimensions.continued We denote the probability density of this d-dimensional case by a superscript d and the one for the previous one-dimensional case of by a superscript 1.. we shall focus entirely upon the higher dimensional case and therefore drop the superscripts.. the d-dimensional object will be a function of space and time rather than n and M. If the probability distribution for the discrete case is simply the product of the onedimensional distributions so must be the continuum distribution.. After a while.. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1..9 was  τ 1/2 − x 2τ /(2a2t ) < ρ(X (t ) = x ) >=   e 2 2πa t  so that the answer in d dimensions must be €  τ d /2 −r 2τ /(2a2t ) < ρ(R(t ) = r) >=   e 2 2πa t  18 iv.9 Here the bold faced quantities are vectors. The one-dimensional equation answer in eq iv. we can jump directly to the answer for the continuum case.. We have d ρd an. As an additional difference..6 9/11/09 Leo Kadanoff € .M τ = α=1 ρ1 α .

In fact.6 9/11/09 Leo Kadanoff 19 . We woulod get a very similar result independent of the type of lattice underneath.. coming from adding the x2 and y2 and. € in separate exponents to get r2 = x2 +y2 +. ... This is an elegant result coming from the fact that the hopping has produced a result which is independent of the lattice sitting under it. the result come from what is called a diffusion process and is typical of long-wavelenth phenomena in a wide variety of systems...Higher dimensional probability density: again one dimension  τ  < ρ(X (t ) = x ) >=   2 2πa t  1/2 d dimensions is a product of ones  τ d /2 −r 2τ /(2a2t ) < ρ(R(t ) = r) >=   e 2 2πa t  e − x 2τ /(2a2t ) Notice that the result is a rotationally invariant quantity. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1..

M +1 conservation law This equation says that the change of probability over one time step is produced by the ﬂow of probability in from the left minus the ﬂow out to the right. € Here. Diffusion has a second element: locality. called ρ.M +1 − ρn .M / ∂M The conservation law then takes the form ∂ρn . The local amount of Q. The ﬂow is called a current. dQ/dt=0. n. I shall assume that the initial probabilities is sufﬁciently smooth so that even and odd n-values have rather similar occupation probabilities so that we can get away with statement like ρn . j.M / ∂n = 0 Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. I’m going to visualize a situation once more in which we have a discrete time coordinate M and a discrete space coordinate.M − In +1/2.M / ∂M + ∂In .t ) + ∇ ⋅ j (r .M = In −1/2.6 9/11/09 Leo Kadanoff 20 € . and the conservation law is written as conservation law ∂ρ(r .M€ − ρn . the rule takes the simpler form: ρn .Diffusion Process Diffusion here is a result of a conservation law: a global statement that the total amount of something is unchanged by the time development of the system. In our case the Q in question is the total probability of ﬁnding the diffusing particle someplace. changes because things ﬂow into and out of a region of space.t ) = 0 ∂t The time derivative of the density is produced by a divergence of the curent ﬂowing into a point. On a one dimension lattice.M ≈ ∂ρn .

and σn is equal to +1. Our hopping model says that a In+1/2. An approximate deﬁnition of a current in a conservation law is called a constitutive equation. We now write this down.m − ρn +1. On the other hand it is given a contribution -1 when the site at n +1 is occupied at time M.M is given a contribution +1 when the site at n is occupied at time M.m ) / 2 constitutive equation Once again.m = (ρn . we write the difference in terms of a derivative.M / ∂ n 2 / 2 which can be written in dimensional form as € ∂ρ ∂2ρ diffusion equation =λ ∂t ∂ x2 with the diffusion coefﬁcient being given by λ=a2/(2 τ).m / ∂n ) / 2 constitutive equation This can then be combined with the conservation law to give the diffusion equation € ∂ρn . getting € In .The Current We do not have a full statement of the of what is happening until we can specify the current.6 9/11/09 Leo Kadanoff 21 € .m = −(∂ρn .M / ∂M = ∂2ρn . Since there is a probability 1/2 for each of the σ-events the value of I is In +1/2. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. and σn+1 is equal to -1.

t ) so that the diffusion equation becomes € ∂t ρ(r.t ) = λ∇2ρ(r.t ) € Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff 22 . the current is proportional to the gradient of the current j (r .t ) = −λ∇ρ(r .Higher Dimension In higher dimensions.

named for two contemporary physicists.Diffusion Equation This equation is one of several equations describing the slow transport of physical quantities from one part of the system to another. When there is slow variation is space.6 9/11/09 Leo Kadanoff 23 . Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. This general principle is much used in the context of quantum ﬁeld theory and condensed matter physics. my Chicago colleague Yoichiro Nambu and the MIT theorist Jeffrey Goldstone. the conservation law guarantees that the rate of change in time will also be slow. The idea is connected with the construction of the kind of particle known as a Nambu-Goldstone boson. In fact this is part of a general principle which permits only slow changes as a result of a conservation law.

Use c=2 A global solution to the diffusion equation is ρ(x. Where did we go from sense to nonsense? Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. It enables you to look forward or back inﬁnitely far in the future or the past without losing accuracy. Information gets lost as time goes forward.0)=1 for 0<x<1 and ρ(x.0) =∂X F(x. Use λ=2.Solution to Diffusion Equation Cannot be Carried Backward in Time The wave equation is (∂t2 -∂X2 )F = 0 Its general solution is F(x. Plot solution for t=0. Small rapidly varying errors at t=0 will produce small errors for positive t and huge errors for negative t.6 9/11/09 Leo Kadanoff ∫ ∫ 24 . What happens for t= -2? Boltzmann noted that equations of classical mechanics make sense if t is replaced by -t.0) =0 otherwise.2.0) =0 otherwise.t)= dk exp[ikx-λk2t] g(k) with g(k)= dx exp[-ikx] ρ(x. Find solution from F(x.0) =∂X F(x.4.t)=G(x-ct)+H(x+ct) This is a global solution. Solve for ρ(x.0)/(2π) as initial data. But diffusion equation has a solution which does not make sense.0) =1 for 0<x<1 and F(x. You cannot extrapolate backward in time.