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

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

but the typical magnetization is only proportional to the square root of that number. since < X (t )2 >= a 2 ∑ < σ j σ k >= a 2 ∑ δ j .6 9/11/09 Leo Kadanoff 5 . In that case we would have had a distance aM. We can see this fact by noting that the root mean square average of X2 is a √M. This distance is is much smaller than the maximum distance which would be covered were all the steps to go in the same direction. and thus as a result the average displacement of the entire walk is zero < X (t ) >= a∑ < σ j >= 0 j =1 M iv.k =1 M M iv. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. in net.2 € Our statement is the same that in a zero ﬁeld uncoupled Ising system. the maximum magnetization is proportional to the number of spins.1 However.k On the average. much smaller than maximum deviations. on each step the walker goes left as much as right.From one step to many steps We start from the two statements that <σj >=0 and that <σj σk >=δj. cover much ground. a random walk does not.k = a 2M € j . Thus.k =1 j . Typical ﬂuctuations are much. which is the typical end-to-end distance of this random walk. of course the mean squared displacement is not zero.

6 9/11/09 Leo Kadanoff 6 .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. On the other hand the typical end to end distance of such a walk is M 1/2 centimeters or ten meters. That is quite a difference! Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. or 10 thousand meters or 10 kilometers. Consider a random walk that consists of M= one million steps steps.

except that we have to ﬁx the value of the constant.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. Equation iv. dX/dt = η(t) 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 1.3 iv. c.4 We would like to have a simple differential equation which appropriately reﬂects this physics.k This looks like what we did in the random hopping on the lattice.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.6 9/11/09 Leo Kadanoff . to agree with what we did before. The simplest form of differential equation would be a form described as a Langevin equation.

we ﬁnd: (what happens for s>t?) < [X (t ) − X (s )]2 > = = = More speciﬁcally. that as before <R(t)-R(s)> =0. € so that a comparison with our previous result indicates that we should choose € c= a2 /τ ` iv.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 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. A new result is that for t>s.6 iv.t X(t) = X(s) + s du η(u) Using this result. we can calculate.8 8 .

or rather integral. of many pieces which are uncorrelated with one another. we know everything there is to know about it. it has a probability distribution  τ 1/2 − x 2τ /(2a2t ) iv. Consequently.Gaussian Properties of Continuous Random Walk In the continuous case. Hence. Its average is zero and its variance is a2t/τ .9 < ρ(X (t ) = x ) >=   e 2 2πa t  Now we have said everything there is to say about the continuous random walk. 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. such a sum or integral is a Gaussian random variable. According to the central limit theorem. X(t) is composed of a sum.6 9/11/09 Leo Kadanoff 9 .

iv. the traditional approach to the problem is to calculate the partition ﬁunction.In our calculation of the statistical mechanics of the Ising model. The same approach works for the random walk. 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. 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. 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. 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. as we shall see. a Fourier transform technique. Z. 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.9 As we know from our earlier work such a generating function enables us to calculate. a generating function from which we can determine all the statistical properties. or of any other problem involving the statistics of large numbers of particles.6 9/11/09 Leo Kadanoff . Thus the ﬁnal result is <exp(iqX(t))>= [cos(qa)]M. We start from the simplest such problem. the cosine given here.

The formula for the average is then < f (X (mτ )) >= ∑ f (na)ρn .A Probability We wish to describe our result in terms of a probability.m n n € iv.6 9/11/09 Leo Kadanoff 11 . 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. and the probability of it having the value na is ρn .m. € Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. So ρ tells us everything there is to know about the problem.3) < f (X ) >= ∑ f (na)ρn This is an important deﬁnition. We can use this probability to calculate the value of any function of X in the form (see equation i. ρn which is the probability X will take on the value na.10 so that the average is once more the sum of the function times the probability. It says that if X takes on the values na. then the average is the sum over n times the value of the function at that n times the probability of having that value. The formula that we shall use is only slightly more complex.

11 12 .6 9/11/09 Leo Kadanoff < [cos q ]M >= ∑ exp(iqn )ρn . .. by this time. just before -M+2.. M-2.1.. -M. . -M Thus there are a total of M possible sites which could be occupied.. First... For M being odd the possible sites are M. . .0 . M-2.-M+2.. so we ﬁnd € n I’m going to spend some time on this result.t /τ n We have already evaluated the left hand side of this expression..M iv.. let’s say what it is. 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.. The pattern is € slightly strange. For M being even the possible sites are M. .-1....To calculate probability Start from < f (X ) >= ∑ f (na)ρn n choose the function to be an exponential. since we have had. 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 .

M iv. M! ρM−2 j.6 9/11/09 Leo Kadanoff 13 .12 iv.M M! = M +n M −n 2−M ( 2 )!( 2 )! iv.M = 2−M j!(M − j)! ρn. 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.We get an answer! n Here M is the number of steps. A formula.13a iv. 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 ..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...13b We are a bunch of theorists. We have an answer.. We do not even have to do a Fourier transform to evaluate the probability.

p 2π To obtain π −π dq −inq e ρp.M = 2π p=−∞ ∞ π −π dq −inq e [cos q]M 2π Because n=M (mod 2).Fourier transform ∞ ρp. Therefore one can also write π/2 dq −inq e [cos q]M ρn.6 9/11/09 Leo Kadanoff 14 .M eiqp = ρn.M eiqp = [cos q]M p=−∞ iv. 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. the integrand at q is just the same as the integrand at q+π.11 To invert the Fourier transform use π −π dq i(p−n)q e = δn.

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

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

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

viz r2 = x2 +y2 +.. we can jump directly to the answer for the continuum case.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.. The one-dimensional equation answer in eq iv...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. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. We have d ρd an. If the probability distribution for the discrete case is simply the product of the onedimensional distributions so must be the continuum distribution. we shall focus entirely upon the higher dimensional case and therefore drop the superscripts.Higher Dimensions.. After a while.9 Here the bold faced quantities are vectors.. As an additional difference.6 9/11/09 Leo Kadanoff € . the d-dimensional object will be a function of space and time rather than n and M..M τ = α=1 ρ1 α .M n However.

€ in separate exponents to get r2 = x2 +y2 +. .. We woulod get a very similar result independent of the type of lattice underneath. Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. In fact.. 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.6 9/11/09 Leo Kadanoff 19 ... coming from adding the x2 and y2 and. 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.

6 9/11/09 Leo Kadanoff 20 € .M / ∂M + ∂In . On a one dimension lattice. € Here. I’m going to visualize a situation once more in which we have a discrete time coordinate M and a discrete space coordinate. The ﬂow is called a current.t ) + ∇ ⋅ j (r .M = In −1/2. and the conservation law is written as conservation law ∂ρ(r .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.t ) = 0 ∂t The time derivative of the density is produced by a divergence of the curent ﬂowing into a point. The local amount of Q. n. the rule takes the simpler form: ρn . changes because things ﬂow into and out of a region of space.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.M ≈ ∂ρn .M +1 − ρn .M / ∂n = 0 Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.M / ∂M The conservation law then takes the form ∂ρn . Diffusion has a second element: locality. 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 . called ρ. j. In our case the Q in question is the total probability of ﬁnding the diffusing particle someplace. dQ/dt=0.M€ − ρn .M − In +1/2.

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

t ) so that the diffusion equation becomes € ∂t ρ(r.t ) = λ∇2ρ(r.Higher Dimension In higher dimensions.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 .

6 9/11/09 Leo Kadanoff 23 . the conservation law guarantees that the rate of change in time will also be slow.Diffusion Equation This equation is one of several equations describing the slow transport of physical quantities from one part of the system to another. named for two contemporary physicists. The idea is connected with the construction of the kind of particle known as a Nambu-Goldstone boson. my Chicago colleague Yoichiro Nambu and the MIT theorist Jeffrey Goldstone. When there is slow variation is space. In fact this is part of a general principle which permits only slow changes as a result of a conservation law. 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.

t)= dk exp[ikx-λk2t] g(k) with g(k)= dx exp[-ikx] ρ(x.0) =0 otherwise.6 9/11/09 Leo Kadanoff ∫ ∫ 24 . Small rapidly varying errors at t=0 will produce small errors for positive t and huge errors for negative t. Find solution from F(x. Plot solution for t=0. Use λ=2.0) =∂X F(x. But diffusion equation has a solution which does not make sense. Information gets lost as time goes forward. You cannot extrapolate backward in time.0) =0 otherwise.4.2.t)=G(x-ct)+H(x+ct) This is a global solution.0) =∂X F(x. It enables you to look forward or back inﬁnitely far in the future or the past without losing accuracy.Solution to Diffusion Equation Cannot be Carried Backward in Time The wave equation is (∂t2 -∂X2 )F = 0 Its general solution is F(x.0)=1 for 0<x<1 and ρ(x. Where did we go from sense to nonsense? Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1. What happens for t= -2? Boltzmann noted that equations of classical mechanics make sense if t is replaced by -t. Use c=2 A global solution to the diffusion equation is ρ(x. Solve for ρ(x.0)/(2π) as initial data.0) =1 for 0<x<1 and F(x.