physics brownian motion statistical physics. Lecture notes containing some self-made notes on brownian motion, in particular its connection to field theory

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physics brownian motion statistical physics. Lecture notes containing some self-made notes on brownian motion, in particular its connection to field theory

© All Rights Reserved

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1 The Gaussian kernel of the diusion equation

Each site has q neighbors. q =coordination number= 2d. At regular time

intervals, separated by t = 1, the walker jumps with uniform probability

of 1/q to a neighbour. Successive jumps are independent.

P(x

1

, t

1

; x

0

, t

0

) is the conditional probability that the walker is at site x

1

at time t

1

given that the walker is at x

0

at t

0

.

P(x

1

, t

0

; x

0

, t

0

) =

x

1

,x

0

.

Normalization at time t

1

implies

x

1

P(x

1

, t

1

; x

0

, t

0

) = 1.

Recurrence relation:

P(x, t + 1; x

0

, t

0

) =

1

2d

is a nbr of x

P(x

, t; x

0

, t

0

). (1)

Recast this equation using the discrete Laplacian

r

where

r

f(x) =

d

=1

[f(x + e

) + f(x e

) 2f(x)]

Then,

P(x, t + 1; x

0

, t

0

) P(x, t; x

0

, t

0

) =

r

P(x, t; x

0

, t

0

) (2)

Fourier transform!, in space. Denition: P(x, t; x

0

, t

0

) =

d

d

k

(2)

d

e

ik.x

P(k, t).

This yields:

P(k, t + 1) =

1

d

d

=1

cos(k

)

P(k, t). (3)

and

P(k, t

0

) = e

ik.x

0

1

Clearly, we have

P(x

1

, t

1

; x

0

, t

0

) =

d

d

k

(2)

d

e

ik.(x

1

x

0

)

(

1

d

cos(k

))

t

1

t

0

(4)

We are interested in its asymptotic behavior. We now rescale time and

space intervals from 1 to and a respectively. This means, t t/,

k ak and x x/a.

P(x

1

x

0

, t

1

t

0

) = a

d

/a

/a

d

d

k

(2)

d

e

ik.(x

1

x

0

)

(

1

d

cos(ak

))

(t

1

t

0

)/

Dividing by the volume element a

d

gives us a probability density.

p(x

1

x

0

, t

1

t

0

) = lim

a,0

/a

/a

d

d

k

(2)

d

e

ik.(x

1

x

0

)

(

1

d

cos(ak

))

(t

1

t

0

)/

Claim: This limit is non-trivial only when a and vanish such that

a

2

is

kept xed. Hence, WNLOG, =

a

2

2d

Expanding the cosine, we get

p(x

1

x

0

, t

1

t

0

) = lim

a,0

/a

/a

e

ik.(x

1

x

0

)

(1

a

2

k

2

2d

+ . . .)

(t

1

t

0

)/

Hence we have,

p(x

1

x

0

, t

1

t

0

) =

e

(t

1

t

0

)k

2

+ik.(x

1

x

0

)

=

1

[4(t

1

t

0

)]

d/2

e

(x

1

x

0

)

2

4(t

1

t

0

)

This nal answer is the well-known kernel of the diusion equation in

continuous space. It satises:

d

d

xp(x, t; x

0

, t

0

) = 1

lim

t

1

t

0

p(x

1

, t

1

; x

0

, t

0

) =

d

(x

1

x

0

)

For t

2

> t

1

> t

0

:

d

d

x

1

p(x

2

, t

2

; x

1

, t

1

)p(x

1

, t

1

; x

0

, t

0

) = p(x

2

, t

2

; x

0

, t

0

)

2

2 Greens function

Consider the mean time spent on a given site:

G(x

1

x

0

) =

t

1

=t

0

P(x

1

, t

1

; x

0

, t

0

) =

d

d

k

(2)

d

e

ik.(x

1

x

0

)

1

1

1

d

cos(k

)

The equation satised by P(x

1

, t

1

; x

0

, t

0

) imples the following for G(x

1

x

0

):

G(x

1

x

0

) =

x

1

,x

0

+

1

2d

G(x

1

+ e

x

0

) + G(x

1

e

x

0

)

In the notation of the discrete Laplacian, this is:

r

G(x

1

x

0

) =

x

1

,x

0

and he nce it is the Greens function of the discrete Laplacian

r

.

When k is small, the integrand for G(x

1

x

0

) behaves has

1

k

2

and hence,

there is an infrared divergence for d = 1 and d = 2. This means that the

mean time spent is . We will see that this implies that the return

probability is 1, for d 2.

We can instead consider the mean time spent at x

1

in excess of the time

spent at x

0

. This however is not a positive quantity unlike G.

G

s

(x

1

x

0

) = G(x

1

x

0

) G(0)

=

d

d

k

(2)

d

cos(k.(x

1

x

0

)) 1

1

1

d

cos(k

)

For d = 1, G

s

(x) = |x|.

We can dene the following generating function:

G(x

1

x

0

, ) =

t

1

t

1

t

0

P(x

1

, t

1

; x

0

, t

0

)

which is convergent always for || < 1.

G(x

1

x

0

, ) =

d

d

k

(2)

d

e

ik.(x

1

x

0

)

1

d

cos(k

)

One can derive the following equation:

G(x, ) =

t0

t

P(x, t; 0, 0)

=

t>0

[

t

1

2d

P(x+e

, t 1; 0, 0) +P(xe

, t 1; 0, 0)] +P(x, 0; 0, 0)

3

=

2

t0

t

1

2d

P(x + e

, t; 0, 0) + P(x e

, t; 0, 0) +

x,0

Subtracting G(x, ) from the above, we get,

[1 ]G(x, ) =

r

G(x, ) +

x,0

Simplifying to:

[

r

+ (

1

1)]G(x, ) =

x,0

This is the analog of the massive propagator in particle physics.

Continuum limit of the massive propagator: Take x x/a, k ka and

1/ = 1 + m

2

a

2

/2d, in the limit a 0.

g(x, m

2

) = lim

a0

1

2da

d2

G(

x

a

, ) =

d

d

k

(2)

d

e

ik.x

k

2

+ m

2

3 Aside: Polyas random walk constants

Let r(d) be the return probability of a random walk on a simple cubic

lattice in d dimensions. It is easy to show that:

r(d) = 1 G

1

d

(0)

where G

d

is the greens function dened above, in d dimensions.

r(1) = r(2) = 1 since G

1

(0) = G

2

(0) = .

See wolfram mathworld article on Polyas random walk constants and its

references.

4 Path integral formula for p(x, t) and g(x, m)

We rst derive a formula for g(x, m) in terms of p(x, t) analogous to the

formula for G(x, ) in terms of P(x

1

, t

1

; x

0

, t

0

).

g(x, m

2

) = lim

a0

1

2da

d2

G(

x

a

, = (1 +

m

2

a

2

2d

)

1

)

= lim

a0

a

2

2d

t/=0

(1 +

m

2

a

2

2d

)

t/

1

a

d

P(x/a, t/; 0, 0)

=

0

e

m

2

t

p(x, t)

(where we have used

a

2

2d

= 1.)

4

We now use the the convolution property of p(x

1

, t

1

; x

0

, t

0

) to write a path

integral formula for it. And then use the above formula connecting g and

p to write a pathe integral formula for g(x, m

2

).

p(x

f

, t

f

; x

i

, t

i

) =

n1

j=1

d

d

x

j

[4(t

j+1

t

j

)]

d/2

1

[4(t

1

t

0

)]

d/2

e

1

4

n1

j=0

(x

j+1

x

j

)

2

(t

j+1

t

j

)

where x

0

= x

i

and x

n

= x

f

.

We can now write this with the following symbolic formula:

=

x(t

i

)=x

i

andx(t

f

)=x

f

Dx(t) exp[

1

4

dt x

2

]

5

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