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emergent properties
What makes physics possible? Why are the mathematical laws that
describe our macroscopic world so simple? Our physical laws are not
direct statements about the underlying reality of the Universe. Rather,
our laws emerge out of far more complex microscopic behavior.1 Statistical mechanics provides a set of powerful tools for understanding simple
behavior that emerges from underlying complexity.
In this chapter, we will explore the emergent behavior for random
walks. Random walks are paths that take successive steps in random
directions. They arise often in statistical mechanics: as partial sums of
uctuating quantities, as trajectories of particles undergoing repeated
collisions, and as the shapes for long, linked systems like polymers. They
introduce two kinds of emergent behavior. First, an individual random
walk, after a large number of steps, becomes fractal or scale invariant
(explained in Section 2.1). Secondly, the endpoint of the random walk
has a probability distribution that obeys a simple continuum law, the
diusion equation (introduced in Section 2.2). Both of these behaviors
are largely independent of the microscopic details of the walk; they are
universal. Random walks in an external eld provide our rst examples of conserved currents, linear response, and Boltzmann distributions
(Section 2.3). Finally we use the diusion equation to introduce Fourier
and Greens function techniques (Section 2.4). Random walks neatly
illustrate many of the themes and methods of statistical mechanics.
2.1
2
2.1 Random walk examples: universality and scale invariance
15
2.2 The diusion equation
19
We use angle brackets to denote averages over ensembles. Here our ensemble contains all 2N possible sequences
of N coin ips.
N
ip contributes i = 1 to the total. How big a sum sN = i=1 i =
(heads tails) do you expect after N ips?
The average of sN is not a good measure for the sum, because it is zero
(positive and negative steps are equally likely). We could measure the
average2 absolute value |sN |, but it turns out that a nicer
characteristic
distance is the root-mean-square (RMS) of the sum, s2N . After one
coin ip, the mean square
s21 = 1 = 1/2 (1)2 + 1/2 (1)2 ;
(2.1)
(2.2)
(for example, the probability of having two heads in three coin ips is
three out of eight, HHT, THT, and TTT). Can you guess what s27 will
be, without computing it?
Does this pattern continue? We can try writing the RMS after N
steps in terms of the RMS after N 1 steps, plus the last step. Because
the average of the sum is the sum of the average, we nd
s2N = (sN 1 + N )2 = s2N 1 + 2sN 1 N + 2N .
(2.3)
4
Real perfume in a real room will primarily be transported by convection; in
liquids and gases, diusion dominates
usually only on short length scales.
Solids do not convect, so thermal or
electrical conductivity would be a more
accuratebut less vividillustration
of random walks.
(2.4)
s = s2N = N .
(2.5)
Drunkards walk. Random walks also arise as trajectories that undergo successive random collisions or turns; for example, the trajectory
of a perfume molecule in a sample of air4 (Exercise 2.4). Because the
air is dilute and the interactions are short ranged, the molecule will
basically travel in straight lines, with sharp changes in velocity during
infrequent collisions. After a few substantial collisions, the molecules
velocity will be uncorrelated with its original velocity. The path taken
by the molecule will be a jagged, random walk through three dimensions.
The random walk of a perfume molecule involves random directions,
random velocities, and random step sizes. It is more convenient to study
steps at regular time intervals, so we will instead consider the classic
problem of a drunkards walk (Fig. 2.1). The drunkard is presumed to
2.1
(2.6)
2.2
In the continuum limit of long length and time scales, simple behavior emerges from the ensemble of irregular, jagged random walks; their
evolution is described by the diusion equation:10
2
= D2 = D 2 .
(2.7)
t
x
The diusion equation can describe the evolving density (x, t) of a local
cloud of perfume as the molecules random walk through collisions with
the air molecules. Alternatively, it can describe the probability density of
an individual particle as it random walks through space; if the particles
are non-interacting, the probability distribution of one particle describes
the density of all particles.
In this section, we derive the diusion equation by taking a continuum
limit of the ensemble of random walks. Consider a general, uncorrelated
random walk where at each time step t the particles position x changes
by a step :
x(t + t) = x(t) + (t).
(2.8)
Let the probability distribution for each step be ().11 We will assume that has mean zero and standard deviation a, so the rst few
2.2
S&P
Random
1.5
1
1985
1990
1995
Year
2000
2005
9
Self-avoidance is said to be a relevant perturbation that changes the
universality class.
In (unphysical)
spatial dimensions higher than four,
self-avoidance is irrelevant; hypothetical hyper-polymers in ve dimensions
would look like regular random walks
on long length scales.
10
11
In our two examples the distribution
() is discrete; we can write it using
the Dirac -function (note 4 on p. 6).
For coin ips, () = 1/2 ( + 1) +
1/ ( 1); for the drunkard, () =
2
(|| L)/(2L), evenly spaced around
the circle.
moments12 of are
(z) dz = 1,
z(z) dz = 0,
(2.9)
z 2 (z) dz = a2 .
Fig. 2.4 Continuum limit for random walks. We suppose the typical
step sizes a are small compared to the
broad ranges on which (x) varies, so
we may do a Taylor expansion in gradients of .
13
dx ,
, canceling the minus sign. This
happens often in calculations; watch
out for it.
14
D must be greater than zero. Random walks and diusion tend to even
out the hills and valleys in the density. Hills have negative second derivatives ( 2 /x2 < 0) and should atten
(/t < 0), valleys have positive second derivatives and ll up.
=
(x z, t)(z) dz,
(2.10)
a2 2
=
.
t
2t x2
This is the diusion equation14 (eqn 2.7), with
D = a2 /2t.
(2.12)
(2.13)
15
The diusion equation applies to all random walks, so long as the probability distribution is broad and slowly varying compared to the size and
time of the individual steps.
2.3
As the particles in our random walks move around, they are never created or destroyed; they are locally conserved.15 If (x) is the density of
2.3
a conserved quantity, we may write its evolution law (see Fig. 2.5) in
terms of the current J(x) passing a given point x:
J
= .
t
x
(2.14)
Here the current J is the rate at which stu ows to the right through
the point x; since the stu is conserved, the only way the density can
change is by owing from one place to another. The diusion eqn 2.7
results from current conservation (eqn 2.14) and a current16 that is proportional to the local gradient in the density:
Jdiusion = D
,
x
(2.15)
(2.16)
J(x)
(x ) x
J(x + x)
= J(x) J(x + x)
x,
t
t
and we derive the conserved current relation:
J(x + x) J(x)
J
=
=
.
t
x
x
16
= F
+D 2,
(2.18)
t
x
x
which follows from the current
J = F D
.
x
(2.19)
J
F (x)(x)
2
=
=
+D 2
t
x
x
x
F
2
=
F
+D 2.
x
x
x
Similar problems can arise if the diusion constant depends on space or density. When working with a conserved
property, write your equations rst in
terms of the current, to guarantee that
it is conserved: J = D(, x) +
(x)F (x)(x). The author has observed himself and several graduate students wasting up to a week at a time
when this rule is forgotten.
20
In Chapter 6 we shall derive the
Boltzmann distribution, implying that
the probability of having energy mgh =
E in an equilibrium system is proportional to exp(E/kB T ), where T is
the temperature and kB is Boltzmanns
constant. This has just the same form
as our solution (eqn 2.21), if
D/ = kB T.
(2.22)
= mg
+D
,
t
x
x2
(2.20)
2.4
We take a brief mathematical interlude, to review two important methods for solving the diusion equation: Fourier transforms and Greens
functions. Both rely upon the fact that the diusion equation is linear;
if a family of solutions
2.4
2.4.1
Fourier
2
=
e = D 2 = Dk 2 k eikx ,
t
dt
x
d
k
2
= Dk k ,
dt
2
k (t) = k (0)eDk t .
(2.23)
22
Make sure you know that g(x) =
f (x ) shifts the function in the positive direction; for example, the new
function g() is at what the old one
was at the origin, g() = f (0).
23
Many readers will recognize this
method of calculation from wave equations or Schr
odingers equation. Indeed, Schr
odingers equation in free
space is the diusion equation with an
imaginary diusion constant.
(2.24)
(2.25)
and we recognize eqn 2.26 as the inverse Fourier transform (eqn A.10) of
the solution time evolved in Fourier space (eqn 2.25). Thus, by writing
as a superposition of plane waves, we nd a simple law: the shortwavelength parts of are squelched as time t evolves, with wavevector
2
k being suppressed by a factor eDk t .
2.4.2
Green
Let us rst consider the case where all particles start at the origin.
Suppose we have one unit of perfume, released at the origin at time
t = 0. What is the initial
condition (x, t = 0)? It is zero except at
x = 0, but the integral (x, 0) dx = 1, so (0, 0) must be really, really
innite. This is the Dirac delta-function (x) (see note 4 on page 6)
which mathematically (when integrated) is a linear operator on functions
returning the value of the function at zero:
f (y)(y) dy = f (0).
(2.28)
24
25
1 x2
e 4Dt
2
ix/(2Dt)
(2.31)
2
eDt d.
ix/(2Dt)
(2.32)
This is the Greens function for the diusion equation. The Greens
function directly tells us the distribution of the endpoints of random
walks centered at the origin (Fig. 2.6).
The Greens function gives us the whole probability distribution of
distances. Foran N -step
random walk of step size a, we saw in Section 2.1 that x2 = N a; does this also follow from our Greens
function? At time t, the Greens function
(eqn 2.32) is a Gaus
sian with standard deviation (t) = 2Dt; substituting in our diffusion constant
D =a2 /2t (eqn 2.13), we nd an RMS distance of
(t) = a t/t = a N , where N = t/t is the number of steps taken
in the random walk; our two methods do agree.
Finally, since the diusion equation has translational symmetry, we
can solve for the evolution of random walks centered at any point
y; the time evolution of an initial condition (x y) is G(x y, t).
Since we can write any initial condition (x, 0) as a superposition of
-functions:
(x, 0) = (y, 0)(x y) dy = (y, 0)G(x y, 0) dy,
(2.33)
Exercises 25
26
Exercises
Random walks in grade space, Photon diusion in the
Sun, and Molecular motors describe random walks in diverse contexts. Perfume walk explores the atomic trajectories in molecular dynamics. Generating random walks
numerically explores emergent symmetries and the central limit theorem for random walks. Fourier and Green
and Periodic diusion illustrate the qualitative behavior
of the Fourier and Greens function approaches to solving the diusion equation. Thermal diusion and Frying
pan derive the diusion equation for thermal conductivity,
and apply it to a practical problem in culinary physics.
Polymers and random walks explores self-avoiding random walks; in two dimensions, we nd that the constraint
that the walk must avoid itself gives new critical exponents and a new universality class (see also Chapter 12).
Stocks, volatility, and diversication quanties the uctuations in the stock-market, and explains why diversication lowers your risk without changing your mean asset
growth. Computational nance: pricing derivatives focuses on a single step of a random walk in stock prices,
to estimate the value of stock option. Finally, Building
a percolation network introduces another ensemble (percolating networks) that, like random walks, exhibits selfsimilarity and power-law scaling; we will study the (much
more subtle) continuum limit for percolation in Chapter 12 and Exercise 12.12.
Random walks arise in many contexts; post-publication
ATP
fext
Motor
ADP, P
V
27 This
Free energy
x
Distance x
Exercises 27
from the bead? Let us assume that this stall
force is what is needed to balance the natural
force downhill that the motor develops to propel the transcription process. What does this imply about the ratio of the forward rate to the
backward rate, in the absence of the external
force from the laser tweezers, at a temperature
of 300 K? (kB = 1.381 1023 J/K.) (Hints: If
the population was in thermal equilibrium the
net ux would be equal going forward and backward, the net ux out of a well is the population
in that well times the rate, and a given motor
does not know whether it is part of an equilibrium ensemble.)
Focused
laser
RNA
Bead
DNA
fext
Fig. 2.9 Laser tweezer experiment. The laser
beam is focused at a point (the laser trap); the
polystyrene bead is pulled (from dielectric eects)
into the intense part of the light beam. The track
is a DNA molecule attached to the bead, the motor is an RNA polymerase molecule, and the force
is applied by a glass cover slip to which the motor
is attached. As the motor copies DNA onto RNA,
it pulls the DNA track toward itself, dragging the
bead out of the trap, generating a force resisting the
motion.
2
(2.4) Perfume walk.28 (Computation)
The trajectory of a perfume molecule in still air,
or more generally any molecule in a dilute gas,
is a chaotic path of nearly straight segments followed by collisionsa random walk. You may
download our molecular dynamics software [10]
from the text web site [129].
Run a simulation of an interacting dilute gas,
setting the average velocity of the atoms to
zero.29 Watch the motion of a single perfume
atom. Notice that as it passes the edge of the
container, it reappears at the opposite face; this
simulation uses periodic boundary conditions30
Your software should have options to plot and
analyze the trajectory ru = (xu , yu , zu ) of a
given atom unfolded into a continuous path
which ignores the periodic boundary conditions.
(a) Does the trajectory of the perfume atom appear qualitatively like a random walk? Plot xu (t)
versus t, and xu (t) versus yu (t). The time it
takes the atom to completely change direction
(lose memory of its original velocity) is the collision time, and the distance it takes is the collision length. Crudely estimate these.
(b) Plot r2u (t) versus t, for several individual particles (making sure the average velocity is zero).
Do they individually grow with time in a regular fashion? Plot r2u
versus t, averaged over all
particles in your simulation. Does it grow linearly with time? Estimate the diusion constant
D.
28 This
exercise and the associated software were developed in collaboration with Christopher Myers.
atoms interact via a LennardJones pair potential, which is a good approximation for the forces between noble gas
molecules like argon.
30 Periodic boundary conditions are an articial method which allows a small simulation to mimic innite space, by mathematically identifying the opposite faces of a square region; (x, y, z) (x L, y, z) (x, y L, z) (x, y, z L).
29 The
longer random walks are distributed in a circularly symmetric pattern, even though the single
step random walk N = 1 has a square probability
distribution (Fig. 2.10).
This is an emergent symmetry; even though the
walker steps longer distances along the diagonals
of a square, a random walk several steps long has
nearly perfect rotational symmetry.32
The most useful property of random walks is the
central limit theorem. The endpoints of an ensemble of N step one-dimensional random walks
with root-mean-square (RMS) step-size a has a
Gaussian or normal probability distribution as
N ,
(x) =
1
exp(x2 /2 2 ),
2
(2.35)
with = N a.
(c) Calculate the RMS step-size a for onedimensional steps uniformly distributed in
(1/2, 1/2). Write a routine that plots a histogram of the endpoints of W one-dimensional
random walks with N steps and 50 bins, along
with the prediction of eqn 2.35 for x in (3, 3).
Do a histogram with W = 10 000 and N = 1, 2,
3, and 5. How quickly does the Gaussian distribution become a good approximation to the random walk?
Fig. 2.10 Emergent rotational symmetry. Endpoints of many random walks, with one step (central
square of bright dots) and ten steps (surrounding
pattern). Even though the individual steps in a random walk break rotational symmetry (the steps are
longer along the diagonals), multi-step random walks
are spherically symmetric. The rotational symmetry
emerges as the number of steps grows.
31 This
exercise and the associated software were developed in collaboration with Christopher Myers.
square asymmetry is an irrelevant perturbation on long length and time
scales
(Chapter 12). Had we
kept terms up to
fourth order in gradients in the diusion equation /t = D2 + E2 2 + F 4 /x4 + 4 /y 4 , then F is square
symmetric but not isotropic. It will have a typical size t/a4 , so is tiny on scales large compared to a.
32 The
Exercises 29
time t0 were a -function at x = 0, (x, t0 ) =
(x), what choice of the time elapsed t
0 would
yield a Gaussian (x, 0) = exp(x2 /2)/ 2 for
2
the given diusion constant
D = 0.001 m /s?
)G(y
x,
t
Related formul: (x,
t)
=
(y,
t
(x, t = 10) - 0
0.4
0.4
(x, t = 0) - 0
-0.4
(C)
10
15
20
10
15
20
10
15
20
Position x
10
Position x
(x, t = 10) - 0
-0.4
0.4
20
15
-0.4
(D)
Position x
0.4
(x, t = 10) - 0
(x, t = 10) - 0
0.4
-0.4
(E)
(A)
-0.4
10
15
20
25
30
10
15
20
Position x
(x, t = 10) - 0
0.4
-0.4
(B)
33 You
Position x
Position x
n= (x nL).
(a) Using the Greens function method, give an
approximate expression for the the density, valid
at short times and for L/2 < x < L/2, involving only one term (not an innite sum). (Hint:
How many of the Gaussians are important in this
region at early times?)
(b) Using a Fourier series,33 give an approximate expression for the density, valid at long
times, involving only two terms (not an innite
can use a Fourier transform, but you will nd (k, 0) is zero except at the values k = 2m/L, where it is a -function.
could have derived this law of thermal conductivity from random walks of phonons, but we have not done so.
seem to dene the persistence length with a dierent constant factor.
35 Some
Exercises 31
start random walks at the origin, grow them
without allowing backtracking, and discard them
when they hit the same lattice point twice. As
long as they survive, they average the squared
length as a function of the number of steps.
(c) Measure for a reasonable length of time, print
out the current state,
and enclose it. Did the
simulation give R L? If not, what is the estimate that your simulation gives for the exponent
relating R to L? How does it compare with the
two-dimensional theoretical exponent = 3/4 ?
(2.11) Stocks, volatility, and diversication. (Finance, Computation)
2
Stock prices are fairly good approximations to
random walks. The Standard and Poors 500 index is a weighted average of the prices of ve
hundred large companies in the United States
stock-market.
From the Stock market link on the computer
exercises web site [129], download SandPConstantDollars.dat and the hints les for your preferred programming language. Each line in the
data le represents a weekday (no prices are
listed on Saturday or Sunday). The rst column
is time t (in days, since mid-October 1982), and
the second column is the Standard and Poors
index SP (t) for that day, corrected for ination
(using the consumer price index for that month).
Are the random uctuations in the stock-market
due to external events?
(a) Plot the price index versus time. Notice the
large peak near year 2000. On September 11,
2001 the World Trade Center was attacked (day
number 6903 in the list). Does it seem that the
drop in the stock-market after 2000 is due mostly
to this external event?
Sometimes large uctuations are due to external events; the uctuations in ecological populations and species are also quite random, but
the dinosaur extinction was surely caused by a
meteor.
What do the steps look like in the random walk
of Standard and Poors index? This depends on
how we dene a step; do we ask how much it has
changed after a year, a month, a week, or a day?
A technical question arises: do we measure time
in days, or in trading days? We shall follow the
nance community, and consider only trading
days. So, we will dene the lag variable to be
one trading day for a daily percentage change
(even if there is a weekend or holiday in between), ve for a weekly percentage change, and
SP (t + ) SP (t)
SP (t)
36 Insider
trading is illegal.
exercise was developed in collaboration with Eric Grannan, based on Hull [61].
38 Technically, this is a European-style call option; an American-style option would allow you to buy the house at any time in
the next two years, not just at the end date.
39 If you sell widgets for dollars, but pay salaries in pesos, you are likely to want to buy insurance to help out if the dollar falls
dramatically with respect to the peso between now and when you are paid for the widgets.
40 Having only two nal prices makes the calculation less complicated. The subscripts u and d stand for up and down.
37 This
Exercises 33
Let the two possible values of the option at the
expiration date be Vu and Vd .41 Let V0 be the
fair initial price of the derivative that we wish to
determine.
Consider a portfolio P that includes the derivative and a certain amount of the stock. Initially the value of P is P0 = V0 + X0 . At the
expiration date the value will either be Vu +Xu
or Vd + Xd .
(a) What value of makes these two nal portfolio values equal? What is this common nal
value PF ?
(b) What initial value V0 of the derivative makes
the initial value of the portfolio equal to the nal
value? (Express your answer rst in terms of
PF , , and X0 , before substituting in your answers for part (a).) This is the value at which
no net prot is made by either buyer or seller of
the derivative; on average, the derivative gives
the same return as cash.
(c) Does your answer depend upon the probabilities pu and pd of going up or down?
This portfolio is a weighted average of derivative
and stock that makes the owner indierent as to
whether the stock goes up or down. It becomes a
risk-free asset, and so its value must increase at
the risk-free rate; this is the fundamental insight
of arbitrage pricing. (An arbitrage is roughly a
situation where there is free money to be made;
a strategy for updating a portfolio where some
nal states have positive value and no nal states
have negative value with respect to risk-free investments. In an ecient market, there are no
opportunities for arbitrage; large investors have
bought and sold until no free money is available.)
You can run exactly the same argument for more
than one time step, starting at the nal state
where the values of the derivative are known, and
working your way back to the initial state; this
is the binomial tree method of pricing options. If
the market is ecient, the average growth in the
value of the stock must also grow at the risk-free
rate, so the only unknown is the volatility of the
stock (how large the uctuations are in the stock
price, Exercise 2.11). In the continuum limit this
tree becomes the famous BlackScholes partial
dierential equation.
41 For
example, if the derivative is a call option allowing the buyer to purchase the stock at Xf with Xu > Xf > Xd , the value
of the derivative at the expiration date will either be Vu = Xu Xf or Vd = 0 (since in the latter case the buyer would choose
not to exercise the option).
42 This exercise and the associated software were developed in collaboration with Christopher Myers.
nodes
in
the
new
43 Percolation is, in a formal sense, an equilibrium phase transition. One can show that percolation is the q 1 limit of an
equilibrium q-state Potts modela model where each site has a spin which can take q dierent states (so q = 2 is the Ising
model) [25, section 8.4]. But you do not need partition functions and the Boltzmann distribution to dene the problem, or to
study it.
Exercises 35
set the current shell to nextShell.
Return the cluster.
(2) FindAllClusters(graph), which sets up the
visited set to be False for all nodes, and
calls FindClusterFromNode(graph, node,
visited) on all nodes that have not been
visited, collecting the resulting clusters. Optionally, you may want to order the clusters
from largest to smallest, for convenience in
the graphics (and in nding the largest cluster).
HasNode(neighbor) to bond to all existing neighbors. Alternatively, you can start by generating
a whole matrix of random numbers in one sweep
to determine which sites are occupied by nodes,
add those nodes, and then ll in the bonds. Check
your resulting network by running it for small L
and using the graphics software provided. (Notice the shifted periodic boundary conditions at
the top and bottom, see Fig. 2.13.) Use your routine from part (c) to generate the clusters, and
check these (particularly at the periodic boundaries) using the graphics software.
(e) Generate a small square-lattice bond percolation cluster, perhaps 30 30, and compare with
a small triangular-lattice site percolation cluster.
They should look rather dierent in many ways.
Now generate a large45 cluster of each, perhaps
10001000 (or see Fig. 12.7). Stepping back and
blurring your eyes, do the two look substantially
similar?
Chapter 12 and Exercise 12.12 will discuss percolation theory in more detail.
44 The
graphics software uses the periodic boundary conditions to shift this rhombus back into a rectangle.
code, if written properly, should run in a time of order N , the number of nodes. If it seems to slow down more than a
factor of 4 when you increase the length of the side by a factor of two, then check for ineciencies.
45 Your