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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
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
Hopping On a Lattice
A lattice is a group of sites arranged in a regular pattern. One way of doing this can be labeled by giving the position r=(n1,n2,....)a where the ns are integers. If we include all possible values of these integers, the particular lattice generated is called is called the simple hypercubic lattice. We show a picture of this lattice in two dimensions. This section is devoted to developing the concept of a random walk. We could do this in any number of dimensions. However, we shall approach it is the simplest possible way by rst 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 . At any given time, the position is X(t), which lies on one of the a lattice sites, x=an, where n is an integer. In one step of motion one progress from X(t) to X(t+ ) = X(t)+ aj, where j is picked at random from among the two possible nearest neighbor hops along the lattice, j =1 or j = -1. Thus, < j >=0, but of course the average its square is non-zero and is given by < j2 > =1. We assume that we start at zero, so that our times t =j . It is not accidental that we express the random walk in the same language as the Ising model. We do this to emphasize that geometric problems can often be expressed in algebraic form and vice versa.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
n=
k=1
Notice that n is even if M is even and odd if M is odd. We shall have to keep track of this property in our later, detailed, calculation. We shall also use the dimensional variables for time t=M and for space X(t)=na. We use a capital X to remind ourselves that it is a random variable. When we need a nonrandom spacial variable, we shall use a lower case letter, usually x.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
iv.1
However, of course the mean squared displacement is not zero, since < X (t )2 >= a 2 < j k >= a 2 j ,k = a 2M
j ,k =1 j ,k =1 M M
iv.2
Our statement is the same that in a zero eld uncoupled Ising system, the maximum magnetization is proportional to the number of spins, but the typical magnetization is only proportional to the square root of that number. Typical uctuations are much, much smaller than maximum deviations. We can see this fact by noting that the root mean square average of X2 is a M, which is the typical end-to-end distance of this random walk. This distance is is much smaller than the maximum distance which would be covered were all the steps to go in the same direction. In that case we would have had a distance aM. Thus, a random walk does not, in net, cover much ground.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
An example:
The difference between maximum length and RMS length (root mean square length) needs to be emphasized by an example. Consider a random walk that consists of M= one million steps steps. If each step is one centimeter long the maximum distance traveled is M centimeters, or 10 thousand meters or 10 kilometers. 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 1.6 9/11/09 Leo Kadanoff
We would like to have a simple differential equation which appropriately reects this physics. The simplest form of differential equation would be a form described as a Langevin equation, dX/dt = (t) iv.5
where (t) is a random function of time that we shall pick to be uncorrelated at different times and have the properties <(t)> =0 and <(t) (s)> =c (t-s)j,k This looks like what we did in the random hopping on the lattice, except that we have to x the value of the constant, c, to agree with what we did before. Equation iv.5 has the solution
t
X(t) = X(s) +
s
du (u)
7
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
X(t) = X(s) +
s
du (u)
Using this result, we can calculate, that as before <R(t)-R(s)> =0. A new result is that for t>s, we nd: (what happens for s>t?) < [X (t ) X (s )]2 > = = = More specically, so that a comparison with our previous result indicates that we should choose c= a2 / ` iv.7 so that < [X (t ) X (s )]2 > = a 2 | t s | /
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
du dv < (u ) (v ) >
s s
du dv c (u v ) du c = (t s )c
s s t s
iv.6
iv.8
8
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
In our calculation of the statistical mechanics of the Ising model, or of any other problem involving the statistics of large numbers of particles, the traditional approach to the problem is to calculate the partition unction, Z, a generating function from which we can determine all the statistical properties. The same approach works for the random walk. It is best to start on this calculation by a somewhat indirect route: The spirit of the calculation is that it is simple to nd the average of exp(iqX(t)) where q is a parameter which we can vary and X(t) is our random walk-result. 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, as we shall see, a Fourier transform technique. We start from the simplest such problem. Take t= so that there is but one step in the motion and < exp(iqX())>= < exp(iqa 1(t))>= [exp(iqa) + exp(-iqa)]/2 = cos qa Since X(t) is a sum of M identical terms, the exponential is a product of M terms of the form < exp(iqa j(t))> and each term in the product has exact the same value, the cosine given here. Thus the nal result is <exp(iqX(t))>= [cos(qa)]M. iv.9 As we know from our earlier work such a generating function enables us to calculate, 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
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
A Probability
We wish to describe our result in terms of a probability, n which is the probability X will take on the value na. We can use this probability to calculate the value of any function of X in the form (see equation i.3) < f (X ) >= f (na)n This is an important denition. It says that if X takes on the values na, and the probability of it having the value na is n , 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. We dene X as being time dependent: the probability that X(t) has the value na at time m is then dened to be n,m. The formula for the average is then < f (X (m )) >= f (na)n ,m
n n
iv.10
so that the average is once more the sum of the function times the probability. So tells us everything there is to know about the problem.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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To calculate probability
Start from < f (X ) >= f (na)n
n
choose the function to be an exponential, since we have had, by this time, considerable experience dealing with exponentials < exp(iqX (t ) / a) >= exp(iqn )n ,t /
n
We have already evaluated the left hand side of this expression, so we nd n Im going to spend some time on this result. First, lets say what it is. It gives the probability that after a random walk of M steps a walker will nd 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, M-2, ..,0 , ... just before -M+2, -M. For M being odd the possible sites are M, M-2, , ...,-1,1,... ,-M+2, -M Thus there are a total of M possible sites which could be occupied. Is it true then that an average probability of occupation among these sites is 1/M? or maybe 1/ (2M) Whats a typical occupation? What is that going to be? Recall that the RMS distance covered is ......
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
iv.11
12
We get an answer!
n Here M is the number of steps. 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
iv.11
to expand the left hand side as eiq + eiq M M! eiqM i2q j ( ) = e M 2 j j!(M j)! 2 to get..... M! M2 j,M = 2M j!(M j)!
n,M M! = M +n M n 2M ( 2 )!( 2 )!
We are a bunch of theorists. We have an answer. A formula. Now what can we do with that answer? What can we gure out from here?
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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Fourier transform
iv.11
dq i(pn)q e = n,p 2
To obtain
Because n=M (mod 2), the integrand at q is just the same as the integrand at q+. Therefore one can also write /2 dq inq e [cos q]M n,M = 2 /2 2 We have come across this kind of integral before. Now what?
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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n,M
M! = M +n M n 2M ( 2 )!( 2 )!
We are a bunch of theorists. We have an answer. A formula. Now what can we do with that answer? What can we gure out from here? sterling approximation, for large M, M! M M e-M (2 M )1/2 what happens for n=M, n=-M, n=0, n close to M, n close to -M, n close to zero?
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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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. There is no ambiguity about how things very close to one another behave, because things cannot get very close. 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 lattice sites are given by x = a(n1,n2, n3, ....)/2 . The ns are integers. There are two possible kinds of assignments for the ns: Either they are all even e.g. x = a(0,2, -4, ....)/2 or they are all odd, for example x = a(1,3, -1, ....)/2. If all hopping occurs from one site to a nearest neighbor site, the hops are through one of 2d vectors of the form = a(m1,m2, m3, ....)/2, where each of the ms have magnitude one, but different signs for example a(1,-1,-1, ...). We use a lattice constant, a, which is twice as big as the one shown in the picture. We then choose to describe the system by saying that in each step, the coordinate hops through one of the nearest neighbor vectors, , which one being choosen at random. This particular choice makes the entire coordinate, x, have components which behave entirely independently of one another, and exactly the same as the one-dimensional coordinate we have treated up to now.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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RANDOM WALKS
dspace.mit.edu/.../CourseHome/index.htm
http://particlezoo.les.wordpress.com/2008/09/randomwalk.png
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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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. As an additional difference, the d-dimensional object will be a function of space and time rather than n and M. After a while, we shall focus entirely upon the higher dimensional case and therefore drop the superscripts. We have
d
d an,M =
=1
1 ,M n
However, we can jump directly to the answer for the continuum case, If the probability distribution for the discrete case is simply the product of the onedimensional distributions so must be the continuum distribution. The one-dimensional equation answer in eq iv.9 was 1/2 x 2 /(2a2t ) < (X (t ) = x ) >= e 2 2a t so that the answer in d dimensions must be d /2 r 2 /(2a2t ) < (R(t ) = r) >= e 2 2a t
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iv.9
Here the bold faced quantities are vectors, viz r2 = x2 +y2 +....
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
x 2 /(2a2t )
Notice that the result is a rotationally invariant quantity, 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. We woulod get a very similar result independent of the type of lattice underneath. 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.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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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. dQ/dt=0. In our case the Q in question is the total probability of nding the diffusing particle someplace. Diffusion has a second element: locality. The local amount of Q, called , changes because things ow into and out of a region of space. The ow is called a current, j, and the conservation law is written as conservation law (r ,t ) + j (r ,t ) = 0 t The time derivative of the density is produced by a divergence of the curent owing into a point. On a one dimension lattice, the rule takes the simpler form:
n ,M n ,M = In 1/2,M In +1/2,M +1
conservation law
This equation says that the change of probability over one time step is produced by the ow of probability in from the left minus the ow out to the right. Here, Im going to visualize a situation once more in which we have a discrete time coordinate M and a discrete space coordinate, n. I shall assume that the initial probabilities is sufciently smooth so that even and odd n-values have rather similar occupation probabilities so that we can get away with statement like n ,M +1 n ,M n ,M / M The conservation law then takes the form n ,M / M + In ,M / n = 0
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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The Current
We do not have a full statement of the of what is happening until we can specify the current. An approximate denition of a current in a conservation law is called a constitutive equation. We now write this down. Our hopping model says that a In+1/2,M is given a contribution +1 when the site at n is occupied at time M, and n is equal to +1. On the other hand it is given a contribution -1 when the site at n +1 is occupied at time M, and n+1 is equal to -1. Since there is a probability 1/2 for each of the -events the value of I is
In +1/2,m = (n ,m n +1,m ) / 2
constitutive equation
In ,m = (n ,m / n ) / 2
constitutive equation
This can then be combined with the conservation law to give the diffusion equation n ,M / M = 2n ,M / n 2 / 2 which can be written in dimensional form as 2 diffusion equation = t x2 with the diffusion coefcient being given by =a2/(2 ).
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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Higher Dimension
In higher dimensions, the current is proportional to the gradient of the current
j (r ,t ) = (r ,t )
so that the diffusion equation becomes t (r,t ) = 2(r,t )
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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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, the conservation law guarantees that the rate of change in time will also be slow. In fact this is part of a general principle which permits only slow changes as a result of a conservation law. This general principle is much used in the context of quantum eld theory and condensed matter physics. The idea is connected with the construction of the kind of particle known as a Nambu-Goldstone boson, named for two contemporary physicists, my Chicago colleague Yoichiro Nambu and the MIT theorist Jeffrey Goldstone.
Perimeter Institute Lecture Notes on Statistical Physics part 4: Diffusion and Hops Version 1.6 9/11/09 Leo Kadanoff
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