Lecture by V.balakrishnan

In Einsteins Footsteps: From Brownian Motion to Fractal
Flights
V. Balakrishnan
Indian Institute of Technology Madras
Stella Maris College, February 12, 2015 p.1/46
Anni mirabili
Truly miraculous yearswatersheds in our understanding

of Nature:
1665-66: Isaac Newton (1642-1727), then in his early
20s, discovered the system of the world, and much else
besides.
1859: Charles Darwin (1809-1882), then 50 years old,
published his Theory of Evolution. He made his voyage
on HMS Beagle when he was 22 years old.
1905: Albert Einstein (1879-1955), then just 26 years old,
published his seminal papers that revolutionized our
understanding of the physical universe in major ways in
three different directions: statistical physics, quantum
physics, relativity.
Here we will focus on aspects of statistical physics.
Einstein in 1905
Seminal papers by Einstein on Brownian motion

On the motion required by the molecular kinetic theory of heat of
particles suspended in fluids at rest, Annalen der Physik Vol.
17, pp. 549-560. Received on May 11, 1905.
Einstein completed his doctoral thesis (on Brownian

motion and related topics) on 30 April 1905; it was
submitted to the University of Zrich on 20 July 1905.
Einsteins second paper on Brownian motion was
On the theory of Brownian motion,
received by Annalen der Physik on 19 December 1905

and published in Vol. 19, p. 371 (1906).
Brownian Motion
Microscopic, micron-sized particles (such as pollen

grains), suspended in a liquid, show erratic, sudden,
irregular movements as though they were being
kicked around in a random fashion.
The phenomenon was known from the early 19th
century. It was initially thought to be due to some living
force or vital force.
The motion was first studied systematically in 1827-28
by the botanist Robert Brown, after which it it became
clear that no vital forces were involved.
By the 1850s the motion was believed to be caused
either by internal motions in the fluid, or by collisions
with fluid molecules from different directions.
A random curve
A smoothed-out, very schematic version of Brownian

motion. True Brownian motion is much more jagged than
this curve.
Einstein recognised that the random, fluctuating force due

to collisions by the molecules of the liquid could cause
such irregular motion.
But he was not convinced that the precision of the
experimental observations available at the time was
good enough to assert that this was so.
This is essentially why the phrase Brownian motion
does not appear in the title of his first paper on the
subject, which was On the motion required by the molecular
kinetic theory of heat of particles suspended in fluids at rest.
But in the text of that paper, he says:

It is possible that the motions to be discussed here are
identical with so-called Brownian molecular motion ...
Determination of Avogadros number
Einsteins aim was far more fundamental: to show that,

if the predictions of the theory could be experimentally
verified, then
... an exact determination of actual atomic sizes
becomes possible.
The determination of atomic sizes and of Avogadros
number NA were strongly motivating and recurring and
themes in Einsteins early work on statistical physics.
Einstein returned to the determination of NA again and
again, proposing several independent methods to
estimate this fundamental quantity.
One of his motivations was to establish beyond all
doubt the atomic nature of matter.
Identification as a diffusion process
Einstein gave an ingenious analysis of Brownian motion

based on physical arguments involving thermodynamic
equilibrium, osmotic pressure, etc. Using these, he
carefully avoided errors that could have arisen from
what we now recognise as mathematical subtleties in
the behaviour of certain random processes.
Markov processes were introduced in the theory of
probability in 1906, by the mathematician A. A. Markov.
A year before that, Einstein had essentially recognized
that Brownian motion was a special kind of Markov
process, now called a diffusion process.
Even earlier, in 1900, Louis Bachelier had studied such
processes in connection with financial fluctuations!
The diffusion equation
Einstein correctly identified the distinct time scales in

the problem of a micron-sized object being buffeted
incessantly and randomly by much smaller molecules.
This helped him write down the equation governing the
probability distribution of the position of the larger
particle.
This is the famous diffusion equation,
2 p(x , t)
p(x , t)
=D
.
2
t
x
Here D is the diffusion coefficient.

This is a p.d.e. of 2nd order in x, but 1st order in time,
reflecting the irreversibility of diffusion.
The fundamental solution
Einstein also gave the fundamental Gaussian solution to

the diffusion equation.
If the particle starts from the origin x = 0 at t = 0, then
1
p(x , t) =
e
4Dt
x2 /4Dt
for any
t > 0.
Crucial characteristic feature of diffusion: the average

value of the square of the distance travelled in any given
direction by a Brownian particle in a time interval t is
proportional to t, rather than t2 :
2
x (t) = 2Dt = rms displacement t
How the Gaussian solution evolves in time
p(x, t)
0.4
0.3
0.2
0.1
x
p(x, t)
0.4
0.3
0.2
0.1
x
p(x, t)
0.4
0.3
0.2
0.1
x
p(x, t)
0.4
0.3
0.2
0.1
x
p(x, t)
0.4
0.3
0.2
0.1
The width of the Gaussian increases linearly with time.

Einsteins deep insight: concentrate on the mean squared

displacement, rather than the instantaneous velocity of
the particle, as the quantity to be studied and
measured.
Modern generalizations of diffusion use the same
criterion: If x2 (t) t , then
< 1 = sub-diffusive
= 1 = diffusive
1 < < 2 = super-diffusive
= 2 = ballistic
> 2 = super-ballistic
Physical examples of all the cases above exist.

The Einstein-Sutherland formula
Using an extremely ingenious argument that

combined thermodynamics with dynamics, Einstein
derived the formula
RT
D=
,
6NA a
where D is the diffusion coefficient, T is the absolute

temperature of the liquid, is its viscosity, R is the gas
constant, and a is the radius of the Brownian particle
(assumed to be spherical).
(Coincidentally, this formula was also obtained
independently by Sutherland (Australia) in March 1905!)
Historically, this is the first example of a
fluctuation-dissipation relationship.
Experimental verification: Perrin
RT
x (t) =
t.
3NA a
2
Hence NA can be determined by observing Brownian

motion and measuring the mean squared displacement
of a Brownian particle over different intervals of time!
The predictions of Einsteins theory were checked by
Jean Perrin and his students in a series of experiments
from 1908 to 1914, and they were all confirmed with an
until then unmatched precision.
With this successful explanation of Brownian motion,

resistance to the reality of atoms essentially ended.
Marian von Smoluchowski (Poland) and Paul Langevin
(France) did pioneering and extremely significant work
on the problem of Brownian motion and related matters
concerning deep issues such as macroscopic
irreversibility, around the same time as Einstein.
Langevins approach is the basis on which
non-equilibrium statistical physics and the applications
of random (or stochastic) processes to physical
problems rest. We will return to this aspect
subsequently.
Random walk model
Brownian motion can be regarded as the limiting case

of a random walk in which the step length and the time
between steps become vanishingly small.
The simplest random walks are on regular lattices, with
the walker jumping from any site to a nearest-neighbour
site at each time step.
A little more generally, the random walker takes a step
in any random direction, but each step has the same
length.
Note that the argument that follows is actually valid in
any spatial dimension.
A simple random walk
R1
R1
R2
R3
R1
R2
R3
rN
R1
R2
R3
rN
R1
R2
What is mean squared end-to-end distance after N random

steps?
There exists a remarkably simple answer to this question!
The solution
One has
1 + R
2 + R
N .
rN = R
2
rN
= rN rN =
N

i=1
Ri2
j .
i R
R
i=j
The solution
One has
1 + R
2 + R
N .
rN = R
2
rN
= rN rN =
N

i=1
Ri2
j .
i R
R
i=j
But if each segment has constant length l, each Ri2 = l2 .

2
2
2
cos ij
rN = N l + l
Rj
i=j
ij
Ri
The solution
One has
1 + R
2 + R
N .
rN = R
2
rN
= rN rN =
N
Ri2
i=1
j .
i R
R
i=j
But if each segment has constant length l, each Ri2 = l2 .

2
2
2
Rj
cos ij
rN = N l + l
i=j
Another possible configuration with

= cos R
cos ij
j
ij
= cos ij = 0 , =
2 1/2
rN
ij
ij
Ri
= l N.
Perhaps the most important square root in the universe!

The continuum limit of a random walk
The steps do not have to be of the same size, nor do

the steps have to be taken at regular intervals.
Normal Brownian motion is the continuum limit of a
random walk in which the random time interval between
steps is distributed exponentially, and the individual
steps can themselves be random in both size and
direction, but the variance of the step size is finite.
E.g., the simulation of Brownian motion that follows
1/L3.8 for a step of length
corresponds to a probability

L. (Hence the variance
dL L2 /L3.8 , which
converges to a finite value.)
Random walk simulations
Random walk simulations
Brownian motion as a stochastic process
Standard Brownian motion is also called a Wiener

process.
If w(t) is a Wiener process, then dw(t) = (t) dt, where
(t) is a Gaussian white noise: it is a stationary,
Gaussian, -correlated Markov process, satisfying
(t) = 0,
(t) (t ) = (t t ).
Brownian motion is therefore the integral of white

noise. It is a non-stationary Gaussian Markov process
with stationary increments.
Generalization: a diffusion process is one that is driven
by white noise, i.e., the solution of the stochastic
differential equation dx(t) = f (x, t) dt + g(x, t) dw(t).
Some peculiarities of a Brownian trail
The sample path of a particle undergoing Brownian

motion in the strict mathematical sense (i.e., a Wiener
process) is not an ordinary, smooth curve.
Its trajectory is a continuous, but extremely jagged,
curve: it is a random fractal.
Its instantaneous velocity is unbounded. (Recall
Einsteins emphasis on the mean square displacement
rather than the instantaneous velocity.)
Almost all Brownian paths are nowhere differentiable.
It is statistically self-similar: its degree of jaggedness
remains unchanged under arbitrarily large magnification
of any portion of the curve.
A sample of Brownian motion in one dimension

x(t)
How far can Brownian motion really go?
Given that x(0) = 0, at any t > 0 (however small), x(t)

can arbitrarily large, in principle.
But there exists a rigorous result, the Law of the Iterated
Logarithm: Let h(t) = [2t log log (1/t)]1/2 . Then, as t 0,

Prob
lim sup w(t)/h(t) = 1 = 1.

Similarly, as t , Prob lim sup w(t)/H(t) = 1 = 1
where H(t) = [2t log log t]1/2 .
There is also the interesting time-reversal property
t w(1/t) = w(t)
(t > 0)
in distribution.
Illustrating the law of the iterated logarithm

h(t)
(1+ ) h(t)
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00000000000000
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(1 ) h(t)
00000000000000
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00000000000000
11111111111111
t
11111111111111
00000000000000
00000000000000
11111111111111
(1 ) h(t)
00000000000000
11111111111111
00000000000000
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00000000000000
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00000000000000
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00000000000000
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00000000000000
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00000000000000
11111111111111
(1+ ) h(t)
The brownian particle is located infinitely often in the

shaded region. Hence it crosses the origin infinitely
often.
The instants of zero crossings form a random fractal
set, of fractal dimensionality 12 .
Brownian trails
The curve is space-filling, in the following sense:

If the Brownian motion is restricted to an infinite line or
an infinite plane, then every point of the line or plane is
sure to be visited infinitely often by the particle as
t . (All roads lead to Rome in 1D and 2D!)
However, the mean time between successive visits is
formally infinite!
If the Brownian motion occurs in three-dimensional
space, the so-called fractal dimension of its trail is 2, and
not 1 as would be expected of an ordinary regular
curve.
This remains true for Brownian motion in any spatial
dimension D 2.
Anomalous diffusion, Levy walks, fractal flights
A long-tailed waiting time distribution between steps

can lead to anomalous or sub-diffusive behaviour.
When the variance of the step size diverges, the random
walk can become super-diffusive.
In either case, the Gaussian solution is no longer valid,
and the probability distribution of the random walker is
generally a Levy distribution.
The paths of such flights are also statistically self-similar
random fractals, but with different fractal dimensions.
For instance, the simulations that follow represent a
Levy flight with a step-size distribution 1/L2.2 . (Hence
dL L2 /L2.2 , which diverges.)

the variance
Levy walk simulations
Levy walk simulations
Langevin equation for diffusion
The diffusion equation used earlier assumes that the

velocity of a Brownian particle is essentially a white noise.
This is unphysical on two counts: The velocity is certainly
finite at all times, and it cannot be completely uncorrelated
(or random) it must have some memory.
A better model is given by the equations of motion
dx(t)
= v(t)
dt
and
dv(t)
m
= mv(t) + (t),
dt
where is the friction coefficient (related to the viscosity of

the fluid) and is a white noise. The latter satisfies

(t) = 0 , (t) (t ) = 2mkB T (t t ) .
The forces mv and (t) represent the systematic

and truly random parts of the force acting on the
diffusing particle as a result of its collisions with the
other molecules of the fluid, which is in thermal
equilibrium at absolute temperature T .
The strength of the white noise, 2mkB T , is directly
proportional to the friction coefficient . This is a
fundamental example of a fluctuation-dissipation relation.
Physical significance: the very same random molecular
collisions that give rise to the fluctuations in the velocity
of the diffusing particle are also responsible for
maintaining thermal equilibrium by damping out any
random excursions away from the average values.
The Fokker-Planck equation
The Langevin equation implies a certain partial differential

equation for the probability density function (x, v, t) of the
diffusing particle in phase space. This master equation is
kB T 2
.
+v
=
(v) +
2
t
x
v
m v
The fundamental solution to this equation is a Gaussian in

the two variables x and v .
If we integrate over all values of the position x, we get the
probability density function of the velocity of the diffusing
particle. This satisfies the Rayleigh equation
kB T 2 p
p
= (vp) +
.
2
t
v
m v
Suppose the initial velocity is some given value v0 . Then

The initial condition on p is
p(v, 0) = (v v0 ).
Using this, we can calculate the mean velocity and the

mean squared velocity as functions of the time t:
v(t) = v0 et = lim v(t) = 0
t
for any v0 .
This shows how thermal equilibrium is maintained with the

help of the friction in the system: the dissipation that is always
present in a system helps damp out the fluctuations and restore the
system to equilibrium.
Similarly, the mean squared velocity is found to be

kB T
kB T
2
2
v (t) =
e2t .
+ v0
m
m
This shows exactly how v 2 (t) approaches the equilibrium
value of the mean squared velocity as t .
The variance of the velocity is therefore

2 k T
B
2t
2
v (t) v(t) =
1e
.
m
The Ornstein-Uhlenbeck distribution
Given the mean and the variance, we can write down the
explicit form of the probability density itself, because the
latter is a Gaussian.
This is the Ornstein-Uhlenbeck distribution

12
2
m
m(v v0 et )
p(v , t | v0 ) =
exp
.
2t
2t
2kB T (1 e
)
2kB T (1 e
)
As t , this tends to the equilibrium or Maxwellian
distribution

12

2
m
mv
p(v, ) =
exp
.
2kB T
2kB T
The time evolution of the velocity distribution
p(v,t)
(vv0)
1.2
0.8
0.4
v0
v
p(v,t)
(vv0)
1.2
0.8
0.4
v0
v
p(v,t)
(vv0)
1.2
0.8
0.4
v0
v
p(v,t)
(vv0)
1.2
0.8
p(v,
)
0.4
v0
v
Velocity autocorrelation function
How rapidly does the velocity of a diffusing particle lose the

memory of its initial value?
This is given by the velocity autocorrelation function,
C(t) = v(0)v(t) = (kB T /m)et
C(t)
1
0.8
0.6
0.4
0.2
t
Mean squared displacement of a diffusing particle
We
2 saw
that the diffusion equation predicted that
x (t) = 2Dt for all t 0. The Langevin model refines this
result. A more accurate formula is

2D
t
x (t) =
t 1 + e
,
where
kB T
.
D=
m
Thus the diffusion approximation is valid for times t

1 ,
which is called the velocity correlation time. This is
typically of the order of microseconds in liquids under
normal conditions.
Note basic relationship between the transport and
dissipation coefficients D and : this is another form of
the fluctuation-dissipation relation.
Variation of mean squared displacement with time

2
x (t)
0.8
0.6
0.4
0.2
slope = 2D
0
A fundamental model for randomness
Brownian motion and its generalizations have become a

paradigm for random motion, with a staggering variety of
applications for instance, in
polymer dynamics, colloidal suspensions, neutrons in a
nuclear reactor, stock market fluctuations, resistor
networks, dynamic friction in star clusters in galaxies,
chemical reaction dynamics, the dynamics of
sand-piles, chromatography, animal herds, swarming
behaviour, cloud shapes, Monte Carlo techniques in
computer simulation, ....
to name just a few!
Vast ramifications
The ramifications of Brownian motion in diverse areas

of both mathematics and physics are just as
unexpected and astounding. For instance:
The theory of stochastic diferential equations and
stochastic calculus have their origins in the early work
on Brownian motion and the Wiener process.
The Gaussian solution written down above leads, via
the so-called Wiener measure, to generalizations of the
heat kernel to arbitrary Riemannian manifolds, to the
Feynman-Kac formula, the path integral formulation of
quantum mechanics, and then on to the modern method
of quantization in quantum field theory.
Bibliography on Einstein in 1905
A. Pais, Subtle is the Lord... The Science and the Life of Albert
Einstein, Oxford University Press, Oxford, 1982.
J. Stachel, Einsteins Miraculous Year: Five Papers that Changed
the Face of Physics, Princeton University Press, Princeton,
1998.
J. S. Rigden, Einstein 1905: The Standard of Greatness,
Harvard University Press, Cambridge, Mass., 2005.
Numerous websites (of varied historical and technical
accuracy !) also exist.
Lessons from Einsteins achievements
What can we students of physics learn on general grounds

from Einsteins revolutionary achievements?
We learn that
it is important to ask questions, no matter how peculiar
or silly they may appear to be at first sight, to get the
fundamentals as clear as possible;
it is most important to acquire a very clear
understanding of basic principles and issues.
Lessons...
We also learn that

it is important to appreciate the vast range of physical
parameters on which natural phenomena occur, in
contrast with the extremely restricted range in which our
everyday macroscopic phenomena occur; and, as a
consequence,
it is necessary to overcome pre-conceived notions that
are not substantiated by the facts; and to avoid
confusing such notions with physical intuition or
understanding.
Nature operates on an incredibly vast scale!
Mass in kilograms:
Human perception: 104 to 104
Nature: 1030 to > 1040
Length in metres:
Nature: 1035 to > 1026
Time in seconds:
Nature: 1042 to > 1017
What should be ones motivation?
Physics is a relatively old science. Its modern version is

nearly 400 years old. Much thought has been given to
the underlying basic principles and phenomena, and a
fairly cogent structure has emerged.
Therefore the motivation should not be to make a
revolutionary discovery or to overthrow Newton,
Einstein, ... . Nor should it be to get the Nobel Prize
or other high awards and prizes.
To quote Landau, in his Plain talk to students of physics:
One must never work for the sake of ulterior motives,
for fame, with an aim at making a great discovery
nothing will come of it anyway.
The ultimate motive should be to understand with honesty
the way nature works.

Lecture by V.balakrishnan

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In Einsteins Footsteps: From Brownian Motion to Fractal

Stella Maris College, February 12, 2015 p.1/46

Truly miraculous yearswatersheds in our understanding

Stella Maris College, February 12, 2015 p.2/46

Stella Maris College, February 12, 2015 p.3/46

Seminal papers by Einstein on Brownian motion

Einstein completed his doctoral thesis (on Brownian

received by Annalen der Physik on 19 December 1905

Stella Maris College, February 12, 2015 p.4/46

Microscopic, micron-sized particles (such as pollen

A smoothed-out, very schematic version of Brownian

Einstein recognised that the random, fluctuating force due

But in the text of that paper, he says:

Determination of Avogadros number

Einsteins aim was far more fundamental: to show that,

Identification as a diffusion process

Einstein gave an ingenious analysis of Brownian motion

The diffusion equation

Einstein correctly identified the distinct time scales in

Here D is the diffusion coefficient.

The fundamental solution

Einstein also gave the fundamental Gaussian solution to

Crucial characteristic feature of diffusion: the average

How the Gaussian solution evolves in time

How the Gaussian solution evolves in time

How the Gaussian solution evolves in time

How the Gaussian solution evolves in time

How the Gaussian solution evolves in time

The width of the Gaussian increases linearly with time.

Einsteins deep insight: concentrate on the mean squared

Physical examples of all the cases above exist.

The Einstein-Sutherland formula

Using an extremely ingenious argument that

where D is the diffusion coefficient, T is the absolute

Experimental verification: Perrin

Hence NA can be determined by observing Brownian

Stella Maris College, February 12, 2015 p.15/46

With this successful explanation of Brownian motion,

Stella Maris College, February 12, 2015 p.16/46

Random walk model

Brownian motion can be regarded as the limiting case

Stella Maris College, February 12, 2015 p.17/46

A simple random walk

Stella Maris College, February 12, 2015 p.18/46

A simple random walk

Stella Maris College, February 12, 2015 p.18/46

A simple random walk

Stella Maris College, February 12, 2015 p.18/46

A simple random walk

Stella Maris College, February 12, 2015 p.18/46

A simple random walk

What is mean squared end-to-end distance after N random

Stella Maris College, February 12, 2015 p.18/46

Stella Maris College, February 12, 2015 p.19/46

But if each segment has constant length l, each Ri2 = l2 .

Stella Maris College, February 12, 2015 p.19/46

But if each segment has constant length l, each Ri2 = l2 .

Another possible configuration with

Perhaps the most important square root in the universe!

The continuum limit of a random walk

The steps do not have to be of the same size, nor do

Stella Maris College, February 12, 2015 p.20/46

Random walk simulations