These lecture notes from previous years were scribed by students who took this class and are used with their permission. The notes were written by the students as homework assignments. In most cases, Prof. Bazant has reviewed the notes and has made revisions or extensions to the text. However, please be advised that many unedited portions still exist. Notes from the 2003 version of this class have been included in the second table below, beginning with lecture nine. They provide supplementary information on the topics of anomalous diffusion and diffusion-limited growth. All of the notes in this section were provided to students taking the 2006 version of this class.
LEC # | TOPICS | NOTES |
---|---|---|
I. Normal Diffusion: Fundamental Theory | ||
1 |
IntroductionHistory; Simple Analysis of the Isotropic Random Walk in d Dimensions, Using the Continuum Limit; Bachelier and Diffusion Equations; Normal Versus Anomalous Diffusion |
Chris Rycroft (PDF) |
2 |
Moments, Cumulants, and ScalingMarkov Chain for the Position (in d Dimensions), Exact Solution by Fourier Transform, Moment and Cumulant Tensors, Additivity of Cumulants, “Square-root Scaling” of Normal Diffusion |
Ernst van Nierop (PDF) |
3 |
The Central Limit TheoremMulti-dimensional CLT for Sums of IID Random Vectors (Derived by Laplace’s Method of Asymptotic Expansion), Edgeworth Expansion for Convergence to the CLT With Finite Moments |
Jacy Bird (PDF) |
4 |
Asymptotics Inside the Central RegionGram-Charlier Expansions for Random Walks, Berry-Esseen Theorem, Width of the “Central Region”, “Fat” Power-law Tails |
Erik Allen (PDF) |
5 |
Asymptotics with Fat TailsSingular Characteristic Functions, Generalized Gram-Charlier Expansions, Dawson’s Integral, Edge of the Central Region, Additivity of Power-law Tails |
(PDF) |
6 |
Asymptotics Outside the Central RegionAdditivity of Power-law Tails: Intuitive Explanation, “High-Order” Tauberian Theorem for the Fourier Transform; Laplace’s Method and Saddle-point Method, Uniformly Valid Asymptotics for Random Walks |
Mustafa Sabri Kilic (PDF) |
7 |
Approximations of the Bernoulli Random WalkExample of Saddle-point Asymptotics for a Symmetric Random Walk on the Integers, Detailed Comparison with Gram-Charlier Expansion and the Exact Combinatorial Solution |
(PDF) |
8 |
The Continuum LimitApplication of the Bernoulli Walk to Percentile Order Statistics; Kramers-Moyall Expansion From Bachelier’s Equation for Isotropic Walks, Scaling Analysis, Continuum Derivation of the CLT via the Diffusion Equation |
Ernst van Nierop (PDF) |
9 |
Kramers-Moyall Cumulant ExpansionRecursive Substitution in Kramers-Moyall Moment Expansion to Obtain Modified Coefficients in Terms of Cumulants, Continuum Derivation of Gram-Charlier Expansion as the Green Function for the Kramers-Moyall Cumulant Expansion |
Jacy Bird (PDF) |
I. Normal Diffusion: Some Finance | ||
10 |
Applications in FinanceModels for Financial Time Series, Additive and Multiplicative Noise, Derivative Securities, Bachelier’s Fair-game Price |
Erik Allen (PDF) |
11 |
Pricing and Hedging Derivative SecuritiesStatic Hedge to Minimize Risk, Optimal Trading by Linear Regression of the Random Payoff, Quadratic Risk Minimization, Riskless Hedge for a Binomial Process |
J. F. (PDF) Additional Notes (PDF) |
12 |
Black-Scholes and BeyondRiskless Hedging and Pricing on a Binomial Tree, Black-Scholes Equation in the Continuum Limit, Risk Neutral Valuation |
Sergiy Sidenko (PDF) Additional notes on “Gram-Charlier” corrections for residual risk in Bouchaud-Sornette theory, by Ken Gosier (PDF) See also Problem Set 3. |
13 |
Discrete versus Continuous Stochastic ProcessesDiscrete Markov Processes in the Continuum Limit, Chapman-Kolomogorov Equation, Kramers-Moyall Moment Expansion, Fokker Planck Equation. Continuous Wiener Processes, Stochastic Differential Equations, Ito Calculus, Applications in Finance |
Sergiy Sidenko (PDF) |
I. Normal Diffusion: Some Physics | ||
14 |
Applications in Statistical MechanicsRandom Walk in an External Force Field, Einstein Relation, Boltzmann Equilibrium, Ornstein-Uhlenbeck Process, Ehrenfest Model |
Kirill Titievsky (PDF) |
15 |
Brownian Motion in Energy LandscapesKramers Escape Rate From a Trap, Periodic Potentials, Asymmetric Structures, Brownian Ratchets and Molecular Motors (Guest Lecture by Armand Ajdari) |
J. F. (PDF) |
I. Normal Diffusion: First Passage | ||
16 |
First Passage in the Continuum LimitGeneral Formula for the First Passage Time PDF, Smirnov Density in One Dimension, First Passage to Boundaries by General Stochastic Processes |
Mustafa Sabri Kilic (PDF) |
17 |
Return and First Passage on a LatticeReturn Probability in One Dimension, Generating Functions, First Passage and Return on a Lattice, Return of a Biased Bernoulli Walk, Reflection Principle (Guest Lecture by Chris Rycroft) |
Ken Kamrin (PDF) |
18 |
First Passage in Higher DimensionsReturn and First Passage on a Lattice, Polya’s Theorem, Continuous First Passage in Complicated Geometries, Moments of the Time and the Location of First Passage, Electrostatic Analogy |
Kirill Titievsky (PDF) |
I. Normal Diffusion: Correlations | ||
19 |
Polymer Models: Persistence and Self-AvoidanceRandom Walk Models of Polymers, Radius of Gyration, Persistent Random Walk, Self-avoiding Walk, Flory’s Scaling Theory |
Allison Ferguson (PDF) |
20 |
(Physical) Brownian Motion IBallistic to Diffusive Transition, Correlated Steps, Green-Kubo Relation, Taylor’s Effective Diffusivity, Telegrapher’s Equation as the Continuum Limit of the Persistent Random Walk |
Neville Sanjana (PDF) |
21 |
(Physical) Brownian Motion IILangevin Equations, Stratonivich vs. Ito Stochastic Differentials, Multi-dimensional Fokker-Planck Equation, Kramers Equation (Vector Ornstein-Uhlenbeck Process) for the Velocity and Position, Breakdown of Normal Diffusion at Low Knudsen Number, Levy Flight for a Particle Between Rough Parallel Plates |
Ken Kamrin (PDF) |
II. Anomalous Diffusion | ||
22 |
Levy FlightsSteps with Infinite Variance, Levy Stability, Levy Distributions, Generalized Central Limit Theorems (Guest Lecture by Chris Rycroft) |
Neville Sanjana (PDF) |
23 |
Continuous-Time Random WalksRandom Waiting Time Between Steps, Montroll-Weiss Theory of Separable CTRW, Formulation in Terms of Random Number of Steps, Tauberian Theorems for the Laplace Transform and Long-time Asymptotics |
Chris Rycroft (PDF) |
24 |
Fractional Diffusion EquationsContinuum Limits of CTRW; Normal Diffusion Equation for Finite Mean Waiting Time and Finite Step Variance, Exponential Relaxation of Fourier Modes; Fractional Diffusion Equations for Super-diffusion (Riesz Fractional Derivative) and Sub-diffusion (Riemann-Liouville Fractional Derivative); Mittag-Leffler Power-law Relaxation of Fourier Modes |
Yuxing Ben (PDF) |
25 |
Large Jumps and Long Waiting TimesCTRW Steps with Infinite Variance and Infinite Mean Waiting Time, “Phase Diagram” for Anomalous Diffusion, Polymer Surface Adsorption (Random Walk Near a Wall), Multidimensional Levy Stable Laws |
Geraint Jones (PDF) |
26 |
Leapers and CreepersHughes’ Formulation of Non-separable CTRW, Leapers: Cauchy-Smirnov Non-separable CTRW for Polymer Surface Adsorption, Creepers: Levy Walks for Tracer Dispersion in Homogenous Turbulence |
Geraint Jones (PDF) |
Notes from the 2003 Version of this Class
LEC # | TOPICS | SCRIBE NOTES |
---|---|---|
I. Additional Notes on Anomalous Diffusion |
||
9 |
Correlations Between StepsApplications (Polymers, Finance, Turbulent Diffusion,…), Green-Kubo Formula, Anomalous Diffusion, Exponentially Decaying Correlations, Transition from Ballistic to Diffusive Scaling |
Marat Rvachev (PDF) |
10 |
Persistent Random Walks and the Telegrapher’s EquationMarkov Chain for the Persistent Random Walk on the Integers; Continuum Limits: Diffusion Equation with Diffusive Scaling, Telegrapher’s Equation with Ballistic Scaling |
Greg Randall (PDF) |
11 |
More on Persistence and Self-AvoidanceExact Solution of the Markov Chain Difference Equations by Discrete Fourier Transform, CLT, Green Function for the Telegrapher’s Equation and Transition from Ballistic to Diffusive Scaling (again); Self-Avoiding Walk: Distribution and Scaling of End-to-end Distance, Connectivity Constant and Number of SAWs |
Panadda Dechadilok (PDF) |
12 |
Really Fat Tails (Levy Flights)Strong Central Limit Theorems for ‘Slowly’ Diverging Variance, Symmetric Levy Distributions, Asymptotic Expansions, Superdiffusive Scaling; Examples: A Low Density Gas between Two Plates (Knudsen Number » 1), Financial Time Series, Polymer Surface Adsorption |
Greg Randall (PDF) |
13 |
Extreme Events, Levy Stability, and the Continuum LimitExtremes of Independent Random Variables, Frechet Distribution for Parent Distributions with Power-law Tails, the Largest Step of a Levy Flight is at the Same Scale as the Final Position; “Renormalization” of Weakly-correlated Steps, Levy Stable Laws, Gnedenko’s Convergence Theorems; Continuum Limit of Levy Flights, Riesz Fractional Derivative |
Michael Slutsky (PDF) |
14 |
Non-identically Distributed StepsFormal Continuum Limit with Non-identical Steps and Random Waiting Times, Time-dependent Diffusion Coefficient, Rescaled Time = Total Variance, CLT with Different Scaling; CLT and Berry-Eseen Theorem for Non-identical Variables; Breakdown of the CLT: Power-law Growing/decaying Steps, Exponentially Growing/decaying Steps, Fractal Distributions, Non-recombinant and Recombinant Space-time Trees |
Ryan Larsen (PDF) |
15 |
Non-identically Distributed Steps and Random Waiting TimesPseudo-equivalence Between Time-dependent Step Size and Time-dependent Waiting Time Between Steps in the Continuum Limit, Time-dependent Diffusion Coefficient; Geometrically Decaying Step Sizes, Exact Non-Gaussian Solutions; Renewal Theory of Random Waiting Times, Laplace-transform Theory of One-sided Levy Distributions |
Nikos Savva (PDF) |
16 |
Continuous-Time Random WalksSeparable CTRW, Formulation in Terms of Random Number of Steps in a given Time Interval, Probability Generating Functions and Discrete Convolutions, Variance in Step Size Versus Variance in the Number of Steps Taken, Poisson Process, Exact Solution of the Poisson-Bernoulli CTRW |
Greg Randall (PDF) |
17 |
Anomalous Sub-DiffusionMontroll-Weiss Theory of Separable CTRW in Terms of the Random Waiting Time, Moments of the Position, Tauberian Theorems for the Laplace Transform and Long-Time Scaling Laws, Normal Diffusion (CLT + Square-root Scaling); Anomalous Dispersion due to Long Trapping-times with Constant Displacements, Example: Peak Broadening in DNA Gel Electrophoresis; Anomalous Diffusion due to an Infinite Mean Waiting Time, Scalings With and Without Drift |
Kevin Chu (PDF) |
18 |
Non-Markovian Diffusion EquationsContinuum Limits of CTRW; Normal Diffusion Equation for Finite Mean Waiting Time and Finite Step Variance, Exponential Relaxation of Fourier Modes; Fractional Diffusion Equations for Sub-diffusion, Riemann-Liouville Fractional Derivative, Mittag-Leffler Power-law Relaxation of Fourier Modes, Time-delayed Flux |
Ahmed Ismail (PDF) |
19 |
Continuous Laplacian Growth IDiffusion-limited Solidification/Melting, Viscous Fingering in Porous Media or Hele-Shaw Cells; Background from Complex Analysis: Analytic Functions, Conformal Mapping, Potential Theory; Nonlinear Dynamics of Conformal Maps, Polubarinova-Galin Equation for the Time-dependent Map from a Half-plane; Exact Traveling Wave Solutions: Ivantsov Parabola, Saffman-Taylor Fingers |
Ahmed Ismail (PDF) |
20 |
Continuous Laplacian Growth IIPolubarinova-Galin Equation for the Map From the Unit Circle, ODEs for Laurent Coefficients, Area Theorem; Shraiman-Bensimon Solutions for Circles, Ellipses, and General M-fold Perturbations; Proof of Finite-time Singularity for any Meromorphic Initial Condition |
Thierry Savin (PDF) |
21 |
Stochastic Laplacian GrowthDiffusion-limited Aggregation, Fractal Growth; Hastings-Levitov Iterated Conformal Maps, Bump Functions; Morphological Properties, Laurent Coefficients, Univalent Functions, Fractal Dimension |
Michael Slutsky (PDF) |