Random Walk problem

A random walk is a mathematical formalization of a path that consists of a succession of

random steps. For example, the path traced by a molecule as it travels in a liquid or a gas, the
search path of a foraging animal, the price of a fluctuating stock and the financial status of a
gambler can all be modeled as random walks, although they may not be truly random in
reality. The term random walk was first introduced by Karl Pearson in 1905.
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Random walk is intimately linked with diffusion. Diffusion is the process by which
molecules naturally move from highly concentrated regions to regions where they are less
concentrated. But there is something unsatisfying about this description. How is it that a
particular molecule "knows" to move from high to low concentration?
As a test molecule moves about in a region, it is not moving in a vacuum. It quickly
undergoes countless collisions with the surrounding particles in the region. As a result, it is
forced to wander around: to execute a random walk. If a number of such particles were
initially confined in a small region of space, they would wander about in all directions and
spread out. In order to understand what's going on and how to characterize this diffusive
spreading more precisely, let's reduce the problem at first to its barest essentials, and consider
only the motion of particles along one spatial direction, say the "x" direction.

One dimensional random walk

The net motion of a drunk man, without caring whether he is moving forward or
backward, is a common example of random walk. A similar simple situation is the
Brownian motion in one dimension, which we shall discuss below.

In our simplified model we are considering the motion of a suspended particle in a fluid
under the action of molecular impact along x-direction only. x(t) represent the position of the
particle at time ‘t’ [naturally x(t=0)=0]. Each molecular impact causes the test particle to
jump a small distance ‘l’ of constant magnitude in either +ve or –ve direction along x-axis.
Moreover we assume that mean collision time is * = l/vo , where vo is the average velocity of
the particle.

Assumptions:
1] Probability of one step along x and –x directions are equal to (1/2).
2] Successive impacts are mutually uncorrelated (somewhat questionable?)
3] Each particle moves independently of all the other particles. The particles do not
interact with one another. (This will be true to a good approximation in practice provided
that the suspension of particles is sufficiently dilute.)

Probability P(N,n) that n out of N steps along x-direction is

Number of steps along –x direction = m = N-n .

So net displacement along x direction = (n-m)l = r l
n+m =N, n-m = r, so, n = (N+r)/2 and m = (N-r)/2
is the probability of finding the particle at x = rl and at time t = N*.
From binomial distribution, we found

And

Thus x = r l in N steps during time t = N* or, N = t /*


So, for a random walk
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From above discussion of 1D random walk we have seen

We can further transform the above expression of into a continuous Gaussian

distribution [though the motion consist of discrete steps], if N is very large and r << N.
Taking ln of both side of

For large N, lnN! can be simplified using Sterling’s formula:

In general, r<<N, then ln1  Nr   r

N  12  Nr 2  ..
proceeding along same line, after doing some simplifying steps, final expression becomes

Normalizing above expression we get,

This is a Gaussian having peak at r = 0. It is easy to show that < r2> = N

[Using a standard integral involving gamma function: ]

Random walk as diffusion

To make a connection with the phenomenon of diffusion, we now formulate the

random walk problem in terms of a stochastic difference equation. In our formulation we
repeat earlier assertions: each step is of constant magnitude l in either positive or negative
direction of x-axis. The probability of each step in positive or negative direction are equal to
(1/2). Time taken for each step is . is the probability of finding the particle at
and at time .

To reach , at the time , the particle has to be either at

or at , at the previous time .

Thus,
This is a stochastic difference equation and binomial distribution is a solution of it.
Sequences of this type, where the probability at a certain time depends only on the
probabilities at the immediately previous time, are known as “Markov chains”. In this
stochastic equation the detailed dynamics of the physical problem has been replaced by some
probabilistic assertions. This type of approach describe the behaviour of physical systems out
of equilibrium.
Assuming that very small (consequently l also very small), we can write

putting the value of

or,

Multiplying both numerator and denominator of the L.H.S by l (=∆x)

L.H.S - .

L.H.S -

Thus we get a diffusion equation , where

Hence we get the diffusion coefficient for one dimensional random walk as

We have seen earlier that

In above discussion, we have identified the one dimensional random walk as a diffusion
process and the diffusion coefficient is found to be related to the mean square displacement.