SERIES  ARTICLE
Snippets of Physics
19. Random Walk Through Random Walks - I
T Padmanabhan works at
IUCAA, Pune and is
interested in all areas
of theoretical physics,
especially those which
have something to do with
gravity.
Keywords
Brownian motion, random walk,
statistical mechanics.
638
T Padmanabhan
F e w p r o c e ss e s in n a tu re a re a s u b iq u ito u s a s th e
r a n d o m w a lk w h ich c o m b in e s e x tra o rd in a ry sim -
p lic ity o f c o n c e p t w ith c o n sid e ra b le c o m p le x ity
in th e ¯ n a l o u tp u t. In th is a n d th e n e x t in sta ll-
m e n t, w e sh a ll e x a m in e se v e ra l fe a tu re s o f th is
r e m a rk a b le p h e n o m e n o n .
In 1 7 8 5 , th e D u tch p h y sicist J a n In g en h a u ez, d iscov erer
o f p h o to sy n th esis, p u t a lco h o l to g o o d u se b y sp rin k lin g
p ow d ered ch a rco a l o n it a n d o b serv in g it u n d er a m i-
cro sco p e. T h e ra n d o m m o tio n o f th e ch a rco a l p a rticles
w a s p ro b a b ly th e ¯ rst o b serva tio n o f w h a t w e n ow ca ll
B row n ia n m o tio n . T h e n a m e co m es fro m R o b ert B row n
w h o p u b lish ed a n ex ten siv e in v estig a tio n o f sim ila r p h e-
n o m en a in 1 8 2 8 . E v en tu a lly, th is w a s h era ld ed a s a n
ev id en ce fo r th e m o lecu la r n a tu re o f m a tter a n d w a s in -
stru m en ta l in th e 1 9 2 6 N o b el P rize in p h y sics to J ea n
P errin fo r d eterm in in g th e A v o g a d ro n u m b er.
It a p p ea rs th a t th e term `ra n d o m w a lk ' w a s ¯ rst co in ed
b y C a rl P ea rso n in 1 9 0 5 , th e sa m e y ea r in w h ich E in stein
p u b lish ed h is p a p er o n B ro w n ia n m o tio n . P ea rso n w a s
in terested in p rov id in g a sim p le m o d el fo r th e sp rea d o f
m o sq u ito in festa tio n in a fo rest { w h ich g o es to sh ow ,
rig h t a t th e o u tset, th e g en era lity o f th e p ro cess! P ea r-
so n 's letter to N atu re w a s a n sw ered b y L o rd R ay leig h
w h o h a d so lv ed th is p ro b lem ea rlier in th e ca se o f so u n d
w av es in h etero g en eo u s m a teria ls. In d ep en d en tly, L o u is
B a ch elo r w a s d ev elo p in g th e th eo ry o f ra n d o m w a lk s in
h is rem a rka b le d o cto ra l th esis L a theorie de la specu -
lation p u b lish ed in 1 9 0 0 . H ere, ra n d o m w a lk w a s su g -
g ested a s a m o d el fo r ¯ n a n cia l tim e series w h ich h a s,
u n til recen tly, h elp ed p h y sicists to g et W a ll S treet jo b s
RESONANCE  July 2009
 SERIES  ARTICLE

w ith th e d isa stro u s co n seq u en ces w e a ll n ow k n ow o n ly It appears that the

to o w ell! T h is b rief g lim p se a t h isto ry a lrea d y sh ow s th e term ‘random walk’
o ccu rren ce o f ra n d o m w a lk in w id ely d i® eren t co n tex ts was first coined by
[1 , 2 ]. Carl Pearson in 1905,
L et u s b eg in b y rev iew in g th e sim p lest o f a ll ra n d o m the same year in
w a lk s in w h ich a p a rticle m ov es fro m th e o rig in , ta k - which Einstein
in g step s o f len g th `, w ith ea ch step b ein g in a ra n d o m published his paper
d irectio n u n co rrela ted w ith th e p rev io u s o n e. T h e d is- on Brownian motion.
p la cem en t o f th e p a rticle a fter N step s is g iv en b y Pearson was
interested in providing
XN a simple model for the
x = xn ; (1 )
spread of mosquito
n= 1
infestation in a forest.
w h ere

jx n j = `; hx n i = 0 ; hx n ¢ x m i = ` 2 ± n m : (2 )

T h e ¯ rst eq u a tio n in (2 ) tells y o u th a t ea ch step h a s a

co n sta n t m a g n itu d e. T h e seco n d a n d th ird eq u a tio n s
(th e sy m b o l h:::i d en o tes av era g in g ov er a p ro b a b ility
d istrib u tio n q u a n tify th e u n correla ted n a tu re o f th e d i-
rectio n s o f th e step s. F ro m th ese, w e ca n im m ed ia tely
o b ta in th e tw o k ey resu lts o f su ch a ra n d o m w a lk . F irst,
hx i = 0 . F u rth er, w e h av e
*Ã !2 +
XN X1
¾ 2 ´ hx 2 i = xn = hx n ¢ x m i = N ` 2 :
n= 1 n ;m = 1
(3 )

T h is sh ow s th e k ey ch a ra cteristic o f th e ra n d o m w a lk
p th a t th e ro o t-m ea n -sq u are d isp la cem en t ¾ g ro w s
v iz.,
as N . The key
characteristic of the
W e ca n th in k o f ` a s ¢ x d en o tin g th e m a g n itu d e o f
random walk is that
th e d isp la cem en t b etw een a n y tw o co n secu tiv e step s. If
the root-mean-
p e tim e in terva l b etw een th e step s is ¢ t, th en ¾ /
th
square displacement
N su g g ests th a t (¢ x )2 = ¢ t rem a in s a co n sta n t in th e
co n tin u u m lim it. C lea rly, a ra n d o m w a lk co rresp o n d s  grows as (n)1/2.

RESONANCE  July 2009 639

 SERIES  ARTICLE

A random walk
to a cu rv e w ith o u t d e¯ n ite slo p e in th e co n tin u u m lim it
corresponds to a
a n d , in fa ct, th e co n tin u u m lim it n eed s to b e ta k en w ith
so m e ca re. T h is is o n e o f th e m a n y rea so n s w h y ra n d o m
curve without definite
w a lk s a re fa scin a tin g .
slope in the
continuum limit and, in T o see h ow su ch a co n tin u u m lim it em erg es in th is co n -
fact, the continuum tex t, it is b etter to g en era lize th e co n cep t o f ra n d o m
limit needs to be w a lk slig h tly b y a ssu m in g th at th e p ro b a b ility fo r th e
taken with some care. p a rticle to ta k e a step g iv en b y th e v ecto r ¢ y is g iv en
This is one of the b y so m e fu n ctio n p (¢ y ) w ith th e p ro p erties
many reasons why Z
i
random walks are h¢ y i ´ d D ¢ y [¢ y ip (¢ y )] = 0 ;
fascinating. Z
i j ± ij
h¢ y ¢ y i ´ d D ¢ y [¢ y i¢ y j p (¢ y )] = h(¢ y )2 i ;
D
(4 )

w h ere i;j;::: = 1 ;2 ;:::D d en o te th e co m p o n en ts o f th e

v ecto r. L et P N (x ) b e th e p rob a b ility th a t th e n et d is-
p la cem en t is x a fter N step s. T h en , sin ce th e step s a re
u n co rrela ted , w e h av e th e elem en ta ry rela tio n :
Z
P N (x ) = d D ¢ y P N ¡1 (x ¡ ¢ y )p (¢ y ) : (5 )

T o o b ta in th e co n tin u u m lim it, w e w ill a ssu m e th a t a

T ay lo r series ex p a n sio n o f P N ¡ 1 (x ¡ ¢ y ) is p o ssib le so
th a t w e ca n w rite (a ssu m in g su m m a tio n ov er rep ea ted
in d ices):
Z ½
P N (x ) »= d ¢ y p (¢ y ) P N ¡ 1 (x ) ¡ ¢ y i@ iP N ¡1 (x )
D

¾
1 i j
+ ¢ y ¢ y @ i@ j P N ¡1 (x )
2
2
h(¢ y ) i 2
= P N ¡1 (x ) + r P N ¡ 1 (x ) ; (6 )
2D
w h ere w e h av e u sed (4 ). In th e co n tin u u m lim it, w e
w ill d en o te th e to ta l tim e w h ich h a s ela p sed sin ce th e
b eg in n in g o f th e ra n d o m w a lk b y t = N ¢ t a n d d e¯ n e a

640 RESONANCE  July 2009

 SERIES  ARTICLE

co n tin u u m p ro b a b ility d en sity b y ½ (x ;t) = ½ (x ;N ¢ t) ´

P N (x ). S in ce w e ca n ta k e (@ ½ = @ t) a s th e lim it [P N (x )¡
P N ¡1 (x )]= ¢ t w h en ¢ t ! 0 , w e g et fro m (6 ) th e resu lt
@½
= K r 2½ ; (7 )
@t
w h ere w e h av e d e¯ n ed a (`d i® u sio n ') co e± cien t K ´
h(¢ y )2 i= 2 D ¢ t. T h e co n tin u u m lim it ex ists if w e ca n
trea t K a s a co n sta n t w h en ¢ t ! 0 . C lea rly, th is is
eq u iva len t to (¢ y )2 = ¢ t b ein g ¯ n ite in th e co n tin u u m
lim it a s w e in d ica ted ea rlier. T h is is q u ite d i® eren t
fro m th e u su a l co n tin u u m lim its w e a re a ccu sto m ed to
in p h y sics in w h ich th e ra tio o f th e d i® eren tia ls of the
sam e order a re rep la ced b y a d eriva tiv e. T h is sh o u ld
w a rn y o u th a t so m eth in g n o n triv ia l is g o in g o n .
T h e ¯ n a l eq u a tio n w e h a v e o b ta in ed , o f co u rse, is th e d if-
fu sio n eq u a tio n w h ich ca n a lso b e w ritten a s (@ ½ = @ t) =
¡ r ¢ J , w h ere th e cu rren t J = ¡ K r ½ a rises d u e to
a g ra d ien t in th e p a rticle d en sity. (In th is fo rm w e ca n
ev en co n sid er a situ a tio n w ith sp a tia lly va ry in g d i® u sio n
co e± cien t K .) T h is in d ica tes th a t d i® u siv e p ro cesses in
p h y sics ca n b e m o d elled a t th e m icro sco p ic lev el b y a
ra n d o m w a lk o f th e d iscrete co n stitu en t elem en t. T h e
d i® u sio n eq u a tio n is a lso u n iq u e in th e sen se th a t it is
n o t in va ria n t u n d er tim e rev ersa l; d i® u sio n g iv es y o u a
d irectio n o f tim e w h ich is a n o th er rem a rk a b le fa ct th a t
a rises in th e co n tin u u m lim it.
B ein g a lin ea r eq u a tio n , th e d i® u sio n eq u a tio n (7 ) ca n
b e so lv ed b y F o u rier tra n sfo rm in g b o th sid es. D en o t-
in g th e F o u rier tra n sfo rm o f ½ (x ;t) b y ½ (k ;t) it is ea sy
to sh ow th a t ½ (k ;t) = ex p (¡ K k 2 t). T a k in g a F o u rier The diffusion
tra n sfo rm , w e g et th e fu n d a m en ta l so lu tio n to th e d i® u - equation is
sio n eq u a tio n (w h ich is essen tia lly th e G reen 's fu n ctio n ) unique in the
to b e sense that it is not
¡x 2 = 4 K
t invariant under
e
½ (x ;t) = : (8 ) time reversal.
(4 ¼ K t)D = 2

RESONANCE  July 2009 641

 SERIES  ARTICLE

The effect of a T h is sh ow s h ow p a rticles lo cated clo se to th e o rig in a t

large number of
t = 0 sp rea d in th e co u rse o f tim e. T h e m ea n sq u a re
collisions is to
sp rea d is clea rly p ro p o rtio n a l to K t w h ich is th e resid u e
o f th e d iscrete resu lt ¾ 2 / N .
make the star
perform a random T h e d i® u sio n o f a p a rticle n eed n o t a lw ay s ta k e p la ce
walk in the in th e rea l 3 -d im en sio n a l sp a ce. A n in terestin g p h e-
velocity space. n o m en o n w h ich o ccu rs in p lasm a s a s w ell a s g rav ita t-
in g sy stem s { in w h ich lo n g -ran g e, in v erse sq u a re fo rces
a ct b etw een p a rticles { in v o lves d i® u sio n in th e veloc-
ity space. A sim p le v ersio n o f th is ca n b e d escrib ed a s
fo llow s. C o n sid er a n ea rly h o m o g en eo u s d istrib u tio n o f
g rav ita tio n a lly in tera ctin g p a rticles (e.g ., sta rs in a g lo b -
u la r clu ster). W h en tw o sta rs sca tter o ® ea ch o th er w ith
a n im p a ct p a ra m eter b, ea ch o n e u n d erg o es a ty p ica l a c-
celera tio n G m = b 2 a ctin g fo r a tim e b= v . A s a resu lt o f
o n e su ch sca tterin g , a ty p ica l sta r w ill a cq u ire a `k ick ' in
th e v elo city sp a ce o f m a g n itu d e ± v ? ¼ G m = bv , ± v ? ¿ v .
T h e e® ect o f a la rg e n u m b er o f su ch co llisio n s is to m a k e
th e sta r p erfo rm a ra n d o m w a lk in th e v elo city sp a ce.
T h e n et m ea n -sq u a re v elo city in d u ced b y co llisio n s w ith
im p a ct p a ra m eters in th e ra n ge (b;b + d b) in a tim e in -
terva l ¢ t w ill b e th e p ro d u ct o f th e m ea n n u m b er o f
sca tterin g s in tim e ¢ t a n d (±v ? )2 . T h e fo rm er is g iv en
b y th e n u m b er o f sca tterers in th e v o lu m e (2 ¼ b d b)(v ¢ t).
H en ce
µ ¶2
2 Gm
h(±v ? ) i = (2 ¼ bd b) (v ¢ t) n ; (9 )
bv
w h ere n is th e n u m b er d en sity o f sca tterers. T h e to ta l
m ea n -sq u a re tra n sv erse v elo city d u e to a ll sta rs is fo u n d
b y in teg ra tin g ov er b w ith in som e ra n g e (b 1 ;b 2 ):
Z b2 µ 2 2¶
2 G m
h(±v ? ) ito ta l ' ¢ t (2 ¼ bd b) (v n )
b1 b2 v 2
µ ¶
2¼ n G 2 m 2 b2
= ¢ t ln : (1 0 )
v b1
W e a g a in see th e sig n a tu re o f ra n d o m w a lk in h± v ?2 i /
¢ t. T h e lo g a rith m ic fa cto r sh ow s th a t w e ca n n o t ta k e

642 RESONANCE  July 2009

 SERIES  ARTICLE

b 1 = 0 ;b 2 = 1 a n d o n e n eed s to u se so m e p h y sica l cri-

teria to ¯ x b 1 a n d b 2 . It is rea so n a b le to ta k e b 2 ' R ,
th e size o f th e sy stem ; a s reg a rd s b 1 , n o tice th a t th e
v elo city ch a n g e p er co llisio n ca n b eco m e co m p a ra b le
to v itself w h en b ' b c ' (G m = v 2 ) a n d o u r d i® u sio n
a p p rox im a tio n b rea k s d ow n . It is, th erefo re, rea so n -
a b le to ta k e b 1 ' b c ' (G m = v 2 ). T h en (b 2 = b 1 ) '
(R v 2 = G m ) = N (R v 2 = G M ) ' N fo r a sy stem in v iria l
eq u ilib riu m . F ro m (1 0 ) w e see th a t th is e® ect is im p o r-
ta n t ov er tim e-sca les (¢ t) w h ich is lo n g en o u g h to m a k e
h(± v 1 )2 ito ta l ' v 2 . U sin g th is co n d itio n a n d so lv in g fo r
(¢ t) w e g et:

v3
(¢ t)g c ' : (1 1 )
2 ¼ G 2 m 2 n ln N
T h is is th e tim e sca le fo r g rav ita tio n a l rela x a tio n in su ch
sy stem s (o r electro m a g n etic rela x a tio n in p la sm a s) a n d
th e ln N fa cto r a rises d u e to d i® u sio n in v elo city sp a ce.
T h e en tire p ro cess ca n b e d escrib ed b y a d i® u sio n eq u a -
tio n in v elo city sp a ce { o r so it w o u ld seem a t ¯ rst sig h t.
A m o m en t o f th o u g h t, h ow ev er, sh ow s th a t if w e d e-
scrib e th e p ro cess b y a d i® u sio n eq u a tio n in v elo city
sp a ce, it w ill m a k e th e ro o t-m ea n -sq u a re vpelo cities o f
every p a rticle in th e sy stem to in crea se a s t a s tim e
g o es o n ; th is v io la tes so m e sa cred n o tio n s in p h y sics
[3 ]. T h is is o n e k ey d i® eren ce b etw een d i® u sin g in rea l
sp a ce co m p a red to v elo city sp a ce a n d th ere m u st ex ist
a p ro cess w h ich p rev en ts th is.
T h is p ro cess is ca lled `d y n a m ica l frictio n '. T o u n d er-
sta n d it, co n sid er a p a rticle (`sta r') w h ich m ov es w ith There is one key
a v elo city V th a t is sig n i¯ ca n tly la rg er th a n th e ro o t- difference between
m ea n -sq u a re sp eed o f th e clo u d o f sta rs a ro u n d it. In diffusing in real space
th e rest fra m e o f th e fa st sta r, o n th e av era g e, o th er sta rs compared to velocity
w ill b e strea m in g p a st it a n d w ill b e d e° ected tow a rd s
space and there must
it. T h is w ill p ro d u ce a slig h t d en sity en h a n cem en t o f
exist a process which
sta rs b eh in d th e fa st sta r. T h is d en sity en h a n cem en t
prevents this.
p ro d u ces th e n ecessa ry fo rce to red u ce th e sp eed V o f

RESONANCE  July 2009 643

 SERIES  ARTICLE

If we take both the

th e sta r. T h is d y n a m ica l frictio n en su res th a t n o ru n -
processes into
aw ay d isa ster o ccu rs in v elo city sp a ce.
account, the If w e ta k e b o th th e p ro cesses in to a cco u n t, th e ev o lu tio n
evolution in the in th e v elo city sp a ce is d escrib ed b y a n eq u a tio n w h ich is
velocity space is a va ria n t o f w h a t is ca lled th e F o k k er{ P la n ck eq u a tio n .
described by an A sim p li¯ ed v ersio n o f th is is g iv en b y
equation which is a ½ 2 ¾
variant of what is @ f (v ;t) @ ¾ @f
= + (® v )f : (1 2 )
called the Fokker– @t @v 2 @v
Planck equation.
T h e ¯ rst term o n th e rig h t-h a n d sid e h a s th e sta n d a rd
fo rm o f a d i® u sio n cu rren t p ro p o rtio n a l to th e g ra d i-
en t in th e v elo city sp a ce. A s tim e g o es o n , th is term
w ill ca u se th e m ea n -sq u a re v elo cities o f p a rticles to in -
crea se in p ro p o rtio n to t in d u cin g th e `ra n d o m w a lk ' in
th e v elo city sp a ce. U n d er th e e® ect o f th is term , all
th e p a rticles in th e sy stem w ill h av e th eir < v 2 > in -
crea sin g w ith o u t b o u n d . T h is u n p h y sica l situ a tio n is
av o id ed b y th e p resen ce o f th e seco n d term (® v f ) w h ich
d escrib es th e d y n a m ica l frictio n . T h e co m b in ed e® ect
o f th e tw o term s is to d riv e f to a M a x w ellia n d istrib u -
tio n w ith a n e® ectiv e tem p era tu re (k B T ) = (¾ 2 = ® ) a n d
(@ f = @ t) = 0 . In su ch a M a x w ellia n d istrib u tio n th e g a in
m a d e in (¢ v 2 ) d u e to d i® u sio n is ex a ctly b a la n ced b y
th e lo sses d u e to d y n a m ica l frictio n . W h en tw o p a rti-
cles sca tter, o n e g a in s th e en erg y lo st b y th e o th er; o n
th e av era g e, w e m ay say th a t th e o n e w h ich h a s lo st th e
en erg y h a s u n d erg o n e d y n a m ica l frictio n w h ile th e o n e
w h ich g a in ed en erg y h a s a ch iev ed d i® u sio n to h ig h er v 2 .
T h e cu m u la tiv e e® ect o f su ch p h en o m en a is d escrib ed
b y th e tw o term s in (1 2 ).
T h e a b ov e p o in ts ca n b e ea sily illu stra ted b y ex p licitly
so lv in g (1 2 ). S u p p o se w e ta k e a n in itia l d istrib u tio n
f (v ;0 ) = ± (v ¡ v 0 ) p ea k ed a t a v elo city v 0 . T h e so lu tio n
o f (1 2 ) w ith th is in itia l co n d itio n is ea sy to ¯ n d :

644 RESONANCE  July 2009

 SERIES  ARTICLE

· ¸1 = 2 · ¸
® ® (v ¡ v 0 e ¡® t )2 The equilibrium
f (v ;t) = ex p ¡ 2
¼ ¾ (1 ¡ e ¡ 2 ® t )
2 ¾ (1 ¡ e ¡2 ® t ) configuration is a
(1 3 ) Maxwellian
distribution of
w h ich is a G a u ssia n w ith th e m ea n < v > = v 0 e ¡ ® t a n d
velocities with this
d isp ersio n < v 2 > ¡ < v > 2 = (¾ 2 = ® )(1 ¡ e ¡2 ® t ). A t la te
particular dispersion,
tim es (t ! 1 ), th e m ea n v elo city < v > g o es to zero
for which f/ t = 0.
w h ile th e v elo city d isp ersio n b eco m es (¾ 2 = ® ). T h u s th e
eq u ilib riu m co n ¯ g u ra tio n is a M a x w ellia n d istrib u tio n
o f v elo cities w ith th is p a rticu la r d isp ersio n , fo r w h ich
@ f = @ t = 0 . T o see th e e® ect o f th e tw o term s in d iv id u -
a lly o n th e in itia l d istrib u tio n f (v ;0 ) = ± (v ¡ v 0 ), w e ca n
set ® o r ¾ to zero . W h en ® = 0 , w e g et p u re d i® u sio n :
µ ¶1 = 2 ½ ¾
1 (v ¡ v 0 )2
f ® = 0 (v ;t) = ex p ¡ : (1 4 )
2¼ ¾ 2 t 2¾ 2 t
N o th in g h a p p en s to th e stea d y v elo city v 0 ; b u t th e v elo c-
ity d isp ersio n in crea ses in p ro p o rtio n to t rep resen tin g a
ra n d o m w a lk in th e v elo city sp a ce. O n th e o th er h a n d ,
if w e set ¾ = 0 , th en w e g et

f ¾ = 0 (v ;t) = ± (v ¡ v 0 e ¡® t ): (1 5 )

N ow th ere is n o sp rea d in g in v elo city sp a ce (n o d i® u -

sio n ); in stea d th e frictio n stea d ily d ecrea ses < v > .
G o in g b a ck to th e d iscrete ca se, w e ca n m a k e a n o th er
u sefu l g en era liza tio n o f (5 ) b y a ssu m in g th a t p (¢ y ) it-
self d ep en d s o n N so th a t th e fu n d a m en ta l eq u a tio n
b eco m es
Z
P N (x ) = d D y P N ¡ 1 (x ¡ ¢ y )p N (¢ y ) : (1 6 )

T h is eq u a tio n , w h ich is a co n v o lu tio n in teg ra l, is triv ia l

to so lv e in F o u rier sp a ce in w h ich th e co n v o lu tio n in -
teg ra l b eco m es a p ro d u ct. If w e d en o te b y P N (k ) a n d
p N (k ) th e F o u rier tra n sfo rm s o f P N (x ) a n d p N (¢ y ) th en

RESONANCE  July 2009 645

 SERIES  ARTICLE

Once again, it is th is eq u a tio n b eco m es P N (k ) = P N ¡ 1 (k )p N (k ). Itera t-

possible to make in g th is N tim es a n d n o rm a lizin g th e in itia l p ro b a b ility
some general b y a ssu m in g th e p a rticle w a s a t th e o rig in w e im m ed i-
comments if the a tely g et
individual probability
YN
distributions pn ( y) P N (k ) = p n (k ) : (1 7 )
satisfy some n= 1
reasonable
D o in g a n in v erse F o u rier tra n sfo rm w e ¯ n d th e so lu tio n
conditions.
to o u r p ro b lem to b e
Z N
d D k ik ¢x Y
P N (x ) = e p n (k ) : (1 8 )
(2 ¼ )D n= 1

O n ce a g a in , it is p o ssib le to m a k e so m e g en era l co m -
m en ts if th e in d iv id u a l p ro b a b ility d istrib u tio n s p n (¢ y )
sa tisfy so m e rea so n a b le co n d itio n s. S u p p o se, fo r sim -
p licity, th a t p n (¢ y ) is p ea k ed a t th e o rig in a n d d ies
d ow n sm o o th ly a n d m o n o to n ica lly fo r la rg e j¢ y j. T h en ,
its F o u rier tra n sfo rm w ill a lso b e p ea k ed a ro u n d th e o ri-
g in in k -sp a ce a n d w ill d ie d ow n fo r la rg e va lu es o f jk j.
F u rth er, b eca u se th e p ro b a b ility is n o rm a lized , w e h av e
th e co n d itio n p n (k = 0 ) = 1 . W h en w e ta k e a p ro d u ct o f
N su ch fu n ctio n s, th e resu ltin g fu n ctio n w ill a g a in h av e
th e va lu e u n ity a t th e o rig in . B u t a s w e g o aw ay fro m
th e o rig in , w e a re ta k in g th e p ro d u ct o f N n u m b ers ea ch
o f w h ich is less th a n u n ity. S o clea rly w h en N ! 1 ,
th e p ro d u ct o f p n (k ) w ill h av e sig n i¯ ca n t su p p o rt o n ly
clo se to th e o rig in .
T h e n o n triv ia l a ssu m p tio n w e w ill n ow m a k e is th a t
p n (k ) h a s a sm o o th cu rva tu re a t th e o rig in o f th e F o u rier
sp a ce a n d is n o t `cu sp y '. T h en , n ea r th e o rig in in F o u rier
sp a ce, w e ca n a p p rox im a te
1 2 2 2 2
p n (k ) ' 1 ¡ ® n k ' e ¡ (1 = 2 )® n k (1 9 )
2

646 RESONANCE  July 2009

 SERIES  ARTICLE

w ith so m e co n sta n t ® n . H en ce th e p ro d u ct b eco m es An observant reader

YN N would have noticed
1 2X 2 N
p n (k ) = ex p ¡ k ® n ´ ex p ¡ ¾ 2 k 2 ; (2 0 ) that we have
2 n= 1 2
n= 1 essentially proved a
w h ere w e h av e d e¯ n ed variant of the central
limit theorem for the
N
2 1 X 2 sum x1 + x2 + ... + xN.
¾ = ® : (2 1 )
N n= 1 n

In th is lim it, th e ¯ n a l F o u rier tra n sfo rm in (1 8 ) is triv ia l

a n d w ill g iv e a G a u ssia n in x w ith hx 2 i / N .
A n o b serva n t rea d er w o u ld h av e n o ticed th a t w e h av e
essen tia lly p rov ed a va ria n t o f th e cen tra l lim it th eo rem
fo r th e su m (x 1 + x 2 + ::: + x N ) o f N in d ep en d en tly
d istrib u ted ra n d o m va ria b les ea ch h av in g its ow n p ro b -
a b ility d istrib u tio n p n (x n ). In fa ct, th e jo in t p ro b a b ility
fo r th ese v a ria b les to b e in so m e g iv en in terv a l is g iv en
b y th e p ro d u ct o f p n (x n )d D x n ov er a ll n = 1 ;2 ;:::N .
T h e p ro b a b ility fo r th eir su m to b e x is g iv en b y
Z YN ³ X ´
P N (x ) = p n (x n )d D x n ± D x ¡ xn ; (2 2 )
n= 1

w h ere th e D ira c d elta fu n ctio n en su res th a t th e su m

o f th e ra n d o m va ria b les is x . W ritin g th e D ira c d elta
fu n ctio n in F o u rier sp a ce, w e im m ed ia tely g et
Z N Z
d D k ik ¢x Y
P N (x ) = e d D x n p n (x n )e ¡ik ¢x n
(2 ¼ )D n= 1
Z N
d D k ik ¢x Y
= e p n (k ); (2 3 )
(2 ¼ )D n= 1

w h ich is id en tica l to th e resu lt w e o b ta in ed ea rlier in

(1 8 ).
A cla ssic ex a m p le in w h ich o u r a n a ly sis (a n d cen tra l
lim it th eo rem ) fails is g iv en b y th e ca se in w h ich ea ch

RESONANCE  July 2009 647

 SERIES  ARTICLE

The key reason for o f th e p ro b a b ility d istrib u tio n s p n (¢ y ) is g iv en b y a

the central limit L o ren tzia n
theorem to fail in (¯ = ¼ )
p n (¢ y ) = : (2 4 )
this case is that the (¢ y )2 + ¯ 2
Lorentzian
distribution has a
T h e F o u rier tra n sfo rm n ow g iv es p n (k ) = ex p (¡ ¯ jk j).
diverging second
C lea rly o u r a p p rox im a tio n in (1 9 ) fa ils fo r th is fu n ctio n
sin ce it is `cu sp y ' d u e to a lin ea r term in jk j n ea r th e
moment.
o rig in . W e ca n , o f co u rse, ca rry o u t th e a n a ly sis in (1 8 )
to g et
Z D
d k ik ¢x ¡N ¯ jk j (N ¯ = ¼ )
P N (x ) = e e = : (2 5 )
(2 ¼ )D jx j2 + (N 2 ¯ 2 )
W e h av e th e resu lt th a t th e p ro b a b ility d istrib u tio n fo r
th e ¯ n a l d isp la cem en t is id en tica l to th e p ro b a b ility d is-
trib u tio n o f in d iv id u a l step s w h en th e la tter is a L o ren t-
zia n { ex cep t fo r th e (ex p ected ) sca lin g o f th e w id th .
T h e k ey rea so n fo r th e cen tral lim it th eo rem to fa il in
th is ca se is th a t th e L o ren tzia n d istrib u tio n h a s a d i-
v erg in g seco n d m o m en t. Y o u sh o u ld rem em b er th is th e
n ex t tim e y o u th in k o f fu ll w id th a t h a lf m a x im u m o f a
L o ren tzia n a s `sim ila r to ' th e w id th o f a G a u ssia n ! T h ere
a re p h y sica l situ a tio n s, (e.g ., o n e ca lled a n o m a lo u s d if-
fu sio n ), w h ich ca n b e m o d elled a lo n g th ese lin es. T h ey
a re ch a ra cterized b y ra n d o m w a lk s in w h ich ev ery o n ce
in a w h ile th e p a rticle ta k es a la rg e step b eca u se o f th e
slow d ecrea se in th e p ro b a b ility p (¢ y ).
V ery o ften o n e co n sid ers ra n d om w a lk o n a la ttice o f sp e-
ci¯ c sh a p e, th e sim p lest b ein g th e D -d im en sio n a l cu b e.
H ere th e p a rticle h o p s fro m o n e site o f th e la ttice to
a n o th er n ea rb y site a lo n g a n y o n e o f th e a x es w ith th e
la ttice sp a cin g ta k en to b e u n ity fo r sim p licity. In th is
ca se th e F o u rier in teg ra ls in (1 8 ) w ill b eco m e F o u rier
series a n d w e g et:
Z¼ YN
dD k
P N (x ) = [co s(k ¢x )] p n (k ) ; (2 6 )
¡¼ (2 ¼ )D n= 1

648 RESONANCE  July 2009

 SERIES  ARTICLE

w h ere a ll th e in teg ra ls a re in th e ra n g e (¡ ¼ ;¼ ) a n d x Suggested Reading

is a v ecto r w ith in teg er va lu ed co m p o n en ts. If p n (k ) is
in d ep en d en t o f n a n d h o p s in a ll d irectio n s fro m a n y site [1] An entertaining discussion
of history is available in B
a re eq u a lly lik ely, th en p (k ) = (1 = D )(co s k 1 + co s k 2 +
Hughes, Random Walks
¢¢¢co s k D ) a n d w e g et and Random
à !N Environments, Vol.1, Ox-
Z¼ D
d k D
1 X ford, 1965.
P N (x ) = [co s(k ¢ x )] co s k j : Also see E W Montroll and
¡¼ (2 ¼ )D D j= 1 M F Shlesinger, On the
(2 7 ) wonderful world of ran-
dom walks, in Studies in
Statistical Mechanics, ed-
A s a test, w e ca n rep ro d u ce th e sta n d a rd resu lt fo r o n e- ited by J L Lebowitz and
E W Montroll, North-Hol-
d im en sio n a l la ttice u sin g (2 7 ). In th is ca se x = J , w ith
land, Vol.11, Amsterdam,
J b ein g a p o sitiv e o r n eg a tiv e in teg er. A fter N step s 1984.
w h en th e p a rticle h a s ta k en n L step s to th e left o f o rig in [2] Joseph Rudnick and
a n d n R step s to th e rig h t, w e h a v e n L + n R = N a n d George Gaspari, Elements
n R ¡ n L = J . S o lv in g , w e g et n R = (1 = 2 )(N + J ); n L = of the Random Walk, Cam-
bridge University Press,
(1 = 2 )(N ¡ J ). T h e p ro b a b ility th a t o u t o f N step s n L
2004.
w ere to th e left a n d n R w ere to th e rig h t is th e sa m e a s [3] There is an interesting his-
g ettin g , say, n L h ea d s w h ile to ssin g N co in s a n d is g iv en tory associated with this is-
by sue, involving S Chandra-
sekhar; see T Padmana-
1 N 1 N ! bhan, Stellar Dynamics and
P N (J ) = C nL = : Chandra, Current Science,
2N 2 N ((1 = 2 )(N + J ))!((1 = 2 )(N ¡ J ))!
Vol.70, p.784, 1996.
(2 8 )

Y o u ca n a m u se y o u rself b y p rov in g th a t th is is a lso g iv en

b y th e in teg ra l in (2 7 ) fo r D = 1 ,
Z¼
dk1
P N (J ) = [co s(k 1 J )](co s k 1 )N (2 9 )
¡¼ (2 ¼ )

a s it sh o u ld . T h e resu lt in (2 7 ) w ill b e u sefu l in th e n ex t Address for Correspondence

T Padmanabhan
in sta llm en t w h en w e a d d ress so m e in terestin g d im en sio n -
IUCAA, Post Bag 4
d ep en d en t p ro p erties o f ra n d o m w a lk s (a n d a n u n ex - Pune University Campus
p ected co n n ectio n w ith electrica l n etw o rk s!). Ganeshkhind
Pune 411 007, India.
Email: paddy@iucaa.ernet.in,
nabhan@iucaa.ernet.in

RESONANCE  July 2009 649