23 February

1998

PHYSICS LETTERS A
ELSl3VIER

Physics Letters A 239 (1998)

13-16

A fractional diffusion equation to describe L&y flights

A.S.

Chaves a,b,

Departamento de Fisica. Institute de Cihcias Exatas. Universidade Federal de Minas Gerais.

CJ? 702, CEP 30161-970, Belo Horizonte, MG. Brazil
h Departamento de Fisica, Universidade de Brasnia. C.P. 04455. CEP 70910-900, Brasilia, DE Brazil
Received

March 1997; revised manuscript received 15 October 1997; accepted for publication 21 November
Communicated
by A.R. Bishop

1997

Abstract

A fractional-derivatives diffusion equation is proposed that generates the Levy statistics. The fractional derivatives are
defined by the eigenvector equation a: eax = an eoX and for one dimension the diffusion equation in an isotropic medium
reads &n = (D/2) (a, + a,) n + u&n, 1 < ru Q 2. The equation is based on a proposed generalization of Ficks law which
reads j = -(D/2) (Oy-* - '7";'
)n + vn. The diffusion equation is also written for an anisotropic medium, and in this
case it generates an asymmetric Levy statistics. @ 1998 Published by Elsevier Science B.V.
PACS:

02.50.-r;

02.50.Ey;

02.60.Nm;

05.4O.+j

Non-Gaussian
probability distributions of stochastic variables have been a subject of interest for a long
time [ l-31. More recently, these distributions have
been applied to the description of many physical processes, including turbulent flow [ 41, diffusion in complex systems [ 51, chaotic dynamics of classical conservative systems [ 61, and others [ 71.
In this Letter I propose a generalization
of Ficks
law in which the particle current is proportional to
the fractional derivatives of the particle density. With
the generalized Ficks law I obtain a fractional derivatives equation which generates the Levy distribution.
The proposed diffusion equation might be useful for
the investigation of the mechanism of superdiffusion.
With the present approach I also show that superdiffusion in a medium which is not symmetric with respect to space inversion is also asymmetric. This is
very distinct from the behavior of normal diffusion,
which always presents space inversion symmetry. An

0375-9601/98/$19.00
@ 1998 Published
PII SO375-9601(97)00947-X

important consequence of the asymmetry in superdiffusion is that linear transport in such conditions is not
symmetric with respect to the reversion of the bias.
Besides the scientific interest, this could also result in
novel devices.
Ordinary diffusion is an important process described by a Gaussian distribution. In one dimension,
the probability
density P(x, t) of a particle, initially (t = 0) at x = 0, being at x the instant t is
P(x, t) = (4TDt)-1/2exp(
-x2/4Dt),
where D is
the Einstein diffusivity constant. A main feature of
the process is the linear relation between the mean
square displacement and time, namely (x2) = 2Dt. In
anomalous diffusion one might find (x2) cx tY, y # 1,
or else (x) might be a divergent integral for t f 0.
My interest here is in this latter process, so-called
Levy flights, and the associated distribution,
which
is the Fourier transform of p(k, t) = exp( -atlkj),
with (Y < 2. Ordinary diffusion is generated as the

by Elsevier Science B.V. All rights reserved

solution of the Fokker-Planck equation

dfP(X, t> = -v&P(n,

t> +

DajP(n,t) ,

In this Letter I use the fractional derivative linear

operator defined by the eigenvector equation.

(1)

for the initial condition P ( X, 0) = S(n) , where a nonzero mean flow speed u was allowed for the particles,
I propose a generalization of Eq. ( 1) using fractional
derivatives ~?,a,1 < a 6 2, in substitution for $, as a
generator of the Levy flights.
In contrast to the Levy flights, the ordinary diffusion equation is well understood and can be deduced
from the BoItzmann-Gibbs statistics. Another way of
looking at the problem is to examine the physical basis
of Eq. ( 1) . If one combines the continuity equation
V.j+$=O

(2)

(5)
where LY,b and a are complex numbers This form of
derivation can be applied to any function which can
be expanded as a sum of exponentials and therefore
to any distribution. The multiplication rule

(6)
follows immediately from the definition. It is opportune here to notice that by using the definition of fractional derivative given by Eq. (4) one obtains
U-1

with Ficks empirical law

e-

&

1 -

>

I-(--a)
J-= -DVn+vn,

x>o

(31

one obtains Eq. ( 1) for dimension d = 1. Hence,

Ficks iaw can be deduced for a system near equilibrium which is described by the Boltzmann-Gibbs
statistics. Furthe~ore, as Eq. (2) is a fundamental
law for conservative particles, it is inevitable to modify Ficks Iaw in order to obtain anomalous diffusion.
I take this approach in this Letter. There is a very
distinct way of looking at the problem. For a distribution is which, for small time t, the first and second moments are proportional to t and all the other
moments decrease faster than t, it is possible to deduce the Fokker-Pianck equation in terms of those
first moments [2]. That is a matter of ma~ematical
self-consistency in which the mechanism is not relevant. As the second moment of a Levy distribution is
infinite, the method fails in this case. Zaslavsky [6]
extended this traditional approach by using fractional
derivatives and obtained a fractionaf Fokker-Planck
equation which generates the Levy distribution. He
used the Riemann-Liouville fractional derivatives as
defined in Ref. [ 81,

and this is different from an en for fractional CY.Thus,

we are referring to two distinct de~nitions of fractional
derivatives.
Next, I propose to generalize Ficks law to the form
j= -~(V~-l-V_;i)~+mr,

1 <cr<2.

(8)

For (Y= 2, one obtains the current flow as expressed

by Eq. (3). By combining Eq. (2) and Eq. (8) one
obtains a fractional diffusion equation

c?n D
at=2

-(v,a-t-vnt)n-u.vn,

which in one dimension becomes

(10)
Eq. (10) can easily be solved by using the Fourier
transform
n(x,t)

OOdk
--$(

.I

k, t>eikx.

The solution is
where (D-, = xTa-i ,fr( -cY), r is the gamma function and x+ is a generalized function defined on the
positive semi-axis x >, 0.

n(x, t) =

mZ;;n(x,O)P(x
dn

- x, t) ,

(12)

A.S. Chaves/Physics

Letters A 239 (1998)

13-16

where the kernel P(x, t) is

P(x, ?) =

dk
; cos k( x - or)

x exp [cos (a;)

Dfk]

(13)

This is a L&y distribution. The condition (Y > 1 in

Eq. (8) guarantees the convergence of the integral in
Eq. ( 13). The condition (Y < 2 is necessary to guarantee that P( X, t) 3 0, as required by a probability
distribution [ 1,2] .
In the reciprocal space defined for k > 0, Eq. (10)
becomes

a@
at=2

-[(ik)+(-ik)]@-iku@.

( 14)

Plot

of

P(.r, r)= iT(dk/rr)

expl k cos(av/2)

cos[kx + ksin(mr/2)]

Seshadri and West [ 91 first studied the L&y distribution as a solution to a similar equation for the characteristic function. They investigated the distribution of
particle speeds p( u, t) and defined the Fourier transform

P(L), f) =

J
*

dk
%&(

The differential

k, t) e?.

equation

for 4( k, t) is

(17)
where the left (Dr) and right (0,)
distinct. The associated kernel is
OOdk
%p

J
--ca

where the characteristic

function

is

( 19)

where A is an attenuation coefficient for the particle

speeds. Integrating Eq. ( 16), they obtained the characteristic function of the LCvy statistics. The formulation of the diffusion equation in the form of Eq. (10)
is essential for the generalization to anisotropic media,
which is our next step and a main focus of this Letter.
In Eq. (9) we considered that D is an isotropic
generalized diffusivity. In the most general case of
a medium that will be an unjustified assumption
and Eq. ( 10) must be modified to become the skew
Fokker-Planck
equation

corresponds
D,=Oand

for a = 1.25, 1.5, 1.75 and 1.99. This

to P( x, t) defined in Eqs. ( 18) and ( 19) for L= 0.
#t=l.

(15)

(16)

P(X.f)

I.

Fig.

(k, t) ek(x-) ,

diffusivities

are

(18)

This kernel has obviously three properties necessary

to be accepted as a distribution:
Its characteristic function has the properties
(a)
(b)
(c)
which

P(-k,t)

=P*(k,r),

~(0, 1) = 1,
p(k,r+
t) =~(k,t)p(k,t)
means that

(a) P(x,t)
E Iw,
(b) J:aP(X>t)dx=

1,

(c) P(x, t) = J-, P(n - .Y,t)P(y, t - r) d.v,

i.e. P(x, t) is a real normalized
function which
Bachelier-Smoluchowsky-Chapmanobeys
the
Kolmogorov
chain equation
(see for instance
Ref. [ 21) . It remains to prove that P (x, t) is positive. Some numerical inspection convinced me that
this is true, although a mathematical proof has not
been done. Fig. I shows the behavior of P(x, t) for
Dft = 2, D, = 0, u = 0, and four values of LY.
A very important property of P(x, t) given by
Eqs. ( 18) and (19) is that, except for cy = 2,
P(x - ut, t) + P( -x + vt, t). This asymmetry
in the diffusion is exclusively due to the fractional
derivatives. Ficks law for an anisotropic medium is

16

j=-D.Vn+un,

AS.

Chmes/Physics

Letters A 239 (1998) 13-16

(20)

where D is a second rank tensor and consequently

is invariant under space inversion. In the generalized
Ficks law, V, and D are substituted by entities
which do not have a well-defined tensorial character.
Fig. 1 illustrates the asymmetry of the anomalous diffusion in an asymmetric medium. Notice that when cy
increases to values near 2, the distribution becomes
more and more symmetric, even though the medium
is highly asymmetric.
It should be noticed that the integer derivative of a
function f(x) is a local property in the sense that it
can be obtained if one knows the function in an infinitesimal range around X. That is not true for the
fractional derivative, because f(x) must be known in
a finite range, so that one can make the analytical continuation and then to take the derivative. This suggests
that this non-locality in the fractional derivative diffusion equation is what causes the anomaly in the diffusion. Thus, superdiffusion takes place if the medium
cannot be characterized by local properties. This is exactly what happens with a fractal. The connection between non-locality of the fractional derivative and the
Levy flights has already been discussed by Shlesinger
et al. [6] and others [ lo].
Recent works [ 111 have established a link between
the Levy flights and a generalization of statistical mechanics in which the entropy is given by [ 121 S, =
ka( 1 - C;py)/(q
- l), q E R. Hence, it should be
possible to justify Eq. (8) with basis on that entropic
form. For q ----f 1, Si = -kB xi pi In pi, and in this
limit the established Ficks law should be recovered.
The results obtained by Tsallis et al. [ 1l] in fact suggest that the normal Ficks law should be recovered
for q < 513.
I am grateful to J.F. Sampaio, M.L. OCarroll and
J.M. Figueiredo for several discussions, to J.F. Sampaio for the production of the plot in Fig. 1, and to
C. Tsallis for his interest in this work and calling my

attention to the work by Zaslavsky in Physica D. This

work was supported by the Conselho National de Desenvolvimento Cientifico e Tecnologico.

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