Continuous Time Random Walk

The Continuous Time Random Walk (CTRW) provides a mathematical framework for the study of transport in heterogenous media. It is much more general than usual transport models based on (local, Markovian) Ordinary Differential Equations, and in particular can handle transport in systems without characteristic scales (such as systems in a state of Self-Organised Criticality or SOC).

Motivation

Interestingly, the absence of local characteristic scales means that effective transport coefficients (the diffusivity etc.) become dependent on the system size, as is indeed suggested by experimental scaling laws for plasma confinement.

In the framework of transport in plasmas, it is believed that the presence of trapping regions (such as turbulent eddies, magnetic islands, internal transport barriers) may lead to sub-diffusion, whereas the occurrence of streamers and profile self-regulation (via turbulence) may lead to super-diffusion. The goal of the CTRW approach is to model the effective transport in the presence of these complex phenomena.

Starting point

CTRW theory starts from the single-particle step distribution function (in one dimension)

$\xi (\Delta x,\Delta t;x,t)$

giving the probability that a particle, located at position x at time t, takes a step of size Δx after waiting a time Δt > 0. All particles are assumed to be identical.

The Master Equation

By making some additional assumptions regarding the nature of this single-particle step distribution, it becomes possible to compute the average behaviour of the system in the limit of infinitely many particles, and to deduce an evolution equation for the particle (probability) density. This equation is a Master Equation.

In standard CTRW theory, it is customary to assume that the single particle step distribution is separable, i.e., that Δx is independent from Δt, so that

$\xi (\Delta x,\Delta t;x,t)=p(\Delta x;x,t+\Delta t)\psi (\Delta t;x,t)$

In addition, homogeneity in space and time is assumed (i.e., p and ψ do not depend on x and t). However, recently it was shown that a Master Equation can also be derived in the case that p depends on x and t, while ψ depends on x (but not t). This significant extension of the standard CTRW model has led to the development of a model with very interesting properties from the point of view of plasma transport (see the cited reference).

The Master Equation can be written in the form

${\frac {\partial n(x,t)}{\partial t}}=\int _{0}^{t}\left(\int _{-\infty }^{\infty }{K(x-x',t-t',x',t')n(x',t')dx'}-n(x,t')\int _{-\infty }^{\infty }{K(x-x',t-t',x',t')dx'}\right)dt'$

where n is the particle (probability) density, and K a kernel of the form

$K(\Delta x,\Delta t;x,t)=p(\Delta x;x,t+\Delta t)\phi (\Delta t;x)$

Fractional Differential Equations

While the Master Equation corresponds to a CTRW in the limit of many particles, the Fractional Differential Equation (FDE) corresponds to a Master Equation in the fluid limit. The fluid limit is the limit of large scales and long times, i.e., ignoring fine detail.

In order to proceed, it is necessary to make an assumption regarding the shape of the distributions appearing in the kernel K. Invoking the Generalized Limit Theorem for the sums of random variables, these distributions are taken to be Lévy distributions. This choice allows modelling both sub- and super-diffusive transport, and in the appropriate limit, standard ("Fickian") transport is recovered.