Simple Brownian Diffusion

An Introduction to the Standard

Theoretical Models

Daniel T. Gillespie & Effrosyni Seitaridou

OXFORD
UNIVERSITY PRESS
Contents

1 The Fickian theory of diffusion 1

1.1 Fick's Law and the diffusion equation 1

1.2 Some one-dimensional examples 2

1.3 The road ahead 16

Note to Chapter 1 18

2 A review of random variable theory 19

2.1 Probability 19

2.2 Definition of a random variable 20

2.3 Some commonly encountered random variables 21

2.4 Multivariate random variables 24

2.5 Functional transformations of random variables: the RVT theorem 24

2.6 Some useful consequences of the RVT theorem 26

2.7 The bivariate normal random variable 30

2.8 Generating numerical samples of random variables 31

2.9 Integer-valued random variables 34

Notes to Chapter 2 36

3 Einstein's theory of diffusion 38

3.1 Einstein's derivation of the diffusion equation 38

3.2 A critique of Einstein's derivation 40

3.3 Einstein's new perspective 40

3.4 The covariance and correlation 42

3.5 The relative diffusion coefficient 44

3.6 The probability flux: boundary conditions 45

3.7 The stochastic bimolecular chemical reaction rate: Part I 48

Notes to Chapter 3 54

4 Implications and limitations of the Einstein theory of diffusion 57

4.1 Numerical simulation strategies 57

4.2 A serious problem 63

4.3 Proof of Eqs (4.12) and (4.13) in two dimensions 64

4.4 Implications of Eqs (4.12) and (4.13) 65

4.5 A hint of a quantitative lower bound on At in Eqs (4.11) 66

4.6 The small-scale motion of a solute molecule 67

4.7 Collision probability of a solute molecule with a surface 67

4.8 The stochastic bimolecular chemical reaction rate: Part II 71

Notes to Chapter 4 74

Appendix 4A: Proof of the reflecting boundary point simulation procedure 75

Appendix 4B: Proof of the absorbing boundary point simulation procedure 76

Appendix 4C: The Maxwell-Boltzmann distribution 79

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5 The discrete-stochastic approach 81

5.1 Specification of the system 81

5.2 The key dynamical hypothesis 83

5.3 Connection to the classical Fickian model 85

5.4 Connection to the Einstein model 86

5.5 Constraints on I and St 91

5.6 A more accurate formula for K; 92

5.7 The discrete-stochastic model's version of Fick's Law 95

5.8 Does the concentration gradient "cause" diffusion? 98

5.9 A microfluidics diffusion experiment 99

Notes to Chapter 5 107

6 Master equations and simulation algorithms for the

discrete-stochastic approach 109

6.1 The single-molecule diffusion master equation 109

6.2 Relation to the Einstein model of diffusion 110

6.3 Solutions to the single-molecule master equation 112

6.4 Simulating the discrete-stochastic motion of a single solute molecule 114

6.5 Some examples of single-molecule simulations 116

6.6 The many-molecule diffusion master equation 121

6.7 The case M =

2: an exact solution of a different kind 123

6.8 The moments of the cell populations: recovering the

diffusion equation 126

6.9 Simulating the discrete-stochastic motion of an ensemble of solute

molecules 127

6.10 Some examples of many-molecule simulations 129

6.11 A simulation study of Fick's Law 136

Appendix 6A: General solution to the single-molecule master equation 141

Appendix 6B: Confidence intervals in Monte Carlo averaging 143

Appendix 6C: Derivation of the first moment equation (6.31) 145

7 Continuous Markov process theory 149

7.1 The Chapman-Kolmogorov and Kramers-Moyal equations 149

7.2 The process increment and its PDF 151

7.3 The self-consistency requirement 152

7.4 Derivation of the Langevin equation 153

7.5 implications of the Langevin equation 156

7.6 The forward Fokker-Planck equation 157
7.7 Multivariate continuous Markov processes 159

7.8 The driftless Wiener process 160

7.9 The Ornstein-Uhlenbeck process 161

7.10 The time-integral of the Ornstein-Uhlenbeck process 164

7.11 Numerically simulating the driftless Wiener process 167

7.12 Numerically simulating the Ornstein-Uhlenbeck process and its

integral 168
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7.13 The backward Fokker-Planck equation 168

Notes to Chapter 7 171

8 Langevin's theory of diffusion 174

8.1 Langevin's key assumption 174

8.2 A physical rationale for Langevin's assumption 176

8.3 Fixing the factor /: the fluctuation-dissipation theorem 180
8.4 The Langevin diffusion formulas 181

8.5 The correlation between position and velocity 182

8.6 Two-time auto-correlations 184

Note to Chapter 8 190

9 Implications of Langevin's theory 192

9.1 The Langevin mean-square displacement formulas 192

9.2 The coefficient of diffusion: the connection to Einstein's theory 193

9.3 The relaxation time and the characteristic diffusion length 196
9.4 Implications for the discrete-stochastic model of diffusion 197

9.5 The Langevin picture of Vx(t) 199

9.6 The Langevin simulation formulas 200
9.7 Examples of trajectory simulations in the Langevin and Einstein
theories 202

9.8 The relative motion of two solute molecules 214

9.9 The velocity auto-covariance formula for D 217

9.10 The energetics of diffusion 219

9.11 Are there "overdamped diffusing systems" ? 220
Notes to Chapter 9 222

10 Diffusion in an external force field 224

10.1 The Smoluchowski equation—a Fickian derivation 224

10.2 An application: a rudimentary type of gradient-sensing chemotaxis 226

10.3 The Langevin equation for a solute molecule in an external

force field 230
10.4 The Kramers equation 231
10.5 Energetics revisited 233

10.6 Some interesting aspects of the uninteresting limit y —> 0 234

10.7 The large-y limit: the Smoluchowski equation revisited 236

10.8 A constant external force field in the Langevin picture 239

Notes to Chapter 10 244

11 The first-passage time approach 247

11.1 The basic first-passage time problem 247

11.2 Limitations of the usual simulation approaches 248

11.3 A direct analytical approach 249

11.4 A little help from the backward Fokker Planck equation 251
11.5 Formulas for the moments of the first-passage time 253
11.6 Explicit solutions for the mean and variance 255
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258
11.7 Implications for the discrete-stochastic approach
263
11.8 An "averaged" first-passage time
266
11.9 Some conclusions

269
Index