Brownian motion · The distribution argument

Different steps. The same spreading law?

Begin with a coin walk you can count exactly. Change the shape of each step without changing its variance. Then see what adding many independent steps preserves, and which assumptions the argument needs.

The independent-step argument

From random steps to diffusion

A coin gives only two possible next steps; a uniform law fills an interval; a Gaussian law has tails. Keep their step variance equal, and ask what survives after many independent steps.

Predict before the numbers

After many steps, what will changing the step law while keeping its variance do?

Three relations the model could have

The result appears when you choose, say you have one in mind, or skip.

Choose a step law and observe
Experiment settings step size, timing, walkers, recorded steps, seed, bias example
With the same settings, the same seed replays the same trial. Any whole number from 0 to 18,446,744,073,709,551,615 works.

All three sampled laws have the stated step RMS. The bias example below is analytical only and does not change the recorded walk. The uniform finite-step comparison admits at most 400 observed steps.

Observation buttons use the accepted setup, not unsubmitted draft edits. They return to the same trial, not a fresh sample.

Keeping a seed across step-law changes is a reproducible comparison, not a claim of independent trials. Shared links load settings only; they never start a calculation.

Fraction in each bin0.38292−2.5 μm2.5 μm
Solid bars: all 2000 synthetic endpoints. Short solid marks: the finite-step law. Dashed: Gaussian probabilities over exactly the same bins, not a density curve. Outside the bins: 0 left, 0 right; these walkers remain in every statistic.
Step law and whole-ensemble spread
QuantityAccepted value
Step variance (μm²)0.25
Step fourth moment (μm⁴)0.0625
Diffusion coefficient (μm²/s)1.25
Sample signed mean (μm)0.0005
Sample mean square (μm²)0.9865
Model mean square (μm²)1
Model RMS displacement (μm)1

Static worked example

Model note
  • Mean step (stepMean), Step variance (stepSecondMoment), Step fourth moment (stepFourthMoment) and Mean step of the biased walk (biasedMean): Host calculation, by the site's own reference code. Computed in diffusion.kernelMoments.
  • Diffusion coefficient (diffusionCoefficient), Diffusion coefficient of the biased walk, by the pure-diffusion argument (biasedDiffusion), Drift speed of the biased walk (biasedDrift), Centered-variance coefficient of the biased walk (biasedCenteredDiffusion) and Diffusion coefficient for Cauchy steps (cauchyDiffusion): Host calculation, by the site's own reference code. Computed in diffusion.kernelDiffusivity.
  • Excess kurtosis of one step (stepKurtosis), Number of walkers (walkerCount), Excess kurtosis of the summed displacement (sumKurtosis), Shape plus sampling allowance (agreementBound), Whether the sample-to-Gaussian gap lies within the allowance (withinBound), Edges of the histogram bins (histogramEdges), Finite-step probability of each histogram bin (histogramExact), Times along the drawn traces (traceTimes), Step counts compared (comparisonSteps), Sample mean square at each compared step count (comparisonSampleMsd), Model mean square at each compared step count (comparisonModelMsd), Sample-to-Gaussian gap at each compared step count (comparisonDistance), Finite-step shape gap at each compared step count (comparisonShape), Intervals in the shrinking-interval table (continuumIntervals), Step RMS that keeps the ratio fixed, at each interval (fixedRatioSteps), Random draws executed for this request (requestDraws), Whether the existing recording was reused (reusedRecording) and Memory held by the kept recording, in bytes (retainedBytes): Host calculation, by the site's own reference code. Computed in bm05.measure.
  • Sample signed mean (sampleMean), Sample mean square (sampleMeanSquare) and Sample coordinate RMS (sampleRms): Host calculation, by the site's own reference code. Computed in diffusion.ensembleMoments.
  • Model mean square (modelMeanSquare), Model RMS displacement (modelRms) and Elapsed time (elapsedTime): Host calculation, by the site's own reference code. Computed in diffusion.randomWalkMoments.
  • Sampling allowance (samplingTerm): Host calculation, by the site's own reference code. Computed in diffusion.dkwBound.
  • Walker positions after the last step (walkPositions), Displacements along the drawn traces (traceDisplacements) and Random draws in the recording (recordingDraws): Host calculation, by the site's own reference code. Computed in diffusion.recordWalks.
  • Kolmogorov distance (kolmogorovDistance): Host calculation, by the site's own reference code. Computed in diffusion.kolmogorovDistanceToGaussian.
  • Finite-step shape gap (shapeTerm): Host calculation, by the site's own reference code. Computed in diffusion.kolmogorovShapeTerm.
  • Count in each histogram bin (histogramCounts), Share of the sample in each histogram bin (histogramFrequencies), Samples below the plotted range (underflow) and Samples above the plotted range (overflow): Host calculation, by the site's own reference code. Computed in diffusion.displacementHistogram.
  • Gaussian probability of each histogram bin (histogramGaussian): Host calculation, by the site's own reference code. Computed in diffusion.intervalProbability.
  • Displacements the coin walk can reach (coinPositions), Exact probability of each coin-walk displacement (coinProbabilities), Coin paths ending at each displacement (coinNumerators) and Number of equally likely coin paths (coinDenominator): Host calculation, by the site's own reference code. Computed in diffusion.coinWalkDistribution.
  • Diffusion coefficient as the interval shrinks with the step fixed (continuumLimit), Coefficient with the step kept fixed, at each interval (fixedStepCoefficients) and Coefficient with the ratio kept fixed, at each interval (fixedRatioCoefficients): Host calculation, by the site's own reference code. Computed in diffusion.continuumLimit.
  • Random draws replayed from the recording (replayedDraws): Host calculation, by the site's own reference code. Computed in diffusion.observeWalks.
  • Seed 1905: with the same settings, the same seed replays the same trial.
  • Computed from the settings last applied (settings revision 1, result 1).
  • Not modeled: A continuous Langevin path; only independent steps of a chosen law.
  • Show the code

Accepted Equal left/right jumps: 2000 walkers after 4 steps, model mean square 1 square micrometres.

Accepted trial: Equal left/right jumps; seed 1905; 2000 walkers; step RMS 0.5 μm; interval 0.1 s. Observed after 4 of 400 recorded steps. Elapsed time: 0.4 s.

Two reasons the histogram is not a perfect bell

For coin and uniform steps, a finite number of steps leaves a shape gap, even with infinitely many walkers. Gaussian steps are the exception: their sums are Gaussian already. A finite number of walkers adds sampling variation. Neither is hidden by renormalizing the histogram.

Largest cumulative-probability gap, not a visual fit score
Sample-to-Gaussian gap0.192
Finite-step shape gap0.1875
Sampling allowance0.043592
Shape plus sampling allowance0.23109

This sample is within the declared shape-plus-sampling allowance. The sampling allowance has 99.9% coverage for one prespecified comparison under the model, not simultaneous coverage over every trial or observation.

Exact coin probabilities after 4 steps
Binomial counts out of 16 equally likely paths
Displacement (μm)Exact fraction
−21 / 16
−14 / 16
06 / 16
14 / 16
21 / 16
Read the histogram as counts and probabilities
Every bin has the same boundaries for all three columns; the last right endpoint is included
Interval (μm)CountFinite-step probabilityGaussian probability
−2.5 to −1.51250.06250.060598
−1.5 to −0.54910.250.24173
−0.5 to 0.57620.3750.38292
0.5 to 1.55020.250.24173
1.5 to 2.51200.06250.060598
Signed displacement (μm)200 s0.4 s
The first 20 paths, sampled at at most 101 times for drawing. Joining recorded points does not model motion between jumps. These are mathematical walks, not observed molecular collisions.

What remains different after many steps?

Cumulative-probability gap0.1921 step400 steps
Solid: this sample’s largest cumulative-probability gap from the Gaussian. Dashed: the finite-step law’s gap. The step axis is logarithmic. Lines only join the evaluated step counts; fluctuations in a finite sample need not decrease at every observation.
Same recorded trial: shape and spread at each comparison
StepsSample gapLaw gapSample mean square (μm²)Model mean square (μm²)
40.1920.18750.98651
160.1040.098193.9974
640.0514620.04967316.02116
4000.0384110.01993597.652100

A particle jostled by molecules takes many small, independent steps. Whatever the shape of one step, so long as it is symmetric and very large steps are rare enough, the spread after many steps grows as the square root of the time, and its shape comes to look like a bell curve.

Section 4 of the Brownian paper supposes an interval τ short compared with any time we observe, but long enough that a particle's motions in successive intervals are independent, and a law φ(Δ) for the displacement Δ in one interval that is symmetric, φ(Δ) = φ(−Δ), and nonzero only for small Δ. Expanding the new distribution in powers of Δ, symmetry removes the odd terms and the second-order term leaves the diffusion equation ∂f/∂t = D ∂2f/∂x2, with D = (1/τ)∫(Δ2/2)φ(Δ)dΔ. From a point start its solution is the Gaussian law of errors, with root-mean-square displacement λx = √(2Dt). The instrument makes the argument concrete with walkers that step every τ = 0.1 s: coin steps of ±0.5 μm, or uniform or Gaussian steps with the same root-mean-square size. All three give D = (0.5 μm)2/(2 × 0.1 s) = 1.25 μm2/s and the same mean square after n steps, n × 0.25 μm2. What differs is the shape. After 4 coin steps the exact distribution is 1, 4, 6, 4 and 1 sixteenths, whose cumulative probability differs from the Gaussian's by up to 0.1875, and the difference shrinks as the steps add up.

Modern qualifications

Einstein reaches D through the diffusion equation, not by adding steps: the 1905 paper never writes the mean square of a sum of n steps, and its τ is an interval chosen for the argument, not a tick of the motion. He called the Gaussian result what was to be expected, the law of random errors, and added that the root-mean-square total displacement in three dimensions is λx√3. Smoluchowski reached the square-root law by a kinetic argument in 1906, with a numerical factor differing from Einstein's by 64/27. Pearson named the random walk in a letter to Nature in 1905, and Rayleigh answered from his 1880 work on vibrations of random phase; Bachelier had used the same diffusion equation for prices in 1900. The shape test here, a Kolmogorov distance with a Dvoretzky–Kiefer–Wolfowitz bound on sampling error, is statistics of 1933 and 1956.

Change an assumption, not just a slider

The next three comparisons are analytical. No biased-coin or Cauchy trajectory is drawn by this instrument.

Remove symmetry: biased left/right jumps

With right-step probability 0.6, the mean step is 0.1 μm. Drift speed is 1 μm/s. The centered-variance coefficient is 1.2 μm²/s.

A nonzero mean step produces drift. The pure-diffusion argument omits that first-order term.

Remove finite variance: Cauchy steps

A positive step interval and finite step moments are required; the Cauchy variance is not finite.

That failure belongs to the pure-diffusion argument, not to the existence of a mathematical Cauchy walk. This preview does not simulate that different transport law.

Shrink the interval: what must stay fixed?

Shrinking the interval at fixed step size makes the coefficient grow without bound. A finite diffusion limit instead keeps step variance divided by twice the interval fixed.

Two limiting procedures, calculated from the accepted step scale
Interval (s)Keep step fixed: coefficient (μm²/s)Reduce step RMS to (μm)Keep ratio fixed: coefficient (μm²/s)
0.11.250.51.25
0.0112.50.158111.25
0.0011250.051.25
0.000112500.0158111.25
Model, trial identity, and numerical limits

Independent symmetric steps with finite variance are assumed. The fixed jumps are a mathematical bridge, not a microscopic theory of tracer collisions. Real tracers need a justified coarse-graining time before independence can be assumed. The three step laws are matched by variance, not fourth moment.

Twenty traces and a bounded set of all-walker checkpoints are retained. A cached observation reads its checkpoint; another observation replays identical counter-indexed draws. Neither creates a different realization. This accepted calculation used 800000 random draws, including 0 replayed draws. The full trial identifies 800000 draws and currently retains 144160 bytes.

The work ceiling is five million walker-steps and the private-recording ceiling is eight MiB. The uniform finite-step shape calculation is bounded to 400 observed steps. Its numerical result is not an interval-arithmetic enclosure. Gaussian draws use the host calculation; cross-engine bitwise parity and FrankenSim WASM conformance are not claimed.

These are model calculations, not experimental evidence. Historical constants and the full control-tape format remain in preparation.

Show the code

The site’s own reference code for this law, in TypeScript. It computes the numbers above when the page runs it, and it is what the page uses wherever a FrankenSim result is not available.

kernelDiffusivity · src/physics/reference/diffusion/walkLaws.ts · this site’s source, as built · sha256:b2b39a0e609f3ac519ba4b95fd99332d0170518a6bcf48b5e48b444c378eac0b

This is the function that produced the numbers shown now.

In words

A symmetric step with finite variance has diffusivity equal to that variance divided by twice the step interval.

Implementation

export function kernelDiffusivity(
  kernel: StepKernel,
  tau: number,
  symmetryTolerance = 1e-12,
): Readonly<{
  diffusion: ScientificResult;
  drift: ScientificResult;
  centeredDiffusion: ScientificResult;
}> {
  const m = kernelMoments(kernel);
  const bad = (id: string, unit: string, reason: string) =>
    outside(id, unit, "kernelDiffusivity", "symmetric-finite-variance", reason);
  if (
    !Number.isFinite(tau) ||
    tau <= 0 ||
    m.mean.status !== "value" ||
    m.variance.status !== "value" ||
    typeof m.mean.value !== "number" ||
    typeof m.variance.value !== "number"
  ) {
    const reason =
      "A positive step interval and finite step moments are required; the Cauchy variance is not finite.";
    return {
      diffusion: bad("diffusionCoefficient", "m2/s", reason),
      drift: bad("driftVelocity", "m/s", reason),
      centeredDiffusion: bad("centeredDiffusionCoefficient", "m2/s", reason),
    };
  }
  const centered = value(
    "centeredDiffusionCoefficient",
    "m2/s",
    "kernelDiffusivity",
    m.variance.value / (2 * tau),
    m.variance.value > 0,
  );
  return {
    diffusion:
      Math.abs(m.mean.value) <= symmetryTolerance
        ? value(
            "diffusionCoefficient",
            "m2/s",
            "kernelDiffusivity",
            m.variance.value / (2 * tau),
            m.variance.value > 0,
          )
        : bad(
            "diffusionCoefficient",
            "m2/s",
            "A nonzero mean step produces drift. The pure-diffusion argument omits that first-order term.",
          ),
    drift: value("driftVelocity", "m/s", "kernelDiffusivity", m.mean.value / tau),
    centeredDiffusion: centered,
  };
}

The site’s own reference code for this law, in TypeScript. It computes the numbers above when the page runs it, and it is what the page uses wherever a FrankenSim result is not available.

randomWalkMoments · src/physics/reference/diffusion/walkLaws.ts · this site’s source, as built · sha256:6783075a2530f6028f515501e415352b59fe2d77d084d759a97af6995880ecb9

This function computes the listed outputs when it runs.

In words

After n independent steps the mean-square displacement is n times the step variance.

Implementation

export function randomWalkMoments(
  stepRms: number,
  tau: number,
  n: number,
): Computation<{
  mean: number;
  meanSquare: number;
  rms: number;
  elapsedTime: number;
  diffusion: number;
}> {
  if (!isCount(n) || !Number.isFinite(stepRms) || stepRms <= 0 || !Number.isFinite(tau) || tau <= 0)
    return invalid("Use positive finite step RMS and interval, and 0–10000 steps.");
  const meanSquare = n * stepRms * stepRms,
    diffusion = (stepRms * stepRms) / (2 * tau),
    elapsedTime = n * tau;
  if (
    ![meanSquare, diffusion, elapsedTime].every(Number.isFinite) ||
    diffusion <= 0 ||
    (n > 0 && (meanSquare === 0 || elapsedTime === 0))
  )
    return numerical("The moment calculation exceeded binary64 range.");
  return {
    kind: "accepted",
    data: { mean: 0, meanSquare, rms: Math.sqrt(meanSquare), elapsedTime, diffusion },
  };
}

The site’s own reference code for this law, in TypeScript. It computes the numbers above when the page runs it, and it is what the page uses wherever a FrankenSim result is not available.

coinWalkDistribution · src/physics/reference/diffusion/walkLaws.ts · this site’s source, as built · sha256:feae1213b1fc80d262edcbab8d8110da13a122b91baa5378607cf805ebc98855

This function computes the listed outputs when it runs.

In words

A fair coin walk has an exact binomial distribution on the reachable lattice points.

Implementation

/** Exact integer coefficients through n=64; positive center-out recurrence otherwise.
 * Central normalization avoids cancellation and factorial overflow. Extreme tails
 * beyond binary64 at large n round to zero; no such tails occur in the n<=400 fixtures.
 */
export function coinWalkDistribution(n: number, ell: number): Computation<CoinDistribution> {
  if (!isCount(n) || !Number.isFinite(ell) || ell <= 0 || !Number.isFinite(n * ell))
    return invalid("Use 0–10000 steps and a positive finite step scale.");
  const positions = Float64Array.from({ length: n + 1 }, (_, k) => (2 * k - n) * ell),
    probabilities = new Float64Array(n + 1);
  if (n <= 64) {
    const coefficients: string[] = [];
    const denominator = 1n << BigInt(n);
    let coefficient = 1n;
    for (let k = 0; k <= n; k++) {
      coefficients.push(coefficient.toString());
      probabilities[k] = Number(coefficient) / Number(denominator);
      if (k < n) coefficient = (coefficient * BigInt(n - k)) / BigInt(k + 1);
    }
    return {
      kind: "accepted",
      data: { positions, probabilities, coefficients, denominator: denominator.toString() },
    };
  }
  const mid = Math.floor(n / 2);
  probabilities[mid] = 1;
  for (let k = mid; k < n; k++) {
    const pk = probabilities[k] ?? 0;
    probabilities[k + 1] = (pk * (n - k)) / (k + 1);
  }
  for (let k = mid; k > 0; k--) {
    const pk = probabilities[k] ?? 0;
    probabilities[k - 1] = (pk * k) / (n - k + 1);
  }
  let total = 0,
    correction = 0;
  for (const p of probabilities) {
    const y = p - correction,
      t = total + y;
    correction = t - total - y;
    total = t;
  }
  for (let k = 0; k <= n; k++) {
    const pk = probabilities[k] ?? 0;
    probabilities[k] = pk / total;
  }
  return { kind: "accepted", data: { positions, probabilities } };
}

The site’s own reference code for this law, in TypeScript. It computes the numbers above when the page runs it, and it is what the page uses wherever a FrankenSim result is not available.

recordWalks · src/physics/reference/diffusion/walks.ts · this site’s source, as built · sha256:c55b65639c29f9cba89e6713e2322bd3daa465a91b6f30590ee520916ba71abd

This function computes the listed outputs when it runs.

In words

Draw independent walker steps from the chosen kernel and record a bounded set of traces.

Implementation

export async function recordWalks(
  input: WalkSetup,
  selectedStep: number,
  options: WalkExecutionOptions = {},
): Promise<Computation<WalkRecording>> {
  const valid = validate(input);
  if (valid.kind !== "accepted") return valid;
  const p = valid.data;
  if (!Number.isInteger(selectedStep) || selectedStep < 0 || selectedStep > p.runSteps)
    return invalid("Observe an integer step within the declared recording.");
  let config: ReturnType<typeof execution>;
  try {
    config = execution(options);
  } catch {
    return invalid("Use a bounded deterministic chunk size.");
  }
  if (options.cancelled?.()) return cancelled();
  const protectedSteps = new Set([
    0,
    ...WALK_MILESTONES.filter((n) => n <= p.runSteps),
    p.runSteps,
  ]);
  const checkpoints = new Map(
    [...new Set([...protectedSteps, selectedStep])]
      .sort((a, b) => a - b)
      .map((n) => [n, new Float64Array(p.walkers)]),
  );
  const traceValues = new Float64Array(Math.min(WALK_TRACE_COUNT, p.walkers) * (p.runSteps + 1));
  const source = options.normals ?? HOST_WALK_NORMALS;
  let drawOwner: string | null = null;
  let normalVersion = HOST_NORMAL_VERSION;
  let work = 0;
  for (let walker = 0; walker < p.walkers; walker++) {
    const drawn = sampler(p, walker, 0, p.runSteps, source);
    if (drawn.kind !== "accepted") return drawn;
    // One walk, one producer: every walker's draws must name the same owner.
    if (drawOwner !== null && drawn.data.ownerId !== drawOwner)
      return failed("The walkers' draws name different producers; no partial trial was accepted.");
    drawOwner = drawn.data.ownerId;
    normalVersion = drawn.data.normalVersion;
    const next = drawn.data.next;
    let x = 0;
    for (let n = 1; n <= p.runSteps; n++) {
      if (work % config.chunk === 0) {
        if (options.cancelled?.()) return cancelled();
        await config.yieldControl();
        if (options.cancelled?.()) return cancelled();
      }
      x += next();
      work++;
      if (!Number.isFinite(x))
        return failed(
          "A walk coordinate exceeded the representable range; no partial trial was accepted.",
        );
      const checkpoint = checkpoints.get(n);
      if (checkpoint) checkpoint[walker] = x;
      if (walker < WALK_TRACE_COUNT) traceValues[walker * (p.runSteps + 1) + n] = x;
    }
  }
  if (options.cancelled?.()) return cancelled();
  return {
    kind: "accepted",
    data: Object.freeze({
      setup: p,
      normals: source,
      drawOwner: drawOwner ?? HOST_WALK_DRAW_OWNER,
      checkpoints,
      traceValues,
      protectedSteps,
      allocationId: BM05_ALLOCATION.allocationId,
      normalVersion,
      draws: work * WALK_KERNELS[p.kernel].drawsPerStep,
      retainedBytes:
        traceValues.byteLength +
        [...checkpoints.values()].reduce((sum, a) => sum + a.byteLength, 0),
    }),
  };
}

Not modeled: Collision mechanics; Correlated or remembered steps; Drift, except the labeled analytic asymmetric-kernel deviation; Boundaries; The ballistic regime; Heavy-tailed Levy flights (refused); Interactions between walkers; Sampled biased or heavy-tailed walks (no registered upstream kernel exists for them).

Open the argument

Why the second moment survives

Write a walker’s position after n steps as the sum of its displacements. A symmetric step has zero mean. Independence makes the cross terms in the square average to zero; the n individual squared steps remain.

xn=∑j=1nΔj,⟨Δ⟩=0,⟨xn2⟩=n⟨Δ2⟩\begin{gathered}x_n=\sum_{j=1}^{n}\Delta_j, \\ \langle\Delta\rangle=0, \\ \langle x_n^2\rangle=n\langle\Delta^2\rangle\end{gathered}
Explain this equation

With one step every τ seconds, elapsed time is nτ. The coefficient connecting mean square with time is therefore fixed by the variance of one step divided by twice its interval.

D=⟨Δ2⟩2τ,⟨x2⟩=2Dt,⟨x2⟩∝t\begin{gathered}D=\frac{\langle\Delta^2\rangle}{2\tau}, \\ \langle x^2\rangle=2Dt, \\ \sqrt{\langle x^2\rangle}\propto\sqrt{t}\end{gathered}
Explain this equation

From a finite jump to a continuous density

The next position distribution is the old one shifted by every allowed step, weighted by the probability of that step. Expanding the shifted density explains the role of symmetry: the first-order spatial term vanishes, and the second-order term contains the same coefficient.

p(x,t+τ)=∫p(x−Δ,t)φ(Δ) dΔ\begin{aligned}& p(x,t+\tau) \\ &\qquad = \int p(x-\Delta,t)\varphi(\Delta)\,d\Delta\end{aligned}
Explain this equation
∂p∂t=D∂2p∂x2\frac{\partial p}{\partial t}=D\frac{\partial^2p}{\partial x^2}
Explain this equation

This continuous equation is a limiting description, not an assertion that four discrete jumps already have a continuous Gaussian distribution. The shape gap in the laboratory makes that distinction visible. A biased mean leaves a drift term; an infinite variance does not supply the finite second-order coefficient used here.

A calculation is not an observation

Agreement between the synthetic walks and their limiting law tests the numerical implementation of the assumptions. It does not establish that a real suspension satisfies them. This is a modern explanation of the argument.

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