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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?
The result appears when you choose, say you have one in mind, or skip.
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.
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.
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 gap
0.192
Finite-step shape gap
0.1875
Sampling allowance
0.043592
Shape plus sampling allowance
0.23109
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
−2
1 / 16
−1
4 / 16
0
6 / 16
1
4 / 16
2
1 / 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)
Count
Finite-step probability
Gaussian probability
−2.5 to −1.5
125
0.0625
0.060598
−1.5 to −0.5
491
0.25
0.24173
−0.5 to 0.5
762
0.375
0.38292
0.5 to 1.5
502
0.25
0.24173
1.5 to 2.5
120
0.0625
0.060598
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?
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
Steps
Sample gap
Law gap
Sample mean square (μm²)
Model mean square (μm²)
4
0.192
0.1875
0.9865
1
16
0.104
0.09819
3.997
4
64
0.051462
0.049673
16.021
16
400
0.038411
0.019935
97.652
100
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.
Follow one walker. Every τ = 0.1 s it takes a step Δ: with the coin, +0.5 μm or −0.5 μm, equally likely. After n steps its position is the sum xn = Δ1 + Δ2 + … + Δn. Each step averages to zero, because +0.5 and −0.5 are equally likely, so the average position stays at the start. Now square the sum. It contains the n squared steps, Δ12 + … + Δn2, and cross terms such as 2Δ1Δ2. Each squared coin step is exactly 0.25 μm2. A cross term averages to zero when the steps are independent, since Δ1Δ2 is +0.25 μm2 and −0.25 μm2 equally often. So the average of xn2 is n × 0.25 μm2. After 4 steps, 0.4 s, that is 1 μm2, a root-mean-square distance of 1 μm; the 2000 simulated walkers give 0.9865 μm2 and 0.993 μm. Since t = nτ, the mean square is (0.25 μm2/0.1 s) × t, which is 2Dt with D = 0.25/(2 × 0.1) = 1.25 μm2/s, Einstein's D = (1/τ)∫(Δ2/2)φ(Δ)dΔ written for a coin. For the shape, count paths. Four coin steps make 24 = 16 equally likely paths. The walker ends at +2 μm only if all four steps go right, 1 path; at +1 μm if three do, 4 paths; at 0 if two do, 6 paths; then 4 and 1 on the left. So the chances are 1/16, 4/16, 6/16, 4/16 and 1/16, that is 0.0625, 0.25, 0.375, 0.25 and 0.0625, and the walkers' histogram gives 0.0625, 0.2455, 0.381, 0.251 and 0.06. The Gaussian with the same mean square puts 0.383 in the middle bin and 0.061 in each outer one. Einstein's route goes through the diffusion equation instead. The number of particles at x after one more interval is a sum over every displacement Δ that could bring them there, f(x, t + τ) = ∫f(x + Δ, t)φ(Δ)dΔ. Expand f(x + Δ, t) = f + Δ ∂f/∂x + (Δ2/2) ∂2f/∂x2 + …. The term in Δ averages to zero by symmetry, the constant term gives f back, and what is left is τ ∂f/∂t = (∂2f/∂x2) ∫(Δ2/2)φ(Δ)dΔ, the diffusion equation. Two assumptions carry the weight. With a biased coin that steps right 0.6 of the time, the mean step is 0.6 × 0.5 − 0.4 × 0.5 = 0.1 μm and the crowd drifts at 1 μm/s, a first-order term the argument drops. With Cauchy-shaped steps the variance is infinite, and no finite D exists.
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)
0.1
1.25
0.5
1.25
0.01
12.5
0.15811
1.25
0.001
125
0.05
1.25
0.0001
1250
0.015811
1.25
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. The source-aligned critical edition, reviewed historical constants, and full control-tape format remain in preparation.
Show the code
Audited TypeScript reference evaluator: the owner on this device, or the host fallback for a FrankenSim capability.
This is the function that produced the current snapshot.
In words
A symmetric step with finite variance has diffusivity equal to that variance divided by twice the step interval.
Mathematics
Implementation
exportfunctionkernelDiffusivity(kernel:StepKernel,tau:number,symmetryTolerance=1e-12,):Readonly<{diffusion:ScientificResult;drift:ScientificResult;centeredDiffusion:ScientificResult;}>{constm=kernelMoments(kernel);constbad=(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"||typeofm.mean.value!=="number"||typeofm.variance.value!=="number"){constreason="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),};}constcentered=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,};}
Audited TypeScript reference evaluator: the owner on this device, or the host fallback for a FrankenSim capability.
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.
Mathematics
Implementation
exportfunctionrandomWalkMoments(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)returninvalid("Use positive finite step RMS and interval, and 0–10000 steps.");constmeanSquare=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)))returnnumerical("The moment calculation exceeded binary64 range.");return{kind:"accepted",data:{mean:0,meanSquare,rms:Math.sqrt(meanSquare),elapsedTime,diffusion},};}
Audited TypeScript reference evaluator: the owner on this device, or the host fallback for a FrankenSim capability.
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.
Mathematics
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.
*/exportfunctioncoinWalkDistribution(n:number,ell:number):Computation<CoinDistribution>{if(!isCount(n)||!Number.isFinite(ell)||ell<=0||!Number.isFinite(n*ell))returninvalid("Use 0–10000 steps and a positive finite step scale.");constpositions=Float64Array.from({length:n+1},(_,k)=>(2*k-n)*ell),probabilities=newFloat64Array(n+1);if(n<=64){constcoefficients:string[]=[];constdenominator=1n<<BigInt(n);letcoefficient=1n;for(letk=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()},};}constmid=Math.floor(n/2);probabilities[mid]=1;for(letk=mid;k<n;k++){constpk=probabilities[k]??0;probabilities[k+1]=(pk*(n-k))/(k+1);}for(letk=mid;k>0;k--){constpk=probabilities[k]??0;probabilities[k-1]=(pk*k)/(n-k+1);}lettotal=0,correction=0;for(constpofprobabilities){consty=p-correction,t=total+y;correction=t-total-y;total=t;}for(letk=0;k<=n;k++){constpk=probabilities[k]??0;probabilities[k]=pk/total;}return{kind:"accepted",data:{positions,probabilities}};}
Audited TypeScript reference evaluator: the owner on this device, or the host fallback for a FrankenSim capability.
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.
Mathematics
Implementation
exportasyncfunctionrecordWalks(input:WalkSetup,selectedStep:number,options:WalkExecutionOptions={},):Promise<Computation<WalkRecording>>{constvalid=validate(input);if(valid.kind!=="accepted")returnvalid;constp=valid.data;if(!Number.isInteger(selectedStep)||selectedStep<0||selectedStep>p.runSteps)returninvalid("Observe an integer step within the declared recording.");letconfig:ReturnType<typeofexecution>;try{config=execution(options);}catch{returninvalid("Use a bounded deterministic chunk size.");}if(options.cancelled?.())returncancelled();constprotectedSteps=newSet([0,...WALK_MILESTONES.filter((n)=>n<=p.runSteps),p.runSteps,]);constcheckpoints=newMap([...newSet([...protectedSteps,selectedStep])].sort((a,b)=>a-b).map((n)=>[n,newFloat64Array(p.walkers)]),);consttraceValues=newFloat64Array(Math.min(WALK_TRACE_COUNT,p.walkers)*(p.runSteps+1));letwork=0;for(letwalker=0;walker<p.walkers;walker++){constnext=sampler(p,walker);letx=0;for(letn=1;n<=p.runSteps;n++){if(work%config.chunk===0){if(options.cancelled?.())returncancelled();awaitconfig.yieldControl();if(options.cancelled?.())returncancelled();}x+=next();work++;if(!Number.isFinite(x))returnfailed("A walk coordinate exceeded the representable range; no partial trial was accepted.",);constcheckpoint=checkpoints.get(n);if(checkpoint)checkpoint[walker]=x;if(walker<WALK_TRACE_COUNT)traceValues[walker*(p.runSteps+1)+n]=x;}}if(options.cancelled?.())returncancelled();return{kind:"accepted",data:Object.freeze({setup:p,checkpoints,traceValues,protectedSteps,allocationId:BM05_ALLOCATION.allocationId,normalVersion:HOST_NORMAL_VERSION,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=1∑nΔj,⟨Δ⟩=0,⟨xn2⟩=n⟨Δ2⟩
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=2τ⟨Δ2⟩,⟨x2⟩=2Dt,⟨x2⟩∝t
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
∂t∂p=D∂x2∂2p
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; the reviewed German and aligned English critical edition is still in preparation.