Aspects of the Theory of Brownian Motion

August 30, 2023

Contents
1 Introduction 1

2 Dynamical Theory - Stochastic 3

1 Introduction
In 1827, the well known botanist, Robert Brown, was examining the pollen of the
plant Clarkia Pulchella through one of the, then new, achromatic objectives. He
observed that the individual particles were in a very animated and irregular state of
motion. This is now called the Brownian motion, and is the subject of this series
of lectures.
Brown was indeed, a renowed naturalist. As a young man, in 1801, he had
sailed on an expedition to study the plant life of the new continent of Australia.
The collection of flora which he brought back from the four-years voyage provided
the raw materials for the researchers which established his reputation. His repu-
tation became, in fact, immense. He received the appellation of princeps botani-
corum. Among his discoveries was the existence of the nucleus of the plant cells.
The Brownian motion is regarded as one of his minor observations, at least in one
history of biology which I have seen.
It is perhaps fitting that someone from the Pacific North-West of the United
States lectures on Brownian motion, for Clarkia Pulchella is a common wild flower
in that region. Indeed, it is quite possible that Brown’s specimen was one brought
back by the Lewis and Clark expedition sent to explore the Louisiana Purchase by
President Thomas Jefferson. Interesting historical accounts of Brownian motion
have been given by Brush (1968) and Kerker (1974).
Brown was not the first person to have observed the Brownian motion. Indeed,
he mentioned a number of predecessors in his papers. However, he was apparently
the first to study the phenomenon seriously. He showed that it was not limited to
organic matters. Glass, minerals, even a fragment of the Sphinx, surely inorganic,
exhibited the motion. It can be said that the Brown removed Brownian motion
from being a subject of biology, and made it a subject of physics. He also tried to
ascertain the cause of this motion. This was not able to do. But he was able to pro-
vide evidence against simple mechanical explanations, e.g. convection, capillarity,
small air bubbles, etc.
In the years which followed, many explanations for the Brownian movement
were given; most of these could have been ruled out by considerations of Brown’s
original experiments. The first worker to express views at all like the modern
view was Christian Wiener (1826-1896) (not to be confused with Norbert Wiener
(1894-1964) who, much later, created a rigorous mathematical theory of Brownian
motion). Delsaux and Gouy were other natural philosophers whose speculations
led to modern views, that the motion was caused by unceasing bombardment of

1
the moving particle by the particles of the surrounding medium. However, there
was no experimental means to put these ideas to a definitive test, and they were
not generally accepted. It was not untilp 1905 that a quantitative theory making
predictions susceptible of experimental verifications was put forward. It was due
to Albert Einstein.
Einstin had always been interested in the problem of the size of atoms. Indeed,
his doctoral dissertation was on this subject, and he continued to think about it after
he obtained his degree, In the course of these considerations he showed that the
kinetic theory of matter required that small particles suspended in a fluid undergo
an irregular motion. This motion was too chaotic to be described in any other way
than statistically, and Einstein obtained some of the statistical characterization of
the motion (Einstein, 1905)
One statement in Einstein’s first paper is, in retrospect, amusing. He writes “ It
is possible that the movements to bve discussed here are identical to the so-called
’Brownian molecular motion’; however, the information available to me about the
latter is so lacking in precision that I can make no judgement in the matter ”. His
second paper, however, was called “On the Theory of Brownian Motion”. It was
published in 1906.
Einstein’s theory concerned itself with the configuration-space aspect of Brow-
nian motion. In these lectures we shall be primarily concerned with the phase-space
aspects; that is, we shall consider both configuration space and velocity space.
Consequently, we shall not pause to review Einstein’s considerations in detail. We
shall just note that (1) he concluded that the motion was so complex that it must
be described statistically, and (2) he assumed that there was a time interval τ, large
compared to the time between collisions and small compared to macroscopic ob-
servation time, such that the motions executed by the particle in two consecutive
intervals of length τ are mutually independent. From these hypotheses, he showed
that the probability ρ(r, t) for finding the particle at r at time t satisfied the diffusion
equation
∂ρ
= D∇2 ρ (1)
∂t
He then showed that D the diffusion coefficient, is related to the friction coeffi-
cient ζ by
kB T
D= (2)
ζ
The frictional coefficient is defined as the proportionality constant between the
external force F and the terminal velocity v of a particle in a fluid:
F = ζv (3)
and kB is the Boltzmann’s constant.
Because D and ζ can be measured, as can R the universal gas constant, eq. (2)
enables one to determine Avogadro’s number, NA = R/kB . This was an important
prediction of the theory. Furthermore, Einstein showed that
D E
∆r2 = 6Dt (4)

2
another important verifiable result. Both eqs. (2) and (4) were, in fact verified
by J. Perrin within a few years of Einstein’s work. The dynamics of Brownian
motion is associated with the names of Langevin, Fokker and Planck. It is to these
developments that we now turn.

2 Dynamical Theory - Stochastic

A dynamical theory is a theory based on equation of motion.
The equation of motion in a statistical theory can be either of two types: (a)
an equation for the time development of the dynamical variables of the system,
or (b) an equation for the time development of the probability distribution of the
dynamical variables of the system. If both descriptions are available, they must
be consistent. Even in non probabilistic classical mechanics, we have these two
types of description. The first corresponds to Newton’s equations, or Hamilton’s
equations. The second corresponds to Liouville’s equation.
A description of type (a) in Brownian motion theory is associated wuth the
name of Langevin. A description of type (b) is associated with the names of Fokker
and Planck.
The Langevin description starts from considerations of immediate physical in-
tuitive appeal, so let us consider this first. Our development will be a slight gener-
alization of the classical development.
Langevin’s euquation is just Newton’s law of motion, force=mass·acceleration,
with a specific prescription for the force. In particular, the force on a Brownian
particle in a fluid is assumed to be expressible as the sum of two terms. The first
term is a systematic frictional force, linearly related to the particle’s velocity. The
second term is a random force.
For the systematic friction, we shall write
Z t
F f (t) = −m β(t − s)u(s)ds (5)
0

where u(s) is the velocity of the Brownian particle at time s, m is the mass of the
particle, and β(t − s) is some function of the time, which we shall call the friction
function.