In one of his famous papers from 1905 (his “annus mirabilis”) Albert Einstein analysed Brownian motion and derived the following partial differential equation from physical principles to describe the process:

He showed that this equation has as a solution the probability density function

(see Einstein, A, 1905, Investigations on the theory of the Brownian movement, pp. 15-16). Writing this formula can be rewritten as

This is the density of the distribution of the increments of a Wiener process , which is more commonly used today to refer to a standard Brownian motion. This continuous-time stochastic process is symmetric about zero, continuous, and has stationary independent increments, i.e., the change from time to time , given by the random variable , has the same probability distribution as the change from time to time , given by the random variable , and the change is also independent of the history of the process before time .

For certain reasons, I was exploring a continuous-time stochastic process which is also symmetric about zero and continuous like the Wiener process, but which has *non-stationary* increments. The probability density function of this alternative process I was investigating has the form

The fact that time appears as a squared term in this formula rather than linearly is enough to destroy the increment-stationarity property of the Wiener process. This can be demonstrated by observing that increment-stationarity requires

and therefore

but by definition of we must also have

which is not true here since

whereas

We have a contradiction and must therefore conclude that , which means that this alternative continuous-time process does not have the increment-stationarity property of the Wiener process. (Note that this kind of contradiction does not arise with the Wiener process: we have which is the same as the distribution of ).

As an aside, it occurred to me to wonder if there might be a partial differential equation describing this alternative continuous-time process analogous to the partial differential equation derived by Einstein for the standard Brownian motion process. I did indeed find such a partial differential equation for the alternative process, as follows. Taking partial derivatives of the probability density function

we obtain

Comparing the expressions for and we see that

and this is the required variant of Einstein’s partial differential equation for the alternative continuous-time process I was investigating.

I was intrigued to find that a slight generalisation of this framework makes it applicable to quantum *wave-packet* dispersion. To see this, let where and are some parameters. Then the partial differential equation

has as a solution the probability density function

as can be verified by comparing the partial derivatives

and

(As a check, note that all of this reduces to the previously obtained differential equation and probability density function when and ). Now, in quantum mechanics a wave representation of a moving body is obtained as a *wave-packet* consisting of a superposition of individual plane waves of different wavelengths (or equivalently, different wave numbers ) in the form

where is the Fourier transform of the -space wavefunction at , i.e.,

The wave-packet disperses over time and it has been shown that the probability density as a function of time of such a moving body as the wave-packet disperses, given by , always becomes Gaussian (irrespective of the original shape of the wave-packet) and has the form of the probability density function above, i.e.,

See, for example, Mita, K, 2007, Dispersion of non-Gaussian free particle wave packets, Am. J. Phys. 75 (10), who derives an expression for like the one above with replaced by and

(see equations (15) to (18) on page 952 of the paper). Therefore the partial differential equation

has as a solution the probability density of a moving body undergoing quantum wave-packet dispersion as time progresses (with in the above set-up).