Past exam of the mathematics course of the University of Cambridge 2001 iii Paper 46 1 i Solution Created 2026-10-03 Updated 2026-10-14
Let , assumed finite. The displacement is . By stationarity, its two-time covariance is , with even for a real scalar process. Integrating over the two triangles of the square gives the Taylor turbulent dispersion identityA sufficient condition for ordinary long-time variance growth is with . The dominated convergence theorem then givesMore generally the necessary asymptotic condition for a finite positive variance-based diffusion coefficient is convergence of to that coefficient. Absolute integrability is sufficient, not necessary. A zero integral does not give nondegenerate ordinary diffusion. Moreover a second-moment calculation alone does not establish a normal distribution or an entire diffusive scaling limit; those require additional probabilistic assumptions.
For the specified positive autocorrelation, direct integration gives, when ,Thus the power-law velocity-correlation dispersion has the following regimes. If , the Lagrangian integral time is and ordinary variance growth holds, with . At the exact expression is . If ,For ,The last two regimes spread faster than ordinary diffusion and have no finite long-time diffusion coefficient. Their slowly decaying velocity memory is responsible. At short times all these correlations instead give the ballistic law .