WorldWideScience

Sample records for brownian motion

  1. Brownian Brownian Motion-1

    OpenAIRE

    Chernov, N.; Dolgopyat, D.

    2008-01-01

    A classical model of Brownian motion consists of a heavy molecule submerged into a gas of light atoms in a closed container. In this work we study a 2D version of this model, where the molecule is a heavy disk of mass M and the gas is represented by just one point particle of mass m = 1, which interacts with the disk and the walls of the container via elastic collisions. Chaotic behavior of the particles is ensured by convex (scattering) walls of the container. We prove that the position and ...

  2. Canonical active Brownian motion

    OpenAIRE

    Gluck, Alexander; Huffel, Helmuth; Ilijic, Sasa

    2008-01-01

    Active Brownian motion is the complex motion of active Brownian particles. They are active in the sense that they can transform their internal energy into energy of motion and thus create complex motion patterns. Theories of active Brownian motion so far imposed couplings between the internal energy and the kinetic energy of the system. We investigate how this idea can be naturally taken further to include also couplings to the potential energy, which finally leads to a general theory of cano...

  3. Noncommutative Brownian motion

    CERN Document Server

    Santos, Willien O; Souza, Andre M C

    2016-01-01

    We investigate the Brownian motion of a particle in a two-dimensional noncommutative (NC) space. Using the standard NC algebra embodied by the sympletic Weyl-Moyal formalism we find that noncommutativity induces a non-vanishing correlation between both coordinates at different times. The effect itself stands as a signature of spatial noncommutativity and offers further alternatives to experimentally detect the phenomena.

  4. Deterministic Brownian Motion

    Science.gov (United States)

    Trefan, Gyorgy

    1993-01-01

    The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscopic derivation of the Fokker-Planck equation. Since the Brownian motion of a particle is the result of the competing processes of diffusion and dissipation, we create a model where both diffusion and dissipation originate from the same deterministic mechanism--the deterministic interaction of that particle with its environment. We show that standard diffusion which is the basis of the Fokker-Planck equation rests on the Central Limit Theorem, and, consequently, on the possibility of deriving it from a deterministic process with a quickly decaying correlation function. The sensitive dependence on initial conditions, one of the defining properties of chaos insures this rapid decay. We carefully address the problem of deriving dissipation from the interaction of a particle with a fully deterministic nonlinear bath, that we term the booster. We show that the solution of this problem essentially rests on the linear response of a booster to an external perturbation. This raises a long-standing problem concerned with Kubo's Linear Response Theory and the strong criticism against it by van Kampen. Kubo's theory is based on a perturbation treatment of the Liouville equation, which, in turn, is expected to be totally equivalent to a first-order perturbation treatment of single trajectories. Since the boosters are chaotic, and chaos is essential to generate diffusion, the single trajectories are highly unstable and do not respond linearly to weak external perturbation. We adopt chaotic maps as boosters of a Brownian particle, and therefore address the problem of the response of a chaotic booster to an external perturbation. We notice that a fully chaotic map is characterized by an invariant measure which is a continuous function of the control parameters of the map

  5. Brownian Motion, "Diverse and Undulating"

    CERN Document Server

    Duplantier, Bertrand

    2016-01-01

    We describe in detail the history of Brownian motion, as well as the contributions of Einstein, Sutherland, Smoluchowski, Bachelier, Perrin and Langevin to its theory. The always topical importance in physics of the theory of Brownian motion is illustrated by recent biophysical experiments, where it serves, for instance, for the measurement of the pulling force on a single DNA molecule. In a second part, we stress the mathematical importance of the theory of Brownian motion, illustrated by two chosen examples. The by-now classic representation of the Newtonian potential by Brownian motion is explained in an elementary way. We conclude with the description of recent progress seen in the geometry of the planar Brownian curve. At its heart lie the concepts of conformal invariance and multifractality, associated with the potential theory of the Brownian curve itself.

  6. Brownian Motion Theory and Experiment

    CERN Document Server

    Basu, K; Basu, Kasturi; Baishya, Kopinjol

    2003-01-01

    Brownian motion is the perpetual irregular motion exhibited by small particles immersed in a fluid. Such random motion of the particles is produced by statistical fluctuations in the collisions they suffer with the molecules of the surrounding fluid. Brownian motion of particles in a fluid (like milk particles in water) can be observed under a microscope. Here we describe a simple experimental set-up to observe Brownian motion and a method of determining the diffusion coefficient of the Brownian particles, based on a theory due to Smoluchowski. While looking through the microscope we focus attention on a fixed small volume, and record the number of particles that are trapped in that volume, at regular intervals of time. This gives us a time-series data, which is enough to determine the diffusion coefficient of the particles to a good degree of accuracy.

  7. Entropic forces in Brownian motion

    CERN Document Server

    Roos, Nico

    2013-01-01

    The interest in the concept of entropic forces has risen considerably since E. Verlinde proposed to interpret the force in Newton s second law and Gravity as entropic forces. Brownian motion, the motion of a small particle (pollen) driven by random impulses from the surrounding molecules, may be the first example of a stochastic process in which such forces are expected to emerge. In this note it is shown that at least two types of entropic motion can be identified in the case of 3D Brownian motion (or random walk). This yields simple derivations of known results of Brownian motion, Hook s law and, applying an external (nonradial) force, Curie s law and the Langevin-Debye equation.

  8. Harmonic functions on Walsh's Brownian motion

    OpenAIRE

    Jehring, Kristin Elizabeth

    2009-01-01

    In this dissertation we examine a variation of two- dimensional Brownian motion introduced in 1978 by Walsh. Walsh's Brownian motion can be described as a Brownian motion on the spokes of a (rimless) bicycle wheel. We will construct such a process by randomly assigning an angle to the excursions of a reflecting Brownian motion from 0. With this construction we see that Walsh's Brownian motion in R² behaves like one-dimensional Brownian motion away from the origin, but at the origin behaves di...

  9. Entropic forces in Brownian motion

    Science.gov (United States)

    Roos, Nico

    2014-12-01

    Interest in the concept of entropic forces has risen considerably since Verlinde proposed in 2011 to interpret the force in Newton's second law and gravity as entropic forces. Brownian motion—the motion of a small particle (pollen) driven by random impulses from the surrounding molecules—may be the first example of a stochastic process in which such forces are expected to emerge. In this article, it is shown that at least two types of entropic force can be identified in three-dimensional Brownian motion. This analysis yields simple derivations of known results of Brownian motion, Hooke's law, and—applying an external (non-radial) force—Curie's law and the Langevin-Debye equation.

  10. Feynman Rules For Brownian Motion

    CERN Document Server

    Hatamian, S T

    2003-01-01

    We present a perturbation theory extending a prescription due to Feynman for computing the probability density function in Brownian-motion. The method used, can be applied to a wide variety of otherwise difficult circumstances in Brownian-motion. The exact moments and kurtosis, if not the distribution itself, for many important cases can be summed for arbitrary times. As expected, the behavior at early time regime, for the sample processes considered, deviate significantly from the usual diffusion theory; a fact with important consequences in various applications such as financial physics. A new class of functions dubbed "Damped-exponential-integrals" are also identified.

  11. Radiation Reaction on Brownian Motions

    CERN Document Server

    Seto, Keita

    2016-01-01

    Tracking the real trajectory of a quantum particle is one of the interpretation problem and it is expressed by the Brownian (stochastic) motion suggested by E. Nelson. Especially the dynamics of a radiating electron, namely, radiation reaction which requires us to track its trajectory becomes important in the high-intensity physics by PW-class lasers at present. It has been normally treated by the Furry picture in non-linear QED, but it is difficult to draw the real trajectory of a quantum particle. For the improvement of this, I propose the representation of a stochastic particle interacting with fields and show the way to describe radiation reaction on its Brownian motion.

  12. 100 Years of Brownian motion

    OpenAIRE

    Hänggi, Peter; Marchesoni, Fabio

    2005-01-01

    In the year 1905 Albert Einstein published four papers that raised him to a giant in the history of science of all times. These works encompass the photon hypothesis (for which he obtained the Nobel prize in 1921), his first two papers on (special) relativity theory and, of course, his first paper on Brownian motion, entitled "\\"Uber die von der molekularkinetischen Theorie der W\\"arme geforderte Bewegung von in ruhenden Fl\\"ussigkeiten suspendierten Teilchen'' (submitted on May 11, 1905). Th...

  13. Generalization of Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper introduces a generalization of Brownian motion with continuous sample paths and stationary, autoregressive increments. This process, which we call a Brownian ray with drift, is characterized by three parameters quantifying distinct effects of drift, volatility, and autoregressiveness. A Brownian ray with drift, conditioned on its state at the beginning of an interval, is another Brownian ray with drift over the interval, and its expected path over the interval is a ray with a slope that depends on the conditioned state. This paper shows how Brownian rays can be applied in finance for the analysis of queues or inventories and the valuation of options. We model a queue's net input process as a superposition of Brownian rays with drift and derive the transient distribution of the queue length conditional on past queue lengths and on past states of the individual Brownian rays comprising the superposition. The transient distributions of Regulated Brownian Motion and of the Regulated Brownian Bridge are...

  14. Brownian Motion in Minkowski Space

    Directory of Open Access Journals (Sweden)

    Paul O'Hara

    2015-06-01

    Full Text Available We construct a model of Brownian motion in Minkowski space. There are two aspects of the problem. The first is to define a sequence of stopping times associated with the Brownian “kicks” or impulses. The second is to define the dynamics of the particle along geodesics in between the Brownian kicks. When these two aspects are taken together, the Central Limit Theorem (CLT leads to temperature dependent four dimensional distributions defined on Minkowski space, for distances and 4-velocities. In particular, our processes are characterized by two independent time variables defined with respect to the laboratory frame: a discrete one corresponding to the stopping times when the impulses take place and a continuous one corresponding to the geodesic motion in-between impulses. The subsequent distributions are solutions of a (covariant pseudo-diffusion equation which involves derivatives with respect to both time variables, rather than solutions of the telegraph equation which has a single time variable. This approach simplifies some of the known problems in this context.

  15. Brownian motion and stochastic calculus

    CERN Document Server

    Karatzas, Ioannis

    1998-01-01

    This book is designed as a text for graduate courses in stochastic processes. It is written for readers familiar with measure-theoretic probability and discrete-time processes who wish to explore stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example of both a martingale and a Markov process with continuous paths. In this context, the theory of stochastic integration and stochastic calculus is developed. The power of this calculus is illustrated by results concerning representations of martingales and change of measure on Wiener space, and these in turn permit a presentation of recent advances in financial economics (option pricing and consumption/investment optimization). This book contains a detailed discussion of weak and strong solutions of stochastic differential equations and a study of local time for semimartingales, with special emphasis on the theory of Brownian local time. The text is complemented by a large num...

  16. Operator Fractional Brownian Motion and Martingale Differences

    Directory of Open Access Journals (Sweden)

    Hongshuai Dai

    2014-01-01

    Full Text Available It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both applications and theory. In this paper, we study the relation between them. We construct an approximation sequence of operator fractional Brownian motion based on a martingale difference sequence.

  17. G- Brownian motion and Its Applications

    OpenAIRE

    EBRAHIMBEYGI, Atena; DASTRANJ, Elham

    2015-01-01

    Abstract. The concept of G-Brownian motion and G-Ito integral has been introduced by Peng. Also Ito isometry lemma is proved for Ito integral and Brownian motion. In this paper we first investigate the Ito isometry lemma for G-Brownian motion and G-Ito Integral. Then after studying of MG2,0-class functions [4], we introduce Stratonovich integral for G-Brownian motion,say G- Stratonovich integral. Then we present a special construction for G- Stratonovich integral. 

  18. Brownian motion of helical flagella.

    Science.gov (United States)

    Hoshikawa, H; Saito, N

    1979-07-01

    We develops a theory of the Brownian motion of a rigid helical object such as bacterial flagella. The statistical properties of the random forces acting on the helical object are discussed and the coefficients of the correlations of the random forces are determined. The averages , and are also calculated where z and theta are the position along and angle around the helix axis respectively. Although the theory is limited to short time interval, direct comparison with experiment is possible by using the recently developed cinematography technique. PMID:16997210

  19. Quantum trajectories for Brownian motion

    CERN Document Server

    Strunz, W T; Gisin, Nicolas; Yu, T; Strunz, Walter T.; Diosi, Lajos; Gisin, Nicolas

    1999-01-01

    We present the stochastic Schroedinger equation for the dynamics of a quantum particle coupled to a high temperature environment and apply it the dynamics of a driven, damped, nonlinear quantum oscillator. Apart from an initial slip on the environmental memory time scale, in the mean, our result recovers the solution of the known non-Lindblad quantum Brownian motion master equation. A remarkable feature of our approach is its localization property: individual quantum trajectories remain localized wave packets for all times, even for the classically chaotic system considered here, the localization being stronger the smaller $\\hbar$.

  20. Dimensional Properties of Fractional Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    Dong Sheng WU; Yi Min XIAO

    2007-01-01

    Let Bα = {Bα(t),t ∈ RN} be an (N,d)-fractional Brownian motion with Hurst index α∈ (0, 1). By applying the strong local nondeterminism of Bα, we prove certain forms of uniform Hausdorff dimension results for the images of Bα when N > αd. Our results extend those of Kaufman for one-dimensional Brownian motion.

  1. Brownian motion meets Riemann curvature

    International Nuclear Information System (INIS)

    The general covariance of the diffusion equation is exploited in order to explore the curvature effects appearing in Brownian motion over a d-dimensional curved manifold. We use the local frame defined by the so-called Riemann normal coordinates to derive a general formula for the mean-square geodesic distance (MSD) at the short-time regime. This formula is written in terms of O(d) invariants that depend on the Riemann curvature tensor. We study the n-dimensional sphere case to validate these results. We also show that the diffusion for positive constant curvature is slower than the diffusion in a plane space, while the diffusion for negative constant curvature turns out to be faster. Finally the two-dimensional case is emphasized, as it is relevant for single-particle diffusion on biomembranes

  2. Combinatorial fractal Brownian motion model

    Institute of Scientific and Technical Information of China (English)

    朱炬波; 梁甸农

    2000-01-01

    To solve the problem of how to determine the non-scaled interval when processing radar clutter using fractal Brownian motion (FBM) model, a concept of combinatorial FBM model is presented. Since the earth (or sea) surface varies diversely with space, a radar clutter contains several fractal structures, which coexist on all scales. Taking the combination of two FBMs into account, via theoretical derivation we establish a combinatorial FBM model and present a method to estimate its fractal parameters. The correctness of the model and the method is proved by simulation experiments and computation of practial data. Furthermore, we obtain the relationship between fractal parameters when processing combinatorial model with a single FBM model. Meanwhile, by theoretical analysis it is concluded that when combinatorial model is observed on different scales, one of the fractal structures is more obvious.

  3. The open quantum Brownian motions

    International Nuclear Information System (INIS)

    Using quantum parallelism on random walks as the original seed, we introduce new quantum stochastic processes, the open quantum Brownian motions. They describe the behaviors of quantum walkers—with internal degrees of freedom which serve as random gyroscopes—interacting with a series of probes which serve as quantum coins. These processes may also be viewed as the scaling limit of open quantum random walks and we develop this approach along three different lines: the quantum trajectory, the quantum dynamical map and the quantum stochastic differential equation. We also present a study of the simplest case, with a two level system as an internal gyroscope, illustrating the interplay between the ballistic and diffusive behaviors at work in these processes. Notation Hz: orbital (walker) Hilbert space, CZ in the discrete, L2(R) in the continuum Hc: internal spin (or gyroscope) Hilbert space Hsys=Hz⊗Hc: system Hilbert space Hp: probe (or quantum coin) Hilbert space, Hp=C2 ρttot: density matrix for the total system (walker + internal spin + quantum coins) ρ-bar t: reduced density matrix on Hsys: ρ-bar t=∫dxdy ρ-bar t(x,y)⊗|x〉z〈y| ρ-hat t: system density matrix in a quantum trajectory: ρ-hat t=∫dxdy ρ-hat t(x,y)⊗|x〉z〈y|. If diagonal and localized in position: ρ-hat t=ρt⊗|Xt〉z〈Xt| ρt: internal density matrix in a simple quantum trajectory Xt: walker position in a simple quantum trajectory Bt: normalized Brownian motion ξt, ξt†: quantum noises (paper)

  4. Intersection Exponents for Planar Brownian Motion

    OpenAIRE

    Lawler, Gregory F.; Werner, Wendelin

    1999-01-01

    We derive properties concerning all intersection exponents for planar Brownian motion and we define generalized exponents that, loosely speaking, correspond to noninteger numbers of Brownian paths. Some of these properties lead to general conjectures concerning the exact value of these exponents.

  5. Nonlinear Brownian motion - mean square displacement

    Directory of Open Access Journals (Sweden)

    W.Ebeling

    2004-01-01

    Full Text Available The stochastic dynamics of self-propelled Brownian particles is studied by means of the Langevin and the Fokker-Planck approach. We model the driving by a nonlinear friction function which has a negative part at small velocities, leading to active Brownian motion of the particles. The mean square displacement is estimated analytically and compared with numerical simulations.

  6. A multiscale guide to Brownian motion

    Science.gov (United States)

    Grebenkov, Denis S.; Belyaev, Dmitry; Jones, Peter W.

    2016-01-01

    We revise the Lévy construction of Brownian motion as a simple though rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based ‘geometrical features’ at multiple length scales with random weights. Such a wavelet representation gives a closed formula mapping of the unit interval onto the functional space of Brownian paths. This formula elucidates many classical results about Brownian motion (e.g., non-differentiability of its path), providing an intuitive feeling for non-mathematicians. The illustrative character of the wavelet representation, along with the simple structure of the underlying probability space, is different from the usual presentation of most classical textbooks. Similar concepts are discussed for the Brownian bridge, fractional Brownian motion, the Ornstein-Uhlenbeck process, Gaussian free fields, and fractional Gaussian fields. Wavelet representations and dyadic decompositions form the basis of many highly efficient numerical methods to simulate Gaussian processes and fields, including Brownian motion and other diffusive processes in confining domains.

  7. Blending Brownian motion and heat equation

    CERN Document Server

    Cristiani, Emiliano

    2015-01-01

    In this short communication we present an original way to couple the Brownian motion and the heat equation. More in general, we suggest a way for coupling the Langevin equation for a particle, which describes a single realization of its trajectory, with the associated Fokker-Planck equation, which instead describes the evolution of the particle's probability density function. Numerical results show that it is indeed possible to obtain a regularized Brownian motion and a Brownianized heat equation still preserving the global statistical properties of the solutions. The results also suggest that the more macroscale leads the dynamics the more one can reduce the microscopic degrees of freedom.

  8. Dynamical 3-Space: Anisotropic Brownian Motion Experiment

    OpenAIRE

    Cahill R. T.

    2015-01-01

    In 2014 Jiapei Dai reported evidence of anisotropic Brownian motion of a toluidine blue colloid solution in water. In 2015 Felix Scholkmann analysed the Dai data and detected a sidereal time dependence, indicative of a process driving the preferred Brownian mo- tion diffusion direction to a star-based preferred direction. Here we further analyse the Dai data and extract the RA and Dec of that preferred direction, and relate the data to previous determinations from NASA Spacecr...

  9. Generalized Einstein Relation for Brownian Motion in Tilted Periodic Potential

    OpenAIRE

    Sakaguchi, Hidetsugu

    2006-01-01

    A generalized Einstein relation is studied for Brownian motion in a tilted potential. The exact form of the diffusion constant of the Brownian motion is compared with the generalized Einstein relation. The generalized Einstein relation is a good approximation in a parameter range where the Brownian motion exhibits stepwise motion.

  10. Kingman's coalescent and Brownian motion

    OpenAIRE

    Berestycki, J.; Berestycki, N

    2009-01-01

    We describe a simple construction of Kingman's coalescent in terms of a Brownian excursion. This construction is closely related to, and sheds some new light on, earlier work by Aldous and Warren. Our approach also yields some new results: for instance, we obtain the full multifractal spectrum of Kingman's coalescent. This complements earlier work on Beta-coalescents by the authors and Schweinsberg. Surprisingly, the thick part of the spectrum is not obtained by taking the limit as $\\alpha \\t...

  11. Brownian motion an introduction to stochastic processes

    CERN Document Server

    Schilling, René L; Böttcher, Björn

    2014-01-01

    Stochastic processes occur everywhere in sciences and engineering, and need to be understood by applied mathematicians, engineers and scientists alike. This is a first course introducing the reader gently to the subject. Brownian motions are a stochastic process, central to many applications and easy to treat.

  12. Chaos, Dissipation and Quantal Brownian Motion

    OpenAIRE

    Cohen, Doron

    1999-01-01

    Energy absorption by driven chaotic systems, the theory of energy spreading and quantal Brownian motion are considered. In particular we discuss the theory of a classical particle that interacts with quantal chaotic degrees of freedom, and try to relate it to the problem of quantal particle that interacts with an effective harmonic bath.

  13. Kolmogorov complexity and the geometry of Brownian motion

    OpenAIRE

    Fouche, Willem L.

    2014-01-01

    In this paper, we continue the study of the geometry of Brownian motions which are encoded by Kolmogorov-Chaitin random reals (complex oscillations). We unfold Kolmogorov-Chaitin complexity in the context of Brownian motion and specifically to phenomena emerging from the random geometric patterns generated by a Brownian motion.

  14. Magnetization direction in the Heisenberg model exhibiting fractional Brownian motion

    DEFF Research Database (Denmark)

    Zhang, Zhengping; Mouritsen, Ole G.; Zuckermann, Martin J.

    1993-01-01

    ferromagnetic phase characterizing fractional Brownian motion, whereas a value H congruent-to 0. 5, reflecting ordinary Brownian motion, applies in the paramagnetic phase. A field-induced crossover from fractional to ordinary Brownian motion has been observed in the ferromagnetic phase....

  15. Holographic Brownian Motion at Finite Density

    CERN Document Server

    Banerjee, Pinaki

    2015-01-01

    We study holographic Brownian motion of a heavy charged particle at zero and small (but finite) temperature in presence of finite density. We are primarily interested in the dynamics at (near) zero temperature which is holographically described by motion of a fundamental string in an (near-) extremal RN black hole. We compute analytically the functional form of retarded Green's function and also compare that numerically at leading order in small frequency.

  16. Brownian motion, martingales, and stochastic calculus

    CERN Document Server

    Le Gall, Jean-François

    2016-01-01

    This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itô’s formula, the optional stopping theorem and Girsanov’s theorem, are treated in detail alongside many illustrative examples. The book also contains an introduction to Markov processes, with applications to solutions of stochastic differential equations and to connections between Brownian motion and partial differential equations. The theory of local times of semimartingales is discussed in the last chapter. Since its invention by Itô, stochastic calculus has proven to be one of the most important techniques of modern probability theory, and has been used in the most recent theoretical advances as well as in applications to other fields such as mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested i...

  17. Frustrated Brownian Motion of Nonlocal Solitary Waves

    International Nuclear Information System (INIS)

    We investigate the evolution of solitary waves in a nonlocal medium in the presence of disorder. By using a perturbational approach, we show that an increasing degree of nonlocality may largely hamper the Brownian motion of self-trapped wave packets. The result is valid for any kind of nonlocality and in the presence of nonparaxial effects. Analytical predictions are compared with numerical simulations based on stochastic partial differential equations.

  18. From Lagrangian to Brownian motion

    International Nuclear Information System (INIS)

    We present a Lagrangian describing an idealized liquid interacting with a particle immersed in it. We show that the equation describing the motion of the particle as a functional of the initial conditions of the liquid incorporates noise and friction, which are attributed to specific dynamical processes. The equation is approximated to yield a Langevin equation with parameters depending on the Lagrangian and the temperature of the liquid. The origin of irreversibility and dissipation is discussed

  19. Intrinsic and extrinsic measurement for Brownian motion

    International Nuclear Information System (INIS)

    Based upon the Smoluchowski equation on curved manifolds, three physical observables are considered for Brownian displacement, namely geodesic displacement s, Euclidean displacement δR, and projected displacement δR⊥. The Weingarten–Gauss equations are used to calculate the mean-square Euclidean displacements in the short-time regime. Our findings show that from an extrinsic point of view the geometry of the space affects the Brownian motion in such a way that the particle’s diffusion is decelerated, contrasting with the intrinsic point of view where dynamics is controlled by the sign of the Gaussian curvature (Castro-Villarreal, 2010 J. Stat. Mech. P08006). Furthermore, it is possible to give exact formulas for 〈δR〉 and 〈δR2〉 on spheres and minimal surfaces, which are valid for all values of time. In the latter case, surprisingly, Brownian motion corresponds to the usual diffusion in flat geometries, albeit minimal surfaces have non-zero Gaussian curvature. Finally, the two-dimensional case is emphasized due to its close relation to surface self-diffusion in fluid membranes. (paper)

  20. Speckle Patterns and 2-Dimensional Brownian Motion

    International Nuclear Information System (INIS)

    We present the results of a Monte Carlo simulation of Brownian Motion on a 2-dimensional lattice with nearest-neighbor interactions described by a linear model. These nearest-neighbor interactions lead to a spatial variance structure on the lattice. The resulting Brownian pattern fluctuates in value from point to point in a manner characteristic of a stationary stochastic process. The value at a lattice point is interpreted as an intensity level. The difference in values in neighboring cells produces a fluctuating intensity pattern on the lattice. Changing the size of the mesh changes the relative size of the speckles. Increasing the mesh size tends to average out the intensity in the direction of the mean of the stationary process. (Author)

  1. The Stepping Motion of Brownian Particle Derived by Nonequilibrium Fluctuation

    Institute of Scientific and Technical Information of China (English)

    ZHAN Yong; ZHAO Tong-Jun; YU Hui; SONG Yan-Li; AN Hai-Long

    2003-01-01

    The direct motion of Brownian particle is considered as a result of system derived by external nonequilibriumfluctuating. The cooperative effects caused by asymmetric ratchet potential, external rocking force and additive colorednoise drive a Brownian particle in the directed stepping motion. This provides this kind of motion of kinesin along amicrotubule observed in experiments with a reasonable explanation.

  2. Quantum Brownian motion in a Landau level

    Science.gov (United States)

    Cobanera, E.; Kristel, P.; Morais Smith, C.

    2016-06-01

    Motivated by questions about the open-system dynamics of topological quantum matter, we investigated the quantum Brownian motion of an electron in a homogeneous magnetic field. When the Fermi length lF=ℏ /(vFmeff) becomes much longer than the magnetic length lB=(ℏc /e B ) 1 /2 , then the spatial coordinates X ,Y of the electron cease to commute, [X ,Y ] =i lB2 . As a consequence, localization of the electron becomes limited by Heisenberg uncertainty, and the linear bath-electron coupling becomes unconventional. Moreover, because the kinetic energy of the electron is quenched by the strong magnetic field, the electron has no energy to give to or take from the bath, and so the usual connection between frictional forces and dissipation no longer holds. These two features make quantum Brownian motion topological, in the regime lF≫lB , which is at the verge of current experimental capabilities. We model topological quantum Brownian motion in terms of an unconventional operator Langevin equation derived from first principles, and solve this equation with the aim of characterizing diffusion. While diffusion in the noncommutative plane turns out to be conventional, with the mean displacement squared being proportional to tα and α =1 , there is an exotic regime for the proportionality constant in which it is directly proportional to the friction coefficient and inversely proportional to the square of the magnetic field: in this regime, friction helps diffusion and the magnetic field suppresses all fluctuations. We also show that quantum tunneling can be completely suppressed in the noncommutative plane for suitably designed metastable potential wells, a feature that might be worth exploiting for storage and protection of quantum information.

  3. Dynamical objectivity in quantum Brownian motion

    Science.gov (United States)

    Tuziemski, J.; Korbicz, J. K.

    2015-11-01

    Classical objectivity as a property of quantum states —a view proposed to explain the observer-independent character of our world from quantum theory, is an important step in bridging the quantum-classical gap. It was recently derived in terms of spectrum broadcast structures for small objects embedded in noisy photon-like environments. However, two fundamental problems have arisen: a description of objective motion and applicability to other types of environments. Here we derive an example of objective states of motion in quantum mechanics by showing the formation of dynamical spectrum broadcast structures in the celebrated, realistic model of decoherence —Quantum Brownian Motion. We do it for realistic, thermal environments and show their noise-robustness. This opens a potentially new method of studying the quantum-to-classical transition.

  4. Brownian motion of particles in nematic fluids

    Science.gov (United States)

    Yao, Xuxia; Nayani, Karthik; Park, Jung; Srinivasarao, Mohan

    2011-03-01

    We studied the brownian motion of both charged and neutral polystyrene particles in two nematic fluids, a thermotropic liquid crystal, E7, and a lyotropic chromonic liquid crystal, Sunset Yellow FCF (SSY). Homogeneous planar alignment of E7 was easliy achieved by using rubbed polyimide film coated on the glass. For SSY planar mondomain, we used the capillary method recently developed in our lab. By tracking a single particle, the direction dependent diffussion coefficients and Stokes drag were measured in the nematic phase and isotropic phase for both systems.

  5. The relativistic Brownian motion: Interdisciplinary applications

    International Nuclear Information System (INIS)

    Relativistic Brownian motion theory will be applied to the study of analogies between physical and economic systems, emphasizing limiting cases in which Gaussian distributions are no longer valid. The characteristic temperatures of the particles will be associated with the concept of variance, and this will allow us to choose whether the pertinent distribution is classical or relativistic, while working specific situations. The properties of particles can be interpreted as economic variables, in order to study the behavior of markets in terms of Levy financial processes, since markets behave as stochastic systems. As far as we know, the application of the Juettner distribution to the study of economic systems is a new idea.

  6. Langevin theory of anomalous Brownian motion made simple

    International Nuclear Information System (INIS)

    During the century from the publication of the work by Einstein (1905 Ann. Phys. 17 549) Brownian motion has become an important paradigm in many fields of modern science. An essential impulse for the development of Brownian motion theory was given by the work of Langevin (1908 C. R. Acad. Sci., Paris 146 530), in which he proposed an 'infinitely more simple' description of Brownian motion than that by Einstein. The original Langevin approach has however strong limitations, which were rigorously stated after the creation of the hydrodynamic theory of Brownian motion (1945). Hydrodynamic Brownian motion is a special case of 'anomalous Brownian motion', now intensively studied both theoretically and in experiments. We show how some general properties of anomalous Brownian motion can be easily derived using an effective method that allows one to convert the stochastic generalized Langevin equation into a deterministic Volterra-type integro-differential equation for the mean square displacement of the particle. Within the Gibbs statistics, the method is applicable to linear equations of motion with any kind of memory during the evolution of the system. We apply it to memoryless Brownian motion in a harmonic potential well and to Brownian motion in fluids, taking into account the effects of hydrodynamic memory. Exploring the mathematical analogy between Brownian motion and electric circuits, which are at nanoscales also described by the generalized Langevin equation, we calculate the fluctuations of charge and current in RLC circuits that are in contact with the thermal bath. Due to the simplicity of our approach it could be incorporated into graduate courses of statistical physics. Once the method is established, it allows bringing to the attention of students and effectively solving a number of attractive problems related to Brownian motion.

  7. Extreme fluctuations of active Brownian motion

    Science.gov (United States)

    Pietzonka, Patrick; Kleinbeck, Kevin; Seifert, Udo

    2016-05-01

    In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and identify its universal properties using large deviation theory. The limits of slow and fast internal dynamics give rise to a kink-like and parabolic behavior of the corresponding rate functions, respectively. For dipolar Janus particles in two- and three-dimensions interacting with a field, we predict a novel symmetry akin to, but different from, the one related to entropy production. Measurements of these extreme fluctuations could thus be used to infer properties of the underlying, often hidden, network of states.

  8. Langevin Theory of Anomalous Brownian Motion Made Simple

    Science.gov (United States)

    Tothova, Jana; Vasziova, Gabriela; Glod, Lukas; Lisy, Vladimir

    2011-01-01

    During the century from the publication of the work by Einstein (1905 "Ann. Phys." 17 549) Brownian motion has become an important paradigm in many fields of modern science. An essential impulse for the development of Brownian motion theory was given by the work of Langevin (1908 "C. R. Acad. Sci.", Paris 146 530), in which he proposed an…

  9. Tested Demonstrations. Brownian Motion: A Classroom Demonstration and Student Experiment.

    Science.gov (United States)

    Kirksey, H. Graden; Jones, Richard F.

    1988-01-01

    Shows how video recordings of the Brownian motion of tiny particles may be made. Describes a classroom demonstration and cites a reported experiment designed to show the random nature of Brownian motion. Suggests a student experiment to discover the distance a tiny particle travels as a function of time. (MVL)

  10. Micromachined Linear Brownian Motor: Transportation of Nanobeads by Brownian Motion Using Three-Phase Dielectrophoretic Ratchet

    Science.gov (United States)

    Altintas, Ersin; Böhringer, Karl F.; Fujita, Hiroyuki

    2008-11-01

    Nanosystems operating in liquid media may suffer from random Brownian motion due to thermal fluctuations. Biomolecular motors exploit these random fluctuations to generate a controllable directed movement. Inspired by nature, we proposed and realized a nano-system based on Brownian motion of nanobeads for linear transport in microfluidic channels. The channels limit the degree-of-freedom of the random motion of beads into one dimension, which was rectified by a three-phase dielectrophoretic ratchet biasing the spatial probability distribution of the nanobead towards the transportation direction. We micromachined the proposed device and experimentally traced the rectified motion of nanobeads and observed the shift in the bead distribution as a function of applied voltage. We identified three regions of operation; (1) a random motion region, (2) a Brownian motor region, and (3) a pure electric actuation region. Transportation in the Brownian motor region required less applied voltage compared to the pure electric transport.

  11. Oscillatory Fractional Brownian Motion and Hierarchical Random Walks

    OpenAIRE

    Bojdecki, Tomasz; Gorostiza, Luis G.; Talarczyk, Anna

    2012-01-01

    We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with or without branching and with different types of initial conditions, where the individual particle motion is the so-called c-random walk on a hierarchical group. The oscillations are caused by the discrete and ultrametric structure of the hierarchical group,...

  12. The exit distribution for iterated Brownian motion in cones

    OpenAIRE

    Banuelos, Rodrigo; DeBlassie, Dante

    2004-01-01

    We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previousl...

  13. Holographic Brownian motion and time scales in strongly coupled plasmas

    NARCIS (Netherlands)

    A. Nata Atmaja; J. de Boer; M. Shigemori

    2010-01-01

    We study Brownian motion of a heavy quark in field theory plasma in the AdS/CFT setup and discuss the time scales characterizing the interaction between the Brownian particle and plasma constituents. In particular, the mean-free-path time is related to the connected 4-point function of the random fo

  14. From Brownian motion to power of fluctuations

    Directory of Open Access Journals (Sweden)

    B. Berche

    2012-12-01

    Full Text Available The year 2012 marks the 140th birth anniversary of Marian Smoluchowski (28.05.1872-5.09.1917, a man who "made ground-breaking contribution to the theory of Brownian motion, the theory of sedimentation, the statistical nature of the Second Law, the theory and practice of density fluctuations (critical opalescence. During his final years of scientific creativity his pioneering theory of coagulation and diffusion-limited reaction rate appeared. These outstanding achievements present true gems which dominate the description of soft matter physics and chemical physics as well as the related areas up till now!" This quotation was taken from the lecture by Peter Hanggi given at international conference Statistical Physics: Modern Trends and Applications that took place in Lviv, Ukraine on July 3-6, 2012 (see conference web-page for more details and was dedicated to the commemoration of Smoluchowski's work. This and forthcoming issues of the Condensed Matter Physics contain papers presented at this conference.

  15. Noncolliding Brownian Motion and Determinantal Processes

    Science.gov (United States)

    Katori, Makoto; Tanemura, Hideki

    2007-12-01

    A system of one-dimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson's BM model, which is a process of eigenvalues of hermitian matrix-valued diffusion process in the Gaussian unitary ensemble (GUE), and as (ii) the h-transform of absorbing BM in a Weyl chamber, where the harmonic function h is the product of differences of variables (the Vandermonde determinant). The Karlin-McGregor formula gives determinantal expression to the transition probability density of absorbing BM. We show from the Karlin-McGregor formula, if the initial state is in the eigenvalue distribution of GUE, the noncolliding BM is a determinantal process, in the sense that any multitime correlation function is given by a determinant specified by a matrix-kernel. By taking appropriate scaling limits, spatially homogeneous and inhomogeneous infinite determinantal processes are derived. We note that the determinantal processes related with noncolliding particle systems have a feature in common such that the matrix-kernels are expressed using spectral projections of appropriate effective Hamiltonians. On the common structure of matrix-kernels, continuity of processes in time is proved and general property of the determinantal processes is discussed.

  16. On drift parameter estimation in models with fractional Brownian motion

    CERN Document Server

    Kozachenko, Yuriy; Mishura, Yuliya

    2011-01-01

    We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behavior of the fractional derivative of the fractional Brownian motion is established.

  17. QUANTUM STOCHASTIC PROCESSES: BOSON AND FERMION BROWNIAN MOTION

    Directory of Open Access Journals (Sweden)

    A.E.Kobryn

    2003-01-01

    Full Text Available Dynamics of quantum systems which are stochastically perturbed by linear coupling to the reservoir can be studied in terms of quantum stochastic differential equations (for example, quantum stochastic Liouville equation and quantum Langevin equation. In order to work it out one needs to define the quantum Brownian motion. As far as only its boson version has been known until recently, in the present paper we present the definition which makes it possible to consider the fermion Brownian motion as well.

  18. Hausdorff Dimension of Cut Points for Brownian Motion

    OpenAIRE

    Lawler, Gregory

    1996-01-01

    Let $B$ be a Brownian motion in $R^d$, $d=2,3$. A time $t\\in [0,1]$ is called a cut time for $B[0,1]$ if $B[0,t) \\cap B(t,1] = \\emptyset$. We show that the Hausdorff dimension of the set of cut times equals $1 - \\zeta$, where $\\zeta = \\zeta_d$ is the intersection exponent. The theorem, combined with known estimates on $\\zeta_3$, shows that the percolation dimension of Brownian motion (the minimal Hausdorff dimension of a subpath of a Brownian path) is strictly greater than one in $R^3$.

  19. Direct observation of ballistic Brownian motion on a single particle

    OpenAIRE

    Huang, Rongxin; Lukic, Branimir; Jeney, Sylvia; Florin, Ernst-Ludwig

    2010-01-01

    At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation fast and precise enough to capture this motion. With a newly developed detector, we have been able to observe the Brownian motion of a single particle in an optical trap with 75 MHz bandwidth and sub-{AA}ngstrom spatial precision. We report the first measur...

  20. Holographic Brownian Motion in Two Dimensional Rotating Fluid

    CERN Document Server

    Atmaja, Ardian Nata

    2012-01-01

    The Brownian motion of a heavy quark under a rotating plasma corresponds to BTZ black hole is studied using holographic method from string theory. The heavy quark represented as the end of string at the boundary of BTZ black hole and the corresponding rotating plasma is two dimensional spacetime. The string fluctuation requires the angular velocity to be equal to the ratio between inner horizon and outer horizon, known as terminal velocity and also related to the zero total force condition. With this angular velocity, the string fluctuation solution has oscillatory modes in time and radial coordinates. We show the displacement square of this solution behaves as a Brownian particle in non-relativistic limit. For relativistic case, we argue that it is more appropriate to compute just the the leading order of low frequency limit of random-random force correlator. The Brownian motion relates this correlator with physical observables: mass of Brownian particle, friction coefficient and temperature of the plasma.

  1. Brownian Motion on a Sphere: Distribution of Solid Angles

    OpenAIRE

    Krishna, M. M. G.; Samuel, Joseph; Sinha, Supurna

    2000-01-01

    We study the diffusion of Brownian particles on the surface of a sphere and compute the distribution of solid angles enclosed by the diffusing particles. This function describes the distribution of geometric phases in two state quantum systems (or polarised light) undergoing random evolution. Our results are also relevant to recent experiments which observe the Brownian motion of molecules on curved surfaces like micelles and biological membranes. Our theoretical analysis agrees well with the...

  2. RESEARCH NOTES On the support of super-Brownian motion with super-Brownian immigration

    Institute of Scientific and Technical Information of China (English)

    洪文明; 钟惠芳

    2001-01-01

    The support properties of the super Brownian motion with random immigration Xρ1 are considered,where the immigration rate is governed by the trajectory of another super-Brownian motion ρ. When both the initial state Xρo of the process and the immigration rate process ρo are of finite measure and with compact supports, the probability of the support of the process Xρi dominated by a ball is given by the solutions of a singular elliptic boundary value problem.

  3. Brownian shape motion: Fission fragment mass distributions

    OpenAIRE

    Sierk Arnold J.; Randrup Jørgen; Möller Peter

    2012-01-01

    It was recently shown that remarkably accurate fission-fragment mass distributions can be obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potential-energy surfaces; the current status of this novel method is described here.

  4. Brownian shape motion: Fission fragment mass distributions

    Directory of Open Access Journals (Sweden)

    Sierk Arnold J.

    2012-02-01

    Full Text Available It was recently shown that remarkably accurate fission-fragment mass distributions can be obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potential-energy surfaces; the current status of this novel method is described here.

  5. Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient ...

  6. Brownian motion on random dynamical landscapes

    Science.gov (United States)

    Suñé Simon, Marc; Sancho, José María; Lindenberg, Katja

    2016-03-01

    We present a study of overdamped Brownian particles moving on a random landscape of dynamic and deformable obstacles (spatio-temporal disorder). The obstacles move randomly, assemble, and dissociate following their own dynamics. This landscape may account for a soft matter or liquid environment in which large obstacles, such as macromolecules and organelles in the cytoplasm of a living cell, or colloids or polymers in a liquid, move slowly leading to crowding effects. This representation also constitutes a novel approach to the macroscopic dynamics exhibited by active matter media. We present numerical results on the transport and diffusion properties of Brownian particles under this disorder biased by a constant external force. The landscape dynamics are characterized by a Gaussian spatio-temporal correlation, with fixed time and spatial scales, and controlled obstacle concentrations.

  7. The Dimension of the Frontier of Planar Brownian Motion

    OpenAIRE

    Lawler, Gregory

    1996-01-01

    Let $B$ be a two dimensional Brownian motion and let the frontier of $B[0,1]$ be defined as the set of all points in $B[0,1]$ that are in the closure of the unbounded connected component of its complement. We prove that the Hausdorff dimension of the frontier equals $2(1 - \\alpha)$ where $\\alpha$ is an exponent for Brownian motion called the two-sided disconnection exponent. In particular, using an estimate on $\\alpha$ due to Werner, the Hausdorff dimension is greater than $1.015$.

  8. Effect of interfaces on the nearby Brownian motion

    CERN Document Server

    Huang, Kai

    2016-01-01

    Near-boundary Brownian motion is a classic hydrodynamic problem of great importance in a variety of fields, from biophysics to micro-/nanofluidics. However, due to challenges in experimental measurements of near-boundary dynamics, the effect of interfaces on Brownian motion has remained elusive. Here, we report a computational study of this effect using microsecond-long large-scale molecular dynamics simulations and our newly developed Green-Kubo relation for friction at the liquid-solid interface. Our computer experiment unambiguously reveals that the t^(-3/2) long-time decay of the velocity autocorrelation function of a Brownian particle in bulk liquid is replaced by a t^(-5/2) decay near a boundary. We discover a general breakdown of traditional no-slip boundary condition at short time scales and we show that this breakdown has a profound impact on the near-boundary Brownian motion. Our results demonstrate the potential of Brownian-particle based micro-/nano-sonar to probe the local wettability of liquid-s...

  9. Stochastic calculus for fractional Brownian motion and related processes

    CERN Document Server

    Mishura, Yuliya S

    2008-01-01

    The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0Brownian SDE. The author develops optimal filtering of mixed models including linear case, and studies financial applications and statistical inference with hypotheses testing and parameter estimation. She proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional mark...

  10. Quantum Brownian motion model for the stock market

    Science.gov (United States)

    Meng, Xiangyi; Zhang, Jian-Wei; Guo, Hong

    2016-06-01

    It is believed by the majority today that the efficient market hypothesis is imperfect because of market irrationality. Using the physical concepts and mathematical structures of quantum mechanics, we construct an econophysical framework for the stock market, based on which we analogously map massive numbers of single stocks into a reservoir consisting of many quantum harmonic oscillators and their stock index into a typical quantum open system-a quantum Brownian particle. In particular, the irrationality of stock transactions is quantitatively considered as the Planck constant within Heisenberg's uncertainty relationship of quantum mechanics in an analogous manner. We analyze real stock data of Shanghai Stock Exchange of China and investigate fat-tail phenomena and non-Markovian behaviors of the stock index with the assistance of the quantum Brownian motion model, thereby interpreting and studying the limitations of the classical Brownian motion model for the efficient market hypothesis from a new perspective of quantum open system dynamics.

  11. Integration formula for Brownian motion on classical compact Lie groups

    OpenAIRE

    Dahlqvist, Antoine

    2012-01-01

    We give new formulas for the moments of the entries of a random matrix whose law is a Brownian motion on a classical compact Lie group. As we let the time go to infinity, these formulas imply the one B. Collins and P. Sniady obtained for Haar measure.

  12. Option Pricing in a Fractional Brownian Motion Environment

    OpenAIRE

    Cipian Necula

    2008-01-01

    The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2

  13. The maximum of Brownian motion with parabolic drift

    OpenAIRE

    Janson, Svante; Louchard, Guy; Martin-Löf, Anders

    2010-01-01

    We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give new series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.

  14. Brownian motion, geometry, and generalizations of Picard's little theorem

    OpenAIRE

    Goldberg, S. I.; Mueller, C.

    1982-01-01

    Brownian motion is introduced as a tool in Riemannian geometry to show how useful it is in the function theory of manifolds, as well as the study of maps between manifolds. As applications, a generalization of Picard's little theorem, and a version of it for Riemann surfaces of large genus are given.

  15. On the Generalized Brownian Motion and its Applications in Finance

    DEFF Research Database (Denmark)

    Høg, Esben; Frederiksen, Per; Schiemert, Daniel

    This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the limitation of the classical affine models. In particular, the paper expands the exibility of the DTSMs by applying generalized Brownian motions with dependent increments as the governing force of the ...

  16. Fuzzy Itand#244; Integral Driven by a Fuzzy Brownian Motion

    OpenAIRE

    Didier Kumwimba Seya; Rostin Mabela Makengo; Marcel Rémon; Walo Omana Rebecca

    2015-01-01

    In this paper we take into account the fuzzy stochastic integral driven by fuzzy Brownian motion. To define the metric between two fuzzy numbers and to take into account the limit of a sequence of fuzzy numbers, we invoke the Hausdorff metric. First this fuzzy stochastic integral is constructed for fuzzy simple stochastic functions, then the construction is done for fuzzy stochastic integrable functions.

  17. ABSOLUTE CONTINUITY FOR INTERACTING MEASURE-VALUED BRANCHING BROWNIAN MOTIONS

    Institute of Scientific and Technical Information of China (English)

    ZHAOXUELEI

    1997-01-01

    The moments and absohite continuity of measure-valued branching Brownian motions with bounded interacting intensity are hivestigated. An estimate of higher order moments is obtained. The ahsolute continuity is verified in the one dimension case. This therehy verifies the conjecture of Méléard and Roelly in [5].

  18. Finite time extinction of super-Brownian motions with catalysts

    OpenAIRE

    Dawson, Donald A.; Fleischmann, Klaus; Mueller, Carl

    1998-01-01

    Consider a catalytic super-Brownian motion $X=X^\\Gamma$ with finite variance branching. Here `catalytic' means that branching of the reactant $X$ is only possible in the presence of some catalyst. Our intrinsic example of a catalyst is a stable random measure $\\Gamma $ on $R$ of index $0< gamma

  19. The valuation of currency options by fractional Brownian motion.

    Science.gov (United States)

    Shokrollahi, Foad; Kılıçman, Adem

    2016-01-01

    This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use. PMID:27504243

  20. SOME GEOMETRIC PROPERTIES OF BROWNIAN MOTION ON SIERPINSKI GASKET

    Institute of Scientific and Technical Information of China (English)

    WUJUN; XIAOYIMIN

    1995-01-01

    Let {X(t),t≥0} be Brownian motion on Sierpinski gasket,The Hausdorff and packing dimensions of the image of a ompact set are studied,The uniform Hausdorff and packing dimensions of the inverse image are also discussed.

  1. Rotational Brownian Motion on Sphere Surface and Rotational Relaxation

    Institute of Scientific and Technical Information of China (English)

    Ekrem Aydner

    2006-01-01

    The spatial components of the autocorrelation function of noninteracting dipoles are analytically obtained in terms of rotational Brownian motion on the surface of a unit sphere using multi-level jumping formalism based on Debye's rotational relaxation model, and the rotational relaxation functions are evaluated.

  2. Occupation times distribution for Brownian motion on graphs

    CERN Document Server

    Desbois, J

    2002-01-01

    Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)

  3. Occupation times distribution for Brownian motion on graphs

    International Nuclear Information System (INIS)

    Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)

  4. Occupation times distribution for Brownian motion on graphs

    Energy Technology Data Exchange (ETDEWEB)

    Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques, Universite Paris-Sud, Bat. 100, F-91405 Orsay (France)

    2002-11-22

    Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)

  5. Brownian motion and the parabolicity of minimal graphs

    OpenAIRE

    Neel, Robert W.

    2008-01-01

    We prove that minimal graphs (other than planes) are parabolic in the sense that any bounded harmonic function is determined by its boundary values. The proof relies on using the coupling introduced in the author's earlier paper "A martingale approach to minimal surfaces" to show that Brownian motion on such a minimal graph almost surely strikes the boundary in finite time.

  6. Stability theorems for stochastic differential equations driven by G-Brownian motion

    OpenAIRE

    Zhang, Defei

    2011-01-01

    In this paper, stability theorems for stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion are obtained. We show the existence and uniqueness of solutions to forward-backward stochastic differential equations driven by G-Brownian motion. Stability theorem for forward-backward stochastic differential equations driven by G-Brownian motion is also presented.

  7. Fractional Brownian Motion and Sheet as White Noise Functionals

    Institute of Scientific and Technical Information of China (English)

    Zhi Yuan HUANG; Chu Jin LI; Jian Ping WAN; Ying WU

    2006-01-01

    In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and (φ)ksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed.

  8. Anomalous Brownian motion and viscoelasticity of the ear's mechanoelectrical transducer

    Science.gov (United States)

    Andor-Ardó, Daniel; Kozlov, Andrei; Hudspeth, A. J.

    2009-03-01

    The Brownian motion of a particle in a complex environment is known to display anomalous power-law scaling in which the mean squared displacement is proportional to a fractional power of time. Using laser interferometry and analytical methods of microrheology, we examine nanometer-scale thermal motions of hair bundles in the internal ear and show that these cellular organelles undergo fractional Brownian motion. This anomalous scaling is caused by viscoelasticity of the gating springs, elements that transmit energy in a sound to the mechanosensitive ion channels. These results demonstrate a connection between rheology and auditory physiology, and indicate that statistical properties of the thermal noise in the ear can be determined by dynamics of a small number of key molecules.

  9. Human behavioral regularity, fractional Brownian motion, and exotic phase transition

    Science.gov (United States)

    Li, Xiaohui; Yang, Guang; An, Kenan; Huang, Jiping

    2016-08-01

    The mix of competition and cooperation (C&C) is ubiquitous in human society, which, however, remains poorly explored due to the lack of a fundamental method. Here, by developing a Janus game for treating C&C between two sides (suppliers and consumers), we show, for the first time, experimental and simulation evidences for human behavioral regularity. This property is proved to be characterized by fractional Brownian motion associated with an exotic transition between periodic and nonperiodic phases. Furthermore, the periodic phase echoes with business cycles, which are well-known in reality but still far from being well understood. Our results imply that the Janus game could be a fundamental method for studying C&C among humans in society, and it provides guidance for predicting human behavioral activity from the perspective of fractional Brownian motion.

  10. Quantum mechanics and the square root of the Brownian motion

    CERN Document Server

    Frasca, Marco

    2014-01-01

    Using the Euler--Maruyama technique, we show that a class of Wiener processes exists that are obtained by computing an arbitrary positive power of them. This can be accomplished with a proper set of definitions that makes meaningful the realization at discrete times of these processes and make them computable. Then, we are able to show that quantum mechanics is not directly a stochastic process characterizing Brownian motion but rather its square root. Schr\\"odinger equation is immediately derived without further assumptions as the Fokker--Planck equation for this process. This generalizes without difficulty to a Clifford algebra that makes immediate the introduction of spin and a generalization to the Dirac equation. A relevant conclusion is that the introduction of spin is essential to recover the Brownian motion from its square root.

  11. Brownian motion at fast time scales and thermal noise imaging

    Science.gov (United States)

    Huang, Rongxin

    This dissertation presents experimental studies on Brownian motion at fast time scales, as well as our recent developments in Thermal Noise Imaging which uses thermal motions of microscopic particles for spatial imaging. As thermal motions become increasingly important in the studies of soft condensed matters, the study of Brownian motion is not only of fundamental scientific interest but also has practical applications. Optical tweezers with a fast position-sensitive detector provide high spatial and temporal resolution to study Brownian motion at fast time scales. A novel high bandwidth detector was developed with a temporal resolution of 30 ns and a spatial resolution of 1 A. With this high bandwidth detector, Brownian motion of a single particle confined in an optical trap was observed at the time scale of the ballistic regime. The hydrodynamic memory effect was fully studied with polystyrene particles of different sizes. We found that the mean square displacements of different sized polystyrene particles collapse into one master curve which is determined by the characteristic time scale of the fluid inertia effect. The particle's inertia effect was shown for particles of the same size but different densities. For the first time the velocity autocorrelation function for a single particle was shown. We found excellent agreement between our experiments and the hydrodynamic theories that take into account the fluid inertia effect. Brownian motion of a colloidal particle can be used to probe three-dimensional nano structures. This so-called thermal noise imaging (TNI) has been very successful in imaging polymer networks with a resolution of 10 nm. However, TNI is not efficient at micrometer scale scanning since a great portion of image acquisition time is wasted on large vacant volume within polymer networks. Therefore, we invented a method to improve the efficiency of large scale scanning by combining traditional point-to-point scanning to explore large vacant

  12. The maximum of Brownian motion with parabolic drift (Extended abstract)

    OpenAIRE

    Janson, Svante; Louchard, Guy; Martin-Löf, Anders

    2010-01-01

    We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. This has some applications in algorithmic and data structures analysis. We give series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.

  13. Brownian motion in the treasury bill futures market

    OpenAIRE

    Dale, Charles

    1981-01-01

    This paper analyzes prices and volumes in the T-bill futures market using a physical analogy called Brownian Motion. The results are similar to those obtained in previous studies of stock markets. For prices, the T-bill futures market failed to exhibit the presence of resistance and support levels, indicating that chartists could not profit by looking for such levels. For low volumes, T-bill futures exhibited lognormal behavior patterns, meaning that new investors are attracted to markets ...

  14. Unusual Brownian motion of photons in open absorbing media

    OpenAIRE

    Zhao, Li-Yi; Tian, Chu-Shun; Zhang, Zhao-Qing; Zhang, Xiang-Dong

    2013-01-01

    Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption strength and sample length. We show analytically that photons in localized open absorbing media exhibit unusual Brownian motion. Specifically, wave transport follows the diffusion equation with the diffusion coefficient exhibiting spatial resolution. Most striking...

  15. From ballistic to Brownian vortex motion in complex oscillatory media

    OpenAIRE

    Davidsen, Jörn; Erichsen, Ronaldo; Kapral, Raymond; Chaté, Hugues

    2004-01-01

    We show that the breaking of the rotation symmetry of spiral waves in two-dimensional complex (period-doubled or chaotic) oscillatory media by synchronization defect lines (SDL) is accompanied by an intrinsic drift of the pattern. Single vortex motion changes from ballistic flights at a well-defined angle from the SDL to Brownian-like diffusion when the turbulent character of the medium increases. It gives rise, in non-turbulent multi-spiral regimes, to a novel ``vortex liquid''.

  16. Brownian motion vs. pure-jump processes for individual stocks

    OpenAIRE

    Benoît Sévi; César Baena

    2011-01-01

    Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump process hypothesis proposed in numerous contributions. This result improves our understanding of the fine structure of asset prices and has implications for derivatives pricing.

  17. Non-Markovian weak coupling limit of quantum Brownian motion

    OpenAIRE

    Maniscalco, Sabrina; Piilo, Jyrki; Suominen, Kalle-Antti

    2008-01-01

    We derive and solve analytically the non-Markovian master equation for harmonic quantum Brownian motion proving that, for weak system-reservoir couplings and high temperatures, it can be recast in the form of the master equation for a harmonic oscillator interacting with a squeezed thermal bath. This equivalence guarantees preservation of positivity of the density operator during the time evolution and allows one to establish a connection between the dynamics of Schr\\"odinger cat states in sq...

  18. Stochastic Calculus with respect to multifractional Brownian motion

    CERN Document Server

    Lebovits, Joachim

    2011-01-01

    Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is a Gaussian extension of fBm that allows to control the pointwise regularity of the paths of the process and to decouple it from its long range dependence properties. This generalization is obtained by replacing the constant Hurst parameter H of fBm by a function h(t). Multifractional Brownian motion has proved useful in many applications, including the ones just mentioned. In this work we extend to mBm the construction of a stochastic integral with respect to fBm. This stochastic integral is based on white noise theory, as originally proposed in [15], [6], [4] and in [5]. In that view, a multifractional white noise is defined, which allows to integrate with respect to mBm a large class of stochastic processes using Wick products. It\\^o formulas (both for tempered distribut...

  19. Stochastic oscillator with random mass: New type of Brownian motion

    Science.gov (United States)

    Gitterman, M.

    2014-02-01

    The model of a stochastic oscillator subject to additive random force, which includes the Brownian motion, is widely used for analysis of different phenomena in physics, chemistry, biology, economics and social science. As a rule, by the appropriate choice of units one assumes that the particle’s mass is equal to unity. However, for the case of an additional multiplicative random force, the situation is more complicated. As we show in this review article, for the cases of random frequency or random damping, the mass cannot be excluded from the equations of motion, and, for example, besides the restriction of the size of Brownian particle, some restrictions exist also of its mass. In addition to these two types of multiplicative forces, we consider the random mass, which describes, among others, the Brownian motion with adhesion. The fluctuations of mass are modeled as a dichotomous noise, and the first two moments of coordinates show non-monotonic dependence on the parameters of oscillator and noise. In the presence of an additional periodic force an oscillator with random mass is characterized by the stochastic resonance phenomenon, when the appearance of noise increases the input signal.

  20. On two-dimensional fractional Brownian motion and fractional Brownian random field

    OpenAIRE

    Qian, Hong; Raymond, Gary M.; Bassingthwaighte, James B.

    1998-01-01

    As a generalization of one-dimensional fractional Brownian motion (1dfBm), we introduce a class of two-dimensional, self-similar, strongly correlated random walks whose variance scales with power law N2H (0 < H < 1). We report analytical results on the statistical size and shape, and segment distribution of its trajectory in the limit of large N. The relevance of these results to polymer theory is discussed. We also study the basic properties of a second generalization of 1dfBm, the two-dimen...

  1. Strict Concavity of the Half Plane Intersection Exponent for Planar Brownian Motion

    OpenAIRE

    Lawler, Gregory

    2000-01-01

    The intersection exponents for planar Brownian motion measure the exponential decay of probabilities of nonintersection of paths. We study the intersection exponent $\\xi(\\lambda_1,\\lambda_2)$ for Brownian motion restricted to a half plane which by conformal invariance is the same as Brownian motion restricted to an infinite strip. We show that $\\xi$ is a strictly concave function. This result is used in another paper to establish a universality result for conformally invariant intersection ex...

  2. When does fractional Brownian motion not behave as a continuous function with bounded variation?

    OpenAIRE

    Azmoodeh, Ehsan; Tikanmäki, Heikki; Valkeila, Esko

    2010-01-01

    If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form as if fractional Brownian motion would be a continuous function with bounded variation. In this note we prove a new integral representation formula for the running maximum of a continuous function with bounded variation. Moreover we show that the analogue to fractional Brownian motion fails.

  3. Self-intersection local times and collision local times of bifractional Brownian motions

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    In this paper, we consider the local time and the self-intersection local time for a bifractional Brownian motion, and the collision local time for two independent bifractional Brownian motions. We mainly prove the existence and smoothness of the self-intersection local time and the collision local time, through the strong local nondeterminism of bifractional Brownian motion, L2 convergence and Chaos expansion.

  4. A group action on increasing sequences of set-indexed Brownian motions

    OpenAIRE

    Yosef, Arthur

    2015-01-01

    We prove that a square-integrable set-indexed stochastic process is a set-indexed Brownian motion if and only if its projection on all the strictly increasing continuous sequences are one-parameter $G$-time-changed Brownian motions. In addition, we study the "sequence-independent variation" property for group stationary-increment stochastic processes in general and for a set-indexed Brownian motion in particular. We present some applications.

  5. Active Brownian motion of an asymmetric rigid particle

    CERN Document Server

    Mammadov, Gulmammad

    2012-01-01

    Individual movements of a rod-like self-propelled particle on a flat substrate are quantified. Biological systems that fit into this description may be the Gram-negative delta-proteobacterium Myxococcus xanthus, Gram-negative bacterium Escherichia coli, and Mitochondria. There are also non-living analogues such as vibrated polar granulates and self-driven anisotropic colloidal particles. For that we study the Brownian motion of an asymmetric rod-like rigid particle self-propelled at a fixed speed along its long axis in two dimensions. The motion of such a particle in a uniform external potential field is also considered. The theoretical model presented here is anticipated to better describe individual cell motion as well as intracellular transport in 2D than previous models.

  6. Random Functions via Dyson Brownian Motion: Progress and Problems

    CERN Document Server

    Wang, Gaoyuan

    2016-01-01

    We develope a computationally efficient extension of the Dyson Brownian Motion (DBM) algorithm to generate random function in C2 locally. We further explain that random functions generated via DBM show an unstable growth as the traversed distance increases. This feature restricts the use of such functions considerably if they are to be used to model globally defined ones. The latter is the case if one used random functions to model landscapes in string theory. We provide a concrete example, based on a simple axionic potential often used in cosmology, to highlight this problem and also offer an ad hoc modification of DBM that suppresses this growth to some degree.

  7. Permutation entropy of fractional Brownian motion and fractional Gaussian noise

    International Nuclear Information System (INIS)

    We have worked out theoretical curves for the permutation entropy of the fractional Brownian motion and fractional Gaussian noise by using the Bandt and Shiha [C. Bandt, F. Shiha, J. Time Ser. Anal. 28 (2007) 646] theoretical predictions for their corresponding relative frequencies. Comparisons with numerical simulations show an excellent agreement. Furthermore, the entropy-gap in the transition between these processes, observed previously via numerical results, has been here theoretically validated. Also, we have analyzed the behaviour of the permutation entropy of the fractional Gaussian noise for different time delays

  8. Slowdown in branching Brownian motion with inhomogeneous variance

    OpenAIRE

    Maillard, Pascal; Zeitouni, Ofer

    2013-01-01

    We consider a model of Branching Brownian Motion with time-inhomogeneous variance of the form \\sigma(t/T), where \\sigma is a strictly decreasing function. Fang and Zeitouni (2012) showed that the maximal particle's position M_T is such that M_T-v_\\sigma T is negative of order T^{-1/3}, where v_\\sigma is the integral of the function \\sigma over the interval [0,1]. In this paper, we refine we refine this result and show the existence of a function m_T, such that M_T-m_T converges in law, as T\\t...

  9. Random functions via Dyson Brownian Motion: progress and problems

    Science.gov (United States)

    Wang, Gaoyuan; Battefeld, Thorsten

    2016-09-01

    We develope a computationally efficient extension of the Dyson Brownian Motion (DBM) algorithm to generate random function in C2 locally. We further explain that random functions generated via DBM show an unstable growth as the traversed distance increases. This feature restricts the use of such functions considerably if they are to be used to model globally defined ones. The latter is the case if one uses random functions to model landscapes in string theory. We provide a concrete example, based on a simple axionic potential often used in cosmology, to highlight this problem and also offer an ad hoc modification of DBM that suppresses this growth to some degree.

  10. Conditional limit theorems for regulated fractional Brownian motion

    CERN Document Server

    Awad, Hernan; 10.1214/09-AAP605

    2009-01-01

    We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value $b$, we provide the limiting distribution for the amount of time that the workload process spends above level $b$ over the busy cycle straddling the origin, as $b\\to\\infty$. Our results can be interpreted as showing that long delays occur in large clumps of size of order $b^{2-1/H}$. The conditional limit result involves a finer scaling of the queueing process than fluid analysis, thereby departing from previous related literature.

  11. Theory of Brownian motion with the Alder-Wainwright effect

    International Nuclear Information System (INIS)

    The Stokes-Boussinesq-Langevin equation, which describes the time evolution of Brownian motion with the Alder-Wainwright effect, can be treated in the framework of the theory of KMO-Langevin equations which describe the time evolution of a real, stationary Gaussian process with T-positivity (reflection positivity) originating in axiomatic quantum field theory. After proving the fluctuation-dissipation theorems for KMO-Langevin equations, the authors obtain an explicit formula for the deviation from the classical Einstein relation that occurs in the Stokes-Boussinesq-Langevin equation with a white noise as its random force. The authors interested in whether or not it can be measured experimentally

  12. Occupation times for planar and higher dimensional Brownian motion

    International Nuclear Information System (INIS)

    We consider a planar Brownian motion starting from O at time t = 0 and stopped at t. Denoting by T the time spent in a wedge of apex O and angle Θ, we develop a method to compute systematically the moments of T for general Θ values. We apply it to obtain analytically the second and third moments for a general wedge angle and, also, the fourth moment for the quadrant (Θ = π/2). We compare our results with numerical simulations. Finally, with standard perturbation theory, we establish a general formula for the second moment of an orthant occupation time

  13. Occupation times for planar and higher dimensional Brownian motion

    Energy Technology Data Exchange (ETDEWEB)

    Desbois, Jean [CNRS, University Paris Sud, UMR8626, LPTMS, ORSAY CEDEX, F-91405 (France)

    2007-03-09

    We consider a planar Brownian motion starting from O at time t = 0 and stopped at t. Denoting by T the time spent in a wedge of apex O and angle {theta}, we develop a method to compute systematically the moments of T for general {theta} values. We apply it to obtain analytically the second and third moments for a general wedge angle and, also, the fourth moment for the quadrant ({theta} = {pi}/2). We compare our results with numerical simulations. Finally, with standard perturbation theory, we establish a general formula for the second moment of an orthant occupation time.

  14. Role of Brownian Motion Hydrodynamics on Nanofluid Thermal Conductivity

    Energy Technology Data Exchange (ETDEWEB)

    W Evans, J Fish, P Keblinski

    2005-11-14

    We use a simple kinetic theory based analysis of heat flow in fluid suspensions of solid nanoparticles (nanofluids) to demonstrate that the hydrodynamics effects associated with Brownian motion have a minor effect on the thermal conductivity of the nanofluid. Our conjecture is supported by the results of molecular dynamics simulations of heat flow in a model nanofluid with well-dispersed particles. Our findings are consistent with the predictions of the effective medium theory as well as with recent experimental results on well dispersed metal nanoparticle suspensions.

  15. Cavity-enhanced optical detection of carbon nanotube Brownian motion

    CERN Document Server

    Stapfner, S; Hunger, D; Weig, E M; Reichel, J; Favero, I

    2012-01-01

    Optical cavities with small mode volume are well-suited to detect the vibration of sub-wavelength sized objects. Here we employ a fiber-based, high-finesse optical microcavity to detect the Brownian motion of a freely suspended carbon nanotube at room temperature under vacuum. The optical detection resolves deflections of the oscillating tube down to 50pm/Hz^1/2. A full vibrational spectrum of the carbon nanotube is obtained and confirmed by characterization of the same device in a scanning electron microscope. Our work successfully extends the principles of high-sensitivity optomechanical detection to molecular scale nanomechanical systems.

  16. Brownian motion and Harmonic functions on Sol(p,q)

    OpenAIRE

    Brofferio, Sara; Salvatori, Maura; Woess, Wolfgang

    2012-01-01

    The Lie group Sol(p,q) is the semidirect product induced by the action of the real numbers R on the plane R^2 which is given by (x,y) --> (exp{p z} x, exp{-q z} y), where z is in R. Viewing Sol(p,q) as a 3-dimensional manifold, it carries a natural Riemannian metric and Laplace-Beltrami operator. We add a linear drift term in the z-variable to the latter, and study the associated Brownian motion with drift. We derive a central limit theorem and compute the rate of escape. Also, we introduce t...

  17. Brownian Motion and Harmonic Functions on Rotationally Symmetric Manifolds

    OpenAIRE

    March, Peter

    1986-01-01

    We consider Brownian motion $X$ on a rotationally symmetric manifold $M_g = (\\mathbb{R}^n, ds^2), ds^2 = dr^2 + g(r)^2 d\\theta^2$. An integral test is presented which gives a necessary and sufficient condition for the nontriviality of the invariant $\\sigma$-field of $X$, hence for the existence of nonconstant bounded harmonic functions on $M_g$. Conditions on the sectional curvatures are given which imply the convergence or the divergence of the test integral.

  18. Functionals of Brownian motion, localization and metric graphs

    Energy Technology Data Exchange (ETDEWEB)

    Comtet, Alain [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Institut Henri Poincare, 11 rue Pierre et Marie Curie, F-75005 Paris (France); Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Texier, Christophe [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Laboratoire de Physique des Solides, UMR 8502 du CNRS, Universite Paris-Sud, Bat. 510, F-91405 Orsay Cedex (France)

    2005-09-16

    We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of Brownian motion arise in the study of electronic transport in weakly disordered metals (weak localization). Two aspects of the physics of the one-dimensional strong localization are reviewed: some properties of the scattering by a random potential (time delay distribution) and a study of the spectrum of a random potential on a bounded domain (the extreme value statistics of the eigenvalues). Then we mention several results concerning the diffusion on graphs, and more generally the spectral properties of the Schroedinger operator on graphs. The interest of spectral determinants as generating functions characterizing the diffusion on graphs is illustrated. Finally, we consider a two-dimensional model of a charged particle coupled to the random magnetic field due to magnetic vortices. We recall the connection between spectral properties of this model and winding functionals of planar Brownian motion. (topical review)

  19. Functionals of Brownian motion, localization and metric graphs

    International Nuclear Information System (INIS)

    We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of Brownian motion arise in the study of electronic transport in weakly disordered metals (weak localization). Two aspects of the physics of the one-dimensional strong localization are reviewed: some properties of the scattering by a random potential (time delay distribution) and a study of the spectrum of a random potential on a bounded domain (the extreme value statistics of the eigenvalues). Then we mention several results concerning the diffusion on graphs, and more generally the spectral properties of the Schroedinger operator on graphs. The interest of spectral determinants as generating functions characterizing the diffusion on graphs is illustrated. Finally, we consider a two-dimensional model of a charged particle coupled to the random magnetic field due to magnetic vortices. We recall the connection between spectral properties of this model and winding functionals of planar Brownian motion. (topical review)

  20. Ergodic Properties of Fractional Brownian-Langevin Motion

    CERN Document Server

    Deng, Weihua

    2008-01-01

    We investigate the time average mean square displacement $\\overline{\\delta^2}(x(t))=\\int_0^{t-\\Delta}[x(t^\\prime+\\Delta)-x(t^\\prime)]^2 dt^\\prime/(t-\\Delta)$ for fractional Brownian and Langevin motion. Unlike the previously investigated continuous time random walk model $\\overline{\\delta^2}$ converges to the ensemble average $ \\sim t^{2 H}$ in the long measurement time limit. The convergence to ergodic behavior is however slow, and surprisingly the Hurst exponent $H=3/4$ marks the critical point of the speed of convergence. When $H^2\\sim k(H) \\cdot\\Delta\\cdot t^{-1}$, when $H=3/4$, ${EB} \\sim (9/16)(\\ln t) \\cdot\\Delta \\cdot t^{-1}$, and when $3/4Brownian motion as a model for recent experiments of sub-diffusion of mRNA in the cell is briefly discussed and comparison with the continuous time ran...

  1. An Efficient Method to Study Nondiffusive Motion of Brownian Particles

    Directory of Open Access Journals (Sweden)

    Lisý Vladimír

    2016-01-01

    Full Text Available The experimental access to short timescales has pointed to the inadequacy of the standard Langevin theory of the Brownian motion (BM in fluids. The hydrodynamic theory of the BM describes well the observed motion of the particles; however, the published approach should be improved in several points. In particular, it leads to incorrect correlation properties of the thermal noise driving the particles. In our contribution we present an efficient method, which is applicable to linear generalized Langevin equations describing the BM of particles with any kind of memory and apply it to interpret the experiments where nondiffusive BM of particles was observed. It is shown that the applicability of the method is much broader, allowing, among all, to obtain efficient solutions of various problems of anomalous BM.

  2. A Simplified Treatment of Brownian Motion and Stochastic Differential Equations Arising in Financial Mathematics

    Science.gov (United States)

    Parlar, Mahmut

    2004-01-01

    Brownian motion is an important stochastic process used in modelling the random evolution of stock prices. In their 1973 seminal paper--which led to the awarding of the 1997 Nobel prize in Economic Sciences--Fischer Black and Myron Scholes assumed that the random stock price process is described (i.e., generated) by Brownian motion. Despite its…

  3. Unusual Brownian motion of photons in open absorbing media

    CERN Document Server

    Zhao, Li-Yi; Zhang, Zhao-Qing; Zhang, Xiang-Dong

    2013-01-01

    Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption strength and sample length. We show analytically that photons in localized open absorbing media exhibit unusual Brownian motion. Specifically, wave transport follows the diffusion equation with the diffusion coefficient exhibiting spatial resolution. Most strikingly, despite that the system is controlled by two parameters -- the ratio of the localization (absorption) length to the sample length -- the spatially resolved diffusion coefficient displays novel single parameter scaling: it depends on the space via the returning probability. Our analytic predictions for this diffusion coefficient are confirmed by numerical simulations. In the strong absorption limit they agree well with the experimental results.

  4. Optimal dividends in the Brownian motion risk model with interest

    Science.gov (United States)

    Fang, Ying; Wu, Rong

    2009-07-01

    In this paper, we consider a Brownian motion risk model, and in addition, the surplus earns investment income at a constant force of interest. The objective is to find a dividend policy so as to maximize the expected discounted value of dividend payments. It is well known that optimality is achieved by using a barrier strategy for unrestricted dividend rate. However, ultimate ruin of the company is certain if a barrier strategy is applied. In many circumstances this is not desirable. This consideration leads us to impose a restriction on the dividend stream. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. Under this additional constraint, we show that the optimal dividend strategy is formed by a threshold strategy.

  5. Brownian Motion as a Limit to Physical Measuring Processes

    DEFF Research Database (Denmark)

    Niss, Martin

    2016-01-01

    In this paper, we examine the history of the idea that noise presents a fundamental limit to physical measuring processes. This idea had its origins in research aimed at improving the accuracy of instruments for electrical measurements. Out of these endeavors, the Swedish physicist Gustaf A. Ising...... formulated a general conclusion concerning the nature of physical measurements, namely that there is a definite limit to the ultimate sensitivity of measuring instruments beyond which we cannot advance, and that this limit is determined by Brownian motion. Ising’s conclusion agreed with experiments and...... received widespread recognition, but his way of modeling the system was contested by his contemporaries. With the more embracing notion of noise that developed during and after World War II, Ising’s conclusion was reinterpreted as showing that noise puts a limit on physical measurement processes. Hence...

  6. Monitoring autocorrelated process: A geometric Brownian motion process approach

    Science.gov (United States)

    Li, Lee Siaw; Djauhari, Maman A.

    2013-09-01

    Autocorrelated process control is common in today's modern industrial process control practice. The current practice of autocorrelated process control is to eliminate the autocorrelation by using an appropriate model such as Box-Jenkins models or other models and then to conduct process control operation based on the residuals. In this paper we show that many time series are governed by a geometric Brownian motion (GBM) process. Therefore, in this case, by using the properties of a GBM process, we only need an appropriate transformation and model the transformed data to come up with the condition needs in traditional process control. An industrial example of cocoa powder production process in a Malaysian company will be presented and discussed to illustrate the advantages of the GBM approach.

  7. Differential dynamic microscopy to characterize Brownian motion and bacteria motility

    Science.gov (United States)

    Germain, David; Leocmach, Mathieu; Gibaud, Thomas

    2016-03-01

    We have developed a lab module for undergraduate students, which involves the process of quantifying the dynamics of a suspension of microscopic particles using Differential Dynamic Microscopy (DDM). DDM is a relatively new technique that constitutes an alternative method to more classical techniques such as dynamic light scattering (DLS) or video particle tracking (VPT). The technique consists of imaging a particle dispersion with a standard light microscope and a camera and analyzing the images using a digital Fourier transform to obtain the intermediate scattering function, an autocorrelation function that characterizes the dynamics of the dispersion. We first illustrate DDM in the textbook case of colloids under Brownian motion, where we measure the diffusion coefficient. Then we show that DDM is a pertinent tool to characterize biological systems such as motile bacteria.

  8. Coupling effect of Brownian motion and laminar shear flow on colloid coagulation: a Brownian dynamics simulation study

    International Nuclear Information System (INIS)

    Simultaneous orthokinetic and perikinetic coagulations (SOPCs) are studied for small and large Peclet numbers (Pe) using Brownian dynamics simulation. The results demonstrate that the contributions of the Brownian motion and the shear flow to the overall coagulation rate are basically not additive. At the early stages of coagulation with small Peclet numbers, the ratio of overall coagulation rate to the rate of pure perikinetic coagulation is proportional to Pe1/2, while with high Peclet numbers, the ratio of overall coagulation rate to the rate of pure orthokinetic coagulation is proportional to Pe−1/2. Moreover, our results show that the aggregation rate generally changes with time for the SOPC, which is different from that for pure perikinetic and pure orthokinetic coagulations. By comparing the SOPC with pure perikinetic and pure orthokinetic coagulations, we show that the redistribution of particles due to Brownian motion can play a very important role in the SOPC. In addition, the effects of redistribution in the directions perpendicular and parallel to the shear flow direction are different. This perspective explains the behavior of coagulation due to the joint effects of the Brownian motion (perikinetic) and the fluid motion (orthokinetic). (electromagnetism, optics, acoustics, heat transfer, classical mechanics, and fluid dynamics)

  9. Self-intersection local times and collision local times of bifractional Brownian motions

    Institute of Scientific and Technical Information of China (English)

    JIANG YiMing; WANG YongJin

    2009-01-01

    In this paper, we consider the local time and the self-intersection local time for a bifrac-tional Brownish motion, and the collision local time for two independent bifractional Brownian motions. We mainly prove the existence and smoothness of the self-intersection local time and the collision local time, through the strong local nondeterminism of bifractional Brownian motion, L2 convergence and Chaos expansion.

  10. Role of Brownian motion on the thermal conductivity enhancement of nanofluids

    Science.gov (United States)

    Gupta, Amit; Kumar, Ranganathan

    2007-11-01

    This study involves Brownian dynamics simulations of a real nanofluid system in which the interparticle potential is determined based on Debye length and surface interaction of the fluid and the solid. This paper shows that Brownian motion can increase the thermal conductivity of the nanofluid by 6% primarily due to "random walk" motion and not only through diffusion. This increase is limited by the maximum concentration for each particle size and is below that predicted by the effective medium theory. Beyond the maximum limit, particle aggregates begin to form. Brownian motion contribution stays as a constant beyond a certain particle diameter.

  11. Oscillation of harmonic functions for subordinate Brownian motion and its applications

    OpenAIRE

    Kim, Panki; Lee, Yunju

    2012-01-01

    In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in bounded kappa-fat open set; if u is a positive harmonic function with respect to X in a bounded kappa-fat open set D and h is ...

  12. An exactly solvable model for Brownian motion : III. Motion of a heavy mass in a linear chain

    NARCIS (Netherlands)

    Ullersma, P.

    1966-01-01

    The theory on Brownian motion, developed in previous papers1) 2) is applied to a linear chain with harmonic coupling between nearest neighbours. All masses are equal except for one which is heavy compared to the others. This heavy particle behaves as a Brownian particle, which is not subject to an e

  13. Magnetic fields and Brownian motion on the 2-sphere

    International Nuclear Information System (INIS)

    Using constrained path integrals, we study some statistical properties of Brownian paths on the two dimensional sphere. A generalized Levy's law for the probability P(A) that a closed Brownian path encloses an algebraic area A is obtained. Distributions of scaled variables related to the winding of paths around some fixed point are recovered in the asymptotic regime t → ∞

  14. On the weak convergence of super-Brownian motion with immigration

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    We prove fluctuation limit theorems for the occupation times of super-Brownian motion with immigration. The weak convergence of the processes is established, which improves the results in references. The limiting processes are Gaussian processes.

  15. Moderate deviations for the quenched mean of the super-Brownian motion with random immigration

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    Moderate deviations for the quenched mean of the super-Brownian motion with random immigration are proved for 3≤d≤6, which fills in the gap between central limit theorem(CLT)and large deviation principle(LDP).

  16. Beyond multifractional Brownian motion: new stochastic models for geophysical modelling

    Science.gov (United States)

    Lévy Véhel, J.

    2013-09-01

    Multifractional Brownian motion (mBm) has proved to be a useful tool in various areas of geophysical modelling. Although a versatile model, mBm is of course not always an adequate one. We present in this work several other stochastic processes which could potentially be useful in geophysics. The first alternative type is that of self-regulating processes: these are models where the local regularity is a function of the amplitude, in contrast to mBm where it is tuned exogenously. We demonstrate the relevance of such models for digital elevation maps and for temperature records. We also briefly describe two other types of alternative processes, which are the counterparts of mBm and of self-regulating processes when the intensity of local jumps is considered in lieu of local regularity: multistable processes allow one to prescribe the local intensity of jumps in space/time, while this intensity is governed by the amplitude for self-stabilizing processes.

  17. Persistence of fractional Brownian motion with moving boundaries and applications

    International Nuclear Information System (INIS)

    We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM X stays below a certain level until time T. Recently, Oshanin et al (2012, arXiv:1209.3313v2) have studied a physical model, where persistence properties of FBM are shown to be related to scaling properties of a quantity JN, called the steady-state current. It turns out that for this analysis, it is important to determine persistence probabilities of FBM with a moving boundary. We show that one can add a boundary of logarithmic order to an FBM without changing the polynomial rate of decay of the corresponding persistence probability, which proves a result needed in Oshanin et al (2013 Phys. Rev. Lett. at press (arXiv:1209.3313v2)). Moreover, we complement their findings by considering the continuous-time version of JT. Finally, we use the results for moving boundaries in order to improve estimates by Molchan (1999 Commun. Math. Phys. 205 97–111) concerning the persistence properties of other quantities of interest, such as the time when an FBM reaches its maximum on the time interval (0, 1) or the last zero in the interval (0, 1). (paper)

  18. Feller Processes: The Next Generation in Modeling. Brownian Motion, L\\'evy Processes and Beyond

    OpenAIRE

    Böttcher, Björn

    2010-01-01

    We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of L\\'evy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in applications. In recent years also L\\'evy processes, of which Brownian Motion is a special case, have become increasingly popular. L\\'evy processes are spatially homogeneous, but empirical data ofte...

  19. 100 years of Einstein's theory of Brownian motion: from pollen grains to protein trains

    OpenAIRE

    Chowdhury, Debashish

    2005-01-01

    Experimental verification of the theoretical predictions made by Albert Einstein in his paper, published in 1905, on the molecular mechanisms of Brownian motion established the existence of atoms. In the last 100 years discoveries of many facets of the ubiquitous Brownian motion has revolutionized our fundamental understanding of the role of {\\it thermal fluctuations} in the exotic structures and complex dynamics exhibited by soft matter like, for example, colloids, gels, etc. The domain of B...

  20. Recurrence and transience for normally reflected Brownian motion in warped product manifolds

    OpenAIRE

    de Lima, Levi Lopes

    2016-01-01

    We establish an integral test describing the exact cut-off between recurrence and transience for normally reflected Brownian motion in certain unbounded domains in a class of warped product manifolds. Besides extending a previous result by Pinsky \\cite{P1}, who treated the case in which the ambient space is flat, our result recovers the classical test for the standard Brownian motion in model spaces. Moreover, it allows us to discuss the recurrence/transience dichotomy for certain generalized...

  1. On exponential stability for stochastic differential equations disturbed by G-Brownian motion

    OpenAIRE

    Fei, Weiyin; Fei, Chen

    2013-01-01

    We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(\\Omega, {\\cal H}, \\hat{\\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations disturbed by a G-Brownian motion in the sense of quasi surely (q.s.). The analyses consist in G-Lyapunov function and some special inequalities. Various sufficient conditions are obtained to ensure the stability of strong solutions. In particular, by means of ...

  2. Weak solutions to stochastic differential equations driven by fractional Brownian motion

    Czech Academy of Sciences Publication Activity Database

    Šnupárková, Jana

    2009-01-01

    Roč. 59, č. 4 (2009), s. 879-907. ISSN 0011-4642 R&D Projects: GA ČR GA201/07/0237 Institutional research plan: CEZ:AV0Z10750506 Keywords : fractional Brownian motion * weak solutions Subject RIV: BA - General Mathematics Impact factor: 0.306, year: 2009 http://library.utia.cas.cz/separaty/2009/SI/snuparkova-weak solutions to stochastic differential equations driven by fractional brownian motion. pdf

  3. On Brownian motion of asymmetric particles - An application as molecular motor

    OpenAIRE

    Reichelsdorfer, Martin

    2010-01-01

    Asymmetric Brownian particles are able to conduct directed average motion under non-equilibrium conditions. This can be used for the construction of molecular motors. The present paper is concerned with the extension and analysis of a biologically inspired model. Due to the often quite abstract formulation, the considerations are also relevant in the broader context of general Brownian motion of asymmetric objects. The model consists of an asymmetric two-dimensional body, which moves along a ...

  4. Brownian Motion in a Speckle Light Field: Tunable Anomalous Diffusion and Selective Optical Manipulation

    OpenAIRE

    Volpe, Giorgio; Volpe, Giovanni; Gigan, Sylvain

    2014-01-01

    The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical potential associated to a speckle, i.e., a complex interference pattern generated by the scattering of coherent light by a random medium, provides an ideal mesoscopic model system to study such phenomena. Here, we derive a theory for the motion of a Brownian ...

  5. Maximum of a Fractional Brownian Motion: Analytic Results from Perturbation Theory.

    Science.gov (United States)

    Delorme, Mathieu; Wiese, Kay Jörg

    2015-11-20

    Fractional Brownian motion is a non-Markovian Gaussian process X_{t}, indexed by the Hurst exponent H. It generalizes standard Brownian motion (corresponding to H=1/2). We study the probability distribution of the maximum m of the process and the time t_{max} at which the maximum is reached. They are encoded in a path integral, which we evaluate perturbatively around a Brownian, setting H=1/2+ϵ. This allows us to derive analytic results beyond the scaling exponents. Extensive numerical simulations for different values of H test these analytical predictions and show excellent agreement, even for large ϵ. PMID:26636835

  6. Brownian motion and gambling: from ratchets to paradoxical games

    CERN Document Server

    Parrondo, J M R

    2014-01-01

    Two losing gambling games, when alternated in a periodic or random fashion, can produce a winning game. This paradox has been inspired by certain physical systems capable of rectifying fluctuations: the so-called Brownian ratchets. In this paper we review this paradox, from Brownian ratchets to the most recent studies on collective games, providing some intuitive explanations of the unexpected phenomena that we will find along the way.

  7. A generalized Brownian motion model for turbulent relative particle dispersion

    Science.gov (United States)

    Shivamoggi, B. K.

    2016-08-01

    There is speculation that the difficulty in obtaining an extended range with Richardson-Obukhov scaling in both laboratory experiments and numerical simulations is due to the finiteness of the flow Reynolds number Re in these situations. In this paper, a generalized Brownian motion model has been applied to describe the relative particle dispersion problem in more realistic turbulent flows and to shed some light on this issue. The fluctuating pressure forces acting on a fluid particle are taken to be a colored noise and follow a stationary process and are described by the Uhlenbeck-Ornstein model while it appears plausible to take their correlation time to have a power-law dependence on Re, thus introducing a bridge between the Lagrangian quantities and the Eulerian parameters for this problem. This ansatz is in qualitative agreement with the possibility of a connection speculated earlier by Corrsin [26] between the white-noise representation for the fluctuating pressure forces and the large-Re assumption in the Kolmogorov [4] theory for the 3D fully developed turbulence (FDT) as well as a similar argument of Monin and Yaglom [23] and a similar result of Sawford [13] and Borgas and Sawford [24]. It also provides an insight into the result that the Richardson-Obukhov scaling holds only in the infinite-Re limit and disappears otherwise. This ansatz further provides a determination of the Richardson-Obukhov constant g as a function of Re, with an asymptotic constant value in the infinite-Re limit. It is shown to lead to full agreement, in the small-Re limit as well, with the Batchelor-Townsend [27] scaling for the rate of change of the mean square interparticle separation in 3D FDT, hence validating its soundness further.

  8. Brownian Motion After Einstein and Smoluchowski: Some New Applications and New Experiments

    International Nuclear Information System (INIS)

    The first half of this review describes the development in mathematical models of Brownian motion after Einstein's and Smoluchowski's seminal papers and current applications to optical tweezers. This instrument of choice among single-molecule biophysicists is also an instrument of such precision that it requires an understanding of Brownian motion beyond Einstein's and Smoluchowski's for its calibration, and can measure effects not present in their theories. This is illustrated with some applications, current and potential. It is also shown how addition of a controlled forced motion on the nano-scale of the thermal motion of the tweezed object can improve the calibration of the instrument in general, and make calibration possible also in complex surroundings. The second half of the present re- view, starting with Sect. 9, describes the co-evolution of biological motility models with models of Brownian motion, including recent results for how to derive cell-type-specific motility models from experimental cell trajectories. (author)

  9. Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation

    International Nuclear Information System (INIS)

    Single-file diffusion behaves as normal diffusion at small time and as subdiffusion at large time. These properties can be described in terms of fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We introduce a new stochastic process called Riemann–Liouville step fractional Brownian motion which can be regarded as a special case of multifractional Brownian motion with a step function type of Hurst exponent tailored for single-file diffusion. Such a step fractional Brownian motion can be obtained as a solution of the fractional Langevin equation with zero damping. Various kinds of fractional Langevin equations and their generalizations are then considered in order to decide whether their solutions provide the correct description of the long and short time behaviors of single-file diffusion. The cases where the dissipative memory kernel is a Dirac delta function, a power-law function and a combination of these functions are studied in detail. In addition to the case where the short time behavior of single-file diffusion behaves as normal diffusion, we also consider the possibility of a process that begins as ballistic motion

  10. From mechanical motion to Brownian motion, thermodynamics and particle transport theory

    International Nuclear Information System (INIS)

    The motion of a particle in a medium is dealt with either as a problem of mechanics or as a transport process in non-equilibrium statistical physics. The two kinds of approach are often unrelated as they are taught in different textbooks. The aim of this paper is to highlight the link between the mechanical and statistical treatments of particle motion in a medium, starting from the well-studied case of Brownian motion. First, deterministic dynamics is supplemented with stochastic elements accounting for the thermal agitation of the host medium: it is the approach of Langevin, which has been rephrased and extended by Kramers. It handles time-independent and time-dependent stochastic motions as well. In that approach, the host medium is not affected by the guest particles and the latter do not interact with each other. Both limitations are shown to be overcome in thermodynamics, which however is restricted to equilibrium situations, i.e. stochastic motions with no net current. When equilibrium is slightly perturbed, we show how thermodynamic and kinetic concepts supersede mechanical concepts to describe particle transport. The description includes multicomponent transport. The discussions of stochastic dynamics and of thermodynamics are led at the undergraduate level; the treatment of multicomponent transport introduces graduate-level concepts

  11. Stochastic processes with values in Riemannian admissible complex: Isotropic process, Wiener measure and Brownian motion

    International Nuclear Information System (INIS)

    The purpose of this work was to construct a Brownian motion with values in simplicial complexes with piecewise differential structure. After a martingale theory attempt, we constructed a family of continuous Markov processes with values in an admissible complex; we named every process of this family, isotropic transport process. We showed that the family of the isotropic processes contains a subsequence, which converged weakly to a measure; we named it the Wiener measure. Then, we constructed, thanks to the finite dimensional distributions of the Wiener measure a new continuous Markov process with values in an admissible complex: the Brownian motion. We finished with a geometric analysis of this Brownian motion, to determinate, under hypothesis on the complex, the recurrent or transient behavior of such process. (author)

  12. (Quantum) Fractional Brownian Motion and Multifractal Processes under the Loop of a Tensor Networks

    CERN Document Server

    Descamps, Benoît

    2016-01-01

    We derive fractional Brownian motion and stochastic processes with multifractal properties using a framework of network of Gaussian conditional probabilities. This leads to the derivation of new representations of fractional Brownian motion. These constructions are inspired from renormalization. The main result of this paper consists of constructing each increment of the process from two-dimensional gaussian noise inside the light-cone of each seperate increment. Not only does this allows us to derive fractional Brownian motion, we can introduce extensions with multifractal flavour. In another part of this paper, we discuss the use of the multi-scale entanglement renormalization ansatz (MERA), introduced in the study critical systems in quantum spin lattices, as a method for sampling integrals with respect to such multifractal processes. After proper calibration, a MERA promises the generation of a sample of size $N$ of a multifractal process in the order of $O(N\\log(N))$, an improvement over the known method...

  13. Coupling of lever arm swing and biased Brownian motion in actomyosin.

    Directory of Open Access Journals (Sweden)

    Qing-Miao Nie

    2014-04-01

    Full Text Available An important unresolved problem associated with actomyosin motors is the role of Brownian motion in the process of force generation. On the basis of structural observations of myosins and actins, the widely held lever-arm hypothesis has been proposed, in which proteins are assumed to show sequential structural changes among observed and hypothesized structures to exert mechanical force. An alternative hypothesis, the Brownian motion hypothesis, has been supported by single-molecule experiments and emphasizes more on the roles of fluctuating protein movement. In this study, we address the long-standing controversy between the lever-arm hypothesis and the Brownian motion hypothesis through in silico observations of an actomyosin system. We study a system composed of myosin II and actin filament by calculating free-energy landscapes of actin-myosin interactions using the molecular dynamics method and by simulating transitions among dynamically changing free-energy landscapes using the Monte Carlo method. The results obtained by this combined multi-scale calculation show that myosin with inorganic phosphate (Pi and ADP weakly binds to actin and that after releasing Pi and ADP, myosin moves along the actin filament toward the strong-binding site by exhibiting the biased Brownian motion, a behavior consistent with the observed single-molecular behavior of myosin. Conformational flexibility of loops at the actin-interface of myosin and the N-terminus of actin subunit is necessary for the distinct bias in the Brownian motion. Both the 5.5-11 nm displacement due to the biased Brownian motion and the 3-5 nm displacement due to lever-arm swing contribute to the net displacement of myosin. The calculated results further suggest that the recovery stroke of the lever arm plays an important role in enhancing the displacement of myosin through multiple cycles of ATP hydrolysis, suggesting a unified movement mechanism for various members of the myosin family.

  14. Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes

    CERN Document Server

    Wyłomańska, Agnieszka

    2012-01-01

    In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called arithmetic Brownian motion). The first one, so called normal tempered stable, is related to the tempered stable subordinator, while the second one - to the inverse tempered stable process. We compare the main properties (such as probability density functions, Laplace transforms, ensemble averaged mean squared displacements) of such two subordinated processes and propose the parameters' estimation procedures. Moreover we calibrate the analyzed systems to real data related to indoor air quality.

  15. Lorentz Invariance and Brownian Motion of Test Particles with Constant Classical Velocity in Electromagnetic Vacuum

    Institute of Scientific and Technical Information of China (English)

    ZHANG Jia-Lin; YU Hong-Wei

    2005-01-01

    @@ We show that the velocity and position dispersions of a test particle with a nonzero constant classical velocity undergoing Brownian motion caused by electromagnetic vacuum fluctuations in a space with plane boundaries can be obtained from those of the static case by Lorentz transformation. We explicitly derive the Lorentz transformations relating the dispersions of the two cases and then apply them to the case of the Brownian motion of a test particle with a constant classical velocity parallel to the boundary between two conducting planes. Our results show that the influence of a nonzero initial velocity is negligible for nonrelativistic test particles.

  16. Brownian Motion in wedges, last passage time and the second arc-sine law

    OpenAIRE

    Comtet, Alain; Desbois, Jean

    2003-01-01

    We consider a planar Brownian motion starting from $O$ at time $t=0$ and stopped at $t=1$ and a set $F= \\{OI_i ; i=1,2,..., n\\}$ of $n$ semi-infinite straight lines emanating from $O$. Denoting by $g$ the last time when $F$ is reached by the Brownian motion, we compute the probability law of $g$. In particular, we show that, for a symmetric $F$ and even $n$ values, this law can be expressed as a sum of $\\arcsin $ or $(\\arcsin)^2 $ functions. The original result of Levy is recovered as the spe...

  17. Anyonic partition functions and windings of planar Brownian motion

    International Nuclear Information System (INIS)

    The computation of the N-cycle Brownian paths contribution FN(α) to the N-anyon partition function is addressed. A detailed numerical analysis based on a random walk on a lattice indicates that FN0(α)=product k=1N-1[1-(N/k)α]. In the paramount three-anyon case, one can show that F3(α) is built by linear states belonging to the bosonic, fermionic, and mixed representations of S3

  18. Quantum Brownian motion in a bath of parametric oscillators a model for system-field interactions

    CERN Document Server

    Hu, B L; Andrew Matacz

    1993-01-01

    The quantum Brownian motion paradigm provides a unified framework where one can see the interconnection of some basic quantum statistical processes like decoherence, dissipation, particle creation, noise and fluctuation. We treat the case where the Brownian particle is coupled linearly to a bath of time dependent quadratic oscillators. While the bath mimics a scalar field, the motion of the Brownian particle modeled by a single oscillator could be used to depict the behavior of a particle detector, a quantum field mode or the scale factor of the universe. An important result of this paper is the derivation of the influence functional encompassing the noise and dissipation kernels in terms of the Bogolubov coefficients. This method enables one to trace the source of statistical processes like decoherence and dissipation to vacuum fluctuations and particle creation, and in turn impart a statistical mechanical interpretation of quantum field processes. With this result we discuss the statistical mechanical origi...

  19. Itô's formula with respect to fractional Brownian motion and its application

    Directory of Open Access Journals (Sweden)

    W. Dai

    1996-01-01

    Full Text Available Fractional Brownian motion (FBM with Hurst index 1/2Brownian motion. Then, as an application, we propose and study a fractional Brownian Scholes stochastic model which includes the standard Black-Scholes model as a special case and is able to account for long range dependence in modeling the price of a risky asset. This article is dedicated to the memory of Roland L. Dobrushin.

  20. Holographic Brownian Motion in Three-Dimensional Gödel Black Hole

    International Nuclear Information System (INIS)

    By using the AdS/CFT correspondence and Gödel black hole background, we study the dynamics of heavy quark under a rotating plasma. In that case we follow Atmaja (2013) about Brownian motion in BTZ black hole. In this paper we receive some new results for the case of α2l2≠1. In this case, we must redefine the angular velocity of string fluctuation. We obtain the time evolution of displacement square and angular velocity and show that it behaves as a Brownian particle in non relativistic limit. In this plasma, it seems that relating the Brownian motion to physical observables is rather a difficult work. But our results match with Atmaja work in the limit α2l2→1

  1. Brownian motion in a speckle light field: tunable anomalous diffusion and selective optical manipulation.

    Science.gov (United States)

    Volpe, Giorgio; Volpe, Giovanni; Gigan, Sylvain

    2014-01-01

    The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical potential associated to a speckle pattern, i.e., a complex interference pattern generated by the scattering of coherent light by a random medium, provides an ideal model system to study such phenomena. Here, we derive a theory for the motion of a Brownian particle in a speckle field and, in particular, we identify its universal characteristic timescale. Based on this theoretical insight, we show how speckle light fields can be used to control the anomalous diffusion of a Brownian particle and to perform some basic optical manipulation tasks such as guiding and sorting. Our results might broaden the perspectives of optical manipulation for real-life applications. PMID:24496461

  2. Anyonic Partition Functions and Windings of Planar Brownian Motion

    OpenAIRE

    Desbois, Jean; Heinemann, Christine; Ouvry, Stéphane

    1994-01-01

    The computation of the $N$-cycle brownian paths contribution $F_N(\\alpha)$ to the $N$-anyon partition function is adressed. A detailed numerical analysis based on random walk on a lattice indicates that $F_N^{(0)}(\\alpha)= \\prod_{k=1}^{N-1}(1-{N\\over k}\\alpha)$. In the paramount $3$-anyon case, one can show that $F_3(\\alpha)$ is built by linear states belonging to the bosonic, fermionic, and mixed representations of $S_3$.

  3. Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

    Science.gov (United States)

    Wang, Jun; Liang, Jin-Rong; Lv, Long-Jin; Qiu, Wei-Yuan; Ren, Fu-Yao

    2012-02-01

    In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.

  4. Time-changed geometric fractional Brownian motion and option pricing with transaction costs

    Science.gov (United States)

    Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu

    2012-08-01

    This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.

  5. Existence of almost periodic solutions for semilinear stochastic evolution equations driven by fractional Brownian motion

    Directory of Open Access Journals (Sweden)

    Paul H. Bezandry

    2012-09-01

    Full Text Available This article concerns the existence of almost periodic solutions to a class of abstract stochastic evolution equations driven by fractional Brownian motion in a separable real Hilbert space. Under some sufficient conditions, we establish the existence and uniqueness of a pth-mean almost periodic mild solution to those stochastic differential equations.

  6. Almost periodic mild solutions for stochastic delay functional. differential equations driven by a fractional Brownian motion

    Directory of Open Access Journals (Sweden)

    Toufik Guendouzi,

    2014-03-01

    Full Text Available In this paper we investigate the existence and stability of quadratic-mean almost periodic mild solutions to stochastic delay functional differential equations driven by fractional Brownian motion with Hurst parameter H > 1/2 , under some suitable assumptions, by means of semigroup of operators and fixed point method.

  7. Comments on Application of the Fractional Brownian Motion in an Airlift Reactor

    Czech Academy of Sciences Publication Activity Database

    Drahoš, Jiří; Punčochář, Miroslav

    2002-01-01

    Roč. 57, č. 10 (2002), s. 1831-1832. ISSN 0009-2509 R&D Projects: GA ČR GA104/97/S002 Institutional research plan: CEZ:AV0Z4072921 Keywords : application * Brownian motion * airlift reactor Subject RIV: CF - Physical ; Theoretical Chemistry Impact factor: 1.224, year: 2002

  8. Stochastic optimal control problem with infinite horizon driven by G-Brownian motion

    OpenAIRE

    Hu, Mingshang; Wang, Falei

    2016-01-01

    The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.

  9. Some scaled limit theorems for an immigration super-Brownian motion

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    In this paper,the small time limit behaviors for an immigration super-Brownian motion are studied,where the immigration is determined by Lebesgue measure.We first prove a functional central limit theorem,and then study the large and moderate deviations associated with this central tendency.

  10. The oscillation of the occupation time process of super- Brownian motion on Sierpinski gasket

    Institute of Scientific and Technical Information of China (English)

    郭军义

    2000-01-01

    The occupation time process of super-Brownian motion on the Sierpinski gasket is studied. It is shown that this process does not possess stable property in the long run, but oscillates periodically in some sense. Other convergence properties are also studied.

  11. The oscillation of the occupation time process of super-Brownian motion on Sierpinski gasket

    Institute of Scientific and Technical Information of China (English)

    2000-01-01

    The occupation time process of super-Brownian motion on the Sierpinski gasket is studied. It is shown that this process does not possess stable property in the long run, but oscillates periodically in some sense. Other convergence properties are also studied.

  12. Pricing Perpetual American Put Option in theMixed Fractional Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    2015-01-01

    Under the assumption of the underlying asset is driven by the mixed fractional Brownian motion, we obtain the mixed fractionalBlack-Scholes partial differential equation by fractional Ito formula, and the pricing formula of perpetual American put option bythis partial differential equation theory.

  13. Anomalous diffusion as modeled by a nonstationary extension of Brownian motion

    Science.gov (United States)

    Cushman, John H.; O'Malley, Daniel; Park, Moongyu

    2009-03-01

    If the mean-square displacement of a stochastic process is proportional to tβ , β≠1 , then it is said to be anomalous. We construct a family of Markovian stochastic processes with independent nonstationary increments and arbitrary but a priori specified mean-square displacement. We label the family as an extended Brownian motion and show that they satisfy a Langevin equation with time-dependent diffusion coefficient. If the time derivative of the variance of the process is homogeneous, then by computing the fractal dimension it can be shown that the complexity of the family is the same as that of the Brownian motion. For two particles initially separated by a distance x , the finite-size Lyapunov exponent (FSLE) measures the average rate of exponential separation to a distance ax . An analytical expression is developed for the FSLEs of the extended Brownian processes and numerical examples presented. The explicit construction of these processes illustrates that contrary to what has been stated in the literature, a power-law mean-square displacement is not necessarily related to a breakdown in the classical central limit theorem (CLT) caused by, for example, correlation (fractional Brownian motion or correlated continuous-time random-walk schemes) or infinite variance (Levy motion). The classical CLT, coupled with nonstationary increments, can and often does give rise to power-law moments such as the mean-square displacement.

  14. Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method

    CERN Document Server

    Bertrand, Pierre R; Guillin, Arnaud

    2010-01-01

    We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an original freezing of time strategy. A simulation study shows the goodness of fit of this estimator.

  15. Time integration for particle Brownian motion determined through fluctuating hydrodynamics

    CERN Document Server

    Delmotte, Blaise

    2015-01-01

    Fluctuating hydrodynamics has been successfully combined with several computational methods to rapidly compute the correlated random velocities of Brownian particles. In the overdamped limit where both particle and fluid inertia are ignored, one must also account for a Brownian drift term in order to successfully update the particle positions. In this paper, we introduce and study a midpoint time integration scheme we refer to as the drifter-corrector (DC) that resolves the drift term for fluctuating hydrodynamics-based methods even when constraints are imposed on the fluid flow to obtain higher-order corrections to the particle hydrodynamic interactions. We explore this scheme in the context of the fluctuating force-coupling method (FCM) where the constraint is imposed on the rate-of-strain averaged over the volume occupied by the particle. For the DC, the constraint need only be imposed once per time step, leading to a significant reduction in computational cost with respect to other schemes. In fact, for f...

  16. Brownian motion after Einstein and Smoluchowski: Some new applications and new experiments

    DEFF Research Database (Denmark)

    Dávid, Selmeczi; Tolic-Nørrelykke, S.F.; Schäffer, E.;

    2007-01-01

    The first half of this review describes the development in mathematical models of Brownian motion after Einstein's and Smoluchowski's seminal papers and current applications to optical tweezers. This instrument of choice among single-molecule biophysicists is also an instrument of such precision...... that it requires an understanding of Brownian motion beyond Einstein's and Smoluchowski's for its calibration, and can measure effects not present in their theories. This is illustrated with some applications, current and potential. It is also shown how addition of a controlled forced motion on the...... nano-scale of the thermal motion of the tweezed object can improve the calibration of the instrument in general, and make calibration possible also in complex surroundings. The second half of the present review, starting with Sect. 9, describes the co-evolution of biological motility models with models...

  17. Exploiting the color of Brownian motion for high-frequency microrheology of Newtonian fluids

    Science.gov (United States)

    Domínguez-García, Pablo; Mor, Flavio M.; Forró, László; Jeney, Sylvia

    2013-09-01

    Einstein's stochastic description of the random movement of small objects in a fluid, i.e. Brownian motion, reveals to be quite different, when observed on short timescales. The limitations of Einstein's theory with respect to particle inertia and hydrodynamic memory yield to the apparition of a colored frequency-dependent component in the spectrum of the thermal forces, which is called "the color of Brownian motion". The knowledge of the characteristic timescales of the motion of a trapped microsphere motion in a Newtonian fluid allowed to develop a high-resolution calibration method for optical interferometry. Well-calibrated correlation quantities, such as the mean square displacement or the velocity autocorrelation function, permit to study the mechanical properties of fluids at high frequencies. These properties are estimated by microrheological calculations based on the theoretical relations between the complex mobility of the beads and the rheological properties of a complex fluid.

  18. Dynamics of 2D Stochastic non-Newtonian fluids driven by fractional Brownian motion

    OpenAIRE

    Li, Jin; Huang, Jianhua

    2011-01-01

    A 2D Stochastic incompressible non-Newtonian fluids driven by fractional Bronwnian motion with Hurst parameter $H \\in (1/2,1)$ is studied. The Wiener-type stochastic integrals are introduced for infinite-dimensional fractional Brownian motion. Four groups of assumptions, including the requirement of Nuclear operator or Hilbert-Schmidt operator, are discussed. The existence and regularity of stochastic convolution for the corresponding additive linear stochastic equation are obtained under eac...

  19. Brownian Motion, Bridge, Excursion, and Meander Characterized by Sampling at Independent Uniform Times

    OpenAIRE

    Pitman, Jim

    1999-01-01

    For a random process $X$ consider the random vector defined by the values of $X$ at times $0 \\lt U_{n,1} \\lt ... \\lt U_{n,n} \\lt 1$ and the minimal values of $X$ on each of the intervals between consecutive pairs of these times, where the $U_{n,i}$ are the order statistics of $n$ independent uniform $(0,1)$ variables, independent of $X$. The joint law of this random vector is explicitly described when $X$ is a Brownian motion. Corresponding results for Brownian bridge, excursion, and meander ...

  20. Molecular dynamics test of the Brownian description of Na(+) motion in water

    Science.gov (United States)

    Wilson, M. A.; Pohorille, A.; Pratt, L. R.

    1985-01-01

    The present paper provides the results of molecular dynamics calculations on a Na(+) ion in aqueous solution. Attention is given to the sodium-oxygen and sodium-hydrogen radial distribution functions, the velocity autocorrelation function for the Na(+) ion, the autocorrelation function of the force on the stationary ion, and the accuracy of Brownian motion assumptions which are basic to hydrodynamic models of ion dyanmics in solution. It is pointed out that the presented calculations provide accurate data for testing theories of ion dynamics in solution. The conducted tests show that it is feasible to calculate Brownian friction constants for ions in aqueous solutions. It is found that for Na(+) under the considered conditions the Brownian mobility is in error by only 60 percent.

  1. Mirror coupling of reflecting Brownian motion and an application to Chavel's conjecture

    CERN Document Server

    Pascu, Mihai N

    2010-01-01

    In a series of papers, Burdzy et. al. introduced the \\emph{mirror coupling} of reflecting Brownian motions in a smooth bounded domain $D\\subset \\mathbb{R}^{d}$, and used it to prove certain properties of eigenvalues and eigenfunctions of the Neumann Laplaceian on $D$. In the present paper we show that the construction of the mirror coupling can be extended to the case when the two Brownian motions live in different domains $D_{1},D_{2}\\subset \\mathbb{R}^{d}$. As an application of the construction, we derive a unifying proof of the two main results concerning the validity of Chavel's conjecture on the domain monotonicity of the Neumann heat kernel, due to I. Chavel (\\cite{Chavel}), respectively W. S. Kendall (\\cite{Kendall}).

  2. On Nonlinear Quantum Mechanics, Brownian Motion, Weyl Geometry and Fisher Information

    Directory of Open Access Journals (Sweden)

    Castro C.

    2006-01-01

    Full Text Available A new nonlinear Schrödinger equation is obtained explicitly from the (fractal Brownian motion of a massive particle with a complex-valued diffusion constant. Real-valued energy plane-wave solutions and solitons exist in the free particle case. One remarkable feature of this nonlinear Schrödinger equation based on a (fractal Brownian motion model, over all the other nonlinear QM models, is that the quantummechanical energy functional coincides precisely with the field theory one. We finalize by showing why a complex momentum is essential to fully understand the physical implications of Weyl’s geometry in QM, along with the interplay between Bohm’s Quantum potential and Fisher Information which has been overlooked by several authors in the past.

  3. Characterization of turbulence stability through the identification of multifractional Brownian motions

    Directory of Open Access Journals (Sweden)

    K. C. Lee

    2013-02-01

    Full Text Available Multifractional Brownian motions have become popular as flexible models in describing real-life signals of high-frequency features in geoscience, microeconomics, and turbulence, to name a few. The time-changing Hurst exponent, which describes regularity levels depending on time measurements, and variance, which relates to an energy level, are two parameters that characterize multifractional Brownian motions. This research suggests a combined method of estimating the time-changing Hurst exponent and variance using the local variation of sampled paths of signals. The method consists of two phases: initially estimating global variance and then accurately estimating the time-changing Hurst exponent. A simulation study shows its performance in estimation of the parameters. The proposed method is applied to characterization of atmospheric stability in which descriptive statistics from the estimated time-changing Hurst exponent and variance classify stable atmosphere flows from unstable ones.

  4. Characterization of turbulence stability through the identification of multifractional Brownian motions

    Science.gov (United States)

    Lee, K. C.

    2013-02-01

    Multifractional Brownian motions have become popular as flexible models in describing real-life signals of high-frequency features in geoscience, microeconomics, and turbulence, to name a few. The time-changing Hurst exponent, which describes regularity levels depending on time measurements, and variance, which relates to an energy level, are two parameters that characterize multifractional Brownian motions. This research suggests a combined method of estimating the time-changing Hurst exponent and variance using the local variation of sampled paths of signals. The method consists of two phases: initially estimating global variance and then accurately estimating the time-changing Hurst exponent. A simulation study shows its performance in estimation of the parameters. The proposed method is applied to characterization of atmospheric stability in which descriptive statistics from the estimated time-changing Hurst exponent and variance classify stable atmosphere flows from unstable ones.

  5. The application of fractional derivatives in stochastic models driven by fractional Brownian motion

    Science.gov (United States)

    Longjin, Lv; Ren, Fu-Yao; Qiu, Wei-Yuan

    2010-11-01

    In this paper, in order to establish connection between fractional derivative and fractional Brownian motion (FBM), we first prove the validity of the fractional Taylor formula proposed by Guy Jumarie. Then, by using the properties of this Taylor formula, we derive a fractional Itô formula for H∈[1/2,1), which coincides in form with the one proposed by Duncan for some special cases, whose formula is based on the Wick Product. Lastly, we apply this fractional Itô formula to the option pricing problem when the underlying of the option contract is supposed to be driven by a geometric fractional Brownian motion. The case that the drift, volatility and risk-free interest rate are all dependent on t is also discussed.

  6. Quantal Brownian Motion from RPA dynamics: The master and Fokker-Planck equations

    International Nuclear Information System (INIS)

    From the purely quantal RPA description of the damped harmonic oscillator and of the corresponding Brownian Motion within the full space (phonon subspace plus reservoir), a master equation (as well as a Fokker-Planck equation) for the reduced density matrix (for the reduced Wigner function, respectively) within the phonon subspace is extracted. The RPA master equation agrees with the master equation derived by the time-dependent perturbative approaches which utilize Tamm-Dancoff Hilbert spaces and invoke the rotating wave approximation. Since the RPA yields a full, as well as a contracted description, it can account for both the kinetic and the unperturbed oscillator momenta. The RPA description of the quantal Brownian Motion contrasts with the descriptions provided by the time perturbative approaches whether they invoke or not the rotating wave approximation. The RPA description also contrasts with the phenomenological phase space quantization. (orig.)

  7. Impurity driven Brownian motion of solitons in elongated Bose-Einstein Condensates

    CERN Document Server

    Aycock, L M; Genkina, D; Lu, H -I; Galitski, V; Spielman, I B

    2016-01-01

    Solitons, spatially-localized, mobile excitations resulting from an interplay between nonlinearity and dispersion, are ubiquitous in physical systems from water channels and oceans to optical fibers and Bose-Einstein condensates (BECs). For the first time, we observed and controlled the Brownian motion of solitons. We launched long-lived dark solitons in highly elongated $^{87}\\rm{Rb}$ BECs and showed that a dilute background of impurity atoms in a different internal state dramatically affects the soliton. With no impurities and in one-dimension (1-D), these solitons would have an infinite lifetime, a consequence of integrability. In our experiment, the added impurities scatter off the much larger soliton, contributing to its Brownian motion and decreasing its lifetime. We describe the soliton's diffusive behavior using a quasi-1-D scattering theory of impurity atoms interacting with a soliton, giving diffusion coefficients consistent with experiment.

  8. Brownian motion in wedges, last passage time and the second arc-sine law

    Energy Technology Data Exchange (ETDEWEB)

    Comtet, Alain [Laboratoire de Physique Theorique et Modeles Statistiques. Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques. Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France)

    2003-05-02

    We consider a planar Brownian motion starting from O at time t = 0 and stopped at t = 1 and a set F = OI{sub i}; i = 1, 2, ..., n of n semi-infinite straight lines emanating from O. Denoting by g the last time when F is reached by the Brownian motion, we compute the probability law of g. In particular, we show that, for a symmetric F and even n values, this law can be expressed as a sum of arcsin or (arcsin){sup 2} functions. The original result of Levy is recovered as the special case n = 2. A relation with the problem of reaction-diffusion of a set of three particles in one dimension is discussed. (letter to the editor)

  9. Brownian motion in wedges, last passage time and the second arc-sine law

    International Nuclear Information System (INIS)

    We consider a planar Brownian motion starting from O at time t = 0 and stopped at t = 1 and a set F = OIi; i = 1, 2, ..., n of n semi-infinite straight lines emanating from O. Denoting by g the last time when F is reached by the Brownian motion, we compute the probability law of g. In particular, we show that, for a symmetric F and even n values, this law can be expressed as a sum of arcsin or (arcsin)2 functions. The original result of Levy is recovered as the special case n = 2. A relation with the problem of reaction-diffusion of a set of three particles in one dimension is discussed. (letter to the editor)

  10. Random variables as pathwise integrals with respect to fractional Brownian motion

    CERN Document Server

    Mishura, Yuliya; Valkeila, Esko

    2011-01-01

    We show that a pathwise stochastic integral with respect to fractional Brownian motion with an adapted integrand $g$ can have any prescribed distribution, moreover, we give both necessary and sufficient conditions when random variables can be represented in this form. We also prove that any random variable is a value of such integral in some improper sense. We discuss some applications of these results, in particular, to fractional Black--Scholes model of financial market.

  11. Two-sided estimates on the density of Brownian motion with singular drift

    OpenAIRE

    Kim, Panki; Song, Renming

    2006-01-01

    Let μ = μ 1 ⋯ μ d be such that each μ i is a signed measure on \\R d belonging to the Kato class \\K d , 1 . The existence and uniqueness of a continuous Markov process X on \\R d , called a Brownian motion with drift μ , was recently established by Bass and Chen. In this paper we study the potential theory of X ...

  12. Boundary behavior of a constrained Brownian motion between reflecting-repellent walls

    OpenAIRE

    Lépingle, Dominique

    2009-01-01

    International audience Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and (or) singular repellent drift. When the domain is a polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for non-hitting a face of the polyhedron is derived from the one-dimensional case. A complete answer to the question of attain...

  13. Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion

    OpenAIRE

    Fei, Weiyin; Fei, Chen

    2013-01-01

    By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space $(\\Omega, {\\cal H}, \\hat{\\mathbb{E}})$, we first set up an optimality principle of stochastic control problem. Then we investigate an optimal consumption and portfolio decision with a volatility ambiguity by the derived verification theorem. Next the two-fund separation theorem is explicitly obtained. And an illustrative example is provided.

  14. Maximum likelihood drift estimation for the mixing of two fractional Brownian motions

    OpenAIRE

    Mishura, Yuliya

    2015-01-01

    We construct the maximum likelihood estimator (MLE) of the unknown drift parameter $\\theta\\in \\mathbb{R}$ in the linear model $X_t=\\theta t+\\sigma B^{H_1}(t)+B^{H_2}(t),\\;t\\in[0,T],$ where $B^{H_1}$ and $B^{H_2}$ are two independent fractional Brownian motions with Hurst indices $\\frac12

  15. MULTI-DIMENSIONAL GEOMETRIC BROWNIAN MOTIONS, ONSAGER-MACHLUP FUNCTIONS, AND APPLICATIONS TO MATHEMATICAL FINANCE

    Institute of Scientific and Technical Information of China (English)

    2000-01-01

    The solutions of the following bilinearstochastic differential equation are stud-ied (X) where Atk, Bt are (deterministic)continuous matrix-valued functions of t and w1(t),..., wm(t) are m independent standard Brownian motions. Conditions are given such thatthe solution is positive if the initial condition is positive.The equation the most probable path must satisfy is also derived and applied to a mathematicalfinance problem.

  16. X-Ray photon correlation spectroscopy study of Brownian motion of gold colloids in glycerol

    International Nuclear Information System (INIS)

    We report x-ray photon correlation spectroscopy studies of the static structure factor and dynamic correlation function of a gold colloid dispersed in the viscous liquid glycerol. We find a diffusion coefficient for Brownian motion of the gold colloid which agrees well with that extrapolated from measurements made with visible light, but which was determined on an optically opaque sample and in a wave-vector range inaccessible to visible light

  17. Fractional Brownian Motion Approximation Based on Fractional Integration of a White Noise

    OpenAIRE

    Chechkin, A. V.; Gonchar, V. Yu.

    1999-01-01

    We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional integration/differentiation of a white Gaussian noise. We study correlation properties of the approximation to fractional Gaussian noise and point to the peculiarities of persistent and anti-persistent behaviors. We also investigate self-similar properties of the approximat...

  18. Optimal control of a stochastic processing system driven by a fractional Brownian motion input

    OpenAIRE

    Ghosh, Arka P.; Roitershtein, Alexander; Weerasinghe, Ananda

    2010-01-01

    We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON-OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite-horizon discounted cost, and the finite-horizon cost. In addition, we find a solution to a constrained minimization problem as an application of our solution to the long-run average cost problem. We also establish Abel...

  19. Brownian Motion of Stiff Filaments in a Crowded Environment

    Science.gov (United States)

    Fakhri, Nikta; MacKintosh, Frederick C.; Lounis, Brahim; Cognet, Laurent; Pasquali, Matteo

    2010-12-01

    The thermal motion of stiff filaments in a crowded environment is highly constrained and anisotropic; it underlies the behavior of such disparate systems as polymer materials, nanocomposites, and the cell cytoskeleton. Despite decades of theoretical study, the fundamental dynamics of such systems remains a mystery. Using near-infrared video microscopy, we studied the thermal diffusion of individual single-walled carbon nanotubes (SWNTs) confined in porous agarose networks. We found that even a small bending flexibility of SWNTs strongly enhances their motion: The rotational diffusion constant is proportional to the filament-bending compliance and is independent of the network pore size. The interplay between crowding and thermal bending implies that the notion of a filament’s stiffness depends on its confinement. Moreover, the mobility of SWNTs and other inclusions can be controlled by tailoring their stiffness.

  20. Brownian motion of massive skyrmions in magnetic thin films

    Energy Technology Data Exchange (ETDEWEB)

    Troncoso, Roberto E., E-mail: r.troncoso.c@gmail.com [Centro para el Desarrollo de la Nanociencia y la Nanotecnología, CEDENNA, Avda. Ecuador 3493, Santiago 9170124 (Chile); Núñez, Álvaro S., E-mail: alnunez@dfi.uchile.cl [Departamento de Física, Facultad de Ciencias Físicas y Matemáticas, Universidad de Chile, Casilla 487-3, Santiago (Chile)

    2014-12-15

    We report on the thermal effects on the motion of current-driven massive magnetic skyrmions. The reduced equation for the motion of skyrmion has the form of a stochastic generalized Thiele’s equation. We propose an ansatz for the magnetization texture of a non-rigid single skyrmion that depends linearly with the velocity. By using this ansatz it is found that the skyrmion mass tensor is closely related to intrinsic skyrmion parameters, such as Gilbert damping, skyrmion-charge and dissipative force. We have found an exact expression for the average drift velocity as well as the mean-square velocity of the skyrmion. The longitudinal and transverse mobility of skyrmions for small spin-velocity of electrons is also determined and found to be independent of the skyrmion mass.

  1. Differential Dynamic Microscopy to characterize Brownian motion and bacteria motility

    OpenAIRE

    Germain, David; Leocmach, Mathieu; Gibaud, Thomas

    2015-01-01

    We have developed a lab work module where we teach undergraduate students how to quantify the dynamics of a suspension of microscopic particles, measuring and analyzing the motion of those particles at the individual level or as a group. Differential Dynamic Microscopy (DDM) is a relatively recent technique that precisely does that and constitutes an alternative method to more classical techniques such as dynamics light scattering (DLS) or video particle tracking (VPT). DDM consists in imagin...

  2. Fractional Brownian motion, the Matern process, and stochastic modeling of turbulent dispersion

    CERN Document Server

    Lilly, J M; Early, J J; Olhede, S C

    2016-01-01

    Stochastic process exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm). In particular, the spectral slope at high frequencies is associated with the degree of small-scale roughness or fractal dimension. However, a broad class of real-world signals have a high-frequency slope, like fBm, but a plateau in the vicinity of zero frequency. This low-frequency plateau, it is shown, implies that the temporal integral of the process exhibits diffusive behavior, dispersing from its initial location at a constant rate. Such processes are not well modeled by fBm, which has a singularity at zero frequency corresponding to an unbounded rate of dispersion. A more appropriate stochastic model is a much lesser-known random process called the Matern process, which is shown herein to be a damped version of fractional Brownian motion. This article first provides a thorough introduction to fractional Brownian motion, then examines the details of the Matern process and...

  3. Vertices of the least concave majorant of Brownian motion with parabolic drift

    CERN Document Server

    Groeneboom, Piet

    2010-01-01

    It was shown in Groeneboom (1983) that the least concave majorant of one-sided Brownian motion without drift can be characterized by a jump process with independent increments, which is the inverse of the process of slopes of the least concave majorant. This result can be used to prove the result of Sparre Andersen (1954) that the number of vertices of the smallest concave majorant of the empirical distribution function of a sample of size n from the uniform distribution on [0,1] is asymptotically normal, with an asymptotic expectation and variance which are both of order log n. A similar (Markovian) inverse jump process was introduced in Groeneboom (1989), in an analysis of the least concave majorant of two-sided Brownian motion with a parabolic drift. This process is quite different from the process for one-sided Brownian motion without drift: the number of vertices in a (corresponding slopes) interval has an expectation proportional to the length of the interval and the variance of the number of vertices i...

  4. Particle mobility between two planar elastic membranes: Brownian motion and membrane deformation

    CERN Document Server

    Daddi-Moussa-Ider, Abdallah; Gekle, Stephan

    2016-01-01

    We study the motion of a solid particle immersed in a Newtonian fluid and confined between two parallel elastic membranes possessing shear and bending rigidity. The hydrodynamic mobility depends on the frequency of the particle motion due to the elastic energy stored in the membrane. Unlike the single-membrane case, a coupling between shearing and bending exists. The commonly used approximation of superposing two single-membrane contributions is found to give reasonable results only for motions in the parallel, but not in the perpendicular direction. We also compute analytically the membrane deformation resulting from the motion of the particle, showing that the presence of the second membrane reduces deformation. Using the fluctuation-dissipation theorem we compute the Brownian motion of the particle, finding a long-lasting subdiffusive regime at intermediate time scales. We finally assess the accuracy of the employed point-particle approximation via boundary-integral simulations for a truly extended particl...

  5. Quantum Brownian motion in a bath of parametric oscillators: A model for system-field interactions

    International Nuclear Information System (INIS)

    The quantum Brownian motion paradigm provides a unified framework where one can see the interconnection of some basic quantum statistical processes such as decoherence, dissipation, particle creation, noise, and fluctuation. The present paper continues the investigation begun in earlier papers on the quantum Brownian motion in a general environment via the influence functional formalism. Here, the Brownian particle is coupled linearly to a bath of the most general time-dependent quadratic oscillators. This bath of parametric oscillators minics a scalar field, while the motion of the Brownian particle modeled by a single oscillator could be used to depict the behavior of a particle detector, a quantum field mode, or the scale factor of the Universe. An important result of this paper is the derivation of the influence functional encompassing the noise and dissipation kernels in terms of the Bogolubov coefficients, thus setting the stage for the influence functional formalism treatment of problems in quantum field theory in curved spacetime. This method enables one to trace the source of statistical processes such as decoherence and dissipation to vacuum fluctuations and particle creation, and in turn impart a statistical mechanical interpretation of quantum field processes. With this result we discuss the statistical mechanical origin of quantum noise and thermal radiance from black holes and from uniformly accelerated observers in Minkowski space as well as from the de Sitter universe discovered by Hawking, Unruh, and Gibbons and Hawking. We also derive the exact evolution operator and master equation for the reduced density matrix of the system interacting with a parametric oscillator bath in an initial squeezed thermal state. These results are useful for decoherence and back reaction studies for systems and processes of interest in semiclassical cosmology and gravity. Our model and results are also expected to be useful for related problems in quantum optics

  6. Nanoparticle Brownian motion and hydrodynamic interactions in the presence of flow fields.

    Science.gov (United States)

    Uma, B; Swaminathan, T N; Radhakrishnan, R; Eckmann, D M; Ayyaswamy, P S

    2011-07-01

    We consider the Brownian motion of a nanoparticle in an incompressible Newtonian fluid medium (quiescent or fully developed Poiseuille flow) with the fluctuating hydrodynamics approach. The formalism considers situations where both the Brownian motion and the hydrodynamic interactions are important. The flow results have been modified to account for compressibility effects. Different nanoparticle sizes and nearly neutrally buoyant particle densities are also considered. Tracked particles are initially located at various distances from the bounding wall to delineate wall effects. The results for thermal equilibrium are validated by comparing the predictions for the temperatures of the particle with those obtained from the equipartition theorem. The nature of the hydrodynamic interactions is verified by comparing the velocity autocorrelation functions and mean square displacements with analytical and experimental results where available. The equipartition theorem for a Brownian particle in Poiseuille flow is verified for a range of low Reynolds numbers. Numerical predictions of wall interactions with the particle in terms of particle diffusivities are consistent with results, where available. PMID:21918592

  7. General quantum Brownian motion with initially correlated and nonlinearly coupled environment

    International Nuclear Information System (INIS)

    The dynamics of an open quantum system exhibiting the quantum Brownian motion is analyzed when the coupling between the system and its environment is nonlinear, and the system and the reservoir are initially correlated. For couplings quadratic in the environment variables, the influence functional for the system is obtained perturbatively up to second order in the coupling constant, and then the propagator is explicitly evaluated when the particle is under the influence of a harmonic potential and an additional anharmonic potential, the so-called washboard potential. As an application of the propagator, the master equation and the Wigner equation are obtained for the quantum Brownian particle moving in a harmonic potential for the generalized correlated initial condition, and then for the specific case of the simplified 'thermal' initial condition. The system is shown to obey the corresponding fluctuation-dissipation theorem

  8. Brownian motion of massive black hole binaries and the final parsec problem

    Science.gov (United States)

    Bortolas, E.; Gualandris, A.; Dotti, M.; Spera, M.; Mapelli, M.

    2016-09-01

    Massive black hole binaries (BHBs) are expected to be one of the most powerful sources of gravitational waves in the frequency range of the pulsar timing array and of forthcoming space-borne detectors. They are believed to form in the final stages of galaxy mergers, and then harden by slingshot ejections of passing stars. However, evolution via the slingshot mechanism may be ineffective if the reservoir of interacting stars is not readily replenished, and the binary shrinking may come to a halt at roughly a parsec separation. Recent simulations suggest that the departure from spherical symmetry, naturally produced in merger remnants, leads to efficient loss cone refilling, preventing the binary from stalling. However, current N-body simulations able to accurately follow the evolution of BHBs are limited to very modest particle numbers. Brownian motion may artificially enhance the loss cone refilling rate in low-N simulations, where the binary encounters a larger population of stars due its random motion. Here we study the significance of Brownian motion of BHBs in merger remnants in the context of the final parsec problem. We simulate mergers with various particle numbers (from 8k to 1M) and with several density profiles. Moreover, we compare simulations where the BHB is fixed at the centre of the merger remnant with simulations where the BHB is free to random walk. We find that Brownian motion does not significantly affect the evolution of BHBs in simulations with particle numbers in excess of one million, and that the hardening measured in merger simulations is due to collisionless loss cone refilling.

  9. Brownian motion of massive black hole binaries and the final parsec problem

    Science.gov (United States)

    Bortolas, E.; Gualandris, A.; Dotti, M.; Spera, M.; Mapelli, M.

    2016-06-01

    Massive black hole binaries (BHBs) are expected to be one of the most powerful sources of gravitational waves (GWs) in the frequency range of the pulsar timing array and of forthcoming space-borne detectors. They are believed to form in the final stages of galaxy mergers, and then harden by slingshot ejections of passing stars. However, evolution via the slingshot mechanism may be ineffective if the reservoir of interacting stars is not readily replenished, and the binary shrinking may come to a halt at roughly a parsec separation. Recent simulations suggest that the departure from spherical symmetry, naturally produced in merger remnants, leads to efficient loss cone refilling, preventing the binary from stalling. However, current N-body simulations able to accurately follow the evolution of BHBs are limited to very modest particle numbers. Brownian motion may artificially enhance the loss cone refilling rate in low-N simulations, where the binary encounters a larger population of stars due its random motion. Here we study the significance of Brownian motion of BHBs in merger remnants in the context of the final parsec problem. We simulate mergers with various particle numbers (from 8k to 1M) and with several density profiles. Moreover, we compare simulations where the BHB is fixed at the centre of the merger remnant with simulations where the BHB is free to random walk. We find that Brownian motion does not significantly affect the evolution of BHBs in simulations with particle numbers in excess of one million, and that the hardening measured in merger simulations is due to collisionless loss cone refilling.

  10. Observing Brownian motion and measuring temperatures in vibration-fluidized granular matter

    International Nuclear Information System (INIS)

    Understanding the behaviour of granular media, either at rest or moving under external driving, is a difficult task, although it is important and of very practical interest. Describing the motion of each individual grain is complicated, not only because of the large number of grains, but also because the mechanisms of interaction at the grain level involve complex contact forces. One would like to have, in fact, a description in terms of a few macroscopic quantities. Since a granular medium resembles a liquid or a gas when strongly vibrated or when flowing out of a container, a natural approach is to adopt usual equilibrium statistical mechanics tools in order to test if such a macroscopic description is possible. In other words, an interesting question is to investigate whether one can model granular media, when close to a liquid-like state for example, using viscosity, temperature, and so on, as one does for normal liquids. With this aim in view, we have developed a non-equilibrium version of the classical Brownian motion experiment. In particular, we have observed the motion of a torsion oscillator immersed in an externally vibrated granular medium of glass spheres, and have collected evidence that the motion is Brownian-like. An approximate fluctuation-dissipation relation holds, and we can define temperature-like and viscosity-like parameters

  11. Generalized Langevin Theory Of The Brownian Motion And The Dynamics Of Polymers In Solution

    International Nuclear Information System (INIS)

    The review deals with a generalization of the Rouse and Zimm bead-spring models of the dynamics of flexible polymers in dilute solutions. As distinct from these popular theories, the memory in the polymer motion is taken into account. The memory naturally arises as a consequence of the fluid and bead inertia within the linearized Navier-Stokes hydrodynamics. We begin with a generalization of the classical theory of the Brownian motion, which forms the basis of any theory of the polymer dynamics. The random force driving the Brownian particles is not the white one as in the Langevin theory, but “colored”, i.e., statistically correlated in time, and the friction force on the particles depends on the history of their motion. An efficient method of solving the resulting generalized Langevin equations is presented and applied to the solution of the equations of motion of polymer beads. The memory effects lead to several peculiarities in the time correlation functions used to describe the dynamics of polymer chains. So, the mean square displacement of the polymer coils contains algebraic long-time tails and at short times it is ballistic. It is shown how these features reveal in the experimentally observable quantities, such as the dynamic structure factors of the scattering or the viscosity of polymer solutions. A phenomenological theory is also presented that describes the dependence of these quantities on the polymer concentration in solution. (author)

  12. Growth rates of the population in a branching Brownian motion with an inhomogeneous breeding potential

    CERN Document Server

    Berestycki, Julien; Harris, John W; Harris, Simon C; Roberts, Matthew I

    2012-01-01

    We consider a branching particle system where each particle moves as an independent Brownian motion and breeds at a rate proportional to its distance from the origin raised to the power $p$, for $p\\in[0,2)$. The asymptotic behaviour of the right-most particle for this system is already known; in this article we give large deviations probabilities for particles following "difficult" paths, growth rates along "easy" paths, the total population growth rate, and we derive the optimal paths which particles must follow to achieve this growth rate.

  13. On the theory of Brownian motion with the Alder-Wainwright effect

    Science.gov (United States)

    Okabe, Yasunori

    1986-12-01

    The Stokes-Boussinesq-Langevin equation, which describes the time evolution of Brownian motion with the Alder-Wainwright effect, can be treated in the framework of the theory of KMO-Langevin equations which describe the time evolution of a real, stationary Gaussian process with T-positivity (reflection positivity) originating in axiomatic quantum field theory. After proving the fluctuation-dissipation theorems for KMO-Langevin equations, we obtain an explicit formula for the deviation from the classical Einstein relation that occurs in the Stokes-Boussinesq-Langevin equation with a white noise as its random force. We are interested in whether or not it can be measured experimentally.

  14. On Drift Parameter Estimation in Models with Fractional Brownian Motion by Discrete Observations

    Directory of Open Access Journals (Sweden)

    Yuliya Mishura

    2014-06-01

    Full Text Available We study a problem of an unknown drift parameter estimation in a stochastic differen- tial equation driven by fractional Brownian motion. We represent the likelihood ratio as a function of the observable process. The form of this representation is in general rather complicated. However, in the simplest case it can be simplified and we can discretize it to establish the a. s. convergence of the discretized version of maximum likelihood estimator to the true value of parameter. We also investigate a non-standard estimator of the drift parameter showing further its strong consistency. 

  15. Statistical Inference for Time-changed Brownian Motion Credit Risk Models

    OpenAIRE

    T. R. Hurd; Zhuowei Zhou

    2011-01-01

    We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent increasing process. Following the approach of Black and Cox, one defines the time of default to be the first passage time for the log-leverage ratio to cross the level zero. Rather than adopt the classical notion of first passage, with its associated numerical challenges, we accept an alternative ...

  16. Brownian motion, random walks on trees, and harmonic measure on polynomial Julia sets

    OpenAIRE

    Emerson, Nathaniel D.

    2006-01-01

    We consider the harmonic measure on a disconnected polynomial Julia set in terms of Brownian motion. We show that the harmonic measure of any connected component of such a Julia set is zero. Associated to the polynomial is a combinatorial model, the tree with dynamics. We define a measure on the tree, which is a combinatorial version on harmonic measure. We show that this measure is isomorphic to the harmonic measure on the Julia set. The measure induces a random walk on the tree, which is is...

  17. Harnack Inequality and Regularity for a Product of Symmetric Stable Process and Brownian Motion

    OpenAIRE

    Karli, Deniz

    2010-01-01

    In this paper, we consider a product of a symmetric stable process in $\\mathbb{R}^d$ and a one-dimensional Brownian motion in $\\mathbb{R}^+$. Then we define a class of harmonic functions with respect to this product process. We show that bounded non-negative harmonic functions in the upper-half space satisfy Harnack inequality and prove that they are locally H\\"older continuous. We also argue a result on Littlewood-Paley functions which are obtained by the $\\alpha$-harmonic extension of an $L...

  18. The pricing of credit default swaps under a generalized mixed fractional Brownian motion

    Science.gov (United States)

    He, Xinjiang; Chen, Wenting

    2014-06-01

    In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to be able to effectively capture the long-range dependence of the stock returns. To develop the pricing mechanics of the CDS, we firstly derive a sufficient condition for the market modeled under the GMFBM to be arbitrage free. Then under the risk-neutral assumption, the CDS is fairly priced by investigating the two legs of the cash flow involved. The price we obtained involves elementary functions only, and can be easily implemented for practical purpose. Finally, based on numerical experiments, we analyze quantitatively the impacts of different parameters on the prices of the CDS. Interestingly, in comparison with all the other FBM models documented in the literature, the results produced from the GMFBM model are in a better agreement with those calculated from the classical Black-Scholes model.

  19. High-resolution detection of Brownian motion for quantitative optical tweezers experiments.

    Science.gov (United States)

    Grimm, Matthias; Franosch, Thomas; Jeney, Sylvia

    2012-08-01

    We have developed an in situ method to calibrate optical tweezers experiments and simultaneously measure the size of the trapped particle or the viscosity of the surrounding fluid. The positional fluctuations of the trapped particle are recorded with a high-bandwidth photodetector. We compute the mean-square displacement, as well as the velocity autocorrelation function of the sphere, and compare it to the theory of Brownian motion including hydrodynamic memory effects. A careful measurement and analysis of the time scales characterizing the dynamics of the harmonically bound sphere fluctuating in a viscous medium directly yields all relevant parameters. Finally, we test the method for different optical trap strengths, with different bead sizes and in different fluids, and we find excellent agreement with the values provided by the manufacturers. The proposed approach overcomes the most commonly encountered limitations in precision when analyzing the power spectrum of position fluctuations in the region around the corner frequency. These low frequencies are usually prone to errors due to drift, limitations in the detection, and trap linearity as well as short acquisition times resulting in poor statistics. Furthermore, the strategy can be generalized to Brownian motion in more complex environments, provided the adequate theories are available. PMID:23005790

  20. Supercritical super-Brownian motion with a general branching mechanism and travelling waves

    CERN Document Server

    Kyprianou, A E; Murillo-Salas, A; Ren, Y -X

    2010-01-01

    We consider the classical problem of existence, uniqueness and asymptotics of monotone solutions to the travelling wave equation associated to the parabolic semi-group equation of a super-Brownian motion with a general branching mechanism. Whilst we are strongly guided by the probabilistic reasoning of Kyprianou (2004) for branching Brownian motion, the current paper offers a number of new insights. Our analysis incorporates the role of Seneta-Heyde norming which, in the current setting, draws on classical work of Grey (1974). We give a pathwise explanation of Evans' immortal particle picture (the spine decomposition) which uses the Dynkin-Kuznetsov N-measure as a key ingredient. Moreover, in the spirit of Neveu's stopping lines we make repeated use of Dynkin's exit measures. Additional complications arise from the general nature of the branching mechanism. As a consequence of the analysis we also offer an exact X(log X)^2 moment dichotomy for the almost sure convergence of the so-called derivative martingale...

  1. Limitation of the Least Square Method in the Evaluation of Dimension of Fractal Brownian Motions

    CERN Document Server

    Qiao, Bingqiang; Zeng, Houdun; Li, Xiang; Dai, Benzhong

    2015-01-01

    With the standard deviation for the logarithm of the re-scaled range $\\langle |F(t+\\tau)-F(t)|\\rangle$ of simulated fractal Brownian motions $F(t)$ given in a previous paper \\cite{q14}, the method of least squares is adopted to determine the slope, $S$, and intercept, $I$, of the log$(\\langle |F(t+\\tau)-F(t)|\\rangle)$ vs $\\rm{log}(\\tau)$ plot to investigate the limitation of this procedure. It is found that the reduced $\\chi^2$ of the fitting decreases with the increase of the Hurst index, $H$ (the expectation value of $S$), which may be attributed to the correlation among the re-scaled ranges. Similarly, it is found that the errors of the fitting parameters $S$ and $I$ are usually smaller than their corresponding standard deviations. These results show the limitation of using the simple least square method to determine the dimension of a fractal time series. Nevertheless, they may be used to reinterpret the fitting results of the least square method to determine the dimension of fractal Brownian motions more...

  2. Local characterization of hindered Brownian motion by using digital video microscopy and 3D particle tracking

    International Nuclear Information System (INIS)

    In this article we present methods for measuring hindered Brownian motion in the confinement of complex 3D geometries using digital video microscopy. Here we discuss essential features of automated 3D particle tracking as well as diffusion data analysis. By introducing local mean squared displacement-vs-time curves, we are able to simultaneously measure the spatial dependence of diffusion coefficients, tracking accuracies and drift velocities. Such local measurements allow a more detailed and appropriate description of strongly heterogeneous systems as opposed to global measurements. Finite size effects of the tracking region on measuring mean squared displacements are also discussed. The use of these methods was crucial for the measurement of the diffusive behavior of spherical polystyrene particles (505 nm diameter) in a microfluidic chip. The particles explored an array of parallel channels with different cross sections as well as the bulk reservoirs. For this experiment we present the measurement of local tracking accuracies in all three axial directions as well as the diffusivity parallel to the channel axis while we observed no significant flow but purely Brownian motion. Finally, the presented algorithm is suitable also for tracking of fluorescently labeled particles and particles driven by an external force, e.g., electrokinetic or dielectrophoretic forces

  3. Brownian motion of massive black hole binaries and the final parsec problem

    CERN Document Server

    Bortolas, E; Dotti, M; Spera, M; Mapelli, M

    2016-01-01

    Massive black hole binaries (BHBs) are expected to be one of the most powerful sources of gravitational waves (GWs) in the frequency range of the pulsar timing array and of forthcoming space-borne detectors. They are believed to form in the final stages of galaxy mergers, and then harden by slingshot ejections of passing stars. However, evolution via the slingshot mechanism may be ineffective if the reservoir of interacting stars is not readily replenished, and the binary shrinking may come to a halt at roughly a parsec separation. Recent simulations suggest that the departure from spherical symmetry, naturally produced in merger remnants, leads to efficient loss cone refilling, preventing the binary from stalling. However, current N-body simulations able to accurately follow the evolution of BHBs are limited to very modest particle numbers. Brownian motion may artificially enhance the loss cone refilling rate in low-N simulations, where the binary encounters a larger population of stars due its random motion...

  4. Anomalous Brownian motion of colloidal particle in a nematic environment: effect of the director fluctuations

    Directory of Open Access Journals (Sweden)

    T. Turiv

    2015-06-01

    Full Text Available As recently reported [Turiv T. et al., Science, 2013, Vol. 342, 1351], fluctuations in the orientation of the liquid crystal (LC director can transfer momentum from the LC to a colloid, such that the diffusion of the colloid becomes anomalous on a short time scale. Using video microscopy and single particle tracking, we investigate random thermal motion of colloidal particles in a nematic liquid crystal for the time scales shorter than the expected time of director fluctuations. At long times, compared to the characteristic time of the nematic director relaxation we observe typical anisotropic Brownian motion with the mean square displacement (MSD linear in time τ and inversly proportional to the effective viscosity of the nematic medium. At shorter times, however, the dynamics is markedly nonlinear with MSD growing more slowly (subdiffusion or faster (superdiffusion than τ. These results are discussed in the context of coupling of colloidal particle's dynamics to the director fluctuation dynamics.

  5. Correlation functions for restricted Brownian motion from the ballistic through to the diffusive regimes

    International Nuclear Information System (INIS)

    We calculate the spectra of the correlation functions for fields with arbitrary spatial dependence as seen by Brownian particles in bounded geometries from knowledge of the spectra of the conditional probability density functions in the infinite domain. Our results show a significant difference for the spectra for 1D, 2D and 3D motions. To our knowledge this is the first demonstration of the influence of dimensionality on the form of the correlation functions. Our results also show the different power dependence on frequency for the ballistic and diffusive cases and the treatment of the crossover is unique. -- Highlights: ► Spectrum of the correlation function for fields with arbitrary spatial dependence. ► Valid for the diffusive and ballistic motions and the problematic crossover region. ► Calculation of the spectra in 1, 2 and 3 dimensions. ► Application to gradient induced relaxation in nmr, and to the search for new forces.

  6. Quantum harmonic Brownian motion in a general environment: A modified phase-space approach

    Energy Technology Data Exchange (ETDEWEB)

    Yeh, L. [Univ. of California, Berkeley, CA (United States). Dept. of Physics]|[Lawrence Berkeley Lab., CA (United States)

    1993-06-23

    After extensive investigations over three decades, the linear-coupling model and its equivalents have become the standard microscopic models for quantum harmonic Brownian motion, in which a harmonically bound Brownian particle is coupled to a quantum dissipative heat bath of general type modeled by infinitely many harmonic oscillators. The dynamics of these models have been studied by many authors using the quantum Langevin equation, the path-integral approach, quasi-probability distribution functions (e.g., the Wigner function), etc. However, the quantum Langevin equation is only applicable to some special problems, while other approaches all involve complicated calculations due to the inevitable reduction (i.e., contraction) operation for ignoring/eliminating the degrees of freedom of the heat bath. In this dissertation, the author proposes an improved methodology via a modified phase-space approach which employs the characteristic function (the symplectic Fourier transform of the Wigner function) as the representative of the density operator. This representative is claimed to be the most natural one for performing the reduction, not only because of its simplicity but also because of its manifestation of geometric meaning. Accordingly, it is particularly convenient for studying the time evolution of the Brownian particle with an arbitrary initial state. The power of this characteristic function is illuminated through a detailed study of several physically interesting problems, including the environment-induced damping of quantum interference, the exact quantum Fokker-Planck equations, and the relaxation of non-factorizable initial states. All derivations and calculations axe shown to be much simplified in comparison with other approaches. In addition to dynamical problems, a novel derivation of the fluctuation-dissipation theorem which is valid for all quantum linear systems is presented.

  7. Quantum harmonic Brownian motion in a general environment: A modified phase-space approach

    International Nuclear Information System (INIS)

    After extensive investigations over three decades, the linear-coupling model and its equivalents have become the standard microscopic models for quantum harmonic Brownian motion, in which a harmonically bound Brownian particle is coupled to a quantum dissipative heat bath of general type modeled by infinitely many harmonic oscillators. The dynamics of these models have been studied by many authors using the quantum Langevin equation, the path-integral approach, quasi-probability distribution functions (e.g., the Wigner function), etc. However, the quantum Langevin equation is only applicable to some special problems, while other approaches all involve complicated calculations due to the inevitable reduction (i.e., contraction) operation for ignoring/eliminating the degrees of freedom of the heat bath. In this dissertation, the author proposes an improved methodology via a modified phase-space approach which employs the characteristic function (the symplectic Fourier transform of the Wigner function) as the representative of the density operator. This representative is claimed to be the most natural one for performing the reduction, not only because of its simplicity but also because of its manifestation of geometric meaning. Accordingly, it is particularly convenient for studying the time evolution of the Brownian particle with an arbitrary initial state. The power of this characteristic function is illuminated through a detailed study of several physically interesting problems, including the environment-induced damping of quantum interference, the exact quantum Fokker-Planck equations, and the relaxation of non-factorizable initial states. All derivations and calculations axe shown to be much simplified in comparison with other approaches. In addition to dynamical problems, a novel derivation of the fluctuation-dissipation theorem which is valid for all quantum linear systems is presented

  8. Harmonically bound Brownian motion in fluids under shear: Fokker-Planck and generalized Langevin descriptions.

    Science.gov (United States)

    Híjar, Humberto

    2015-02-01

    We study the Brownian motion of a particle bound by a harmonic potential and immersed in a fluid with a uniform shear flow. We describe this problem first in terms of a linear Fokker-Planck equation which is solved to obtain the probability distribution function for finding the particle in a volume element of its associated phase space. We find the explicit form of this distribution in the stationary limit and use this result to show that both the equipartition law and the equation of state of the trapped particle are modified from their equilibrium form by terms increasing as the square of the imposed shear rate. Subsequently, we propose an alternative description of this problem in terms of a generalized Langevin equation that takes into account the effects of hydrodynamic correlations and sound propagation on the dynamics of the trapped particle. We show that these effects produce significant changes, manifested as long-time tails and resonant peaks, in the equilibrium and nonequilibrium correlation functions for the velocity of the Brownian particle. We implement numerical simulations based on molecular dynamics and multiparticle collision dynamics, and observe a very good quantitative agreement between the predictions of the model and the numerical results, thus suggesting that this kind of numerical simulations could be used as complement of current experimental techniques. PMID:25768490

  9. Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

    CERN Document Server

    Bertoin, Jean; Yor, Marc

    2012-01-01

    We present a two-dimensional extension of an identity in distribution due to Bougerol \\cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.

  10. Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

    Institute of Scientific and Technical Information of China (English)

    PENG ShiGe

    2009-01-01

    This is a survey on normal distributions and the related central limit theorem under sublinear expectation. We also present Brownian motion under sublinear expectations and the related stochastic calculus of Ito's type. The results provide new and robust tools for the problem of probability model uncertainty arising in financial risk, statistics and other industrial problems.

  11. Survey on normal distributions,central limit theorem,Brownian motion and the related stochastic calculus under sublinear expectations

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    This is a survey on normal distributions and the related central limit theorem under sublinear expectation.We also present Brownian motion under sublinear expectations and the related stochastic calculus of It?’s type.The results provide new and robust tools for the problem of probability model uncertainty arising in financial risk,statistics and other industrial problems.

  12. Harmonic measures of the half-plane and balls for the hyperbolic Brownian motion and Ornstein-Uhlenbeck diffusions

    OpenAIRE

    Byczkowski, Tomasz; Chorowski, Jakub; Graczyk, Piotr; Malecki, Jacek

    2011-01-01

    The purpose of the paper is to provide integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method of proof is based on Girsanov's theorem and yields more complete results as those based on Feynmann-Kac technique.

  13. Modeling Philippine Stock Exchange Composite Index Using Weighted Geometric Brownian Motion Forecasts

    Directory of Open Access Journals (Sweden)

    Gayo Willy

    2016-01-01

    Full Text Available Philippine Stock Exchange Composite Index (PSEi is the main stock index of the Philippine Stock Exchange (PSE. PSEi is computed using a weighted mean of the top 30 publicly traded companies in the Philippines, called component stocks. It provides a single value by which the performance of the Philippine stock market is measured. Unfortunately, these weights, which may vary for every trading day, are not disclosed by the PSE. In this paper, we propose a model of forecasting the PSEi by estimating the weights based on historical data and forecasting each component stock using Monte Carlo simulation based on a Geometric Brownian Motion (GBM assumption. The model performance is evaluated and its forecast compared is with the results using a direct GBM forecast of PSEi over different forecast periods. Results showed that the forecasts using WGBM will yield smaller error compared to direct GBM forecast of PSEi.

  14. Intermittency in an interacting generalization of the geometric Brownian motion model

    International Nuclear Information System (INIS)

    We propose a minimal interacting generalization of the geometric Brownian motion model, which turns out to be formally equivalent to a model describing the dynamics of networks of analogue neurons. For sufficiently strong interactions, such systems may have many meta-stable states. Transitions between meta-stable states are associated with macroscopic reorganizations of the system, which can be triggered by random external forcing. Such a system will exhibit intermittent dynamics within a large part of its parameter space. We propose market dynamics as a possible application of this model, in which case random external forcing would correspond to the arrival of important information. The emergence of a model of interacting prices of the type considered here can be argued to follow naturally from a general argument based on integrating out all non-price degrees of freedom from the dynamics of a hypothetical complete description of economic dependences

  15. Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks

    International Nuclear Information System (INIS)

    The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian motions and multifractal random walks, and find that the degree distributions exhibit power-law behaviors, in which the power-law exponent α is a linear function of the Hurst index H of the time series. We also find that the degree distribution of the visibility graph is mainly determined by the temporal correlation of the original time series with minor influence from the possible multifractal nature. As an example, we study the visibility graphs constructed from three Chinese stock market indexes and unveil that the degree distributions have power-law tails, where the tail exponents of the visibility graphs and the Hurst indexes of the indexes are close to the α∼H linear relationship.

  16. Brownian motion properties of optoelectronic random bit generators based on laser chaos.

    Science.gov (United States)

    Li, Pu; Yi, Xiaogang; Liu, Xianglian; Wang, Yuncai; Wang, Yongge

    2016-07-11

    The nondeterministic property of the optoelectronic random bit generator (RBG) based on laser chaos are experimentally analyzed from two aspects of the central limit theorem and law of iterated logarithm. The random bits are extracted from an optical feedback chaotic laser diode using a multi-bit extraction technique in the electrical domain. Our experimental results demonstrate that the generated random bits have no statistical distance from the Brownian motion, besides that they can pass the state-of-the-art industry-benchmark statistical test suite (NIST SP800-22). All of them give a mathematically provable evidence that the ultrafast random bit generator based on laser chaos can be used as a nondeterministic random bit source. PMID:27410852

  17. A Brownian motion technique to simulate gasification and its application to C/C composite ablation

    International Nuclear Information System (INIS)

    Ablation of carbon-carbon composites (C/C) results in a heterogeneous surface recession mainly due to some gasification processes (oxidation, sublimation) possibly coupled to bulk mass transfer. In order to simulate and analyse the material/environment interactions during ablation, a Brownian motion simulation method featuring special Random Walk rules close to the wall has been implemented to efficiently simulate mass transfer in the low Peclet number regime. A sticking probability law adapted to this kind of Random Walk has been obtained for first-order heterogeneous reactions. In order to simulate the onset of surface roughness, the interface recession is simultaneously handled in 3D using a Simplified Marching Cube discretization. This tool is validated by comparison to analytical models. Then, its ability to provide reliable and accurate solutions of ablation phenomena in 3D is illustrated. (authors)

  18. 3D tracking the Brownian motion of colloidal particles using digital holographic microscopy and joint reconstruction

    CERN Document Server

    Verrier, Nicolas; Fournel, Thierry

    2015-01-01

    In-line digital holography is a valuable tool for sizing, locating and tracking micro- or nano-objects in a volume. When a parametric imaging model is available, Inverse Problems approaches provide a straightforward estimate of the object parameters by fitting data with the model, thereby allowing accurate reconstruction. As recently proposed and demonstrated, combining pixel super-resolution techniques with Inverse Problems approaches improves the estimation of particle size and 3D-position. Here we demonstrate the accurate tracking of colloidal particles in Brownian motion. Particle size and 3D-position are jointly optimized from video holograms acquired with a digital holographic microscopy set up based on a "low-end" microscope objective ($\\times 20$, $\\rm NA\\ 0.5$). Exploiting information redundancy makes it possible to characterize particles with a standard deviation of 15 nm in size and a theoretical resolution of 2 x 2 x 5 nm$^3$ for position under additive white Gaussian noise assumption.

  19. Effect of solvent on directional drift in Brownian motion of particle/molecule with broken symmetry

    Science.gov (United States)

    Kong, FanDong; Sheng, Nan; Wan, RongZheng; Hu, GuoHui; Fang, HaiPing

    2016-08-01

    The directional drifting of particles/molecules with broken symmetry has received increasing attention. Through molecular dynamics simulations, we investigate the effects of various solvents on the time-dependent directional drifting of a particle with broken symmetry. Our simulations show that the distance of directional drift of the asymmetrical particle is reduced while the ratio of the drift to the mean displacement of the particle is enhanced with increasing mass, size, and interaction strength of the solvent atoms in a short time range. Among the parameters considered, solvent atom size is a particularly influential factor for enhancing the directional drift of asymmetrical particles, while the effects of the interaction strength and the mass of the solvent atoms are relatively weaker. These findings are of great importance to the understanding and control of the Brownian motion of particles in various physical, chemical, and biological processes within finite time spans.

  20. Super-Brownian motion: Lp-convergence of martingales through the pathwise spine decomposition

    CERN Document Server

    Murillo-Salas, A E Kyprianou A

    2011-01-01

    Evans (1992) described the semi-group of a superprocess with quadratic branching mechanism under a martingale change of measure in terms of the semi-group of an immortal particle and the semigroup of the superprocess prior to the change of measure. This result, commonly referred to as the spine decomposition, alludes to a pathwise decomposition in which independent copies of the original process `immigrate' along the path of the immortal particle. For branching particle diffusions the analogue of this decomposition has already been demonstrated in the pathwise sense, see for example Hardy and Harris (2009). The purpose of this short note is to exemplify a new {\\it pathwise} spine decomposition for supercritical super-Brownian motion with general branching mechanism (cf. Kyprianou et al. (2010)) by studying $L^p$ convergence of naturally underlying additive martingales in the spirit of analogous arguments for branching particle diffusions due to Hardys and Harris (2009). Amongst other ingredients, the Dynkin-K...

  1. Inference on the hurst parameter and the variance of diffusions driven by fractional Brownian motion

    CERN Document Server

    Berzin, Corinne; León, José R

    2014-01-01

    This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered. It will be of interest to probability specialists, who will find here an uncomplicated presentation of statistics tools, and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations. Concerning the proofs of the limit theorems, the “Fourth Moment Theorem” is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proof...

  2. Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks

    Science.gov (United States)

    Ni, Xiao-Hui; Jiang, Zhi-Qiang; Zhou, Wei-Xing

    2009-10-01

    The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian motions and multifractal random walks, and find that the degree distributions exhibit power-law behaviors, in which the power-law exponent α is a linear function of the Hurst index H of the time series. We also find that the degree distribution of the visibility graph is mainly determined by the temporal correlation of the original time series with minor influence from the possible multifractal nature. As an example, we study the visibility graphs constructed from three Chinese stock market indexes and unveil that the degree distributions have power-law tails, where the tail exponents of the visibility graphs and the Hurst indexes of the indexes are close to the α∼H linear relationship.

  3. Stochastic shell models driven by a multiplicative fractional Brownian-motion

    Science.gov (United States)

    Bessaih, Hakima; Garrido-Atienza, María J.; Schmalfuss, Björn

    2016-04-01

    We prove existence and uniqueness of the solution of a stochastic shell-model. The equation is driven by an infinite dimensional fractional Brownian-motion with Hurst-parameter H ∈(1 / 2 , 1) , and contains a non-trivial coefficient in front of the noise which satisfies special regularity conditions. The appearing stochastic integrals are defined in a fractional sense. First, we prove the existence and uniqueness of variational solutions to approximating equations driven by piecewise linear continuous noise, for which we are able to derive important uniform estimates in some functional spaces. Then, thanks to a compactness argument and these estimates, we prove that these variational solutions converge to a limit solution, which turns out to be the unique pathwise mild solution associated to the shell-model with fractional noise as driving process.

  4. Nanoblinker: Brownian Motion Powered Bio-Nanomachine for FRET Detection of Phagocytic Phase of Apoptosis

    Science.gov (United States)

    Minchew, Candace L.; Didenko, Vladimir V.

    2014-01-01

    We describe a new type of bio-nanomachine which runs on thermal noise. The machine is solely powered by the random motion of water molecules in its environment and does not ever require re-fuelling. The construct, which is made of DNA and vaccinia virus topoisomerase protein, can detect DNA damage by employing fluorescence. It uses Brownian motion as a cyclic motor to continually separate and bring together two types of fluorescent hairpins participating in FRET. This bio-molecular oscillator is a fast and specific sensor of 5′OH double-strand DNA breaks present in phagocytic phase of apoptosis. The detection takes 30 s in solution and 3 min in cell suspensions. The phagocytic phase is critical for the effective execution of apoptosis as it ensures complete degradation of the dying cells’ DNA, preventing release of pathological, viral and tumor DNA and self-immunization. The construct can be used as a smart FRET probe in studies of cell death and phagocytosis. PMID:25268504

  5. From Mechanical Motion to Brownian Motion, Thermodynamics and Particle Transport Theory

    Science.gov (United States)

    Bringuier, E.

    2008-01-01

    The motion of a particle in a medium is dealt with either as a problem of mechanics or as a transport process in non-equilibrium statistical physics. The two kinds of approach are often unrelated as they are taught in different textbooks. The aim of this paper is to highlight the link between the mechanical and statistical treatments of particle…

  6. Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts

    CERN Document Server

    D'Auria, Bernardo

    2011-01-01

    In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modulated by a finite state space irreducible continuous time Markov chain. The goal is to compute the stationary distribution of this Markov process, which in addition to the complication of having a stochastic boundary can also include jumps at state change epochs of the underlying Markov chain because of the boundary changes. We give the general theory and then specialize to the case where the underlying Markov chain has two states. Moreover, motivated by an application of optimal dividend strategies, we consider the case where the lower barrier is zero and the upper barrier is subject to control. In this case we generalized earlier results from the case of a reflected Brownian motion to the Markov modulated case.

  7. Brownian shape motion on five-dimensional potential-energy surfaces: Nuclear fission-fragment mass distributions

    OpenAIRE

    Randrup, Jorgen; Moller, Peter

    2011-01-01

    Although nuclear fission can be understood qualitatively as an evolution of the nuclear shape, a quantitative description has proven to be very elusive. In particular, until now, there exists no model with demonstrated predictive power for the fission fragment mass yields. Exploiting the expected strongly damped character of nuclear dynamics, we treat the nuclear shape evolution in analogy with Brownian motion and perform random walks on five-dimensional fission potential-energy surfaces whic...

  8. Horizontal visibility graphs transformed from fractional Brownian motions: Topological properties versus Hurst index

    CERN Document Server

    Xie, Wen-Jie

    2010-01-01

    Nonlinear time series analysis aims at understanding the dynamics of stochastic or chaotic processes. In recent years, quite a few methods have been proposed to transform a single time series to a complex network so that the dynamics of the process can be understood by investigating the topological properties of the network. We study the topological properties of horizontal visibility graphs constructed from fractional Brownian motions with different Hurst index $H\\in(0,1)$. Special attention has been paid to the impact of Hurst index on the topological properties. It is found that the clustering coefficient $C$ decreases when $H$ increases. We also found that the mean length $L$ of the shortest paths increases exponentially with $H$ for fixed length $N$ of the original time series. In addition, $L$ increases linearly with respect to $N$ when $H$ is close to 1 and in a logarithmic form when $H$ is close to 0. Although the occurrence of different motifs changes with $H$, the motif rank pattern remains unchange...

  9. Numerically pricing American options under the generalized mixed fractional Brownian motion model

    Science.gov (United States)

    Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying

    2016-06-01

    In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula, a partial differential equation (PDE) governing the prices of vanilla options under the GMFBM is successfully derived for the first time. Based on this, we formulate the pricing of American puts under the current model as a linear complementarity problem (LCP). Unlike the classical Black-Scholes (B-S) model or the generalized B-S model discussed in Cen and Le (2011), the newly obtained LCP under the GMFBM model is difficult to be solved accurately because of the numerical instability which results from the degeneration of the governing PDE as time approaches zero. To overcome this difficulty, a numerical approach based on the upwind scheme is adopted. It is shown that the coefficient matrix of the current method is an M-matrix, which ensures its stability in the maximum-norm sense. Remarkably, we have managed to provide a sharp theoretic error estimate for the current method, which is further verified numerically. The results of various numerical experiments also suggest that this new approach is quite accurate, and can be easily extended to price other types of financial derivatives with an American-style exercise feature under the GMFBM model.

  10. Detection of two-sided alternatives in a Brownian motion model

    CERN Document Server

    Hadjiliadis, Olympia

    2007-01-01

    This work examines the problem of sequential detection of a change in the drift of a Brownian motion in the case of two-sided alternatives. Applications to real life situations in which two-sided changes can occur are discussed. Traditionally, 2-CUSUM stopping rules have been used for this problem due to their asymptotically optimal character as the mean time between false alarms tends to $\\infty$. In particular, attention has focused on 2-CUSUM harmonic mean rules due to the simplicity in calculating their first moments. In this paper, we derive closed-form expressions for the first moment of a general 2-CUSUM stopping rule. We use these expressions to obtain explicit upper and lower bounds for it. Moreover, we derive an expression for the rate of change of this first moment as one of the threshold parameters changes. Based on these expressions we obtain explicit upper and lower bounds to this rate of change. Using these expressions we are able to find the best 2-CUSUM stopping rule with respect to the exten...

  11. Fractional Brownian motion time-changed by gamma and inverse gamma process

    CERN Document Server

    Kumar, A; Połoczański, R; Sundar, S

    2016-01-01

    Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics similar to Gaussian processes although they are not Gaussian. Therefore there is need to consider new classes of systems to model these kind of empirical behavior. Motivated by this fact in this paper we analyze two processes which exhibit long range dependence property and have additional interesting characteristics which may be observed in real phenomena. Both of them are constructed as the superposition of fractional Brownian motion (FBM) and other process. In the first case the internal process, which plays role of the time, is the gamma process while in the second case the internal process is its inverse. We present in detail their main properties paying main attention to the long range dependence property. Moreover, we show how to simulate these processes and estimate their parameters. We propose to use a novel method based on re...

  12. Noise-enhanced stability and double stochastic resonance of active Brownian motion

    Science.gov (United States)

    Zeng, Chunhua; Zhang, Chun; Zeng, Jiakui; Liu, Ruifen; Wang, Hua

    2015-08-01

    In this paper, we study the transient and resonant properties of active Brownian particles (ABPs) in the Rayleigh-Helmholtz (RH) and Schweitzer-Ebeling-Tilch (SET) models, which is driven by the simultaneous action of multiplicative and additive noise and periodic forcing. It is shown that the cross-correlation between two noises (λ) can break the symmetry of the potential to generate motion of the ABPs. In case of no correlation between two noises, the mean first passage time (MFPT) is a monotonic decrease depending on the multiplicative noise, however in case of correlation between two noises, the MFPT exhibits a maximum, depending on the multiplicative noise for both models, this maximum for MFPT identifies the noise-enhanced stability (NES) effect of the ABPs. By comparing with case of no correlation (λ =0.0 ), we find two maxima in the signal-to-noise ratio (SNR) depending on the cross-correlation intensity, i.e. the double stochastic resonance is shown in both models. For the RH model, the SNR exhibits two maxima depending on the multiplicative noise for small cross-correlation intensity, while in the SET model, it exhibits only a maximum depending on the multiplicative noise. Whether λ =0.0 or not, the MFPT is a monotonic decrease, and the SNR exhibits a maximum, depending on the additive noise in both models.

  13. Brownian motion of single glycerol molecules in an aqueous solution as studied by dynamic light scattering.

    Science.gov (United States)

    Elamin, Khalid; Swenson, Jan

    2015-03-01

    Aqueous solutions of glycerol are investigated by dynamic light scattering (DLS) over the whole concentration range (10-98 wt.% water) and in the temperature range 283-303 K. The measurements reveal one slow relaxation process in the geometry of polarized light scattering. This process is present in the whole concentration range, although it is very weak at the highest and lowest water concentrations and is considerably slower than the structural α relaxation, which is too fast to be observed on the experimental time scale in the measured temperature range. The relaxation time of the observed process exhibits a 1/q2 dependence, proving that it is due to long-range translational diffusion. The Stokes-Einstein relation is used to estimate the hydrodynamic radius of the diffusing particles and from these calculations it is evident that the observed relaxation process is due to the Brownian motion of single or a few glycerol molecules. The fact that it is possible to study the self-diffusion of such small molecules may stimulate a broadening of the research field used to be covered by the DLS technique. PMID:25871109

  14. From Brownian motion to operational risk: Statistical physics and financial markets

    Science.gov (United States)

    Voit, Johannes

    2003-04-01

    High-frequency returns of the DAX German blue chip stock index are used to test geometric Brownian motion, the standard model for financial time series. Even on a 15-s time scale, the linear correlations of DAX returns have a zero-time delta function which carries 90% of the weight, while the remaining 10% are positively correlated with a decay time of 53 s and negatively correlated on a 9.4-min scale. The probability density of the returns possesses fat tails with power laws whose exponents continuously increase with time scales. It is suggested that hydrodynamic turbulence may provide a phenomenological framework for the description of these data, and at the same time, open a way to use them for risk-management purposes, e.g. option pricing and hedging. Option pricing also is the cornerstone of credit valuation, an area of much practical importance not considered explicitly in most other physics-inspired papers on finance. Finally, operational risk is introduced as a new risk category currently emphasized by regulators, which will become important in many banks in the near future.

  15. Processive pectin methylesterases: the role of electrostatic potential, breathing motions and bond cleavage in the rectification of Brownian motions.

    Directory of Open Access Journals (Sweden)

    Davide Mercadante

    Full Text Available Pectin methylesterases (PMEs hydrolyze the methylester groups that are found on the homogalacturonan (HG chains of pectic polysaccharides in the plant cell wall. Plant and bacterial PMEs are especially interesting as the resulting de-methylesterified (carboxylated sugar residues are found to be arranged contiguously, indicating a so-called processive nature of these enzymes. Here we report the results of continuum electrostatics calculations performed along the molecular dynamics trajectory of a PME-HG-decasaccharide complex. In particular it was observed that, when the methylester groups of the decasaccharide were arranged in order to mimic the just-formed carboxylate product of de-methylesterification, a net unidirectional sliding of the model decasaccharide was subsequently observed along the enzyme's binding groove. The changes that occurred in the electrostatic binding energy and protein dynamics during this translocation provide insights into the mechanism by which the enzyme rectifies Brownian motions to achieve processivity. The free energy that drives these molecular motors is thus demonstrated to be incorporated endogenously in the methylesterified groups of the HG chains and is not supplied exogenously.

  16. Brownian motion of a matter-wave bright soliton moving through a thermal cloud of distinct atoms

    Science.gov (United States)

    McDonald, R. G.; Bradley, A. S.

    2016-06-01

    Taking an open quantum system approach, we derive a collective equation of motion for the dynamics of a matter-wave bright soliton moving through a thermal cloud of a distinct atomic species. The reservoir interaction involves energy transfer without particle transfer between the soliton and thermal cloud, thus damping the soliton motion without altering its stability against collapse. We derive a Langevin equation for the soliton center-of-mass velocity in the form of an Ornstein-Uhlenbeck process with analytical drift and diffusion coefficients. This collective motion is confirmed by simulations of the full stochastic projected Gross-Pitaevskii equation for the matter-wave field. The system offers a pathway for experimentally observing the elusive energy-damping reservoir interaction and a clear realization of collective Brownian motion for a mesoscopic superfluid droplet.

  17. Natural convection in nano-fluids: Are the thermophoresis and Brownian motion effects significant in nano-fluid heat transfer enhancement?

    International Nuclear Information System (INIS)

    Natural convection heat transfer and fluid flow of CuO-Water nano-fluids is studied using the Rayleigh-Benard problem. A two component non-homogenous equilibrium model is used for the nano-fluid that incorporates the effects of Brownian motion and thermophoresis. Variable thermal conductivity and variable viscosity are taken into account in this work. Finite volume method is used to solve governing equations. Results are presented by streamlines, isotherms, nano-particle distribution, local and mean Nusselt numbers and nano-particle profiles at top and bottom side. Comparison of two cases as absence of Brownian and thermophoresis effects and presence of Brownian and thermophoresis effects showed that higher heat transfer is formed with the presence of Brownian and thermophoresis effect. In general, by considering the role of thermophoresis and Brownian motion, an enhancement in heat transfer is observed at any volume fraction of nano-particles. However, the enhancement is more pronounced at low volume fraction of nano-particles and the heat transfer decreases by increasing nano-particle volume fraction. On the other hand, by neglecting the role of thermophoresis and Brownian motion, deterioration in heat transfer is observed and this deterioration elevates by increasing the volume fraction of nano-particles. (authors)

  18. Natural convection in nano-fluids: Are the thermophoresis and Brownian motion effects significant in nano-fluid heat transfer enhancement?

    Energy Technology Data Exchange (ETDEWEB)

    Haddad, Zoubida [Department of Mechanical Engineering, Technology Faculty, Firat University, TR-23119, Elazig (Turkey); Department of Fluid Mechanics, Faculty of Physics, University of Sciences and Technology-Houari Boumediene, Algiers (Algeria); Abu-Nada, Eiyad [Department of Mechanical Engineering, King Faisal University, Al-Ahsa 31982 (Saudi Arabia); Oztop, Hakan F. [Department of Mechanical Engineering, Technology Faculty, Firat University, TR-23119, Elazig (Turkey); Mataoui, Amina [Department of Fluid Mechanics, Faculty of Physics, University of Sciences and Technology-Houari Boumediene, Algiers (Algeria)

    2012-07-15

    Natural convection heat transfer and fluid flow of CuO-Water nano-fluids is studied using the Rayleigh-Benard problem. A two component non-homogenous equilibrium model is used for the nano-fluid that incorporates the effects of Brownian motion and thermophoresis. Variable thermal conductivity and variable viscosity are taken into account in this work. Finite volume method is used to solve governing equations. Results are presented by streamlines, isotherms, nano-particle distribution, local and mean Nusselt numbers and nano-particle profiles at top and bottom side. Comparison of two cases as absence of Brownian and thermophoresis effects and presence of Brownian and thermophoresis effects showed that higher heat transfer is formed with the presence of Brownian and thermophoresis effect. In general, by considering the role of thermophoresis and Brownian motion, an enhancement in heat transfer is observed at any volume fraction of nano-particles. However, the enhancement is more pronounced at low volume fraction of nano-particles and the heat transfer decreases by increasing nano-particle volume fraction. On the other hand, by neglecting the role of thermophoresis and Brownian motion, deterioration in heat transfer is observed and this deterioration elevates by increasing the volume fraction of nano-particles. (authors)

  19. Statistical thermodynamics of quantum Brownian motion: construction of perpetuum mobile of the second kind.

    Science.gov (United States)

    Nieuwenhuizen, Th M; Allahverdyan, A E

    2002-09-01

    The Brownian motion of a quantum particle in a harmonic confining potential and coupled to harmonic quantum thermal bath is exactly solvable. Though this system presents at high temperatures a pedagogic example to explain the laws of thermodynamics, it is shown that at low enough temperatures the stationary state is non-Gibbsian due to an entanglement with the bath. In physical terms, this happens when the cloud of bath modes around the particle starts to play a nontrivial role, namely, when the bath temperature T is smaller than the coupling energy. Indeed, equilibrium thermodynamics of the total system, particle plus bath, does not imply standard equilibrium thermodynamics for the particle itself at low T. Various formulations of the second law are found to be invalid at low T. First, the Clausius inequality can be violated, because heat can be extracted from the zero point energy of the cloud of bath modes. Second, when the width of the confining potential is suddenly changed, there occurs a relaxation to equilibrium during which the entropy production is partly negative. In this process the energy put on the particle does not relax monotonically, but oscillates between particle and bath, even in the limit of strong damping. Third, for nonadiabatic changes of system parameters the rate of energy dissipation can be negative, and, out of equilibrium, cyclic processes are possible which extract work from the bath. Conditions are put forward under which perpetuum mobility of the second kind, having one or several work extraction cycles, enter the realm of condensed matter physics. Fourth, it follows that the equivalence between different formulations of the second law (e.g., those by Clausius and Thomson) can be violated at low temperatures. These effects are the consequence of quantum entanglement in the presence of the slightly off-equilibrium nature of the thermal bath, and become important when the characteristic quantum time scale variant Planck's over 2pi /k

  20. 双分数布朗运动下再装期权定价模型%Reload option pricing model in bi-fractional Brownian motion environment

    Institute of Scientific and Technical Information of China (English)

    薛红; 吴江增

    2015-01-01

    Underlying asset process follows the stochastic differential equation driven by bi-fractional Brownian motion.The financial market mathematical model is built by the stochas-tic analysis for bi-fractional Brownian motion.Using the actuarial approach, the pricingfor-mula of reload option in bi-fractional Brownian motion environment is obtained.%在标的资产服从双分数布朗运动驱动的随机微分方程,借助双分数布朗运动随机分析理论,建立双分数布朗运动环境下金融市场数学模型,运用保险精算方法,得到了双分数布朗运动环境下再装期权定价公式.

  1. Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion

    Science.gov (United States)

    Frecon, Jordan; Didier, Gustavo; Pustelnik, Nelly; Abry, Patrice

    2016-08-01

    Self-similarity is widely considered the reference framework for modeling the scaling properties of real-world data. However, most theoretical studies and their practical use have remained univariate. Operator Fractional Brownian Motion (OfBm) was recently proposed as a multivariate model for self-similarity. Yet it has remained seldom used in applications because of serious issues that appear in the joint estimation of its numerous parameters. While the univariate fractional Brownian motion requires the estimation of two parameters only, its mere bivariate extension already involves 7 parameters which are very different in nature. The present contribution proposes a method for the full identification of bivariate OfBm (i.e., the joint estimation of all parameters) through an original formulation as a non-linear wavelet regression coupled with a custom-made Branch & Bound numerical scheme. The estimation performance (consistency and asymptotic normality) is mathematically established and numerically assessed by means of Monte Carlo experiments. The impact of the parameters defining OfBm on the estimation performance as well as the associated computational costs are also thoroughly investigated.

  2. Rapid Brownian Motion Primes Ultrafast Reconstruction of Intrinsically Disordered Phe-Gly Repeats Inside the Nuclear Pore Complex.

    Science.gov (United States)

    Moussavi-Baygi, R; Mofrad, M R K

    2016-01-01

    Conformational behavior of intrinsically disordered proteins, such as Phe-Gly repeat domains, alters drastically when they are confined in, and tethered to, nan channels. This has challenged our understanding of how they serve to selectively facilitate translocation of nuclear transport receptor (NTR)-bearing macromolecules. Heterogeneous FG-repeats, tethered to the NPC interior, nonuniformly fill the channel in a diameter-dependent manner and adopt a rapid Brownian motion, thereby forming a porous and highly dynamic polymeric meshwork that percolates in radial and axial directions and features two distinguishable zones: a dense hydrophobic rod-like zone located in the center, and a peripheral low-density shell-like zone. The FG-meshwork is locally disrupted upon interacting with NTR-bearing macromolecules, but immediately reconstructs itself between 0.44 μs and 7.0 μs, depending on cargo size and shape. This confers a perpetually-sealed state to the NPC, and is solely due to rapid Brownian motion of FG-repeats, not FG-repeat hydrophobic bonds. Elongated-shaped macromolecules, both in the presence and absence of NTRs, penetrate more readily into the FG-meshwork compared to their globular counterparts of identical volume and surface chemistry, highlighting the importance of the shape effects in nucleocytoplasmic transport. These results can help our understanding of geometrical effects in, and the design of, intelligent and responsive biopolymer-based materials in nanofiltration and artificial nanopores. PMID:27470900

  3. Rapid Brownian Motion Primes Ultrafast Reconstruction of Intrinsically Disordered Phe-Gly Repeats Inside the Nuclear Pore Complex

    Science.gov (United States)

    Moussavi-Baygi, R.; Mofrad, M. R. K.

    2016-01-01

    Conformational behavior of intrinsically disordered proteins, such as Phe-Gly repeat domains, alters drastically when they are confined in, and tethered to, nan channels. This has challenged our understanding of how they serve to selectively facilitate translocation of nuclear transport receptor (NTR)-bearing macromolecules. Heterogeneous FG-repeats, tethered to the NPC interior, nonuniformly fill the channel in a diameter-dependent manner and adopt a rapid Brownian motion, thereby forming a porous and highly dynamic polymeric meshwork that percolates in radial and axial directions and features two distinguishable zones: a dense hydrophobic rod-like zone located in the center, and a peripheral low-density shell-like zone. The FG-meshwork is locally disrupted upon interacting with NTR-bearing macromolecules, but immediately reconstructs itself between 0.44 μs and 7.0 μs, depending on cargo size and shape. This confers a perpetually-sealed state to the NPC, and is solely due to rapid Brownian motion of FG-repeats, not FG-repeat hydrophobic bonds. Elongated-shaped macromolecules, both in the presence and absence of NTRs, penetrate more readily into the FG-meshwork compared to their globular counterparts of identical volume and surface chemistry, highlighting the importance of the shape effects in nucleocytoplasmic transport. These results can help our understanding of geometrical effects in, and the design of, intelligent and responsive biopolymer-based materials in nanofiltration and artificial nanopores. PMID:27470900

  4. Exact analytical solutions to the master equation of quantum Brownian motion for a general environment

    CERN Document Server

    Fleming, C H; Hu, B L

    2010-01-01

    We revisit the model of a quantum Brownian oscillator linearly coupled to an environment of quantum oscillators at finite temperature. By introducing a compact and particularly well-suited formulation, we give a rather quick and direct derivation of the master equation and its solutions for general spectral functions and arbitrary temperatures. The flexibility of our approach allows for an immediate generalization to cases with an external force and with an arbitrary number of Brownian oscillators. More importantly, we point out an important mathematical subtlety concerning boundary-value problems for integro-differential equations which led to incorrect master equation coefficients and impacts on the description of nonlocal dissipation effects in all earlier derivations. Furthermore, we provide explicit, exact analytical results for the master equation coefficients and its solutions in a wide variety of cases, including ohmic, sub-ohmic and supra-ohmic environments with a finite cut-off.

  5. Random Brownian scaling identities and splicing of Bessel processes

    OpenAIRE

    Pitman, Jim; Yor, Marc

    1998-01-01

    An identity in distribution due to Knight for Brownian motion is extended in two different ways: first by replacing the supremum of a reflecting Brownian motion by the range of an unreflected Brownian motion and second by replacing the reflecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excursions. The first extension is related to two different constructions of Itô’s law of ...

  6. Normalized functionals of first passage Brownian motion and a curious connection with the maximal relative height of fluctuating interfaces

    Science.gov (United States)

    Kearney, Michael J.; Martin, Richard J.

    2016-05-01

    A study is made of the normalized functionals { M }\\equiv M/{T}{1/2} and { A }\\equiv A/{T}{3/2} associated with one-dimensional first passage Brownian motion with positive initial condition, where M is the maximum value attained and A is the area swept out up to the random time T at which the process first reaches zero. Both { M } and { A } involve two strongly correlated random variables associated with a given Brownian path. Through their study, fresh insights are provided into the fundamental nature of such first passage processes and the underlying correlations. The probability density and the moments of { M } and { A } are calculated exactly and the theoretical results are shown to be in good agreement with those derived from simulations. Intriguingly, there is a precise equivalence in law between the variable { A } and the maximal relative height of the fluctuating interface in the one-dimensional Edwards–Wilkinson model with free boundary conditions. This observation leads to some interesting and still partially unresolved questions.

  7. Fractionalization of the complex-valued Brownian motion of order n using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics

    International Nuclear Information System (INIS)

    The (complex-valued) Brownian motion of order n is defined as the limit of a random walk on the complex roots of the unity. Real-valued fractional noises are obtained as fractional derivatives of the Gaussian white noise (or order two). Here one combines these two approaches and one considers the new class of fractional noises obtained as fractional derivative of the complex-valued Brownian motion of order n. The key of the approach is the relation between differential and fractional differential provided by the fractional Taylor's series of analytic function f(z+h)=Eα(hαDzα).f(z), where Eα is the Mittag-Leffler function on the one hand, and the generalized Maruyama's notation, on the other hand. Some questions are revisited such as the definition of fractional Brownian motion as integral w.r.t. (dt)α, and the exponential growth equation driven by fractional Brownian motion, to which a new solution is proposed. As a first illustrative example of application, in mathematical finance, one proposes a new approach to the optimal management of a stochastic portfolio of fractional order via the Lagrange variational technique applied to the state moment dynamical equations. In the second example, one deals with non-random Lagrangian mechanics of fractional order. The last example proposes a new approach to fractional stochastic mechanics, and the solution so obtained gives rise to the question as to whether physical systems would not have their own internal random times

  8. Brownian shape motion on five-dimensional potential-energy surfaces:nuclear fission-fragment mass distributions.

    Science.gov (United States)

    Randrup, Jørgen; Möller, Peter

    2011-04-01

    Although nuclear fission can be understood qualitatively as an evolution of the nuclear shape, a quantitative description has proven to be very elusive. In particular, until now, there existed no model with demonstrated predictive power for the fission-fragment mass yields. Exploiting the expected strongly damped character of nuclear dynamics, we treat the nuclear shape evolution in analogy with Brownian motion and perform random walks on five-dimensional fission potential-energy surfaces which were calculated previously and are the most comprehensive available. Test applications give good reproduction of highly variable experimental mass yields. This novel general approach requires only a single new global parameter, namely, the critical neck size at which the mass split is frozen in, and the results are remarkably insensitive to its specific value. PMID:21517377

  9. Brownian regime of finite-N corrections to particle motion in the XY hamiltonian mean field model

    CERN Document Server

    Ribeiro, Bruno V; Elskens, Yves

    2016-01-01

    We study the dynamics of the N-particle system evolving in the XY hamiltonian mean field (HMF) model for a repulsive potential, when no phase transition occurs. Starting from a homogeneous distribution, particles evolve in a mean field created by the interaction with all others. This interaction does not change the homogeneous state of the system, and particle motion is approximately ballistic with small corrections. For initial particle data approaching a waterbag, it is explicitly proved that corrections to the ballistic velocities are in the form of independent brownian noises over a time scale diverging not slower than $N^{2/5}$ as $N \\to \\infty$, which proves the propagation of molecular chaos. Molecular dynamics simulations of the XY-HMF model confirm our analytical findings.

  10. An Invariance Principle of G-Brownian Motion for the Law of the Iterated Logarithm under G-expectation

    CERN Document Server

    Wu, Panyu

    2011-01-01

    The classical law of the iterated logarithm (LIL for short)as fundamental limit theorems in probability theory play an important role in the development of probability theory and its applications. Strassen (1964) extended LIL to large classes of functional random variables, it is well known as the invariance principle for LIL which provide an extremely powerful tool in probability and statistical inference. But recently many phenomena show that the linearity of probability is a limit for applications, for example in finance, statistics. As while a nonlinear expectation--- G-expectation has attracted extensive attentions of mathematicians and economists, more and more people began to study the nature of the G-expectation space. A natural question is: Can the classical invariance principle for LIL be generalized under G-expectation space? This paper gives a positive answer. We present the invariance principle of G-Brownian motion for the law of the iterated logarithm under G-expectation.

  11. Brownian regime of finite-N corrections to particle motion in the XY Hamiltonian mean field model

    Science.gov (United States)

    Ribeiro, Bruno V.; Amato, Marco A.; Elskens, Yves

    2016-08-01

    We study the dynamics of the N-particle system evolving in the XY Hamiltonian mean field (HMF) model for a repulsive potential, when no phase transition occurs. Starting from a homogeneous distribution, particles evolve in a mean field created by the interaction with all others. This interaction does not change the homogeneous state of the system, and particle motion is approximately ballistic with small corrections. For initial particle data approaching a waterbag, it is explicitly proved that corrections to the ballistic velocities are in the form of independent Brownian noises over a time scale diverging not slower than {N}2/5 as N\\to ∞ , which proves the propagation of molecular chaos. Molecular dynamics simulations of the XY-HMF model confirm our analytical findings.

  12. Berry-Ess\\'een bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion

    CERN Document Server

    Aazizi, Soufiane

    2012-01-01

    Let $B$ be a bifractional Brownian motion with parameters $H\\in (0, 1)$ and $K\\in(0,1]$. For any $n\\geq1$, set $Z_n =\\sum_{i=0}^{n-1}\\big[n^{2HK}(B_{(i+1)/n}-B_{i/n})^2-\\E((B_{i+1}-B_{i})^2)\\big]$. We use the Malliavin calculus and the so-called Stein's method on Wiener chaos introduced by Nourdin and Peccati \\cite{NP09} to derive, in the case when $0

  13. Structure-based molecular simulations reveal the enhancement of biased Brownian motions in single-headed kinesin.

    Directory of Open Access Journals (Sweden)

    Ryo Kanada

    Full Text Available Kinesin is a family of molecular motors that move unidirectionally along microtubules (MT using ATP hydrolysis free energy. In the family, the conventional two-headed kinesin was experimentally characterized to move unidirectionally through "walking" in a hand-over-hand fashion by coordinated motions of the two heads. Interestingly a single-headed kinesin, a truncated KIF1A, still can generate a biased Brownian movement along MT, as observed by in vitro single molecule experiments. Thus, KIF1A must use a different mechanism from the conventional kinesin to achieve the unidirectional motions. Based on the energy landscape view of proteins, for the first time, we conducted a set of molecular simulations of the truncated KIF1A movements over an ATP hydrolysis cycle and found a mechanism exhibiting and enhancing stochastic forward-biased movements in a similar way to those in experiments. First, simulating stand-alone KIF1A, we did not find any biased movements, while we found that KIF1A with a large friction cargo-analog attached to the C-terminus can generate clearly biased Brownian movements upon an ATP hydrolysis cycle. The linked cargo-analog enhanced the detachment of the KIF1A from MT. Once detached, diffusion of the KIF1A head was restricted around the large cargo which was located in front of the head at the time of detachment, thus generating a forward bias of the diffusion. The cargo plays the role of a diffusional anchor, or cane, in KIF1A "walking."

  14. Composite generalized Langevin equation for Brownian motion in different hydrodynamic and adhesion regimes.

    Science.gov (United States)

    Yu, Hsiu-Yu; Eckmann, David M; Ayyaswamy, Portonovo S; Radhakrishnan, Ravi

    2015-05-01

    We present a composite generalized Langevin equation as a unified framework for bridging the hydrodynamic, Brownian, and adhesive spring forces associated with a nanoparticle at different positions from a wall, namely, a bulklike regime, a near-wall regime, and a lubrication regime. The particle velocity autocorrelation function dictates the dynamical interplay between the aforementioned forces, and our proposed methodology successfully captures the well-known hydrodynamic long-time tail with context-dependent scaling exponents and oscillatory behavior due to the binding interaction. Employing the reactive flux formalism, we analyze the effect of hydrodynamic variables on the particle trajectory and characterize the transient kinetics of a particle crossing a predefined milestone. The results suggest that both wall-hydrodynamic interactions and adhesion strength impact the particle kinetics. PMID:26066173

  15. Overdamped limit and inverse-friction expansion for Brownian motion in an inhomogeneous medium.

    Science.gov (United States)

    Durang, Xavier; Kwon, Chulan; Park, Hyunggyu

    2015-06-01

    We revisit the problem of the overdamped (large-friction) limit of the Brownian dynamics in an inhomogeneous medium characterized by a position-dependent friction coefficient and a multiplicative noise (local temperature) in one-dimensional space. Starting from the Kramers equation and analyzing it through the expansion in terms of eigenfunctions of a quantum harmonic oscillator, we derive analytically the corresponding Fokker-Planck equation in the overdamped limit. The result is fully consistent with the previous finding by Sancho, San Miguel, and Dürr [J. Stat. Phys. 28, 291 (1982)]. Our method allows us to generalize the Brinkman's hierarchy, and thus it would be straightforward to obtain higher-order corrections in a systematic inverse-friction expansion without any assumption. Our results are confirmed by numerical simulations for simple examples. PMID:26172672

  16. Some Brownian functionals and their laws

    OpenAIRE

    Donati-Martin, C.; Yor, M.

    1997-01-01

    We develop some topics about Brownian motion with a particular emphasis on the study of principal values of Brownian local times. We show some links between principal values and Doob’s $h$-transforms of Brownian motion, for nonpositive harmonic functions $h$. We also give a survey and complement some martingale approaches to Ray–Knight theorems for local times.

  17. An exactly solvable model for Brownian motion : I. Derivation of the Langevin equation

    NARCIS (Netherlands)

    Ullersma, P.

    1966-01-01

    The motion of an elastically bound particle, linearly coupled with a bath of N harmonic oscillators is calculated exactly. The interaction is assumed to be rather weak and to vary slowly as function of the frequencies of the oscillators. The bath is chosen at the initial time in thermal equilibrium.

  18. A Class of Bridges of Iterated Integrals of Brownian Motion Related to Various Boundary Value Problems Involving the One-Dimensional Polyharmonic Operator

    Directory of Open Access Journals (Sweden)

    Aimé Lachal

    2011-01-01

    Full Text Available Let ((∈[0,1] be the linear Brownian motion and ((∈[0,1] the (−1-fold integral of Brownian motion, with being a positive integer: ∫(=0((−−1/(−1!d( for any ∈[0,1]. In this paper we construct several bridges between times 0 and 1 of the process ((∈[0,1] involving conditions on the successive derivatives of at times 0 and 1. For this family of bridges, we make a correspondence with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical problem of prediction. Our results involve various Hermite interpolation polynomials.

  19. A proof for insignificant effect of Brownian motion-induced micro-convection on thermal conductivity of nanofluids by utilizing molecular dynamics simulations

    Science.gov (United States)

    Babaei, Hasan; Keblinski, Pawel; Khodadadi, J. M.

    2013-02-01

    It has been recently demonstrated through experiments that the observed high enhancements in thermal conductivity of nanofluids are due to aggregation of nanoparticles rather than the previously stated mechanism of the Brownian motion-induced micro-convection. In this paper, we use equilibrium molecular dynamics simulations to investigate the role of micro-convection on the thermal conductivity of well-dispersed nanofluids. We show that while the individual terms in the heat current autocorrelation function associated with nanoparticle diffusion achieve significant values, these terms essentially cancel each other if correctly defined average enthalpy expressions are subtracted. Otherwise, erroneous thermal conductivity enhancements will be predicted, which are attributed to Brownian motion-induced micro-convection. Consequently, micro-convection does not contribute noticeably to the thermal conductivity and the predicted thermal conductivity enhancements are consistent with the effective medium theory.

  20. Level repulsion exponent β for many-body localization transitions and for Anderson localization transitions via Dyson Brownian motion

    Science.gov (United States)

    Monthus, Cécile

    2016-03-01

    The generalization of the Dyson Brownian motion approach of random matrices to Anderson localization (AL) models (Chalker et al 1996 Phys. Rev. Lett. 77 554) and to many-body localization (MBL) Hamiltonians (Serbyn and Moore 2015 arXiv:1508.07293) is revisited to extract the level repulsion exponent β, where β =1 in the delocalized phase governed by the Wigner-Dyson statistics, β =0 , in the localized phase governed by the Poisson statistics, and 0 {{|}2} for the same eigenstate m  =  n and for consecutive eigenstates m  =  n  +  1. For the Anderson localization tight-binding Hamiltonian with random on-site energies h i , we find β =2{{Y}n,n+1}(N)/≤ft({{Y}n,n}(N)-{{Y}n,n+1}(N)\\right) in terms of the density correlation matrix {{Y}nm}(N)\\equiv {\\sum}i=1N| {{|}2}| {{|}2} for consecutive eigenstates m  =  n  +  1, while the diagonal element m  =  n corresponds to the inverse participation ratio {{Y}nn}(N)\\equiv {\\sum}i=1N| {{|}4} of the eigenstate |{φn}> .

  1. Optimal Control of Investment-Reinsurance Problem for an Insurer with Jump-Diffusion Risk Process: Independence of Brownian Motions

    Directory of Open Access Journals (Sweden)

    De-Lei Sheng

    2014-01-01

    Full Text Available This paper investigates the excess-of-loss reinsurance and investment problem for a compound Poisson jump-diffusion risk process, with the risk asset price modeled by a constant elasticity of variance (CEV model. It aims at obtaining the explicit optimal control strategy and the optimal value function. Applying stochastic control technique of jump diffusion, a Hamilton-Jacobi-Bellman (HJB equation is established. Moreover, we show that a closed-form solution for the HJB equation can be found by maximizing the insurer’s exponential utility of terminal wealth with the independence of two Brownian motions W(t and W1(t. A verification theorem is also proved to verify that the solution of HJB equation is indeed a solution of this optimal control problem. Then, we quantitatively analyze the effect of different parameter impacts on optimal control strategy and the optimal value function, which show that optimal control strategy is decreasing with the initial wealth x and decreasing with the volatility rate of risk asset price. However, the optimal value function V(t;x;s is increasing with the appreciation rate μ of risk asset.

  2. Oil prices. Brownian motion or mean reversion? A study using a one year ahead density forecast criterion

    International Nuclear Information System (INIS)

    For oil related investment appraisal, an accurate description of the evolving uncertainty in the oil price is essential. For example, when using real option theory to value an investment, a density function for the future price of oil is central to the option valuation. The literature on oil pricing offers two views. The arbitrage pricing theory literature for oil suggests geometric Brownian motion and mean reversion models. Empirically driven literature suggests ARMA-GARCH models. In addition to reflecting the volatility of the market, the density function of future prices should also incorporate the uncertainty due to price jumps, a common occurrence in the oil market. In this study, the accuracy of density forecasts for up to a year ahead is the major criterion for a comparison of a range of models of oil price behaviour, both those proposed in the literature and following from data analysis. The Kullbach Leibler information criterion is used to measure the accuracy of density forecasts. Using two crude oil price series, Brent and West Texas Intermediate (WTI) representing the US market, we demonstrate that accurate density forecasts are achievable for up to nearly two years ahead using a mixture of two Gaussians innovation processes with GARCH and no mean reversion. (author)

  3. A New Approach for Time Series Forecasting: Bayesian Enhanced by Fractional Brownian Motion with Application to Rainfall Series

    Directory of Open Access Journals (Sweden)

    Cristian Rodriguez Rivero

    2016-03-01

    Full Text Available A new predictor algorithm based on Bayesian enhanced approach (BEA for long-term chaotic time series using artificial neural networks (ANN is presented. The technique based on stochastic models uses Bayesian inference by means of Fractional Brownian Motion as model data and Beta model as prior information. However, the need of experimental data for specifying and estimating causal models has not changed. Indeed, Bayes method provides another way to incorporate prior knowledge in forecasting models; the simplest representations of prior knowledge in forecasting models are hard to beat in many forecasting situations, either because prior knowledge is insufficient to improve on models or because prior knowledge leads to the conclusion that the situation is stable. This work contributes with long-term time series prediction, to give forecast horizons up to 18 steps ahead. Thus, the forecasted values and validation data are presented by solutions of benchmark chaotic series such as Mackey-Glass, Lorenz, Henon, Logistic, Rössler, Ikeda, Quadratic one-dimensional map series and monthly cumulative rainfall collected from Despeñaderos, Cordoba, Argentina. The computational results are evaluated against several non-linear ANN predictors proposed before on high roughness series that shows a better performance of Bayesian Enhanced approach in long-term forecasting.

  4. Temperature-dependent effect of percolation and Brownian motion on the thermal conductivity of TiO2-ethanol nanofluids.

    Science.gov (United States)

    Li, Chien-Cheng; Hau, Nga Yu; Wang, Yuechen; Soh, Ai Kah; Feng, Shien-Ping

    2016-06-01

    Ethanol-based nanofluids have attracted much attention due to the enhancement in heat transfer and their potential applications in nanofluid-type fuels and thermal storage. Most research has been conducted on ethanol-based nanofluids containing various nanoparticles in low mass fraction; however, to-date such studies based on high weight fraction of nanoparticles are limited due to the poor stability problem. In addition, very little existing work has considered the inevitable water content in ethanol for the change of thermal conductivity. In this paper, the highly stable and well-dispersed TiO2-ethanol nanofluids of high weight fraction of up to 3 wt% can be fabricated by stirred bead milling, which enables the studies of thermal conductivity of TiO2-ethanol nanofluids over a wide range of operating temperatures. Our results provide evidence that the enhanced thermal conductivity is mainly contributed by the percolation network of nanoparticles at low temperatures, while it is in combination with both Brownian motion and local percolation of nanoparticle clustering at high temperatures. PMID:27212639

  5. Series solution to the first-passage-time problem of a Brownian motion with an exponential time-dependent drift

    International Nuclear Information System (INIS)

    We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an adaptation-like current and reaching the threshold for the first time represents the condition for declaring a spike. Based on the backward Fokker–Planck formulation, we consider the survival probability of this process in a domain restricted by an absorbent boundary. The solution is given as an expansion in terms of the intensity of the time-dependent drift, which results in an infinite set of recurrence equations. We explicitly obtain the complete solution by solving each term in the expansion in a recursive scheme. From the survival probability, we evaluate the first-passage-time statistics, which itself preserves the series structure. We then compare theoretical results with data extracted from numerical simulations of the associated dynamical system, and show that the analytical description is appropriate whenever the series is truncated in an adequate order. (paper)

  6. Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations

    International Nuclear Information System (INIS)

    There are presently two different models of fractional Brownian motions available in the literature: the Riemann-Liouville fractional derivative of white noise on the one hand, and the complex-valued Brownian motion of order n defined by using a random walk in the complex plane, on the other hand. The paper provides a comparison between these two approaches, and in addition, takes this opportunity to contribute some complements. These two models are more or less equivalent on the theoretical standpoint for fractional order between 0 and 1/2, but their practical significances are quite different. Otherwise, for order larger than 1/2, the fractional derivative model has no counterpart in the complex plane. These differences are illustrated by an example drawn from mathematical finance. Taylor expansion of fractional order provides the expression of fractional difference in terms of finite difference, and this allows us to improve the derivation of Fokker-Planck equation and Kramers-Moyal expansion, and to get more insight in their relation with stochastic differential equations of fractional order. In the case of multi-fractal systems, the Fokker-Planck equation can be solved by using path integrals, and the fractional dynamic equations of the state moments of the stochastic system can be easily obtained. By combining fractional derivative and complex white noise of order n, one obtains a family of complex-valued fractional Brownian motions which exhibits long-range dependence. The conclusion outlines suggestions for further research, mainly regarding Lorentz transformation of fractional noises

  7. One-dimensional Brownian motion in hard rods: The adiabatic piston problem

    Science.gov (United States)

    Ebrahim Foulaadvand, M.; Shafiee, M. Mehdi

    2013-11-01

    We have investigated the motion characteristics of a movable piston immersed in a one-dimensional gas of hard rods by event-oriented molecular dynamics in the absence of thermal noise. Periodic and reflecting boundary conditions are explored. It is shown that the piston undergoes systematic oscillations with decaying amplitudes in short times before it comes to global thermodynamic equilibrium. Moreover, the diffusion of the piston is explored and analytical expressions for its equilibrium mean-squared displacement (MSD) are obtained. It is shown that the MSD of the piston does not differ much from the normal rods despite its mass and length are significantly larger.

  8. From Pseudorandom Walk to Pseudo-Brownian Motion: First Exit Time from a One-Sided or a Two-Sided Interval

    Directory of Open Access Journals (Sweden)

    Aimé Lachal

    2014-01-01

    Full Text Available Let N be a positive integer, c a positive constant and (ξnn≥1 be a sequence of independent identically distributed pseudorandom variables. We assume that the ξn’s take their values in the discrete set {-N,-N+1,…,N-1,N} and that their common pseudodistribution is characterized by the (positive or negative real numbers ℙ{ξn=k}=δk0+(-1k-1c(2Nk+N for any k∈{-N,-N+1,…,N-1,N}. Let us finally introduce (Snn≥0 the associated pseudorandom walk defined on ℤ by S0=0 and Sn=∑j=1n‍ξj for n≥1. In this paper, we exhibit some properties of (Snn≥0. In particular, we explicitly determine the pseudodistribution of the first overshooting time of a given threshold for (Snn≥0 as well as that of the first exit time from a bounded interval. Next, with an appropriate normalization, we pass from the pseudorandom walk to the pseudo-Brownian motion driven by the high-order heat-type equation ∂/∂t=(-1N-1c∂2N/∂x2N. We retrieve the corresponding pseudodistribution of the first overshooting time of a threshold for the pseudo-Brownian motion (Lachal, 2007. In the same way, we get the pseudodistribution of the first exit time from a bounded interval for the pseudo-Brownian motion which is a new result for this pseudoprocess.

  9. Archimedes’ principle for Brownian liquid

    OpenAIRE

    Burdzy, Krzysztof; Chen, Zhen-Qing; Pal, Soumik

    2011-01-01

    We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many interesting implications, including an illustration of the Archimedes' principle. The analysis rests on constructing reflecting Brownian motion with drift in a general open connected domain and studying its stationary distribution. In dimension two we utilize known ...

  10. Archimedes' principle for Brownian liquid

    CERN Document Server

    Burdzy, Krzysztof; Pal, Soumik

    2009-01-01

    We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many interesting implications, including an illustration of the Archimedes' principle. The analysis rests on constructing reflecting Brownian motion with drift in a general open connected domain and studying its stationary distribution. In dimension two we utilize known results about sphere packing.

  11. The verification of the Taylor-expansion moment method for the nanoparticle coagulation in the entire size regime due to Brownian motion

    International Nuclear Information System (INIS)

    The closure of moment equations for nanoparticle coagulation due to Brownian motion in the entire size regime is performed using a newly proposed method of moments. The equations in the free molecular size regime and the continuum plus near-continuum regime are derived separately in which the fractal moments are approximated by three-order Taylor-expansion series. The moment equations for coagulation in the entire size regime are achieved by the harmonic mean solution and the Dahneke’s solution. The results produced by the quadrature method of moments (QMOM), the Pratsinis’s log-normal moment method (PMM), the sectional method (SM), and the newly derived Taylor-expansion moment method (TEMOM) are presented and compared in accuracy and efficiency. The TEMOM method with Dahneke’s solution produces the most accurate results with a high efficiency than other existing moment models in the entire size regime, and thus it is recommended to be used in the following studies on nanoparticle dynamics due to Brownian motion.

  12. Pricing European option under the time-changed mixed Brownian-fractional Brownian model

    Science.gov (United States)

    Guo, Zhidong; Yuan, Hongjun

    2014-07-01

    This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.

  13. On collisions of Brownian particles

    OpenAIRE

    Ichiba, Tomoyuki; Karatzas, Ioannis

    2010-01-01

    We examine the behavior of $n$ Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient conditions are established for the absence and for the presence of triple collisions among the particles. As an application to the Atlas model for equity markets, we study a special construction of such systems of diffusing particles using Brownian motions with refl...

  14. Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach

    DEFF Research Database (Denmark)

    Zhu, Jie

    There exist dual-listed stocks which are issued by the same company in some stock markets. Although these stocks bare the same firm-specific risk and enjoy identical dividends and voting policies, they are priced differently. Some previous studies show this seeming deviation from the law of one...... price can be solved due to different ex- pected return and market price of risk for investors holding heterogeneous beliefs. This paper provides empirical evidence for that argument by testing the expected return and market price of risk between Chinese A and B shares listed in Shanghai and Shenzhen...... stock markets. Models with dynamic of Geometric Brownian Motion are adopted, multivariate GARCH models are also introduced to capture the feature of time-varying volatility in stock returns. The results suggest that the different pric- ing can be explained by the difference in expected returns between A...

  15. Brownian refrigerator.

    Science.gov (United States)

    Van den Broeck, C; Kawai, R

    2006-06-01

    Onsager symmetry implies that a Brownian motor, driven by a temperature gradient, will also perform a refrigerator function upon loading. We analytically calculate the corresponding heat flow for an exactly solvable microscopic model and compare it with molecular dynamics simulations. PMID:16803223

  16. Effects of non-Gaussian Brownian motion on direct force optical tweezers measurements of the electrostatic forces between pairs of colloidal particles.

    Science.gov (United States)

    Raudsepp, Allan; A K Williams, Martin; B Hall, Simon

    2016-07-01

    Measurements of the electrostatic force with separation between a fixed and an optically trapped colloidal particle are examined with experiment, simulation and analytical calculation. Non-Gaussian Brownian motion is observed in the position of the optically trapped particle when particles are close and traps weak. As a consequence of this motion, a simple least squares parameterization of direct force measurements, in which force is inferred from the displacement of an optically trapped particle as separation is gradually decreased, contains forces generated by the rectification of thermal fluctuations in addition to those originating directly from the electrostatic interaction between the particles. Thus, when particles are close and traps weak, simply fitting the measured direct force measurement to DLVO theory extracts parameters with modified meanings when compared to the original formulation. In such cases, however, physically meaningful DLVO parameters can be recovered by comparing the measured non-Gaussian statistics to those predicted by solutions to Smoluchowski's equation for diffusion in a potential. PMID:27439853

  17. Brownian Motion of a Test Particle with a Normal Classical Velocity in Spacetime with a Plane Boundary

    Institute of Scientific and Technical Information of China (English)

    FU Xiang-Yun; YU Hong-Wei

    2007-01-01

    We study the random motion of a charged test particle with a normal classical constant velocity in a spacetime with a perfectly reflecting plane boundary and calculate both the velocity and position dispersions of the test particle. Our results show that the dispersions in the normal direction are weakened while those in the parallel directions are strengthened as compared to the classical static case when the test particle classically moves away from the boundary.However, if the classical motion reverses its direction, then the dispersions in the normal direction are reinforced while those in the parallel directions get weakened.

  18. How superdiffusion gets arrested: ecological encounters explain shift from Levy to Brownian movement

    NARCIS (Netherlands)

    de Jager, M.; Bartumeus, F.; Kölzsch, A.; Weissing, F.J.; Hengeveld, G.M.; Nolet, B.A.; Herman, P.M.J.; de Koppel, J.

    2014-01-01

    Ecological theory uses Brownian motion as a default template for describing ecological movement, despite limited mechanistic underpinning. The generality of Brownian motion has recently been challenged by empirical studies that highlight alternative movement patterns of animals, especially when fora

  19. Renewal Structure of the Brownian Taut String

    OpenAIRE

    Schertzer, Emmanuel

    2015-01-01

    In a recent paper, M. Lifshits and E. Setterqvist introduced the taut string of a Brownian motion $w$, defined as the function of minimal quadratic energy on $[0,T]$ staying in a tube of fixed width $h>0$ around $w$. The authors showed a Law of Large Number (L.L.N.) for the quadratic energy spent by the string for a large time $T$. In this note, we exhibit a natural renewal structure for the Brownian taut string, which is directly related to the time decomposition of the Brownian motion in te...

  20. Brownian movement and molecular reality

    CERN Document Server

    Perrin, Jean

    2005-01-01

    How do we know that molecules really exist? An important clue came from Brownian movement, a concept developed in 1827 by botanist Robert Brown, who noticed that tiny objects like pollen grains shook and moved erratically when viewed under a microscope. Nearly 80 years later, in 1905, Albert Einstein explained this ""Brownian motion"" as the result of bombardment by molecules. Einstein offered a quantitative explanation by mathematically estimating the average distance covered by the particles over time as a result of molecular bombardment. Four years later, Jean Baptiste Perrin wrote Brownia

  1. 马氏调制的几何布朗运动与布林带%Markov-Modulated Geometric Brownian Motion and Bollinger Bands

    Institute of Scientific and Technical Information of China (English)

    黄旭东; 刘伟

    2007-01-01

    In the stock market, Bollinger bands as a popular technical analysis tool are widely used by traders. There are a lot of models built to forecast the stock price, so it is a significant issue to investigate whether these models have Bollinger band property. Liu, Huang and Zheng (2006) and Liu and Zheng (2006) discussed the Bollinger bands for Black-Scholes model and stochastic volatility model as real stock markets, respectively. The stationarity and the law of large number of the corresponding statistics were proved. In this paper, we extend the above results to the general model of Markov-modulated geometric Brownian motion.%在证券市场,布林带作为流行的技术分析工具被广泛的运用.到目前为止有许多模型被建立用来预测证券的价格,因此研究这些模型是否具有布林带性质是一个重要的问题.Liu,Huang and Zheng(2006)和Liu and Zheng(2006)分别讨论了Black-Scholes模型和随机波动率模型作为真实的股票市场的布林带,并且证明了相应的统计量的平稳性和大数定律成立.本文我们将上述结果推广到马氏调制的几何布朗运动模型.

  2. Brownian motion of interacting particles

    Energy Technology Data Exchange (ETDEWEB)

    Ackerson, B.J.

    1976-01-01

    Guided by the descriptions which are used to describe noninteracting particles, it is argued that the generalized Smoluchowski equation, including the hydrodynamic interaction and corrections for ion cloud effects may be used to describe interacting particles for the temporal and spatial regimes probed by light beating spectroscopy. This equation is then used to find cumulants of decay of the intermediate scattering function. The generalized Smoluchowski equation is reduced to a simple diffusion equation. The resulting diffusion constant depends upon the interparticle forces and is reminiscent of some early descriptions for interacting systems. The generalized Smoluchowski equation is solved for the model system of a linear chain of colloidal particles interacting via nearest neighbor harmonic couplings. The results for the intermediate scattering function and the static structure factor are very reminiscent of corresponding measurements made for interacting colloidal systems. (GHT)

  3. Brownian Motion in Planetary Migration

    CERN Document Server

    Murray-Clay, R A; Murray-Clay, Ruth A.; Chiang, Eugene I.

    2006-01-01

    A residual planetesimal disk of mass 10-100 Earth masses remained in the outer solar system following the birth of the giant planets, as implied by the existence of the Oort cloud, coagulation requirements for Pluto, and inefficiencies in planet formation. Upon gravitationally scattering planetesimal debris, planets migrate. Orbital migration can lead to resonance capture, as evidenced here in the Kuiper and asteroid belts, and abroad in extra-solar systems. Finite sizes of planetesimals render migration stochastic ("noisy"). At fixed disk mass, larger (fewer) planetesimals generate more noise. Extreme noise defeats resonance capture. We employ order-of-magnitude physics to construct an analytic theory for how a planet's orbital semi-major axis fluctuates in response to random planetesimal scatterings. To retain a body in resonance, the planet's semi-major axis must not random walk a distance greater than the resonant libration width. We translate this criterion into an analytic formula for the retention effi...

  4. Cooperative Transport of Brownian Particles

    OpenAIRE

    Derenyi, Imre; Vicsek, Tamas

    1998-01-01

    We consider the collective motion of finite-sized, overdamped Brownian particles (e.g., motor proteins) in a periodic potential. Simulations of our model have revealed a number of novel cooperative transport phenomena, including (i) the reversal of direction of the net current as the particle density is increased and (ii) a very strong and complex dependence of the average velocity on both the size and the average distance of the particles.

  5. Brownian particles in supramolecular polymer solutions

    NARCIS (Netherlands)

    Gucht, van der J.; Besseling, N.A.M.; Knoben, W.; Bouteiller, L.; Cohen Stuart, M.A.

    2003-01-01

    The Brownian motion of colloidal particles embedded in solutions of hydrogen-bonded supramolecular polymers has been studied using dynamic light scattering. At short times, the motion of the probe particles is diffusive with a diffusion coefficient equal to that in pure solvent. At intermediate time

  6. Continuum limits of random matrices and the Brownian carousel

    OpenAIRE

    Valko, Benedek; Virag, Balint

    2007-01-01

    We show that at any location away from the spectral edge, the eigenvalues of the Gaussian unitary ensemble and its general beta siblings converge to Sine_beta, a translation invariant point process. This process has a geometric description in term of the Brownian carousel, a deterministic function of Brownian motion in the hyperbolic plane. The Brownian carousel, a description of the a continuum limit of random matrices, provides a convenient way to analyze the limiting point processes. We sh...

  7. Brownian particles in supramolecular polymer solutions

    OpenAIRE

    Gucht, van der, J.; Besseling, N.A.M.; Knoben, W.; Bouteiller, L; Cohen Stuart, M. A.

    2003-01-01

    The Brownian motion of colloidal particles embedded in solutions of hydrogen-bonded supramolecular polymers has been studied using dynamic light scattering. At short times, the motion of the probe particles is diffusive with a diffusion coefficient equal to that in pure solvent. At intermediate time scales the particles are slowed down as a result of trapping in elastic cages formed by the polymer chains, while at longer times the motion is diffusive again, but with a much smaller diffusion c...

  8. 标的资产服从一类混合过程的2种奇异期权的定价%Pricing of two kinds of exotic options driven by multidimensional fractional Brownian motions and Poisson processes

    Institute of Scientific and Technical Information of China (English)

    王剑君

    2011-01-01

    In this paper, a new kind of hybrid model is presented. Under the hypothesis of underlying asset price submitting to multidimensional fractional Brownian motions and Poisson processes, the pricing formulas of two kinds of exotic options are obtained by means of the generalized pricing formula of European contingent claim of the model.%文章假设标的资产价格服从受分数布朗运动和泊松过程共同驱动的一类混合模型,通过这一模型的欧式未定权益的一般定价公式,求出了2种奇异期权的定价公式.

  9. From Constructive Field Theory to Fractional Stochastic Calculus. (II) Constructive Proof of Convergence for the Lévy Area of Fractional Brownian Motion with Hurst Index ${{alpha} {in} ((1)/(8),(1)/(4))}$

    Science.gov (United States)

    Magnen, Jacques; Unterberger, Jérémie

    2012-03-01

    {Let $B=(B_1(t),...,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\\alphaindex of its paths. Yet rough path theory shows it is the key to the construction of a stochastic calculus with respect to $B$, or to solving differential equations driven by $B$. We intend to show in a series of papers how to desingularize iterated integrals by a weak, singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using "standard" tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates, and call for an extension of Gaussian tools such as for instance the Malliavin calculus. After a first introductory paper \\cite{MagUnt1}, this one concentrates on the details of the constructive proof of convergence for second-order iterated integrals, also known as L\\'evy area.

  10. From Constructive Field Theory to Fractional Stochastic Calculus. (II) Constructive Proof of Convergence for the Lévy Area of Fractional Brownian Motion with Hurst Index ${{alpha} {in} ((1)/(8),(1)/(4))}$

    Science.gov (United States)

    Magnen, Jacques; Unterberger, Jérémie

    2012-03-01

    {Let $B=(B_1(t),...,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\\alphacalculus with respect to $B$, or to solving differential equations driven by $B$. We intend to show in a series of papers how to desingularize iterated integrals by a weak, singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using "standard" tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates, and call for an extension of Gaussian tools such as for instance the Malliavin calculus. After a first introductory paper \\cite{MagUnt1}, this one concentrates on the details of the constructive proof of convergence for second-order iterated integrals, also known as L\\'evy area.

  11. The Brownian loop soup

    OpenAIRE

    Lawler, Gregory F.; Werner, Wendelin

    2003-01-01

    We define a natural conformally invariant measure on unrooted Brownian loops in the plane and study some of its properties. We relate this measure to a measure on loops rooted at a boundary point of a domain and show how this relation gives a way to ``chronologically add Brownian loops'' to simple curves in the plane.

  12. Brownian coagulation at high particle concentrations

    NARCIS (Netherlands)

    Trzeciak, T. M.

    2012-01-01

    The process of Brownian coagulation, whereby particles are brought together by thermal motion and grow by collisions, is one of the most fundamental processes influencing the final properties of particulate matter in a variety of technically important systems. It is of importance in colloids, emulsi

  13. Random times and enlargements of filtrations in a Brownian setting

    CERN Document Server

    Mansuy, Roger

    2006-01-01

    In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma-Emery martingales and chaos representation; the filtration of truncated Brownian motion; attempts to characterize the Brownian filtration. The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion.

  14. On the expectation of normalized Brownian functionals up to first hitting times

    OpenAIRE

    Elie, Romuald; Rosenbaum, Mathieu; Yor, Marc

    2013-01-01

    Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that is the rescaled Brownian motion sampled at uniform time. In particular, we show that this variable is centered.

  15. An excursion approach to maxima of the Brownian bridge

    Science.gov (United States)

    Perman, Mihael; Wellner, Jon A.

    2016-01-01

    Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the local time has been used widely in the literature. In this paper it is used to give a unified derivation of a number of known distributions, and a few new ones. Particular cases of calculations include the distribution of the Kolmogorov-Smirnov statistic and the Kuiper statistic.

  16. Symmetry Relations for Trajectories of a Brownian Motor

    OpenAIRE

    Astumian, R. Dean

    2007-01-01

    A Brownian Motor is a nanoscale or molecular device that combines the effects of thermal noise, spatial or temporal asymmetry, and directionless input energy to drive directed motion. Because of the input energy, Brownian motors function away from thermodynamic equilibrium and concepts such as linear response theory, fluctuation dissipation relations, and detailed balance do not apply. The {\\em generalized} fluctuation-dissipation relation, however, states that even under strongly thermodynam...

  17. Conformal invariance, universality, and the dimension of the Brownian frontier

    OpenAIRE

    Lawler, Gregory

    2003-01-01

    This paper describes joint work with Oded Schramm and Wendelin Werner establishing the values of the planar Brownian intersection exponents from which one derives the Hausdorff dimension of certain exceptional sets of planar Brownian motion. In particular, we proof a conjecture of Mandelbrot that the dimension of the frontier is 4/3. The proof uses a universality principle for conformally invariant measures and a new process, the stochastic Loewner evolution ($SLE$), introduced by Schramm. Th...

  18. A method to calculate fission-fragment yields Y(Z,N) versus proton and neutron number in the Brownian shape-motion model. Application to calculations of U and Pu charge yields

    Science.gov (United States)

    Möller, Peter; Ichikawa, Takatoshi

    2015-12-01

    We propose a method to calculate the two-dimensional (2D) fission-fragment yield Y(Z,N) versus both proton and neutron number, with inclusion of odd-even staggering effects in both variables. The approach is to use the Brownian shape-motion on a macroscopic-microscopic potential-energy surface which, for a particular compound system is calculated versus four shape variables: elongation (quadrupole moment Q2), neck d , left nascent fragment spheroidal deformation ɛ_{f1}, right nascent fragment deformation ɛ_{f2} and two asymmetry variables, namely proton and neutron numbers in each of the two fragments. The extension of previous models 1) introduces a method to calculate this generalized potential-energy function and 2) allows the correlated transfer of nucleon pairs in one step, in addition to sequential transfer. In the previous version the potential energy was calculated as a function of Z and N of the compound system and its shape, including the asymmetry of the shape. We outline here how to generalize the model from the "compound-system" model to a model where the emerging fragment proton and neutron numbers also enter, over and above the compound system composition.

  19. Dividend Problem in Brownian Motion with Drift by the Inclusion of Constant Interest%常利率下漂移布朗运动的分红问题

    Institute of Scientific and Technical Information of China (English)

    孟辉; 张春生

    2008-01-01

    The income process of a company is modeled by a Brownian motion with drift, and in additions the surplus earns investment income in constant rate. Dividends are paid to the shareholders according to a threshold strategy: whenever the (modified) surplus is below some level, no dividends are paid; whenever the modified surplus is above the level, dividends are paid continuously with a constant rate (less than the premium rate). We obtain that the expected discounted dividends satisfies some integro-differential equations, further de-rive its explicit expressions.%假设公司的收入过程是一个漂移布朗运动,除此,公司还赚取利息收入.按照门槛策略,红利被分到股东手中:当资本余额低于某个固定水平时,没有红利付出;当资本余额高于这个水平时,红利以一个常数率(低于保费率)连续付出.我们取得期望折扣分红满足的一些积分-微分方程,进一步得到了它的详细表达.

  20. A method to calculate fission-fragment yields Y(Z,N) versus proton and neutron number in the Brownian shape-motion model. Application to calculations of U and Pu charge yields

    Energy Technology Data Exchange (ETDEWEB)

    Moeller, Peter [Los Alamos National Laboratory, Theoretical Division, Los Alamos, NM (United States); Ichikawa, Takatoshi [Kyoto University, Yukawa Institute for Theoretical Physics, Kyoto (Japan)

    2015-12-15

    We propose a method to calculate the two-dimensional (2D) fission-fragment yield Y(Z,N) versus both proton and neutron number, with inclusion of odd-even staggering effects in both variables. The approach is to use the Brownian shape-motion on a macroscopic-microscopic potential-energy surface which, for a particular compound system is calculated versus four shape variables: elongation (quadrupole moment Q{sub 2}), neck d, left nascent fragment spheroidal deformation ε{sub f1}, right nascent fragment deformation ε{sub f2} and two asymmetry variables, namely proton and neutron numbers in each of the two fragments. The extension of previous models 1) introduces a method to calculate this generalized potential-energy function and 2) allows the correlated transfer of nucleon pairs in one step, in addition to sequential transfer. In the previous version the potential energy was calculated as a function of Z and N of the compound system and its shape, including the asymmetry of the shape. We outline here how to generalize the model from the ''compound-system'' model to a model where the emerging fragment proton and neutron numbers also enter, over and above the compound system composition. (orig.)

  1. A method to calculate fission-fragment yields Y(Z,N) versus proton and neutron number in the Brownian shape-motion model. Application to calculations of U and Pu charge yields

    International Nuclear Information System (INIS)

    We propose a method to calculate the two-dimensional (2D) fission-fragment yield Y(Z,N) versus both proton and neutron number, with inclusion of odd-even staggering effects in both variables. The approach is to use the Brownian shape-motion on a macroscopic-microscopic potential-energy surface which, for a particular compound system is calculated versus four shape variables: elongation (quadrupole moment Q2), neck d, left nascent fragment spheroidal deformation εf1, right nascent fragment deformation εf2 and two asymmetry variables, namely proton and neutron numbers in each of the two fragments. The extension of previous models 1) introduces a method to calculate this generalized potential-energy function and 2) allows the correlated transfer of nucleon pairs in one step, in addition to sequential transfer. In the previous version the potential energy was calculated as a function of Z and N of the compound system and its shape, including the asymmetry of the shape. We outline here how to generalize the model from the ''compound-system'' model to a model where the emerging fragment proton and neutron numbers also enter, over and above the compound system composition. (orig.)

  2. A Method to Calculate Fission-Fragment Yields $Y(Z,N)$ versus Proton and Neutron Number in the Brownian Shape-Motion Model. Application to calculations of U and Pu charge yields

    CERN Document Server

    Moller, P

    2015-01-01

    We propose a method to calculate the two-dimensional (2D) fission-fragment yield $Y(Z,N)$ versus both proton and neutron number, with inclusion of odd-even staggering effects in both variables. The approach is to use Brownian shape-motion on a macroscopic-microscopic potential-energy surface which, for a particular compound system is calculated versus four shape variables: elongation (quadrupole moment $Q_2$), neck $d$, left nascent fragment spheroidal deformation $\\epsilon_{\\rm f1}$, right nascent fragment deformation $\\epsilon_{\\rm f2}$ and two asymmetry variables, namely proton and neutron numbers in each of the two fragments. The extension of previous models 1) introduces a method to calculate this generalized potential-energy function and 2) allows the correlated transfer of nucleon pairs in one step, in addition to sequential transfer. In the previous version the potential energy was calculated as a function of $Z$ and $N$ of the compound system and its shape, including the asymmetry of the shape. We ou...

  3. Brownian coagulation at high particle concentrations

    OpenAIRE

    Trzeciak, T. M.

    2012-01-01

    The process of Brownian coagulation, whereby particles are brought together by thermal motion and grow by collisions, is one of the most fundamental processes influencing the final properties of particulate matter in a variety of technically important systems. It is of importance in colloids, emulsions, flocculation, air pollution, soot formation, materials manufacture and growth of interstellar dust, to name a few of its applications. With continuous progress in particulate matter processing...

  4. Brownian molecular rotors: Theoretical design principles and predicted realizations

    OpenAIRE

    Schönborn, Jan Boyke; Herges, Rainer; Hartke, Bernd

    2009-01-01

    We propose simple design concepts for molecular rotors driven by Brownian motion and external photochemical switching. Unidirectionality and efficiency of the motion is measured by explicit simulations. Two different molecular scaffolds are shown to yield viable molecular rotors when decorated with suitable substituents.

  5. Thermal Brownian motor

    OpenAIRE

    Meurs, P.; Broeck, C. Van Den

    2005-01-01

    Recently, a thermal Brownian motor was introduced [Van den Broeck, Kawai and Meurs, Phys. Rev. Lett. (2004)], for which an exact microscopic analysis is possible. The purpose of this paper is to review some further properties of this construction, and to discuss in particular specific issues including the relation with macroscopic response and the efficiency at maximum power.

  6. Metastable states in Brownian energy landscape

    OpenAIRE

    Cheliotis, Dimitris

    2015-01-01

    Random walks and diffusions in symmetric random environment are known to exhibit metastable behavior: they tend to stay for long times in wells of the environment. For the case that the environment is a one-dimensional two-sided standard Brownian motion, we study the process of depths of the consecutive wells of increasing depth that the motion visits. When these depths are looked in logarithmic scale, they form a stationary renewal cluster process. We give a description of the structure of t...

  7. Symmetric Brownian motor

    OpenAIRE

    Gomez-Marin, A.; Sancho, J. M.

    2004-01-01

    In this paper we present a model of a symmetric Brownian motor (SBM) which changes the sign of its velocity when the temperature gradient is inverted. The velocity, external work and efficiency are studied as a function of the temperatures of the baths and other relevant parameters. The motor shows a current reversal when another parameter (a phase shift) is varied. Analytical predictions and results from numerical simulations are performed and agree very well. Generic properties of this type...

  8. On some Brownian functionals and their applications to moments in lognormal and Stein stochastic volatility models

    CERN Document Server

    Jakubowski, Jacek

    2011-01-01

    The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of special functional of geometric Brownian motion using the squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of the above we obtain computable formulas for certain expectations of the concerned functional. As an example we find the moments of processes representing an asset price in the lognormal volatility ans Stein models. We also present links among the geometric Brownian motion, the Markov processes studied by Matsumoto and Yor and the hyperbolic Bessel processes.

  9. Brownian dynamics simulations with hard-body interactions: Spherical particles

    CERN Document Server

    Behringer, Hans; 10.1063/1.4761827

    2012-01-01

    A novel approach to account for hard-body interactions in (overdamped) Brownian dynamics simulations is proposed for systems with non-vanishing force fields. The scheme exploits the analytically known transition probability for a Brownian particle on a one-dimensional half-line. The motion of a Brownian particle is decomposed into a component that is affected by hard-body interactions and into components that are unaffected. The hard-body interactions are incorporated by replacing the affected component of motion by the evolution on a half-line. It is discussed under which circumstances this approach is justified. In particular, the algorithm is developed and formulated for systems with space-fixed obstacles and for systems comprising spherical particles. The validity and justification of the algorithm is investigated numerically by looking at exemplary model systems of soft matter, namely at colloids in flow fields and at protein interactions. Furthermore, a thorough discussion of properties of other heurist...

  10. Interacting Brownian Swarms: Some Analytical Results

    Directory of Open Access Journals (Sweden)

    Guillaume Sartoretti

    2016-01-01

    Full Text Available We consider the dynamics of swarms of scalar Brownian agents subject to local imitation mechanisms implemented using mutual rank-based interactions. For appropriate values of the underlying control parameters, the swarm propagates tightly and the distances separating successive agents are iid exponential random variables. Implicitly, the implementation of rank-based mutual interactions, requires that agents have infinite interaction ranges. Using the probabilistic size of the swarm’s support, we analytically estimate the critical interaction range below that flocked swarms cannot survive. In the second part of the paper, we consider the interactions between two flocked swarms of Brownian agents with finite interaction ranges. Both swarms travel with different barycentric velocities, and agents from both swarms indifferently interact with each other. For appropriate initial configurations, both swarms eventually collide (i.e., all agents interact. Depending on the values of the control parameters, one of the following patterns emerges after collision: (i Both swarms remain essentially flocked, or (ii the swarms become ultimately quasi-free and recover their nominal barycentric speeds. We derive a set of analytical flocking conditions based on the generalized rank-based Brownian motion. An extensive set of numerical simulations corroborates our analytical findings.

  11. Entropy production of a Brownian ellipsoid in the overdamped limit

    Science.gov (United States)

    Marino, Raffaele; Eichhorn, Ralf; Aurell, Erik

    2016-01-01

    We analyze the translational and rotational motion of an ellipsoidal Brownian particle from the viewpoint of stochastic thermodynamics. The particle's Brownian motion is driven by external forces and torques and takes place in an heterogeneous thermal environment where friction coefficients and (local) temperature depend on space and time. Our analysis of the particle's stochastic thermodynamics is based on the entropy production associated with single particle trajectories. It is motivated by the recent discovery that the overdamped limit of vanishing inertia effects (as compared to viscous fricion) produces a so-called "anomalous" contribution to the entropy production, which has no counterpart in the overdamped approximation, when inertia effects are simply discarded. Here we show that rotational Brownian motion in the overdamped limit generates an additional contribution to the "anomalous" entropy. We calculate its specific form by performing a systematic singular perturbation analysis for the generating function of the entropy production. As a side result, we also obtain the (well-known) equations of motion in the overdamped limit. We furthermore investigate the effects of particle shape and give explicit expressions of the "anomalous entropy" for prolate and oblate spheroids and for near-spherical Brownian particles.

  12. Brownian motion: absolute negative particle mobility.

    Science.gov (United States)

    Ros, Alexandra; Eichhorn, Ralf; Regtmeier, Jan; Duong, Thanh Tu; Reimann, Peter; Anselmetti, Dario

    2005-08-18

    Noise effects in technological applications, far from being a nuisance, can be exploited with advantage - for example, unavoidable thermal fluctuations have found application in the transport and sorting of colloidal particles and biomolecules. Here we use a microfluidic system to demonstrate a paradoxical migration mechanism in which particles always move in a direction opposite to the net acting force ('absolute negative mobility') as a result of an interplay between thermal noise, a periodic and symmetric microstructure, and a biased alternating-current electric field. This counterintuitive phenomenon could be used for bioanalytical purposes, for example in the separation and fractionation of colloids, biological molecules and cells. PMID:16107829

  13. Brownian motion in a granular fluid

    International Nuclear Information System (INIS)

    The Fokker-Planck equation for a heavy particle in a granular fluid is derived from the Liouville equation. The host fluid is assumed to be in its homogeneous cooling state and all interactions are idealized as smooth, inelastic hard spheres. The similarities and differences between the Fokker-Planck equation for elastic and inelastic collisions are discussed in detail. Although the fluctuation-dissipation relation is violated and the reference fluid is time-dependent, it is shown that diffusion occurs at long times for a wide class of initial conditions. The results presented here generalize previous results based on the Boltzmann-Lorentz equation to higher densities

  14. Lectures from Markov processes to Brownian motion

    CERN Document Server

    Chung, Kai Lai

    1982-01-01

    This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over­ lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book ...

  15. Motion

    CERN Document Server

    Graybill, George

    2007-01-01

    Take the mystery out of motion. Our resource gives you everything you need to teach young scientists about motion. Students will learn about linear, accelerating, rotating and oscillating motion, and how these relate to everyday life - and even the solar system. Measuring and graphing motion is easy, and the concepts of speed, velocity and acceleration are clearly explained. Reading passages, comprehension questions, color mini posters and lots of hands-on activities all help teach and reinforce key concepts. Vocabulary and language are simplified in our resource to make them accessible to str

  16. The dimension of the Brownian frontier is greater than 1

    OpenAIRE

    Bishop, Christopher J.; Jones, Peter; Pemantle, Robin; Peres, Yuval

    1995-01-01

    Consider a planar Brownian motion run for finite time. The frontier or ``outer boundary'' of the path is the boundary of the unbounded component of the complement. Burdzy (1989) showed that the frontier has infinite length. We improve this by showing that the Hausdorff dimension of the frontier is strictly greater than 1. (It has been conjectured that the Brownian frontier has dimension $4/3$, but this is still open.) The proof uses Jones's Traveling Salesman Theorem and a self-similar tiling...

  17. DNA transport by a micromachined Brownian ratchet device

    CERN Document Server

    Bader, J S; Henck, S A; Deem, M W; McDermott, G A; Bustillo, J M; Simpson, J W; Mulhern, G T; Rothberg, J M; Bader, Joel S; Hammond, Richard W.; Henck, Steven A.; Deem, Michael W.; Dermott, Gregory A. Mc; Bustillo, James M.; Simpson, John W.; Mulhern, Gregory T.; Rothberg, Jonathan M.

    1999-01-01

    We have micromachined a silicon-chip device that transports DNA with aBrownian ratchet that rectifies the Brownian motion of microscopic particles.Transport properties for a DNA 50mer agree with theoretical predictions, andthe DNA diffusion constant agrees with previous experiments. This type ofmicromachine could provide a generic pump or separation component for DNA orother charged species as part of a microscale lab-on-a-chip. A device withreduced feature size could produce a size-based separation of DNA molecules,with applications including the detection of single nucleotide polymorphisms.

  18. Brownian Warps for Non-Rigid Registration

    DEFF Research Database (Denmark)

    Nielsen, Mads; Johansen, Peter; Jackson, Andrew D.;

    2008-01-01

    A Brownian motion model in the group of diffeomorphisms has been introduced as inducing a least committed prior on warps. This prior is source-destination symmetric, fulfills a natural semi-group property for warps, and with probability 1 creates invertible warps. Using this as a least committed ...... images, and show that the obtained warps are also in practice source-destination symmetric and in an example on X-ray spine registration provides extrapolations from landmark point superior to those of spline solutions. Udgivelsesdato: July......A Brownian motion model in the group of diffeomorphisms has been introduced as inducing a least committed prior on warps. This prior is source-destination symmetric, fulfills a natural semi-group property for warps, and with probability 1 creates invertible warps. Using this as a least committed...... prior, we formulate a Partial Differential Equation for obtaining the maximally likely warp given matching constraints derived from the images. We solve for the free boundary conditions, and the bias toward smaller areas in the finite domain setting. Furthermore, we demonstrate the technique on 2D...

  19. Brownian Dynamics of charged particles in a constant magnetic field

    CERN Document Server

    Hou, L J; Piel, A; Shukla, P K

    2009-01-01

    Numerical algorithms are proposed for simulating the Brownian dynamics of charged particles in an external magnetic field, taking into account the Brownian motion of charged particles, damping effect and the effect of magnetic field self-consistently. Performance of these algorithms is tested in terms of their accuracy and long-time stability by using a three-dimensional Brownian oscillator model with constant magnetic field. Step-by-step recipes for implementing these algorithms are given in detail. It is expected that these algorithms can be directly used to study particle dynamics in various dispersed systems in the presence of a magnetic field, including polymer solutions, colloidal suspensions and, particularly complex (dusty) plasmas. The proposed algorithms can also be used as thermostat in the usual molecular dynamics simulation in the presence of magnetic field.

  20. Anomalous Brownian refrigerator

    Science.gov (United States)

    Rana, Shubhashis; Pal, P. S.; Saha, Arnab; Jayannavar, A. M.

    2016-02-01

    We present a detailed study of a Brownian particle driven by Carnot-type refrigerating protocol operating between two thermal baths. Both the underdamped as well as the overdamped limits are investigated. The particle is in a harmonic potential with time-periodic strength that drives the system cyclically between the baths. Each cycle consists of two isothermal steps at different temperatures and two adiabatic steps connecting them. Besides working as a stochastic refrigerator, it is shown analytically that in the quasistatic regime the system can also act as stochastic heater, depending on the bath temperatures. Interestingly, in non-quasistatic regime, our system can even work as a stochastic heat engine for certain range of cycle time and bath temperatures. We show that the operation of this engine is not reliable. The fluctuations of stochastic efficiency/coefficient of performance (COP) dominate their mean values. Their distributions show power law tails, however the exponents are not universal. Our study reveals that microscopic machines are not the microscopic equivalent of the macroscopic machines that we come across in our daily life. We find that there is no one to one correspondence between the performance of our system under engine protocol and its reverse.

  1. Brownian Carnot engine

    Science.gov (United States)

    Martínez, I. A.; Roldán, É.; Dinis, L.; Petrov, D.; Parrondo, J. M. R.; Rica, R. A.

    2016-01-01

    The Carnot cycle imposes a fundamental upper limit to the efficiency of a macroscopic motor operating between two thermal baths. However, this bound needs to be reinterpreted at microscopic scales, where molecular bio-motors and some artificial micro-engines operate. As described by stochastic thermodynamics, energy transfers in microscopic systems are random and thermal fluctuations induce transient decreases of entropy, allowing for possible violations of the Carnot limit. Here we report an experimental realization of a Carnot engine with a single optically trapped Brownian particle as the working substance. We present an exhaustive study of the energetics of the engine and analyse the fluctuations of the finite-time efficiency, showing that the Carnot bound can be surpassed for a small number of non-equilibrium cycles. As its macroscopic counterpart, the energetics of our Carnot device exhibits basic properties that one would expect to observe in any microscopic energy transducer operating with baths at different temperatures. Our results characterize the sources of irreversibility in the engine and the statistical properties of the efficiency--an insight that could inspire new strategies in the design of efficient nano-motors.

  2. Dynamics and Efficiency of Brownian Rotors

    CERN Document Server

    Bauer, Wolfgang R

    2008-01-01

    Brownian rotors play an important role in biological systems and in future nano-technological applications. However the mechanisms determining their dynamics, efficiency and performance remain to be characterized. Here the F0 portion of the F-ATP synthase is considered as a paradigm of a Brownian rotor. In a generic analytical model we analyze the stochastic rotation of F0-like motors as a function of the driving free energy difference and of the free energy profile the rotor is subjected to. The latter is composed of the rotor interaction with its surroundings, of the free energy of chemical transitions, and of the workload. The dynamics and mechanical efficiency of the rotor depends on the magnitude of its stochastic motion driven by the free energy energy difference and its rectification on the reaction-diffusion path. We analyze which free energy profiles provide maximum flow and how their arrangement on the underlying reaction-diffusion path affects rectification and -- by this -- the efficiency.

  3. Characteristic function and Spitzer's law for the winding angle distribution of planar brownian curves

    International Nuclear Information System (INIS)

    Using the analogy between brownian motion and Quantum Mechanics, we study the winding angle θ of planar brownian curves around a given point, say the origin O. In particular, we compute the characteristic function for the probability distribution of θ and recover Spitzer's law in the limit of infinitely large times. Finally, we study the (large) change in the winding angle distribution when we add a repulsive potential at the origin

  4. 标的资产服从一类混合过程的几种欧式幂型期权的定价%Pricing of Several Kinds of European Power Options on Stock Driven by Multidimensional Fractional Brownian Motions and Poisson Processes

    Institute of Scientific and Technical Information of China (English)

    王剑君; 廖芳芳

    2011-01-01

    In this paper a new kind of hybrid process is presented. Under the hypothesis of underlying asset price submitting to multidimensional Fractional Brownian Motions and Poisson Processes, by applying equivalent martingale measure, we obtain the pricing formulas of several kinds of European power options by means of the generalized pricing formula of European contingent claim.%假设标的资产价格服从受多维分数布朗运动和泊松过程共同驱动的一类混合模型,在等价鞅测度下,通过这一模型的欧式未定权益的一般定价公式,求出了几种欧式幂型期权的定价公式.

  5. An alternative expression for the Black-Scholes formula in terms of Brownian first and last passage times

    OpenAIRE

    Madan, D.; Roynette, Bernard; Yor, Marc

    2008-01-01

    The celebrated Black-Scholes formula which gives the price of a European option, may be expressed as the cumulative function of a last passage time of Brownian motion. A related result involving first passage times is also obtained.

  6. Brownian colloids in underdamped and overdamped regimes with nonhomogeneous temperature

    Science.gov (United States)

    Sancho, J. M.

    2015-12-01

    The motion of Brownian particles when temperature is spatially dependent is studied by stochastic simulations and theoretical analysis. Nonequilibrium steady probability distributions Ps t(z ,v ) for both underdamped and overdamped regimes are analyzed. The existence of local kinetic energy equipartition theorem is also discussed. The transition between both regimes is characterized by a dimensionless friction parameter. This study is applied to three physical systems of colloidal particles.

  7. Hidden symmetries, instabilities, and current suppression in Brownian ratchets

    OpenAIRE

    Cubero, David; Renzoni, Ferruccio

    2015-01-01

    The operation of Brownian motors is usually described in terms of out-of-equilibrium and symmetrybreaking settings, with the relevant spatiotemporal symmetries identified from the analysis of the equations of motion for the system at hand. When the appropriate conditions are satisfied,symmetry related trajectories with opposite current are thought to balance each other, yielding suppression of transport. The direction of the current can be precisely controlled around these symmetry points by...

  8. Rapid morphological characterization of isolated mitochondria using Brownian motion†

    OpenAIRE

    Palanisami, Akilan; Fang, Jie; Lowder, Thomas W.; Kunz, Hawley; John H Miller

    2012-01-01

    Mitochondrial morphology has been associated with numerous pathologies including cancer, diabetes, obesity and heart disease. However, the connection is poorly understood—in part due to the difficulty of characterizing the morphology. This impedes the use of morphology as a tool for disease detection/monitoring. Here, we use the Brownian motion of isolated mitochondria to characterize their size and shape in a high throughput fashion. By using treadmill exercise training, mitochondria from he...

  9. Brownian shape dynamics in fission

    OpenAIRE

    Randrup Jørgen; Möller Peter

    2013-01-01

    It was recently shown that remarkably accurate fission-fragment mass distributions are obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potentialenergy surfaces; the current status of this novel method is described here.

  10. Brownian shape dynamics in fission

    Directory of Open Access Journals (Sweden)

    Randrup Jørgen

    2013-12-01

    Full Text Available It was recently shown that remarkably accurate fission-fragment mass distributions are obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potentialenergy surfaces; the current status of this novel method is described here.

  11. Perturbative theory for Brownian vortexes.

    Science.gov (United States)

    Moyses, Henrique W; Bauer, Ross O; Grosberg, Alexander Y; Grier, David G

    2015-06-01

    Brownian vortexes are stochastic machines that use static nonconservative force fields to bias random thermal fluctuations into steadily circulating currents. The archetype for this class of systems is a colloidal sphere in an optical tweezer. Trapped near the focus of a strongly converging beam of light, the particle is displaced by random thermal kicks into the nonconservative part of the optical force field arising from radiation pressure, which then biases its diffusion. Assuming the particle remains localized within the trap, its time-averaged trajectory traces out a toroidal vortex. Unlike trivial Brownian vortexes, such as the biased Brownian pendulum, which circulate preferentially in the direction of the bias, the general Brownian vortex can change direction and even topology in response to temperature changes. Here we introduce a theory based on a perturbative expansion of the Fokker-Planck equation for weak nonconservative driving. The first-order solution takes the form of a modified Boltzmann relation and accounts for the rich phenomenology observed in experiments on micrometer-scale colloidal spheres in optical tweezers. PMID:26172698

  12. The Fluctuation-Dissipation Theorem of Colloidal Particle's energy on 2D Periodic Substrates: A Monte Carlo Study of thermal noise-like fluctuation and diffusion like Brownian motion

    Science.gov (United States)

    Najafi, Amin

    2014-05-01

    Using the Monte Carlo simulations, we have calculated mean-square fluctuations in statistical mechanics, such as those for colloids energy configuration are set on square 2D periodic substrates interacting via a long range screened Coulomb potential on any specific and fixed substrate. Random fluctuations with small deviations from the state of thermodynamic equilibrium arise from the granular structure of them and appear as thermal diffusion with Gaussian distribution structure as well. The variations are showing linear form of the Fluctuation-Dissipation Theorem on the energy of particles constitutive a canonical ensemble with continuous diffusion process of colloidal particle systems. The noise-like variation of the energy per particle and the order parameter versus the Brownian displacement of sum of large number of random steps of particles at low temperatures phase are presenting a markovian process on colloidal particles configuration, too.

  13. The fluctuation-dissipation theorem of colloidal particle's energy on 2D periodic substrates: A Monte Carlo study of thermal noise-like fluctuation and diffusion like Brownian motion

    International Nuclear Information System (INIS)

    Using the Monte Carlo simulations, we have calculated mean-square fluctuations in statistical mechanics, such as those for colloids energy configuration are set on square 2D periodic substrates interacting via a long range screened Coulomb potential on any specific and fixed substrate. Random fluctuations with small deviations from the state of thermodynamic equilibrium arise from the granular structure of them and appear as thermal diffusion with Gaussian distribution structure as well. The variations are showing linear form of the Fluctuation-Dissipation Theorem on the energy of particles constitutive a canonical ensemble with continuous diffusion process of colloidal particle systems. The noise-like variation of the energy per particle and the order parameter versus the Brownian displacement of sum of large number of random steps of particles at low temperatures phase are presenting a markovian process on colloidal particles configuration, too.

  14. Nanoscale temperature measurements using non-equilibrium Brownian dynamics of a levitated nanosphere.

    Science.gov (United States)

    Millen, J; Deesuwan, T; Barker, P; Anders, J

    2014-06-01

    Einstein realized that the fluctuations of a Brownian particle can be used to ascertain the properties of its environment. A large number of experiments have since exploited the Brownian motion of colloidal particles for studies of dissipative processes, providing insight into soft matter physics and leading to applications from energy harvesting to medical imaging. Here, we use heated optically levitated nanospheres to investigate the non-equilibrium properties of the gas surrounding them. Analysing the sphere's Brownian motion allows us to determine the temperature of the centre-of-mass motion of the sphere, its surface temperature and the heated gas temperature in two spatial dimensions. We observe asymmetric heating of the sphere and gas, with temperatures reaching the melting point of the material. This method offers opportunities for accurate temperature measurements with spatial resolution on the nanoscale, and provides a means for testing non-equilibrium thermodynamics. PMID:24793558

  15. Brownian relaxation of an inelastic sphere in air

    Science.gov (United States)

    Bird, G. A.

    2016-06-01

    The procedures that are used to calculate the forces and moments on an aerodynamic body in the rarefied gas of the upper atmosphere are applied to a small sphere of the size of an aerosol particle at sea level. While the gas-surface interaction model that provides accurate results for macroscopic bodies may not be appropriate for bodies that are comprised of only about a thousand atoms, it provides a limiting case that is more realistic than the elastic model. The paper concentrates on the transfer of energy from the air to an initially stationary sphere as it acquires Brownian motion. Individual particle trajectories vary wildly, but a clear relaxation process emerges from an ensemble average over tens of thousands of trajectories. The translational and rotational energies in equilibrium Brownian motion are determined. Empirical relationships are obtained for the mean translational and rotational relaxation times, the mean initial power input to the particle, the mean rates of energy transfer between the particle and air, and the diffusivity. These relationships are functions of the ratio of the particle mass to an average air molecule mass and the Knudsen number, which is the ratio of the mean free path in the air to the particle diameter. The ratio of the molecular radius to the particle radius also enters as a correction factor. The implications of Brownian relaxation for the second law of thermodynamics are discussed.

  16. Efficiency of Brownian heat engines.

    Science.gov (United States)

    Derényi, I; Astumian, R D

    1999-06-01

    We study the efficiency of one-dimensional thermally driven Brownian ratchets or heat engines. We identify and compare the three basic setups characterized by the type of the connection between the Brownian particle and the two heat reservoirs: (i) simultaneous, (ii) alternating in time, and (iii) position dependent. We make a clear distinction between the heat flow via the kinetic and the potential energy of the particle, and show that the former is always irreversible and it is only the third setup where the latter is reversible when the engine works quasistatically. We also show that in the third setup the heat flow via the kinetic energy can be reduced arbitrarily, proving that even for microscopic heat engines there is no fundamental limit of the efficiency lower than that of a Carnot cycle. PMID:11969723

  17. Hidden Symmetries, Instabilities, and Current Suppression in Brownian Ratchets

    Science.gov (United States)

    Cubero, David; Renzoni, Ferruccio

    2016-01-01

    The operation of Brownian motors is usually described in terms of out-of-equilibrium and symmetry-breaking settings, with the relevant spatiotemporal symmetries identified from the analysis of the equations of motion for the system at hand. When the appropriate conditions are satisfied, symmetry-related trajectories with opposite current are thought to balance each other, yielding suppression of transport. The direction of the current can be precisely controlled around these symmetry points by finely tuning the driving parameters. Here we demonstrate, by studying a prototypical Brownian ratchet system, the existence of hidden symmetries, which escape identification by the standard symmetry analysis, and which require different theoretical tools for their revelation. Furthermore, we show that system instabilities may lead to spontaneous symmetry breaking with unexpected generation of directed transport.

  18. Brownian dipole rotator in alternating electric field

    Science.gov (United States)

    Rozenbaum, V. M.; Vovchenko, O. Ye.; Korochkova, T. Ye.

    2008-06-01

    The study addresses the azimuthal jumping motion of an adsorbed polar molecule in a periodic n -well potential under the action of an external alternating electric field. Starting from the perturbation theory of the Pauli equation with respect to the weak field intensity, explicit analytical expressions have been derived for the time dependence of the average dipole moment as well as the frequency dependences of polarizability and the average angular velocity, the three quantities exhibiting conspicuous stochastic resonance. As shown, unidirectional rotation can arise only provided simultaneous modulation of the minima and maxima of the potential by an external alternating field. For a symmetric potential of hindered rotation, the average angular velocity, if calculated by the second-order perturbation theory with respect to the field intensity, has a nonzero value only at n=2 , i.e., when two azimuthal wells specify a selected axis in the system. Particular consideration is given to the effect caused by the asymmetry of the two-well potential on the dielectric loss spectrum and other Brownian motion parameters. When the asymmetric potential in a system of dipole rotators arises from the average local fields induced by an orientational phase transition, the characteristics concerned show certain peculiarities which enable detection of the phase transition and determination of its parameters.

  19. Brownian dipole rotator in alternating electric field.

    Science.gov (United States)

    Rozenbaum, V M; Vovchenko, O Ye; Korochkova, T Ye

    2008-06-01

    The study addresses the azimuthal jumping motion of an adsorbed polar molecule in a periodic n -well potential under the action of an external alternating electric field. Starting from the perturbation theory of the Pauli equation with respect to the weak field intensity, explicit analytical expressions have been derived for the time dependence of the average dipole moment as well as the frequency dependences of polarizability and the average angular velocity, the three quantities exhibiting conspicuous stochastic resonance. As shown, unidirectional rotation can arise only provided simultaneous modulation of the minima and maxima of the potential by an external alternating field. For a symmetric potential of hindered rotation, the average angular velocity, if calculated by the second-order perturbation theory with respect to the field intensity, has a nonzero value only at n=2 , i.e., when two azimuthal wells specify a selected axis in the system. Particular consideration is given to the effect caused by the asymmetry of the two-well potential on the dielectric loss spectrum and other Brownian motion parameters. When the asymmetric potential in a system of dipole rotators arises from the average local fields induced by an orientational phase transition, the characteristics concerned show certain peculiarities which enable detection of the phase transition and determination of its parameters. PMID:18643221

  20. Brownian ratchets and Parrondo's games

    Science.gov (United States)

    Harmer, Gregory P.; Abbott, Derek; Taylor, Peter G.; Parrondo, Juan M. R.

    2001-09-01

    Parrondo's games present an apparently paradoxical situation where individually losing games can be combined to win. In this article we analyze the case of two coin tossing games. Game B is played with two biased coins and has state-dependent rules based on the player's current capital. Game B can exhibit detailed balance or even negative drift (i.e., loss), depending on the chosen parameters. Game A is played with a single biased coin that produces a loss or negative drift in capital. However, a winning expectation is achieved by randomly mixing A and B. One possible interpretation pictures game A as a source of "noise" that is rectified by game B to produce overall positive drift—as in a Brownian ratchet. Game B has a state-dependent rule that favors a losing coin, but when this state dependence is broken up by the noise introduced by game A, a winning coin is favored. In this article we find the parameter space in which the paradoxical effect occurs and carry out a winning rate analysis. The significance of Parrondo's games is that they are physically motivated and were originally derived by considering a Brownian ratchet—the combination of the games can be therefore considered as a discrete-time Brownian ratchet. We postulate the use of games of this type as a toy model for a number of physical and biological processes and raise a number of open questions for future research.

  1. The inviscid Burgers equation with initial data of Brownian type

    Science.gov (United States)

    She, Zhen-Su; Aurell, Erik; Frisch, Uriel

    1992-09-01

    The solutions to Burgers equation, in the limit of vanishing viscosity, are investigated when the initial velocity is a Brownian motion (or fractional Brownian motion) function, i.e. a Gaussian process with scaling exponent 0< h<1 (type A) or the derivative thereof, with scaling exponent -1< h<0 (type B). Largesize numerical experiments are performed, helped by the fact that the solution is essentially obtained by performing a Legendre transform. The main result is obtained for type A and concerns the Lagrangian function x(a) which gives the location at time t=1 of the fluid particle which started at the location a. It is found to be a complete Devil's staircase. The cumulative probability of Lagrangian shock intervals Δ a (also the distribution of shock amplitudes) follows a ( Δa)- h law for small Δ a. The remaining (regular) Lagrangian locations form a Cantor set of dimension h. In Eulerian coordinates, the shock locations are everywhere dense. The scaling properties of various statistical quantities are also found. Heuristic interpretations are provided for some of these results. Rigorous results for the case of Brownian motion are established in a companion paper by Ya. Sinai. For type B initial velocities (e.g. white noise), there are very few small shocks and shock locations appear to be isolated. Finally, it is shown that there are universality classes of random but smooth (non-scaling) initial velocities such that the long-time large-scale behavior is, after rescaling, the same as for type A or B.

  2. SOME RESULTS ON LAG INCREMENTS OF PRINCIPAL VALUE OF BROWNIAN LOCAL TIME

    Institute of Scientific and Technical Information of China (English)

    WenJiwei

    2002-01-01

    Let W be a standard Brownian motion,and define Y(t) =∫ods/W(s) as Cauchy's principal value related to the local time of W. We study some limit results on lag increments of Y(t) and obtain various results all of which are related to earlier work by Hanson and Russo in 1983.

  3. Minimal Cost of a Brownian Risk without Ruin

    CERN Document Server

    Luo, Shangzhen

    2011-01-01

    In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance are considered. The objective is to find the optimal reinsurance and cash injection strategy that minimizes the total cost to keep the company's surplus process non-negative, i.e. without ruin, where the cost function is defined as the total discounted value of the injections. The optimal solution is found explicitly by solving the according quasi-variational inequalities (QVIs).

  4. GUE minors, maximal Brownian functionals and longest increasing subsequences

    OpenAIRE

    Benaych-Georges, Florent; Houdré, Christian

    2015-01-01

    We present equalities in law between the spectra of the minors of a GUE matrix and some maximal functionals of independent Brownian motions. In turn, these results allow to recover the limiting shape (properly centered and scaled) of the RSK Young diagrams associated with a random word as a function of the spectra of these minors. Since the length of the top row of the diagrams is the length of the longest increasing subsequence of the random word, the corresponding limiting law also follows.

  5. 基于非并行布朗运动的土壤胶体分形凝聚模拟算法改进%Improved simulation algorithm for soil colloid fractal aggregation based on unparallel Brownian motion

    Institute of Scientific and Technical Information of China (English)

    熊海灵; 杨志敏; 李航

    2015-01-01

    耗时长是目前进行大规模体系分形凝聚模拟的主要障碍。该文采用优化存储结构来降低时间复杂度的思路,对传统On-lattice集团凝聚模型算法进行了改进。用三维数组表征模拟体系,用链表表征团簇结构,实现了在体系中直接访问任意团簇,以及确定组成团簇单粒在三维数组中对应数组元素具体位置的新方法。论文基于新的存储结构重新设计了集团凝聚模型中布朗运动、碰撞检测和凝聚的算法,使得模拟算法的总时间复杂度从立方阶变为了线性阶。该改进算法为研究人员进行大规模体系分形凝聚模拟提供了技术支撑。%The cluster-cluster aggregation (CCA) model bridges the study of colloid aggregation by computer simulation and laboratory experiment. Two distinct and limiting regimes of irreversible colloid aggregation have been identified by computer simulation with the CCA model. One regime is diffusion-limited cluster aggregation (DLCA) corresponding to the rapid colloid aggregation. The other is reaction-limited cluster aggregation (RLCA) corresponding to the slow colloid aggregation. The simulations of the two regimes are both start with N non-overlapping identical particles distributed randomly in a cubic box with side-lengths of L. A three dimensional array, hypothetically named Cube[L][L][L], was usually used to represent the cubic box. Each particle in the cubic box occupies an element of the three dimensional array and are labeled with a different integer. When particles and/or clusters collide and aggregate, all particles in the resulting cluster are modified with the same label (one of them). The progression of Brownian movement and aggregation are realized by updating the labels of the corresponding array elements. However, a critical issue in this kind of simulation is how to efficiently distinguish all of the particles in any selected cluster only based on the three dimensional array Cube

  6. Non-intersecting Brownian walkers and Yang-Mills theory on the sphere

    Science.gov (United States)

    Forrester, Peter J.; Majumdar, Satya N.; Schehr, Grégory

    2011-03-01

    We study a system of N non-intersecting Brownian motions on a line segment [0,L] with periodic, absorbing and reflecting boundary conditions. We show that the normalized reunion probabilities of these Brownian motions in the three models can be mapped to the partition function of two-dimensional continuum Yang-Mills theory on a sphere respectively with gauge groups U(N), Sp(2N) and SO(2N). Consequently, we show that in each of these Brownian motion models, as one varies the system size L, a third order phase transition occurs at a critical value L=L(N)˜√{N} in the large N limit. Close to the critical point, the reunion probability, properly centered and scaled, is identical to the Tracy-Widom distribution describing the probability distribution of the largest eigenvalue of a random matrix. For the periodic case we obtain the Tracy-Widom distribution corresponding to the GUE random matrices, while for the absorbing and reflecting cases we get the Tracy-Widom distribution corresponding to GOE random matrices. In the absorbing case, the reunion probability is also identified as the maximal height of N non-intersecting Brownian excursions ("watermelons" with a wall) whose distribution in the asymptotic scaling limit is then described by GOE Tracy-Widom law. In addition, large deviation formulas for the maximum height are also computed.

  7. Reload Stock Option Pricing with Underlying Stock Asset Obeying Fractional Brownian Motion%股票价格服从分数布朗运动的再装期权定价

    Institute of Scientific and Technical Information of China (English)

    罗春玲; 王晓勤

    2011-01-01

    未定权益的定价是金融工程研究的前沿与热点问题.本文在标的资产的价格服从分数布朗运动的假设下,在风险中性条件下,运用鞅方法,导出了再装期权的定价公式.%The pricing of contingent claim is the frontiers field in today’s financal engineering researeh.This paper presents the pricing formula of reload options under the hypotyesis of underlying asset price submitting to fractional Bromnian motion using the martingale method in the condition of risk-neutral.

  8. Intermittency and multifractional Brownian character of geomagnetic time series

    Directory of Open Access Journals (Sweden)

    G. Consolini

    2013-07-01

    Full Text Available The Earth's magnetosphere exhibits a complex behavior in response to the solar wind conditions. This behavior, which is described in terms of mutifractional Brownian motions, could be the consequence of the occurrence of dynamical phase transitions. On the other hand, it has been shown that the dynamics of the geomagnetic signals is also characterized by intermittency at the smallest temporal scales. Here, we focus on the existence of a possible relationship in the geomagnetic time series between the multifractional Brownian motion character and the occurrence of intermittency. In detail, we investigate the multifractional nature of two long time series of the horizontal intensity of the Earth's magnetic field as measured at L'Aquila Geomagnetic Observatory during two years (2001 and 2008, which correspond to different conditions of solar activity. We propose a possible double origin of the intermittent character of the small-scale magnetic field fluctuations, which is related to both the multifractional nature of the geomagnetic field and the intermittent character of the disturbance level. Our results suggest a more complex nature of the geomagnetic response to solar wind changes than previously thought.

  9. Onsager coefficients of a Brownian Carnot cycle

    OpenAIRE

    Izumida, Yuki; Okuda, Koji

    2010-01-01

    We study a Brownian Carnot cycle introduced by T. Schmiedl and U. Seifert [Europhys. Lett. \\textbf{81}, 20003 (2008)] from a viewpoint of the linear irreversible thermodynamics. By considering the entropy production rate of this cycle, we can determine thermodynamic forces and fluxes of the cycle and calculate the Onsager coefficients for general protocols, that is, arbitrary schedules to change the potential confining the Brownian particle. We show that these Onsager coefficients contain the...

  10. Engineering Autonomous Chemomechanical Nanomachines Using Brownian Ratchets

    Science.gov (United States)

    Lavella, Gabriel

    Nanoscale machines which directly convert chemical energy into mechanical work are ubiquitous in nature and are employed to perform a diverse set of tasks such as transporting molecules, maintaining molecular gradients, and providing motion to organisms. Their widespread use in nature suggests that large technological rewards can be obtained by designing synthetic machines that use similar mechanisms. This thesis addresses the technological adaptation of a specific mechanism known as the Brownian ratchet for the design of synthetic autonomous nanomachines. My efforts were focused more specifically on synthetic chemomechanical ratchets which I deem will be broadly applicable in the life sciences. In my work I have theoretically explored the biophysical mechanisms and energy landscapes that give rise to the ratcheting phenomena and devised devices that operate off these principles. I demonstrate two generations of devices that produce mechanical force/deformation in response to a user specified ligand. The first generation devices, fabricatied using a combination nanoscale lithographic processes and bioconjugation techniques, were used to provide evidence that the proposed ratcheting phenomena can be exploited in synthetic architectures. Second generation devices fabricated using self-assembled DNA/hapten motifs were constructed to gain a precise understanding of ratcheting dynamics and design constraints. In addition, the self-assembled devices enabled fabrication en masse, which I feel will alleviate future experimental hurdles in analysis and facilitate its adaptation to technologies. The product of these efforts is an architecture that has the potential to enable numerous technologies in biosensing and drug delivery. For example, the coupling of molecule-specific actuation to the release of drugs or signaling molecules from nanocapsules or porous materials could be transformative. Such architectures could provide possible avenues to pressing issues in biology and

  11. Nuclear resonant scattering of Synchrotron radiation from nuclei in the Browninan motion

    OpenAIRE

    Razdan, Ashok

    2001-01-01

    The time evolution of the coherent forward scattering of Synchrotron radiation for resonant nuclei in Brownian motion is studied . Apart from target thickness, the appearance of dynamical beats also depends on $\\alpha$ which is the ratio of harmonic force constant to the damping force constant of a harmonic oscillator undergoing Brownian motion.

  12. Coulomb Friction Driving Brownian Motors

    International Nuclear Information System (INIS)

    We review a family of models recently introduced to describe Brownian motors under the influence of Coulomb friction, or more general non-linear friction laws. It is known that, if the heat bath is modeled as the usual Langevin equation (linear viscosity plus white noise), additional non-linear friction forces are not sufficient to break detailed balance, i.e. cannot produce a motor effect. We discuss two possibile mechanisms to elude this problem. A first possibility, exploited in several models inspired to recent experiments, is to replace the heat bath's white noise by a “collisional noise”, that is the effect of random collisions with an external equilibrium gas of particles. A second possibility is enlarging the phase space, e.g. by adding an external potential which couples velocity to position, as in a Klein—Kramers equation. In both cases, non-linear friction becomes sufficient to achieve a non-equilibrium steady state and, in the presence of an even small spatial asymmetry, a motor effect is produced. (general)

  13. Stochastic description of quantum Brownian dynamics

    Science.gov (United States)

    Yan, Yun-An; Shao, Jiushu

    2016-08-01

    Classical Brownian motion has well been investigated since the pioneering work of Einstein, which inspired mathematicians to lay the theoretical foundation of stochastic processes. A stochastic formulation for quantum dynamics of dissipative systems described by the system-plus-bath model has been developed and found many applications in chemical dynamics, spectroscopy, quantum transport, and other fields. This article provides a tutorial review of the stochastic formulation for quantum dissipative dynamics. The key idea is to decouple the interaction between the system and the bath by virtue of the Hubbard-Stratonovich transformation or Itô calculus so that the system and the bath are not directly entangled during evolution, rather they are correlated due to the complex white noises introduced. The influence of the bath on the system is thereby defined by an induced stochastic field, which leads to the stochastic Liouville equation for the system. The exact reduced density matrix can be calculated as the stochastic average in the presence of bath-induced fields. In general, the plain implementation of the stochastic formulation is only useful for short-time dynamics, but not efficient for long-time dynamics as the statistical errors go very fast. For linear and other specific systems, the stochastic Liouville equation is a good starting point to derive the master equation. For general systems with decomposable bath-induced processes, the hierarchical approach in the form of a set of deterministic equations of motion is derived based on the stochastic formulation and provides an effective means for simulating the dissipative dynamics. A combination of the stochastic simulation and the hierarchical approach is suggested to solve the zero-temperature dynamics of the spin-boson model. This scheme correctly describes the coherent-incoherent transition (Toulouse limit) at moderate dissipation and predicts a rate dynamics in the overdamped regime. Challenging problems

  14. Spectral characterization for the quadratic variation of mixed Brownian fractional Brownian motion

    CERN Document Server

    Azmoodeh, Ehsan

    2010-01-01

    Dzhaparidze and Spreij in \\cite{ds} showed that the quadratic variation of a semimartingale can be approximated using the periodogram. We show that the same approximation is valid for a special class of stochastic processes containing both semimartingales and non-semimartingales. This class is the main example in the recent work by Bender et. al. \\cite{bsv}, where it is shown that a big class of options can be hedged as if the model was the classical Black \\& Scholes pricing model.

  15. Brownian semistationary processes and volatility/intermittency

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen

    A new class of stochastic processes, termed Brownian semistationary processes (BSS), is introduced and discussed. This class has similarities to that of Brownian semimartingales (BSM), but is mainly directed towards the study of stationary processes, and BSS processes are not in general of the...... turbulent velocity fields and is the purely temporal version of the general tempo-spatial framework of ambit processes. The latter, which may have applications also to the finance of energy markets, is briefly considered at the end of the paper, again with reference to the question of inference on the...

  16. Diffusion of torqued active Brownian particles

    Science.gov (United States)

    Sevilla, Francisco J.

    An analytical approach is used to study the diffusion of active Brownian particles that move at constant speed in three-dimensional space, under the influence of passive (external) and active (internal) torques. The Smoluchowski equation for the position distribution of the particles is obtained from the Kramer-Fokker-Planck equation corresponding to Langevin equations for active Brownian particles subject to torques. In addition of giving explicit formulas for the mean square-displacement, the non-Gaussian behavior is analyzed through the kurtosis of the position distribution that exhibits an oscillatory behavior in the short-time limit. FJS acknowledges support from PAPIIT-UNAM through the grant IN113114

  17. Brownian inventory models with convex holding cost, Part 2: Discount-optimal controls

    OpenAIRE

    Jim Dai; Dacheng Yao

    2013-01-01

    We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed positive cost and a proportional cost. The challenge is to find an adjustment policy ...

  18. Generalized Scaling and the Master Variable for Brownian Magnetic Nanoparticle Dynamics

    OpenAIRE

    Reeves, Daniel B.; Yipeng Shi; Weaver, John B.

    2016-01-01

    Understanding the dynamics of magnetic particles can help to advance several biomedical nanotechnologies. Previously, scaling relationships have been used in magnetic spectroscopy of nanoparticle Brownian motion (MSB) to measure biologically relevant properties (e.g., temperature, viscosity, bound state) surrounding nanoparticles in vivo. Those scaling relationships can be generalized with the introduction of a master variable found from non-dimensionalizing the dynamical Langevin equation. T...

  19. Effect of the Photon's Brownian Doppler Shift on the Weak-Localization Coherent-Backscattering Cone

    OpenAIRE

    Lesaffre, Max; Atlan, Michael; Gross, Michel

    2006-01-01

    We report the first observation of the dependence of the coherent-backscattering (CBS) enhanced cone with the frequency of the backscattered photon. The experiment is performed on a diffusing liquid suspension and the Doppler broadening of light is induced by the Brownian motion of the scatterers. Heterodyne detection on a CCD camera is used to measure the complex field (i.e., the hologram) of the light that is backscattered at a given frequency. The analysis of the holograms yield the freque...

  20. From Reaction-Diffusion Systems to Confined Brownian Motion

    CERN Document Server

    Martens, Steffen

    2016-01-01

    In this note, we demonstrated for the first time that one can derive an expression for the effective diffusion coefficient, equal to the Lifson-Jackson formula, using a subsequent homogenization of the 1D reaction-diffusion-advection equation. The latter has been derived by applying asymptotic perturbation analysis to the underlying 3D reaction-diffusion equation with spatially dependent no-flux boundary conditions and incorporates the effects of boundary interactions on the reactants via a boundary-induced advection term [S. Martens et al, Phys. Rev. E 91, 022902 (2015)].

  1. Parameter inference from hitting times for perturbed Brownian motion

    DEFF Research Database (Denmark)

    Tamborrino, Massimiliano; Ditlevsen, Susanne; Lansky, Peter

    2015-01-01

    ? To answer this question we describe the effect of the intervention through parameter changes of the law governing the internal process. Then, the time interval between the start of the process and the final event is divided into two subintervals: the time from the start to the instant of intervention......, denoted by S, and the time between the intervention and the threshold crossing, denoted by R. The first question studied here is: What is the joint distribution of (S,R)? The theoretical expressions are provided and serve as a basis to answer the main question: Can we estimate the parameters of the model....... Also covariates and handling of censored observations are incorporated into the statistical model, and the method is illustrated on lung cancer data....

  2. Brownian motion and the heat equation on superspace and anyspace

    International Nuclear Information System (INIS)

    We use random walks to study diffusion on anyspace. Anyspace is characterized by co-ordinate ξ with ξN=0 and statistics ξξ'=e2πi/Nξ'ξ between independent copies. Anyonic integration and anyonic Dirac δ-functions are introduced, and reduce to familiar results for supersymmetry when N=2. These ingredients are then used to formulate and solve the resulting anyonic diffusion equation. (oirg.)

  3. Brownian motion of spins; generalized spin Langevin equation

    International Nuclear Information System (INIS)

    We derive the Langevin equations for a spin interacting with a heat bath, starting from a fully dynamical treatment. The obtained equations are non-Markovian with multiplicative fluctuations and concomitant dissipative terms obeying the fluctuation-dissipation theorem. In the Markovian limit our equations reduce to the phenomenological equations proposed by Kubo and Hashitsume. The perturbative treatment on our equations lead to Landau-Lifshitz equations and to other known results in the literature. (author). 16 refs

  4. A simple microviscometric approach based on Brownian motion tracking

    Czech Academy of Sciences Publication Activity Database

    Hnyluchová, Z.; Bjalončikova, P.; Karas, P.; Mravec, F.; Halasová, T.; Pekar, M.; Kubala, Lukáš; Víteček, Jan

    2015-01-01

    Roč. 86, č. 2 (2015). ISSN 0034-6748 R&D Projects: GA ČR(CZ) GCP305/12/J038 Grant ostatní: GA MŠk(CZ) ED1.100/02/0123 Institutional support: RVO:68081707 Keywords : MULTIPLE-PARTICLE TRACKING * MICRORHEOLOGY * IMAGE Subject RIV: BO - Biophysics Impact factor: 1.614, year: 2014

  5. Semicircular Canals Circumvent Brownian Motion Overload of Mechanoreceptor Hair Cells

    Science.gov (United States)

    Muller, Mees; Heeck, Kier

    2016-01-01

    Vertebrate semicircular canals (SCC) first appeared in the vertebrates (i.e. ancestral fish) over 600 million years ago. In SCC the principal mechanoreceptors are hair cells, which as compared to cochlear hair cells are distinctly longer (70 vs. 7 μm), 10 times more compliant to bending (44 vs. 500 nN/m), and have a 100-fold higher tip displacement threshold (level of the mechanoreceptors of the SCC. PMID:27448330

  6. Brownian Dynamics of Colloidal Particles in Lyotropic Chromonic Liquid Crystals

    Science.gov (United States)

    Martinez, Angel; Collings, Peter J.; Yodh, Arjun G.

    We employ video microscopy to study the Brownian dynamics of colloidal particles in the nematic phase of lyotropic chromonic liquid crystals (LCLCs). These LCLCs (in this case, DSCG) are water soluble, and their nematic phases are characterized by an unusually large elastic anisotropy. Our preliminary measurements of particle mean-square displacement for polystyrene colloidal particles (~5 micron-diameter) show diffusive and sub-diffusive behaviors moving parallel and perpendicular to the nematic director, respectively. In order to understand these motions, we are developing models that incorporate the relaxation of elastic distortions of the surrounding nematic field. Further experiments to confirm these preliminary results and to determine the origin of these deviations compared to simple diffusion theory are ongoing; our results will also be compared to previous diffusion experiments in nematic liquid crystals. We gratefully acknowledge financial support through NSF DMR12-05463, MRSEC DMR11-20901, and NASA NNX08AO0G.

  7. Momentum conserving Brownian dynamics propagator for complex soft matter fluids.

    Science.gov (United States)

    Padding, J T; Briels, W J

    2014-12-28

    We present a Galilean invariant, momentum conserving first order Brownian dynamics scheme for coarse-grained simulations of highly frictional soft matter systems. Friction forces are taken to be with respect to moving background material. The motion of the background material is described by locally averaged velocities in the neighborhood of the dissolved coarse coordinates. The velocity variables are updated by a momentum conserving scheme. The properties of the stochastic updates are derived through the Chapman-Kolmogorov and Fokker-Planck equations for the evolution of the probability distribution of coarse-grained position and velocity variables, by requiring the equilibrium distribution to be a stationary solution. We test our new scheme on concentrated star polymer solutions and find that the transverse current and velocity time auto-correlation functions behave as expected from hydrodynamics. In particular, the velocity auto-correlation functions display a long time tail in complete agreement with hydrodynamics. PMID:25554134

  8. Temporal Correlations of the Running Maximum of a Brownian Trajectory

    Science.gov (United States)

    Bénichou, Olivier; Krapivsky, P. L.; Mejía-Monasterio, Carlos; Oshanin, Gleb

    2016-08-01

    We study the correlations between the maxima m and M of a Brownian motion (BM) on the time intervals [0 ,t1] and [0 ,t2], with t2>t1. We determine the exact forms of the distribution functions P (m ,M ) and P (G =M -m ), and calculate the moments E {(M-m ) k} and the cross-moments E {mlMk} with arbitrary integers l and k . We show that correlations between m and M decay as √{t1/t2 } when t2/t1→∞ , revealing strong memory effects in the statistics of the BM maxima. We also compute the Pearson correlation coefficient ρ (m ,M ) and the power spectrum of Mt, and we discuss a possibility of extracting the ensemble-averaged diffusion coefficient in single-trajectory experiments using a single realization of the maximum process.

  9. Blowup and Conditionings of $\\psi$-super Brownian Exit Measures

    CERN Document Server

    Athreya, Siva R

    2011-01-01

    We extend earlier results on conditioning of super-Brownian motion to general branching rules. We obtain representations of the conditioned process, both as an $h$-transform, and as an unconditioned superprocess with immigration along a branching tree. Unlike the finite-variance branching setting, these trees are no longer binary, and strictly positive mass can be created at branch points. This construction is singular in the case of stable branching. We analyze this singularity first by approaching the stable branching function via analytic approximations. In this context the singularity of the stable case can be attributed to blow up of the mass created at the first branch of the tree. Other ways of approaching the stable case yield a branching tree that is different in law. To explain this anomaly we construct a family of martingales whose backbones have multiple limit laws.

  10. Brownian Agents and Active Particles: Collective Dynamics in the Natural and Social Sciences

    International Nuclear Information System (INIS)

    This is a book about the modelling of complex systems and, unlike many books on this subject, concentrates on the discussion of specific systems and gives practical methods for modelling and simulating them. This is not to say that the author does not devote space to the general philosophy and definition of complex systems and agent-based modelling, but the emphasis is definitely on the development of concrete methods for analysing them. This is, in my view, to be welcomed and I thoroughly recommend the book, especially to those with a theoretical physics background who will be very much at home with the language and techniques which are used. The author has developed a formalism for understanding complex systems which is based on the Langevin approach to the study of Brownian motion. This is a mesoscopic description; details of the interactions between the Brownian particle and the molecules of the surrounding fluid are replaced by a randomly fluctuating force. Thus all microscopic detail is replaced by a coarse-grained description which encapsulates the essence of the interactions at the finer level of description. In a similar way, the influences on Brownian agents in a multi-agent system are replaced by stochastic influences which sum up the effects of these interactions on a finer scale. Unlike Brownian particles, Brownian agents are not structureless particles, but instead have some internal states so that, for instance, they may react to changes in the environment or to the presence of other agents. Most of the book is concerned with developing the idea of Brownian agents using the techniques of statistical physics. This development parallels that for Brownian particles in physics, but the author then goes on to apply the technique to problems in biology, economics and the social sciences. This is a clear and well-written book which is a useful addition to the literature on complex systems. It will be interesting to see if the use of Brownian agents becomes

  11. The Onsager reciprocity relation and generalized efficiency of a thermal Brownian motor

    International Nuclear Information System (INIS)

    Based on a general model of Brownian motors, the Onsager coefficients and generalized efficiency of a thermal Brownian motor are calculated analytically. It is found that the Onsager reciprocity relation holds and the Onsager coefficients are not affected by the kinetic energy change due to the particle's motion. Only when the heat leak in the system is negligible can the determinant of the Onsager matrix vanish. Moreover, the influence of the main parameters characterizing the model on the generalized efficiency of the Brownian motor is discussed in detail. The characteristic curves of the generalized efficiency varying with these parameters are presented, and the maximum generalized efficiency and the corresponding optimum parameters are determined. The results obtained here are of general significance. They are used to analyze the performance characteristics of the Brownian motors operating in the three interesting cases with zero heat leak, zero average drift velocity or a linear response relation, so that some important conclusions in current references are directly included in some limit cases of the present paper. (general)

  12. EFFECTIVE DIFFUSION AND EFFECTIVE DRAG COEFFICIENT OF A BROWNIAN PARTICLE IN A PERIODIC POTENTIAL

    Institute of Scientific and Technical Information of China (English)

    Hongyun Wang

    2011-01-01

    We study the stochastic motion of a Brownian particle driven by a constant force over a static periodic potential.We show that both the effective diffusion and the effective drag coefficient are mathematically well-defined and we derive analytic expressions for these two quantities.We then investigate the asymptotic behaviors of the effective diffusion and the effective drag coefficient,respectively,for small driving force and for large driving force.In the case of small driving force,the effective diffusion is reduced from its Brownian value by a factor that increases exponentially with the amplitude of the potential.The effective drag coefficient is increased by approximately the same factor.As a result,the Einstein relation between the diffusion coefficient and the drag coefficient is approximately valid when the driving force is small.For moderately large driving force,both the effective diffusion and the effective drag coefficient are increased from their Brownian values,and the Einstein relation breaks down. In the limit of very large driving force,both the effective diffusion and the effective drag coefficient converge to their Brownian values and the Einstein relation is once again valid.

  13. A Comparative Study of the Determination of Ferrofluid Particle Size by Means of Rotational Brownian Motion and Translational Brownian Motion

    Science.gov (United States)

    Fannin, P. C.; Charles, S. W.; Kopčanský, P.; Timko, M.; Ocelík, V.; Koneracká, M.; Tomčo, L.; Turek, I.; Štelina, J.; Musil, C.

    2001-06-01

    Two methods, the Toroidal Technique and the Forced Rayleigh Scattering (FRS) method, were used in the determination of the size of magnetic particles and their aggregates in magnetic fluids. The toroidal technique was used in the determination of the complex, frequency dependent magnetic susceptibility, x(w)=x'(w) - ix"(w) of magnetic fluids consisting of two colloidal suspensions of cobalt ferrite in hexadecene and a colloidal suspension of magnetite in isopar m with corresponding saturation magnetisation of 45.5 mT, 20 mT and 90 mT, respectively. Plots of the susceptibility components against frequency f over the range 10 Hz to 1 MHz, are shown to have approximate Debye-type profiles with the presence of relaxation components being indicated by the frequency, f max, of the maximum of the loss-peak in the x"(w) profiles. The FRS method (the interference of two intense laser beams in the thin film of magnetic fluid) was used to create the periodical structure of needle like clusters of magnetic particles. This creation is caused by a thermodiffusion effect known as the Soret effect. The obtained structures are indicative of as a self diffraction effect of the used primary laser beams. The relaxation phenomena arising from the switching off of the laser interference field is discussed in terms of a spectrum of relaxation times. This spectrum is proportional to the hydrodynamic particle size distribution. Corresponding calculations of particle hydrodynamic radius obtained by both mentioned methods indicate the presence of aggregates of magnetic particles.

  14. Planar aggregation and the coalescing Brownian flow

    OpenAIRE

    Norris, James; Turner, Amanda

    2008-01-01

    We study a scaling limit associated to a model of planar aggregation. The model is obtained by composing certain independent random conformal maps. The evolution of harmonic measure on the boundary of the cluster is shown to converge to the coalescing Brownian flow.

  15. Suppression of a Brownian noise in a hole-type sensor due to induced-charge electro-osmosis

    Science.gov (United States)

    Sugioka, Hideyuki

    2016-03-01

    Noise reduction is essential for a single molecular sensor. Thus, we propose a novel noise reduction mechanism using a hydrodynamic force due to induced-charge electro-osmosis (ICEO) in a hole-type sensor and numerically examine the performance. By the boundary element method that considers both a Brownian motion and an ICEO flow of a polarizable particle, we find that the Brownian noise in a current signal is suppressed significantly in a converging channel because of the ICEO flow around the particle in the presence of an electric field. Further, we propose a simple model that explains a numerically obtained threshold voltage of the suppression of the Brownian noise due to ICEO. We believe that our findings contribute greatly to developments of a single molecular sensor.

  16. Stochastic interactions of two Brownian hard spheres in the presence of depletants

    International Nuclear Information System (INIS)

    A quantitative analysis is presented for the stochastic interactions of a pair of Brownian hard spheres in non-adsorbing polymer solutions. The hard spheres are hypothetically trapped by optical tweezers and allowed for random motion near the trapped positions. The investigation focuses on the long-time correlated Brownian motion. The mobility tensor altered by the polymer depletion effect is computed by the boundary integral method, and the corresponding random displacement is determined by the fluctuation-dissipation theorem. From our computations it follows that the presence of depletion layers around the hard spheres has a significant effect on the hydrodynamic interactions and particle dynamics as compared to pure solvent and uniform polymer solution cases. The probability distribution functions of random walks of the two interacting hard spheres that are trapped clearly shift due to the polymer depletion effect. The results show that the reduction of the viscosity in the depletion layers around the spheres and the entropic force due to the overlapping of depletion zones have a significant influence on the correlated Brownian interactions

  17. Stochastic interactions of two Brownian hard spheres in the presence of depletants

    Energy Technology Data Exchange (ETDEWEB)

    Karzar-Jeddi, Mehdi; Fan, Tai-Hsi, E-mail: thfan@engr.uconn.edu [Department of Mechanical Engineering, University of Connecticut, Storrs, Connecticut 06269-3139 (United States); Tuinier, Remco [Van' t Hoff Laboratory for Physical and Colloid Chemistry, Debye Institute, Department of Chemistry, Utrecht University, Padualaan 8, 3584 CH, Utrecht (Netherlands); DSM ChemTech R and D, P.O. Box 18, 6160 MD Geleen (Netherlands); Taniguchi, Takashi [Graduate School of Engineering, Kyoto University Katsura Campus, Nishikyo-ku, Kyoto 615-8510 (Japan)

    2014-06-07

    A quantitative analysis is presented for the stochastic interactions of a pair of Brownian hard spheres in non-adsorbing polymer solutions. The hard spheres are hypothetically trapped by optical tweezers and allowed for random motion near the trapped positions. The investigation focuses on the long-time correlated Brownian motion. The mobility tensor altered by the polymer depletion effect is computed by the boundary integral method, and the corresponding random displacement is determined by the fluctuation-dissipation theorem. From our computations it follows that the presence of depletion layers around the hard spheres has a significant effect on the hydrodynamic interactions and particle dynamics as compared to pure solvent and uniform polymer solution cases. The probability distribution functions of random walks of the two interacting hard spheres that are trapped clearly shift due to the polymer depletion effect. The results show that the reduction of the viscosity in the depletion layers around the spheres and the entropic force due to the overlapping of depletion zones have a significant influence on the correlated Brownian interactions.

  18. Ratcheting of Brownian swimmers in periodically corrugated channels: A reduced Fokker-Planck approach

    Science.gov (United States)

    Yariv, Ehud; Schnitzer, Ory

    2014-09-01

    We consider the motion of self-propelling Brownian particles in two-dimensional periodically corrugated channels. The point-size swimmers propel themselves in a direction which fluctuates by Brownian rotation; in addition, they undergo Brownian motion. The impermeability of the channel boundaries in conjunction with an asymmetry of the unit-cell geometry enables ratcheting, where a nonzero particle current is animated along the channel. This effect is studied here in the continuum limit using a diffusion-advection description of the probability density in a four-dimensional position-orientation space. Specifically, the mean particle velocity is calculated using macrotransport (generalized Taylor-dispersion) theory. This description reveals that the ratcheting mechanism is indirect: swimming gives rise to a biased spatial particle distribution which in turn results in a purely diffusive net current. For a slowly varying channel geometry, the dependence of this current upon the channel geometry and fluid-particle parameters is studied via a long-wave approximation over a reduced two-dimensional space. This allows for a straightforward seminumerical solution. In the limit where both rotational diffusion and swimming are strong, we find an asymptotic approximation to the particle current, scaling inversely with the square of the swimming Péclet number. For a given swimmer-fluid system, this limit is physically realized with increasing unit-cell size.

  19. The temporospatial variations of water flow in an unsaturated-saturated system under infiltrations of fractional Gaussian noise and fractional Brownian motion%分形入渗下非饱和饱和系统中水流的时空变化

    Institute of Scientific and Technical Information of China (English)

    杨晨; 张幼宽; 梁修雨

    2015-01-01

    The damping effect of an unsaturated-saturated system (USS)on the fluctuations of water flow and the effect of the scaling exponent of infiltration (β)on the damping effect were investigated.The moment equations of the pressure head (ψ)were solved numerically to obtain the variance ofψat 7 observation points.Power spectrum ofψ(Sψψ)were estimated by directly solving the equations of the unsaturated-saturated system.Results show that USS filters out the short-term fluctuations ofψ,so the fluctuations ofψare weakened and the short-term correlation increases.The damping effect decreases with depth and should be soil moisture dependent.The damping effect decreases with the increase of the value ofβ.The fluctuations ofψare first non-stationary and finally stationary under the infiltration of fractional Gaussian noise and the larger the value ofβ,the longer the non-stationary period.The fluctuations ofψare non-stationary all the time under the infiltration of fractional Brownian motion and the larger the value ofβ,the stronger the non-stationarity.The temporal scaling is an important factor inducing the scaling of temporal fluctuations of groundwater levels.%通过分析非饱和饱和系统(USS)中压力水头的时空变化,定量刻画了 USS对水流波动的阻尼作用及地表入渗的时间尺度性指数(β)对该作用的影响。结果显示,USS对其中的水流具有阻尼/滤波作用,过滤掉水流的短期波动,使其波动减弱、短期相关性增强;阻尼作用随深度增加逐渐减弱,可能与土壤含水率有关;阻尼作用随入渗序列β值的增大而减弱;分数高斯噪声入渗引起的水头波动起初为非平稳波动最终为平稳波动,β越大,非平稳阶段越长;分数布朗运动入渗引起的水头波动为非平稳波动,β越大,非平稳性越强;入渗的时间分形性是引起地下水位分形波动的重要因素。

  20. Brownian Thermal Noise in Multilayer Coated Mirrors

    CERN Document Server

    Hong, Ting; Gustafson, Eric K; Adhikari, Rana X; Chen, Yanbei

    2012-01-01

    We analyze the Brownian thermal noise of a multi-layer dielectric coating, used in high-precision optical measurements including interferometric gravitational-wave detectors. We assume the coating material to be isotropic, and therefore study thermal noises arising from shear and bulk losses of the coating materials. We show that coating noise arises not only from layer thickness fluctuations, but also from fluctuations of the interface between the coating and substrate, driven by internal fluctuating stresses of the coating. In addition, the non-zero photoeleastic coefficients of the thin films modifies the influence of the thermal noise on the laser field. The thickness fluctuations of different layers are statistically independent, however, there exists a finite coherence between layers and the substrate-coating interface. Taking into account uncertainties in material parameters, we show that significant uncertainties still exist in estimating coating Brownian noise.

  1. Modeling an efficient Brownian heat engine

    Science.gov (United States)

    Asfaw, Mesfin

    2008-09-01

    We discuss the effect of subdividing the ratchet potential on the performance of a tiny Brownian heat engine that is modeled as a Brownian particle hopping in a viscous medium in a sawtooth potential (with or without load) assisted by alternately placed hot and cold heat baths along its path. We show that the velocity, the efficiency and the coefficient of performance of the refrigerator maximize when the sawtooth potential is subdivided into series of smaller connected barrier series. When the engine operates quasistatically, we analytically show that the efficiency of the engine can not approach the Carnot efficiency and, the coefficient of performance of the refrigerator is always less than the Carnot refrigerator due to the irreversible heat flow via the kinetic energy.

  2. Brownian thermal noise in multilayer coated mirrors

    Science.gov (United States)

    Hong, Ting; Yang, Huan; Gustafson, Eric K.; Adhikari, Rana X.; Chen, Yanbei

    2013-04-01

    We analyze the Brownian thermal noise of a multilayer dielectric coating used in high-precision optical measurements, including interferometric gravitational-wave detectors. We assume the coating material to be isotropic, and therefore study thermal noises arising from shear and bulk losses of the coating materials. We show that coating noise arises not only from layer thickness fluctuations, but also from fluctuations of the interface between the coating and substrate, driven by fluctuating shear stresses of the coating. Although thickness fluctuations of different layers are statistically independent, there exists a finite coherence between the layers and the substrate-coating interface. In addition, photoelastic coefficients of the thin layers (so far not accurately measured) further influence the thermal noise, although at a relatively low level. Taking into account uncertainties in material parameters, we show that significant uncertainties still exist in estimating coating Brownian noise.

  3. The quantum brownian particle and memory effects

    International Nuclear Information System (INIS)

    The Quantum Brownian particle, immersed in a heat bath, is described by a statistical operator whose evolution is ruled by a Generalized Master Equation (GME). The heat bath degrees of freedom are considered to be either white noise or coloured noise correlated,while the GME is considered under either the Markov or Non-Markov approaches. The comparison between these considerations are fully developed and their physical meaning is discussed. (author)

  4. Transport properties of elastically coupled fractional Brownian motors

    Science.gov (United States)

    Lv, Wangyong; Wang, Huiqi; Lin, Lifeng; Wang, Fei; Zhong, Suchuan

    2015-11-01

    Under the background of anomalous diffusion, which is characterized by the sub-linear or super-linear mean-square displacement in time, we proposed the coupled fractional Brownian motors, in which the asymmetrical periodic potential as ratchet is coupled mutually with elastic springs, and the driving source is the external harmonic force and internal thermal fluctuations. The transport mechanism of coupled particles in the overdamped limit is investigated as the function of the temperature of baths, coupling constant and natural length of the spring, the amplitude and frequency of driving force, and the asymmetry of ratchet potential by numerical stimulations. The results indicate that the damping force involving the information of historical velocity leads to the nonlocal memory property and blocks the traditional dissipative motion behaviors, and it even plays a cooperative role of driving force in drift motion of the coupled particles. Thus, we observe various non-monotonic resonance-like behaviors of collective directed transport in the mediums with different diffusion exponents.

  5. Optimum analysis of a Brownian refrigerator.

    Science.gov (United States)

    Luo, X G; Liu, N; He, J Z

    2013-02-01

    A Brownian refrigerator with the cold and hot reservoirs alternating along a space coordinate is established. The heat flux couples with the movement of the Brownian particles due to an external force in the spatially asymmetric but periodic potential. After using the Arrhenius factor to describe the behaviors of the forward and backward jumps of the particles, the expressions for coefficient of performance (COP) and cooling rate are derived analytically. Then, through maximizing the product of conversion efficiency and heat flux flowing out, a new upper bound only depending on the temperature ratio of the cold and hot reservoirs is found numerically in the reversible situation, and it is a little larger than the so-called Curzon and Ahlborn COP ε(CA)=(1/√[1-τ])-1. After considering the irreversible factor owing to the kinetic energy change of the moving particles, we find the optimized COP is smaller than ε(CA) and the external force even does negative work on the Brownian particles when they jump from a cold to hot reservoir. PMID:23496491

  6. Brownian diode: Molecular motor based on a semi-permeable Brownian particle with internal potential drop

    Energy Technology Data Exchange (ETDEWEB)

    Plyukhin, A.V., E-mail: aplyukhin@anselm.edu [Department of Mathematics, Saint Anselm College, Manchester, NH 03102 (United States)

    2013-06-03

    A model of an autonomous isothermal Brownian motor with an internal propulsion mechanism is considered. The motor is a Brownian particle which is semi-transparent for molecules of surrounding ideal gas. Molecular passage through the particle is controlled by a potential similar to that in the transition rate theory, i.e. characterized by two stationary states with a finite energy difference separated by a potential barrier. The internal potential drop maintains the diode-like asymmetry of molecular fluxes through the particle, which results in the particle's stationary drift.

  7. Self-Propelling Nanomotors in the Presence of Strong Brownian Forces

    Science.gov (United States)

    2014-01-01

    Motility in living systems is due to an array of complex molecular nanomotors that are essential for the function and survival of cells. These protein nanomotors operate not only despite of but also because of stochastic forces. Artificial means of realizing motility rely on local concentration or temperature gradients that are established across a particle, resulting in slip velocities at the particle surface and thus motion of the particle relative to the fluid. However, it remains unclear if these artificial motors can function at the smallest of scales, where Brownian motion dominates and no actively propelled living organisms can be found. Recently, the first reports have appeared suggesting that the swimming mechanisms of artificial structures may also apply to enzymes that are catalytically active. Here we report a scheme to realize artificial Janus nanoparticles (JNPs) with an overall size that is comparable to that of some enzymes ∼30 nm. Our JNPs can catalyze the decomposition of hydrogen peroxide to water and oxygen and thus actively move by self-electrophoresis. Geometric anisotropy of the Pt–Au Janus nanoparticles permits the simultaneous observation of their translational and rotational motion by dynamic light scattering. While their dynamics is strongly influenced by Brownian rotation, the artificial Janus nanomotors show bursts of linear ballistic motion resulting in enhanced diffusion. PMID:24707952

  8. Polar Functions of Multiparameter Bifractional Brownian Sheets

    Institute of Scientific and Technical Information of China (English)

    Zhen-long Chen

    2009-01-01

    Let BH,K={BH,K(t), t ∈RN+} be an (N,d)-bifractional Brownian sheet with Hurst indices for BH,Kare investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of BH,Kis presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov's entropy index for BH,Kare obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.

  9. Brownian transport in corrugated channels with inertia

    Science.gov (United States)

    Ghosh, P. K.; Hänggi, P.; Marchesoni, F.; Nori, F.; Schmid, G.

    2012-08-01

    Transport of suspended Brownian particles dc driven along corrugated narrow channels is numerically investigated in the regime of finite damping. We show that inertial corrections cannot be neglected as long as the width of the channel bottlenecks is smaller than an appropriate particle diffusion length, which depends on the the channel corrugation and the drive intensity. With such a diffusion length being inversely proportional to the damping constant, transport through sufficiently narrow obstructions turns out to be always sensitive to the viscosity of the suspension fluid. The inertia corrections to the transport quantifiers, mobility, and diffusivity markedly differ for smoothly and sharply corrugated channels.

  10. Brownian transport in corrugated channels with inertia

    CERN Document Server

    Ghosh, P K; Marchesoni, F; Nori, F; Schmid, G; 10.1103/PhysRevE.86.021112

    2012-01-01

    The transport of suspended Brownian particles dc-driven along corrugated narrow channels is numerically investigated in the regime of finite damping. We show that inertial corrections cannot be neglected as long as the width of the channel bottlenecks is smaller than an appropriate particle diffusion length, which depends on the the channel corrugation and the drive intensity. Being such a diffusion length inversely proportional to the damping constant, transport through sufficiently narrow obstructions turns out to be always sensitive to the viscosity of the suspension fluid. The inertia corrections to the transport quantifiers, mobility and diffusivity, markedly differ for smoothly and sharply corrugated channels.

  11. A Brownian model for recurrent earthquakes

    Science.gov (United States)

    Matthews, M.V.; Ellsworth, W.L.; Reasenberg, P.A.

    2002-01-01

    We construct a probability model for rupture times on a recurrent earthquake source. Adding Brownian perturbations to steady tectonic loading produces a stochastic load-state process. Rupture is assumed to occur when this process reaches a critical-failure threshold. An earthquake relaxes the load state to a characteristic ground level and begins a new failure cycle. The load-state process is a Brownian relaxation oscillator. Intervals between events have a Brownian passage-time distribution that may serve as a temporal model for time-dependent, long-term seismic forecasting. This distribution has the following noteworthy properties: (1) the probability of immediate rerupture is zero; (2) the hazard rate increases steadily from zero at t = 0 to a finite maximum near the mean recurrence time and then decreases asymptotically to a quasi-stationary level, in which the conditional probability of an event becomes time independent; and (3) the quasi-stationary failure rate is greater than, equal to, or less than the mean failure rate because the coefficient of variation is less than, equal to, or greater than 1/???2 ??? 0.707. In addition, the model provides expressions for the hazard rate and probability of rupture on faults for which only a bound can be placed on the time of the last rupture. The Brownian relaxation oscillator provides a connection between observable event times and a formal state variable that reflects the macromechanics of stress and strain accumulation. Analysis of this process reveals that the quasi-stationary distance to failure has a gamma distribution, and residual life has a related exponential distribution. It also enables calculation of "interaction" effects due to external perturbations to the state, such as stress-transfer effects from earthquakes outside the target source. The influence of interaction effects on recurrence times is transient and strongly dependent on when in the loading cycle step pertubations occur. Transient effects may

  12. Arithmetic area for m planar Brownian paths

    CERN Document Server

    Desbois, Jean

    2012-01-01

    We pursue the analysis made in [1] on the arithmetic area enclosed by m closed Brownian paths. We pay a particular attention to the random variable S{n1,n2, ...,n} (m) which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2, ...,nm times by path m. Various results are obtained in the asymptotic limit m->infinity. A key observation is that, since the paths are independent, one can use in the m paths case the SLE information, valid in the 1-path case, on the 0-winding sectors arithmetic area.

  13. Arithmetic area for m planar Brownian paths

    OpenAIRE

    Desbois, Jean; Ouvry, Stephane

    2012-01-01

    We pursue the analysis made in [1] on the arithmetic area enclosed by m closed Brownian paths. We pay a particular attention to the random variable S{n1,n2, ...,n} (m) which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2, ...,nm times by path m. Various results are obtained in the asymptotic limit m->infinity. A key observation is that, since the paths are independent, one can use in the m paths case the SLE informatio...

  14. Simultaneous effects of slip and wall properties on MHD peristaltic motion of nanofluid with Joule heating

    Energy Technology Data Exchange (ETDEWEB)

    Hayat, T. [Department of Mathematics, Quaid-I-Azam University 45320, Islamabad 44000 (Pakistan); Nonlinear Analysis and Applied Mathematics (NAAM) Research Group, Department of Mathematics, King Abdulaziz University, P.O. Box 80257, Jeddah 21589 (Saudi Arabia); Nisar, Z. [Department of Mathematics, Quaid-I-Azam University 45320, Islamabad 44000 (Pakistan); Ahmad, B. [Nonlinear Analysis and Applied Mathematics (NAAM) Research Group, Department of Mathematics, King Abdulaziz University, P.O. Box 80257, Jeddah 21589 (Saudi Arabia); Yasmin, H., E-mail: qau2011@gmail.com [Department of Mathematics, COMSATS Institute of Information Technology, G.T. Road, Wah Cantt 47040 (Pakistan)

    2015-12-01

    This paper is devoted to the magnetohydrodynamic (MHD) peristaltic transport of nanofluid in a channel with wall properties. Flow analysis is addressed in the presence of viscous dissipation, partial slip and Joule heating effects. Mathematical modelling also includes the salient features of Brownian motion and thermophoresis. Both analytic and numerical solutions are provided. Comparison between the solutions is shown in a very good agreement. Attention is focused to the Brownian motion parameter, thermophoresis parameter, Hartman number, Eckert number and Prandtl number. Influences of various parameters on skin friction coefficient, Nusselt and Sherwood numbers are also investigated. It is found that both the temperature and nanoparticles concentration are increasing functions of Brownian motion and thermophoresis parameters. - Highlights: • Temperature rises when Brownian motion and thermophoresis effects intensify. • Temperature profile increases when thermal slip parameter increases. • Concentration field is a decreasing function of concentration slip parameter. • Temperature decreases whereas concentration increases for Hartman number.

  15. Simultaneous effects of slip and wall properties on MHD peristaltic motion of nanofluid with Joule heating

    International Nuclear Information System (INIS)

    This paper is devoted to the magnetohydrodynamic (MHD) peristaltic transport of nanofluid in a channel with wall properties. Flow analysis is addressed in the presence of viscous dissipation, partial slip and Joule heating effects. Mathematical modelling also includes the salient features of Brownian motion and thermophoresis. Both analytic and numerical solutions are provided. Comparison between the solutions is shown in a very good agreement. Attention is focused to the Brownian motion parameter, thermophoresis parameter, Hartman number, Eckert number and Prandtl number. Influences of various parameters on skin friction coefficient, Nusselt and Sherwood numbers are also investigated. It is found that both the temperature and nanoparticles concentration are increasing functions of Brownian motion and thermophoresis parameters. - Highlights: • Temperature rises when Brownian motion and thermophoresis effects intensify. • Temperature profile increases when thermal slip parameter increases. • Concentration field is a decreasing function of concentration slip parameter. • Temperature decreases whereas concentration increases for Hartman number

  16. Clustering determines the survivor for competing Brownian and L\\'evy walkers

    CERN Document Server

    Heinsalu, Els; López, Cristóbal

    2013-01-01

    The competition between two ecologically similar species that use the same resources and differ from each other only in the type of spatial motion they undergo is studied. The latter is assumed to be described either by Brownian motion or L\\'evy flights. Competition is taken into account by assuming that individuals reproduce in a density-dependent fashion. It is observed that no influence of the type of motion occurs when the two species are in a well-mixed unstructured state. However, as soon as the species develop spatial clustering, the one forming more concentrated clusters gets a competitive advantage and eliminates the other. Similar competitive advantage would occur between walkers of the same type but with different diffusivities if this leads also to different clustering. Coexistence of both species is also possible under certain conditions.

  17. Conduction Properties of KcsA Measured Using Brownian Dynamics with Flexible Carbonyl Groups in the Selectivity Filter

    OpenAIRE

    Chung, Shin-Ho; Corry, Ben

    2007-01-01

    In the narrow segment of an ion conducting pathway, it is likely that a permeating ion influences the positions of the nearby atoms that carry partial or full electronic charges. Here we introduce a method of incorporating the motion of charged atoms lining the pore into Brownian dynamics simulations of ion conduction. The movements of the carbonyl groups in the selectivity filter of the KcsA channel are calculated explicitly, allowing their bond lengths, bond angles, and dihedral angels to c...

  18. Relationships involving spatial transitions for Brownian particles within a potential-well.

    Science.gov (United States)

    Brody, Ross

    2007-03-01

    Using an optical tweezer apparatus we have trapped single latex spheres and analyzed their Brownian motion within a potential well. By considering transitions from various initial and final positions within the well, we experimentally show that the ratio of conditional probabilities, P(xf,t+δt|xi,t)/P(xi,t+δt|xf,t), is independent of δt. We also show the instanton times corresponding to last-touch-first-touch (LTFT) trajectories obey the equality, LTFT(xi->xf)=LTFT(xf->xi), shown by Bier et al. [Phys. Rev. E 59,422 (1999)].

  19. Noise-to-signal transition of a Brownian particle in the cubic potential: I. general theory

    Science.gov (United States)

    Filip, Radim; Zemánek, Pavel

    2016-06-01

    The noise-to-signal transitions are very interesting processes in physics, as they might transform environmental noise to useful mechanical effects. We theoretically analyze stochastic noise-to-signal transition of overdamped Brownian motion of a particle in the cubic potential. The particle reaches thermal equilibrium with its environment in the quadratic potential which is suddenly swapped to the cubic potential. We predict a simultaneous increase of both the displacement and signal-to-noise ratio in the cubic potential for the position linearly powered by the temperature of the particle environment. The short-time analysis and numerical simulations fully confirm different dynamical regimes of this noise-to-signal transition.

  20. Statistics of a Flux in Burgers Turbulencewith One-Sided Brownian Initial Data

    Science.gov (United States)

    Bertoin, J.; Giraud, C.; Isozaki, Y.

    We study the statistics of the flux of particles crossing the origin, which is induced by the dynamics of ballistic aggregation in dimension 1, under certain random initial conditions for the system. More precisely, we consider the cases when particles are uniformly distributed on at the initial time, and if u(x,t) denotes the velocity of the particle located at x at time t, then u(x,0)= 0 for x= 0) is either a white noise or a Brownian motion.

  1. Optimal Policy for Brownian Inventory Models with General Convex Inventory Cost

    Institute of Scientific and Technical Information of China (English)

    Da-cheng YAO

    2013-01-01

    We study an inventory system in which products are ordered from outside to meet demands,and the cumulative demand is governed by a Brownian motion.Excessive demand is backlogged.We suppose that the shortage and holding costs associated with the inventory are given by a general convex function.The product ordering from outside incurs a linear ordering cost and a setup fee.There is a constant leadtime when placing an order.The optimal policy is established so as to minimize the discounted cost including the inventory cost and ordering cost.

  2. The Statistics of Burgers Turbulence Initialized with Fractional Brownian Noise Data

    Science.gov (United States)

    Ryan, Reade

    The statistics of the solution to the inviscid Burgers equation are investigated when the initial velocity potential is fractional Brownian motion. Using the theory of large deviations for Gaussian processes, we characterize the tails of the probability distribution functions (PDFs) of the velocity, the distance between shocks, and the shock strength. These PDFs are shown to decay like ``stretched'' exponentials of the form . Our method of proof can also be used to extend these results to a much larger class of Gaussian potentials. This work generalizes the results of Avellaneda and E [2, 3] on the inviscid Burgers equation with white-noise initial data.

  3. Nonintersection Exponents for Brownian Paths. II. Estimates and Applications to a Random Fractal

    OpenAIRE

    Burdzy, Krzysztof; Lawler, Gregory F.

    1990-01-01

    Let $X$ and $Y$ be independent two-dimensional Brownian motions, $X(0) = (0, 0), Y(0) = (\\varepsilon, 0)$, and let $p(\\varepsilon) = P(X\\lbrack 0, 1 \\rbrack \\cap Y\\lbrack 0, 1 \\rbrack = \\varnothing), q(\\varepsilon) = \\{Y\\lbrack 0, 1 \\rbrack \\text{does not contain a closed loop around} 0\\}$. Asymptotic estimates (when $\\varepsilon \\rightarrow 0$) of $p(\\varepsilon), q(\\varepsilon)$, and some related probabilities, are given. Let $F$ be the boundary of the unbounded connected component of $\\mat...

  4. Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case

    OpenAIRE

    Dai, Jim; Yao, Dacheng

    2011-01-01

    We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed cost and a proportional cost. The challenge is to find an adjustment policy that balances the holding cost and adjustm...

  5. Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case

    OpenAIRE

    Dai, Jim; Yao, Dacheng

    2011-01-01

    We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed positive cost and a proportional cost. The challenge is to find an adjustment policy that balances the inventory cost ...

  6. Brownian Ratchet Driven by a Rocking Forcing with Broken Temporal Symmetry

    Institute of Scientific and Technical Information of China (English)

    LIU Feng-Zhi; LI Xiao-Wen; ZHENG Zhi-Gang

    2003-01-01

    The ratchet motion of a Brownian particle in a symmetric periodic potential under a rocking force thatbreaks the temporal symmetry is studied. As long as the relaxation time in the thermal background is much shorter thanthe forcing period, the unidirectional transport can be analytically treated. By solving the Fokker-Planck equations, weget an analytical expression of the current. This result indicates that with an appropriate match between the potentialfield, the asymmetric ac force and the thermal noise, a net current can be achieved. The current versus thermal noiseexhibits a stochastic-resonance-like behavior.

  7. Properties of Brownian Image Models in Scale-Space

    DEFF Research Database (Denmark)

    Pedersen, Kim Steenstrup

    2003-01-01

    law that apparently governs natural images. Furthermore, the distribution of Brownian images mapped into jet space is Gaussian and an analytical expression can be derived for the covariance matrix of Brownian images in jet space. This matrix is also a good approximation of the covariance matrix...... Brownian images) will be discussed in relation to linear scale-space theory, and it will be shown empirically that the second order statistics of natural images mapped into jet space may, within some scale interval, be modeled by the Brownian image model. This is consistent with the 1/f 2 power spectrum...... of natural images in jet space. The consequence of these results is that the Brownian image model can be used as a least committed model of the covariance structure of the distribution of natural images....

  8. Brownian dynamics simulations of ellipsoidal magnetizable particle suspensions

    Science.gov (United States)

    Torres-Díaz, I.; Rinaldi, C.

    2014-06-01

    The rotational motion of soft magnetic tri-axial ellipsoidal particles suspended in a Newtonian fluid has been studied using rotational Brownian dynamics simulations by solving numerically the stochastic angular momentum equation in an orientational space described by the quaternion parameters. The model is applicable to particles where the effect of shape anisotropy is dominant. The algorithm quantifies the magnetization of a monodisperse suspension of tri-axial ellipsoids in dilute limit conditions under applied constant and time-varying magnetic fields. The variation of the relative permeability with the applied magnetic field of the particle's bulk material was included in the simulations. The results show that the equilibrium magnetization of a suspension of magnetizable tri-axial ellipsoids saturates at high magnetic field amplitudes. Additionally, the dynamic susceptibility at low magnetic field intensity presents a peak in the out-of-phase component, which is significantly smaller than the in-phase component and depends on the Langevin parameter. The dynamic magnetization of the particle suspension is in phase with the magnetic field at low and high frequencies far from the peak of the out-of-phase component.

  9. Brownian aggregation rate of colloid particles with several active sites

    International Nuclear Information System (INIS)

    We theoretically analyze the aggregation kinetics of colloid particles with several active sites. Such particles (so-called “patchy particles”) are well known as chemically anisotropic reactants, but the corresponding rate constant of their aggregation has not yet been established in a convenient analytical form. Using kinematic approximation for the diffusion problem, we derived an analytical formula for the diffusion-controlled reaction rate constant between two colloid particles (or clusters) with several small active sites under the following assumptions: the relative translational motion is Brownian diffusion, and the isotropic stochastic reorientation of each particle is Markovian and arbitrarily correlated. This formula was shown to produce accurate results in comparison with more sophisticated approaches. Also, to account for the case of a low number of active sites per particle we used Monte Carlo stochastic algorithm based on Gillespie method. Simulations showed that such discrete model is required when this number is less than 10. Finally, we applied the developed approach to the simulation of immunoagglutination, assuming that the formed clusters have fractal structure

  10. Nanofluidic Brownian Ratchet via atomically-stepped surfaces

    Science.gov (United States)

    Rahmani, Amir; Colosqui, Carlos

    2015-11-01

    Theoretical analysis and fully atomistic molecular dynamics simulations reveal a Brownian ratchet mechanism by which thermal motion can drive the directional displacement of liquids confined in micro- or nanoscale channels and pores. The particular systems discussed in this talk consist of two immiscible liquids confined in a slit-like nanochannel with atomically-stepped surfaces. Mean displacement rates reported in molecular dynamics simulations are in close agreement with theoretical predictions via analytical solution of a Smoluchowski equation for the probability density of the position of the liquid-liquid interface. The direction of the thermally-driven displacement of liquid is determined by the nanostructure surface geometry and thus imbibition or drainage can occur against the direction of action of capillary forces. The studied surface nanostructure with directional asymmetry can control the dynamics of wetting processes such as capillary filling, wicking, and imbibition in porous materials. The proposed physical mechanisms and derived analytical expressions can be applied to design nanofluidic and microfluidic devices for passive handling and separation.

  11. Communication: Memory effects and active Brownian diffusion

    International Nuclear Information System (INIS)

    A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer’s diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer’s propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer’s axis. The corresponding swimmer’s diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed

  12. Hybrid scheme for Brownian semistationary processes

    DEFF Research Database (Denmark)

    Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.

    We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to...... approximate the kernel function by a power function near zero and by a step function elsewhere. The resulting approximation of the process is a combination of Wiener integrals of the power function and a Riemann sum, which is why we call this method a hybrid scheme. Our main theoretical result describes the...... asymptotics of the mean square error of the hybrid scheme and we observe that the scheme leads to a substantial improvement of accuracy compared to the ordinary forward Riemann-sum scheme, while having the same computational complexity. We exemplify the use of the hybrid scheme by two numerical experiments...

  13. From Molecular Dynamics to Brownian Dynamics

    CERN Document Server

    Erban, Radek

    2014-01-01

    Three coarse-grained molecular dynamics (MD) models are investigated with the aim of developing and analyzing multiscale methods which use MD simulations in parts of the computational domain and (less detailed) Brownian dynamics (BD) simulations in the remainder of the domain. The first MD model is formulated in one spatial dimension. It is based on elastic collisions of heavy molecules (e.g. proteins) with light point particles (e.g. water molecules). Two three-dimensional MD models are then investigated. The obtained results are applied to a simplified model of protein binding to receptors on the cellular membrane. It is shown that modern BD simulators of intracellular processes can be used in the bulk and accurately coupled with a (more detailed) MD model of protein binding which is used close to the membrane.

  14. Communication: Memory effects and active Brownian diffusion.

    Science.gov (United States)

    Ghosh, Pulak K; Li, Yunyun; Marchegiani, Giampiero; Marchesoni, Fabio

    2015-12-01

    A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer's diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer's propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer's axis. The corresponding swimmer's diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed. PMID:26646861

  15. Arithmetic area for m planar Brownian paths

    International Nuclear Information System (INIS)

    We pursue the analysis made in Desbois and Ouvry (2011 J. Stat. Mech. P05024) on the arithmetic area enclosed by m closed Brownian paths. We pay particular attention to the random variable Sn1,n2,...,nm(m), which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2,..., and nm times by path m. Various results are obtained in the asymptotic limit m→∞. A key observation is that, since the paths are independent, one can use in the m-path case the SLE information, valid in the one-path case, on the zero-winding sectors arithmetic area

  16. Arithmetic area for m planar Brownian paths

    Science.gov (United States)

    Desbois, Jean; Ouvry, Stéphane

    2012-05-01

    We pursue the analysis made in Desbois and Ouvry (2011 J. Stat. Mech. P05024) on the arithmetic area enclosed by m closed Brownian paths. We pay particular attention to the random variable Sn1, n2,..., nm(m), which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2,..., and nm times by path m. Various results are obtained in the asymptotic limit m\\to \\infty . A key observation is that, since the paths are independent, one can use in the m-path case the SLE information, valid in the one-path case, on the zero-winding sectors arithmetic area.

  17. Communication: Memory effects and active Brownian diffusion

    Energy Technology Data Exchange (ETDEWEB)

    Ghosh, Pulak K. [Department of Chemistry, Presidency University, Kolkata 700073 (India); Li, Yunyun, E-mail: yunyunli@tongji.edu.cn [Center for Phononics and Thermal Energy Science, Tongji University, Shanghai 200092 (China); Marchegiani, Giampiero [Dipartimento di Fisica, Università di Camerino, I-62032 Camerino (Italy); Marchesoni, Fabio [Center for Phononics and Thermal Energy Science, Tongji University, Shanghai 200092 (China); Dipartimento di Fisica, Università di Camerino, I-62032 Camerino (Italy)

    2015-12-07

    A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer’s diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer’s propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer’s axis. The corresponding swimmer’s diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed.

  18. Local collective motion analysis for multi-probe dynamic imaging and microrheology

    Science.gov (United States)

    Khan, Manas; Mason, Thomas G.

    2016-08-01

    Dynamical artifacts, such as mechanical drift, advection, and hydrodynamic flow, can adversely affect multi-probe dynamic imaging and passive particle-tracking microrheology experiments. Alternatively, active driving by molecular motors can cause interesting non-Brownian motion of probes in local regions. Existing drift-correction techniques, which require large ensembles of probes or fast temporal sampling, are inadequate for handling complex spatio-temporal drifts and non-Brownian motion of localized domains containing relatively few probes. Here, we report an analytical method based on local collective motion (LCM) analysis of as few as two probes for detecting the presence of non-Brownian motion and for accurately eliminating it to reveal the underlying Brownian motion. By calculating an ensemble-average, time-dependent, LCM mean square displacement (MSD) of two or more localized probes and comparing this MSD to constituent single-probe MSDs, we can identify temporal regimes during which either thermal or athermal motion dominates. Single-probe motion, when referenced relative to the moving frame attached to the multi-probe LCM trajectory, provides a true Brownian MSD after scaling by an appropriate correction factor that depends on the number of probes used in LCM analysis. We show that LCM analysis can be used to correct many different dynamical artifacts, including spatially varying drifts, gradient flows, cell motion, time-dependent drift, and temporally varying oscillatory advection, thereby offering a significant improvement over existing approaches.

  19. Local collective motion analysis for multi-probe dynamic imaging and microrheology.

    Science.gov (United States)

    Khan, Manas; Mason, Thomas G

    2016-08-01

    Dynamical artifacts, such as mechanical drift, advection, and hydrodynamic flow, can adversely affect multi-probe dynamic imaging and passive particle-tracking microrheology experiments. Alternatively, active driving by molecular motors can cause interesting non-Brownian motion of probes in local regions. Existing drift-correction techniques, which require large ensembles of probes or fast temporal sampling, are inadequate for handling complex spatio-temporal drifts and non-Brownian motion of localized domains containing relatively few probes. Here, we report an analytical method based on local collective motion (LCM) analysis of as few as two probes for detecting the presence of non-Brownian motion and for accurately eliminating it to reveal the underlying Brownian motion. By calculating an ensemble-average, time-dependent, LCM mean square displacement (MSD) of two or more localized probes and comparing this MSD to constituent single-probe MSDs, we can identify temporal regimes during which either thermal or athermal motion dominates. Single-probe motion, when referenced relative to the moving frame attached to the multi-probe LCM trajectory, provides a true Brownian MSD after scaling by an appropriate correction factor that depends on the number of probes used in LCM analysis. We show that LCM analysis can be used to correct many different dynamical artifacts, including spatially varying drifts, gradient flows, cell motion, time-dependent drift, and temporally varying oscillatory advection, thereby offering a significant improvement over existing approaches. PMID:27269299

  20. The Brownian Cactus I. Scaling limits of discrete cactuses

    CERN Document Server

    Curien, Nicolas; Miermont, Grégory

    2011-01-01

    The cactus of a pointed graph is a discrete tree associated with this graph. Similarly, with every pointed geodesic metric space $E$, one can associate an $\\R$-tree called the continuous cactus of $E$. We prove under general assumptions that the cactus of random planar maps distributed according to Boltzmann weights and conditioned to have a fixed large number of vertices converges in distribution to a limiting space called the Brownian cactus, in the Gromov-Hausdorff sense. Moreover, the Brownian cactus can be interpreted as the continuous cactus of the so-called Brownian map.

  1. Single potassium niobate nano/microsized particles as local mechano-optical Brownian probes.

    Science.gov (United States)

    Mor, Flavio M; Sienkiewicz, Andrzej; Magrez, Arnaud; Forró, László; Jeney, Sylvia

    2016-03-28

    Perovskite alkaline niobates, due to their strong nonlinear optical properties, including birefringence and the capability to produce second-harmonic generation (SHG) signals, attract a lot of attention as potential candidates for applications as local nano/microsized mechano-optical probes. Here, we report on an implementation of photonic force microscopy (PFM) to explore the Brownian motion and optical trappability of monocrystalline potassium niobate (KNbO3) nano/microsized particles having sizes within the range of 50 to 750 nm. In particular, we exploit the anisotropic translational diffusive regime of the Brownian motion to quantify thermal fluctuations and optical forces of singly-trapped KNbO3 particles within the optical trapping volume of a PFM microscope. We also show that, under near-infrared (NIR) excitation of the highly focused laser beam of the PFM microscope, a single optically-trapped KNbO3 particle reveals a strong SHG signal manifested by a narrow peak (λ(em) = 532 nm) at half the excitation wavelength (λ(ex) = 1064 nm). Moreover, we demonstrate that the thus induced SHG emission can be used as a local light source that is capable of optically exciting molecules of an organic dye, Rose Bengal (RB), which adhere to the particle surface, through the mechanism of luminescence energy transfer (LET). PMID:26956197

  2. Fast antibody fragment motion: flexible linkers act as entropic spring.

    Science.gov (United States)

    Stingaciu, Laura R; Ivanova, Oxana; Ohl, Michael; Biehl, Ralf; Richter, Dieter

    2016-01-01

    A flexible linker region between three fragments allows antibodies to adjust their binding sites to an antigen or receptor. Using Neutron Spin Echo Spectroscopy we observed fragment motion on a timescale of 7 ns with motional amplitudes of about 1 nm relative to each other. The mechanistic complexity of the linker region can be described by a spring model with Brownian motion of the fragments in a harmonic potential. Displacements, timescale, friction and force constant of the underlying dynamics are accessed. The force constant exhibits a similar strength to an entropic spring, with friction of the fragment matching the unbound state. The observed fast motions are fluctuations in pre-existing equilibrium configurations. The Brownian motion of domains in a harmonic potential is the appropriate model to examine functional hinge motions dependent on the structural topology and highlights the role of internal forces and friction to function. PMID:27020739

  3. Single potassium niobate nano/microsized particles as local mechano-optical Brownian probes

    Science.gov (United States)

    Mor, Flavio M.; Sienkiewicz, Andrzej; Magrez, Arnaud; Forró, László; Jeney, Sylvia

    2016-03-01

    Perovskite alkaline niobates, due to their strong nonlinear optical properties, including birefringence and the capability to produce second-harmonic generation (SHG) signals, attract a lot of attention as potential candidates for applications as local nano/microsized mechano-optical probes. Here, we report on an implementation of photonic force microscopy (PFM) to explore the Brownian motion and optical trappability of monocrystalline potassium niobate (KNbO3) nano/microsized particles having sizes within the range of 50 to 750 nm. In particular, we exploit the anisotropic translational diffusive regime of the Brownian motion to quantify thermal fluctuations and optical forces of singly-trapped KNbO3 particles within the optical trapping volume of a PFM microscope. We also show that, under near-infrared (NIR) excitation of the highly focused laser beam of the PFM microscope, a single optically-trapped KNbO3 particle reveals a strong SHG signal manifested by a narrow peak (λem = 532 nm) at half the excitation wavelength (λex = 1064 nm). Moreover, we demonstrate that the thus induced SHG emission can be used as a local light source that is capable of optically exciting molecules of an organic dye, Rose Bengal (RB), which adhere to the particle surface, through the mechanism of luminescence energy transfer (LET).Perovskite alkaline niobates, due to their strong nonlinear optical properties, including birefringence and the capability to produce second-harmonic generation (SHG) signals, attract a lot of attention as potential candidates for applications as local nano/microsized mechano-optical probes. Here, we report on an implementation of photonic force microscopy (PFM) to explore the Brownian motion and optical trappability of monocrystalline potassium niobate (KNbO3) nano/microsized particles having sizes within the range of 50 to 750 nm. In particular, we exploit the anisotropic translational diffusive regime of the Brownian motion to quantify thermal

  4. Convergence rates of posterior distributions for Brownian semimartingale models

    NARCIS (Netherlands)

    F.H. van der Meulen; A.W. van der Vaart; J.H. van Zanten

    2006-01-01

    Key words and Phrases: Bayesian estimation, Continuous semimartingale, Dirichlet process, Hellinger distance, Infinite dimensional model, Rate of convergence, Wavelets. We consider the asymptotic behavior of posterior distributions based on continuous observations from a Brownian semimartingale mode

  5. Directed transport of Brownian particles in a changing temperature field

    Energy Technology Data Exchange (ETDEWEB)

    Grillo, A [DMFCI, Facolta di Ingegneria, Universita di Catania. Viale Andrea Doria 6, 95125 Catania (Italy); Jinha, A [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Federico, S [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Ait-Haddou, R [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Herzog, W [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Giaquinta, G [DMFCI, Facolta di Ingegneria, Universita di Catania. Viale Andrea Doria 6, 95125 Catania (Italy)

    2008-01-11

    We study the interaction of Brownian particles with a changing temperature field in the presence of a one-dimensional periodic adiabatic potential. We show the existence of directed transport through the determination of the overall current of Brownian particles crossing the boundary of the system. With respect to the case of Brownian particles in a thermal bath, we determine a current which exhibits a contribution explicitly related to the presence of a thermal gradient. Beyond the self-consistent calculation of the temperature and probability density distribution of Brownian particles, we evaluate the energy consumption for directed transport to take place. Our description is based on Streater's model, and solutions are obtained by perturbing the system from its initial thermodynamic equilibrium state.

  6. Directed transport of Brownian particles in a changing temperature field

    International Nuclear Information System (INIS)

    We study the interaction of Brownian particles with a changing temperature field in the presence of a one-dimensional periodic adiabatic potential. We show the existence of directed transport through the determination of the overall current of Brownian particles crossing the boundary of the system. With respect to the case of Brownian particles in a thermal bath, we determine a current which exhibits a contribution explicitly related to the presence of a thermal gradient. Beyond the self-consistent calculation of the temperature and probability density distribution of Brownian particles, we evaluate the energy consumption for directed transport to take place. Our description is based on Streater's model, and solutions are obtained by perturbing the system from its initial thermodynamic equilibrium state

  7. Rotational Brownian Dynamics simulations of clathrin cage formation

    International Nuclear Information System (INIS)

    The self-assembly of nearly rigid proteins into ordered aggregates is well suited for modeling by the patchy particle approach. Patchy particles are traditionally simulated using Monte Carlo methods, to study the phase diagram, while Brownian Dynamics simulations would reveal insights into the assembly dynamics. However, Brownian Dynamics of rotating anisotropic particles gives rise to a number of complications not encountered in translational Brownian Dynamics. We thoroughly test the Rotational Brownian Dynamics scheme proposed by Naess and Elsgaeter [Macromol. Theory Simul. 13, 419 (2004); Naess and Elsgaeter Macromol. Theory Simul. 14, 300 (2005)], confirming its validity. We then apply the algorithm to simulate a patchy particle model of clathrin, a three-legged protein involved in vesicle production from lipid membranes during endocytosis. Using this algorithm we recover time scales for cage assembly comparable to those from experiments. We also briefly discuss the undulatory dynamics of the polyhedral cage

  8. Fast simulation of Brownian dynamics in a crowded environment

    OpenAIRE

    Smith, Stephen; Grima, Ramon

    2016-01-01

    Brownian dynamics simulations are an increasingly popular tool for understanding spatially-distributed biochemical reaction systems. Recent improvements in our understanding of the cellular environment show that volume exclusion effects are fundamental to reaction networks inside cells. These systems are frequently studied by incorporating inert hard spheres (crowders) into three-dimensional Brownian dynamics simulations, however these methods are extremely slow owing to the sheer number of p...

  9. Ideal bulk pressure of active Brownian particles

    Science.gov (United States)

    Speck, Thomas; Jack, Robert L.

    2016-06-01

    The extent to which active matter might be described by effective equilibrium concepts like temperature and pressure is currently being discussed intensely. Here, we study the simplest model, an ideal gas of noninteracting active Brownian particles. While the mechanical pressure exerted onto confining walls has been linked to correlations between particles' positions and their orientations, we show that these correlations are entirely controlled by boundary effects. We also consider a definition of local pressure, which describes interparticle forces in terms of momentum exchange between different regions of the system. We present three pieces of analytical evidence which indicate that such a local pressure exists, and we show that its bulk value differs from the mechanical pressure exerted on the walls of the system. We attribute this difference to the fact that the local pressure in the bulk does not depend on boundary effects, contrary to the mechanical pressure. We carefully examine these boundary effects using a channel geometry, and we show a virial formula for the pressure correctly predicts the mechanical pressure even in finite channels. However, this result no longer holds in more complex geometries, as exemplified for a channel that includes circular obstacles.

  10. Brownian particles in transient polymer networks

    OpenAIRE

    Sprakel, J.; Van der Gucht, J.; Cohen Stuart, M. A.; Besseling, N.A.M.

    2008-01-01

    We discuss the thermal motion of colloidal particles in transient polymer networks. For particles that are physically bound to the surrounding chains, light-scattering experiments reveal that the submillisecond dynamics changes from diffusive to Rouse-like upon crossing the network formation threshold. Particles that are not bound do not show such a transition. At longer time scales the mean-square displacement (MSD) exhibits a caging plateau and, ultimately, a slow diffusive motion. The slow...

  11. Realization of a Brownian engine to study transport phenomena: a semiclassical approach.

    Science.gov (United States)

    Ghosh, Pradipta; Shit, Anindita; Chattopadhyay, Sudip; Chaudhuri, Jyotipratim Ray

    2010-06-01

    Brownian particles moving in a periodic potential with or without external load are often used as good theoretical models for the phenomenological studies of microscopic heat engines. The model that we propose here, assumes the particle to be moving in a nonequilibrium medium and we have obtained the exact expression for the stationary current density. We have restricted our consideration to the overdamped motion of the Brownian particle. We present here a self-consistent theory based on the system-reservoir coupling model, within a microscopic approach, of fluctuation induced transport in the semiclassical limit for a general system coupled with two heat baths kept at different temperatures. This essentially puts forth an approach to semiclassical state-dependent diffusion. We also explore the possibility of observing a current when the temperature of the two baths are different, and also envisage that our system may act as a Carnot engine even when the bath temperatures are the same. The condition for such a construction has been elucidated. PMID:20866383

  12. Structural properties of charge-stabilized ferrofluids under a magnetic field: a Brownian dynamics study.

    Science.gov (United States)

    Mériguet, G; Jardat, M; Turq, P

    2004-09-22

    We present Brownian dynamics simulations of real charge-stabilized ferrofluids, which are stable colloidal dispersions of magnetic nanoparticles, with and without the presence of an external magnetic field. The colloidal suspensions are treated as collections of monodisperse spherical particles, bearing point dipoles at their centers and undergoing translational and rotational Brownian motions. The overall repulsive isotropic interactions between particles, governed by electrostatic repulsions, are taken into account by a one-component effective pair interaction potential. The potential parameters are fitted in order that computed structure factors are close to the experimental ones. Two samples of ferrofluid differing by the particle diameter and consequently by the intensity of the magnetic interaction are considered here. The magnetization and birefringence curves are computed: a deviation from the ideal Langevin behaviors is observed if the dipolar moment of particles is sufficiently large. Structure factors are also computed from simulations with and without an applied magnetic field H: the microstructure of the repulsive ferrofluid becomes anisotropic under H. Even our simple modeling of the suspension allows us to account for the main experimental features: an increase of the peak intensity is observed in the direction perpendicular to the field whereas the peak intensity decreases in the direction parallel to the field. PMID:15367036

  13. BROMOCEA Code: An Improved Grand Canonical Monte Carlo/Brownian Dynamics Algorithm Including Explicit Atoms.

    Science.gov (United States)

    Solano, Carlos J F; Pothula, Karunakar R; Prajapati, Jigneshkumar D; De Biase, Pablo M; Noskov, Sergei Yu; Kleinekathöfer, Ulrich

    2016-05-10

    All-atom molecular dynamics simulations have a long history of applications studying ion and substrate permeation across biological and artificial pores. While offering unprecedented insights into the underpinning transport processes, MD simulations are limited in time-scales and ability to simulate physiological membrane potentials or asymmetric salt solutions and require substantial computational power. While several approaches to circumvent all of these limitations were developed, Brownian dynamics simulations remain an attractive option to the field. The main limitation, however, is an apparent lack of protein flexibility important for the accurate description of permeation events. In the present contribution, we report an extension of the Brownian dynamics scheme which includes conformational dynamics. To achieve this goal, the dynamics of amino-acid residues was incorporated into the many-body potential of mean force and into the Langevin equations of motion. The developed software solution, called BROMOCEA, was applied to ion transport through OmpC as a test case. Compared to fully atomistic simulations, the results show a clear improvement in the ratio of permeating anions and cations. The present tests strongly indicate that pore flexibility can enhance permeation properties which will become even more important in future applications to substrate translocation. PMID:27088446

  14. A Brownian dynamics study on ferrofluid colloidal dispersions using an iterative constraint method to satisfy Maxwell's equations

    Science.gov (United States)

    Dubina, Sean Hyun; Wedgewood, Lewis Edward

    2016-07-01

    Ferrofluids are often favored for their ability to be remotely positioned via external magnetic fields. The behavior of particles in ferromagnetic clusters under uniformly applied magnetic fields has been computationally simulated using the Brownian dynamics, Stokesian dynamics, and Monte Carlo methods. However, few methods have been established that effectively handle the basic principles of magnetic materials, namely, Maxwell's equations. An iterative constraint method was developed to satisfy Maxwell's equations when a uniform magnetic field is imposed on ferrofluids in a heterogeneous Brownian dynamics simulation that examines the impact of ferromagnetic clusters in a mesoscale particle collection. This was accomplished by allowing a particulate system in a simple shear flow to advance by a time step under a uniformly applied magnetic field, then adjusting the ferroparticles via an iterative constraint method applied over sub-volume length scales until Maxwell's equations were satisfied. The resultant ferrofluid model with constraints demonstrates that the magnetoviscosity contribution is not as substantial when compared to homogeneous simulations that assume the material's magnetism is a direct response to the external magnetic field. This was detected across varying intensities of particle-particle interaction, Brownian motion, and shear flow. Ferroparticle aggregation was still extensively present but less so than typically observed.

  15. The special theory of Brownian relativity: equivalence principle for dynamic and static random paths and uncertainty relation for diffusion.

    Science.gov (United States)

    Mezzasalma, Stefano A

    2007-03-15

    The theoretical basis of a recent theory of Brownian relativity for polymer solutions is deepened and reexamined. After the problem of relative diffusion in polymer solutions is addressed, its two postulates are formulated in all generality. The former builds a statistical equivalence between (uncorrelated) timelike and shapelike reference frames, that is, among dynamical trajectories of liquid molecules and static configurations of polymer chains. The latter defines the "diffusive horizon" as the invariant quantity to work with in the special version of the theory. Particularly, the concept of universality in polymer physics corresponds in Brownian relativity to that of covariance in the Einstein formulation. Here, a "universal" law consists of a privileged observation, performed from the laboratory rest frame and agreeing with any diffusive reference system. From the joint lack of covariance and simultaneity implied by the Brownian Lorentz-Poincaré transforms, a relative uncertainty arises, in a certain analogy with quantum mechanics. It is driven by the difference between local diffusion coefficients in the liquid solution. The same transformation class can be used to infer Fick's second law of diffusion, playing here the role of a gauge invariance preserving covariance of the spacetime increments. An overall, noteworthy conclusion emerging from this view concerns the statistics of (i) static macromolecular configurations and (ii) the motion of liquid molecules, which would be much more related than expected. PMID:17223124

  16. Cell motility as random motion: A review

    DEFF Research Database (Denmark)

    Selmeczi, Dávid; Li, Liwen; Pedersen, Leif;

    2008-01-01

    The historical co-evolution of biological motility models with models of Brownian motion is outlined. Recent results for how to derive cell-type-specific motility models from experimental cell trajectories are reviewed. Experimental work in progress, which tests the generality of this...... phenomenological model building is reported. So is theoretical work in progress, which explains the characteristic time scales and correlations of phenomenological models in terms of the dynamics of cytoskeleton, lamellipodia, and pseudopodia....

  17. Brownian particles in transient polymer networks

    NARCIS (Netherlands)

    Sprakel, J.; Van der Gucht, J.; Cohen Stuart, M.A.; Besseling, N.A.M.

    2008-01-01

    We discuss the thermal motion of colloidal particles in transient polymer networks. For particles that are physically bound to the surrounding chains, light-scattering experiments reveal that the submillisecond dynamics changes from diffusive to Rouse-like upon crossing the network formation thresho

  18. 布朗局部时主值滞后增量的几个结果%SOME RESULTS ON LAG INCREMENTS OF PRINCIPAL VALUE OF BROWNIAN LOCAL TIME

    Institute of Scientific and Technical Information of China (English)

    闻继威

    2002-01-01

    Let W be a standard Brownian motion,and define Y(t)=∫t0dsW(s) as Cauchy's principal value related to the local time of W.We study some limit results on lag increments of Y(t) and obtain various results all of which are related to earlier work by Hanson and Russo in 1983.

  19. Energy and efficiency optimization of a Brownian heat engine

    Science.gov (United States)

    Bekele, Mulugeta; Yalew, Yeneneh

    2007-03-01

    A simple Brownian heat engine is modeled as a Brownian particle moving in an external sawtooth potential (with or without) load assisted by the thermal kick it gets from alternately placed hot and cold heat reservoirs along its path. We get closed form expression for its current in terms of the parameters characterizing the model. After analyzing the way it consumes energy to do useful work, we also get closed form expressions for its efficiency as well as for its coefficient of performance when the engine performs as a refrigerator. Recently suggested optimization criteria enables us to exhaustively explore and compare the different operating conditions of the engine.

  20. Winding statistics of a Brownian particle on a ring

    International Nuclear Information System (INIS)

    We consider a Brownian particle moving on a ring. We study the probability distributions of the total number of turns and the net number of counter-clockwise turns the particle makes until time t. Using a method based on the renewal properties of a Brownian walker, we find exact analytical expressions of these distributions. This method serves as an alternative to the standard path integral techniques which are not always easily adaptable for certain observables. For large t, we show that these distributions have Gaussian scaling forms. We also compute large deviation functions associated to these distributions characterizing atypically large fluctuations. We provide numerical simulations in support of our analytical results. (paper)

  1. Stochastic flows in the Brownian web and net

    Czech Academy of Sciences Publication Activity Database

    Schertzer, E.; Sun, R.; Swart, Jan M.

    2014-01-01

    Roč. 227, č. 1065 (2014), s. 1-160. ISSN 0065-9266 R&D Projects: GA ČR GA201/07/0237; GA ČR GA201/09/1931 Institutional support: RVO:67985556 Keywords : Brownian web * Brownian net * stochastic flow of kernels * measure-valued process * Howitt-Warren flow * linear system * random walk in random environment * finite graph representation Subject RIV: BA - General Mathematics Impact factor: 1.727, year: 2014 http://library.utia.cas.cz/separaty/2013/SI/swart-0396636.pdf

  2. Electromagnetic radiation of charged particles in stochastic motion

    CERN Document Server

    Harko, Tiberiu

    2016-01-01

    The study of the Brownian motion of a charged particle in electric and magnetic fields fields has many important applications in plasma and heavy ions physics, as well as in astrophysics. In the present paper we consider the electromagnetic radiation properties of a charged non-relativistic particle in the presence of electric and magnetic fields, of an exterior non-electromagnetic potential, and of a friction and stochastic force, respectively. We describe the motion of the charged particle by a Langevin and generalized Langevin type stochastic differential equation. We investigate in detail the cases of the Brownian motion with or without memory in a constant electric field, in the presence of an external harmonic potential, and of a constant magnetic field. In all cases the corresponding Langevin equations are solved numerically, and a full description of the spectrum of the emitted radiation and of the physical properties of the motion is obtained. The Power Spectral Density (PSD) of the emitted power is ...

  3. Territory Covered by N Self-Propelled Brownian Agents in 2 dimensions

    Science.gov (United States)

    Sevilla, Francisco J.; Gómez Nava, Luis Alberto

    2014-03-01

    We consider the problem of the territory covered by N non-interacting self-propelled Brownian agents where self-propulsion is modeled by a non-linear friction term in the Langevin-like equations of motion for each agent. Our study generalizes, to a continuous time and space description, the well known problem of the territory explored by N Random Walkers. Numerical and analytical approaches are presented to exhibit the effects of self-propulsion on the many independent agents exploring two dimensional homogenous regions. Our results may have a wide range of applications in a variaty of non-equilibrium systems. FJSP and LAGN aknowledge PAPIIT-IN113114 and PAEP-PCF-UNAM.

  4. Diffusion theory of Brownian particles moving at constant speed in D dimensions

    Science.gov (United States)

    Sevilla, Francisco J.

    2015-03-01

    The propagation of Brownian-active particles that move at constant speed in the limit of short times, differs from wave-like propagation in that active particles propagate without leaving a wake trailing characteristic of wave propagation in even dimensions. In the long time regime, normal diffusion is expected due to random fluctuations that disperse the particle direction of motion. A phenomenological equation that describe the transition from the behavior free of effects of wake, to the normal diffusion of the particles is proposed. A comparison of the results predicted by such equation with those obtained from models using Langevin equations is presented in the spherically symmetric case. FJS acknowledges support from PAPIIT-UNAM through the Grant IN113114.

  5. Generalized Scaling and the Master Variable for Brownian Magnetic Nanoparticle Dynamics

    Science.gov (United States)

    Reeves, Daniel B.; Shi, Yipeng; Weaver, John B.

    2016-01-01

    Understanding the dynamics of magnetic particles can help to advance several biomedical nanotechnologies. Previously, scaling relationships have been used in magnetic spectroscopy of nanoparticle Brownian motion (MSB) to measure biologically relevant properties (e.g., temperature, viscosity, bound state) surrounding nanoparticles in vivo. Those scaling relationships can be generalized with the introduction of a master variable found from non-dimensionalizing the dynamical Langevin equation. The variable encapsulates the dynamical variables of the surroundings and additionally includes the particles’ size distribution and moment and the applied field’s amplitude and frequency. From an applied perspective, the master variable allows tuning to an optimal MSB biosensing sensitivity range by manipulating both frequency and field amplitude. Calculation of magnetization harmonics in an oscillating applied field is also possible with an approximate closed-form solution in terms of the master variable and a single free parameter. PMID:26959493

  6. Circular Motion of Asymmetric Self-Propelling Particles

    Science.gov (United States)

    Kümmel, Felix; ten Hagen, Borge; Wittkowski, Raphael; Buttinoni, Ivo; Eichhorn, Ralf; Volpe, Giovanni; Löwen, Hartmut; Bechinger, Clemens

    2013-05-01

    Micron-sized self-propelled (active) particles can be considered as model systems for characterizing more complex biological organisms like swimming bacteria or motile cells. We produce asymmetric microswimmers by soft lithography and study their circular motion on a substrate and near channel boundaries. Our experimental observations are in full agreement with a theory of Brownian dynamics for asymmetric self-propelled particles, which couples their translational and orientational motion.

  7. The Inviscid Burgers Equation with Brownian Initial Velocity

    Science.gov (United States)

    Bertoin, Jean

    The law of the (Hopf-Cole) solution of the inviscid Burgers equation with Brownian initial velocity is made explicit. As examples of applications, we investigate the smoothness of the solution, the statistical distribution of the shocks, we determine the exact Hausdorff function of the Lagrangian regular points and investigate the existence of Lagrangian regular points in a fixed Borel set.

  8. Asset pricing puzzles explained by incomplete Brownian equilibria

    DEFF Research Database (Denmark)

    Christensen, Peter Ove; Larsen, Kasper

    We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate consumption who receive partially unspanned income. The investors can trade continuously on a finit...... markets. Consequently, our model can simultaneously help explaining the risk-free rate and equity premium puzzles....

  9. Brownian colloidal particles: Ito, Stratonovich, or a different stochastic interpretation

    Science.gov (United States)

    Sancho, J. M.

    2011-12-01

    Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical simulations of the same system are well described using the conventional Stratonovich interpretation. Here we address this dichotomy from a more generic starting point: the underdamped Langevin equation and its corresponding Fokker-Planck equation.

  10. Diffusion of Particle in Hyaluronan Solution, a Brownian Dynamics Simulation

    Science.gov (United States)

    Takasu, Masako; Tomita, Jungo

    2004-04-01

    Diffusion of a particle in hyaluronan solution is investigated using Brownian dynamics simulation. The slowing down of diffusion is observed, in accordance with the experimental results. The temperature dependence of the diffusion is calculated, and a turnover is obtained when the temperature is increased.

  11. Bacterial Motion in Quasi Two Dimensions

    Science.gov (United States)

    Wu, X. L.; Libchaber, Albert

    2000-03-01

    We study the effect of bacterial motion on micron-scale beads in a freely suspended soap film. Given the size of bacteria and beads, the geometry of the experiment is quasi-two-dimensional. Large positional fluctuations are observed for beads as large as 10 um in diameter, and the mean-square displacements, measured using video imaging, indicate superdiffusion on short times and normal diffusion on long times. Though the phenomenon is similar to Brownian motion of small particles, its physical origin is different and can be attributed to collective dynamics of bacteria.

  12. Brownian dynamics of confined rigid bodies

    Energy Technology Data Exchange (ETDEWEB)

    Delong, Steven; Balboa Usabiaga, Florencio; Donev, Aleksandar, E-mail: donev@courant.nyu.edu [Courant Institute of Mathematical Sciences, New York University, New York, New York 10012 (United States)

    2015-10-14

    We introduce numerical methods for simulating the diffusive motion of rigid bodies of arbitrary shape immersed in a viscous fluid. We parameterize the orientation of the bodies using normalized quaternions, which are numerically robust, space efficient, and easy to accumulate. We construct a system of overdamped Langevin equations in the quaternion representation that accounts for hydrodynamic effects, preserves the unit-norm constraint on the quaternion, and is time reversible with respect to the Gibbs-Boltzmann distribution at equilibrium. We introduce two schemes for temporal integration of the overdamped Langevin equations of motion, one based on the Fixman midpoint method and the other based on a random finite difference approach, both of which ensure that the correct stochastic drift term is captured in a computationally efficient way. We study several examples of rigid colloidal particles diffusing near a no-slip boundary and demonstrate the importance of the choice of tracking point on the measured translational mean square displacement (MSD). We examine the average short-time as well as the long-time quasi-two-dimensional diffusion coefficient of a rigid particle sedimented near a bottom wall due to gravity. For several particle shapes, we find a choice of tracking point that makes the MSD essentially linear with time, allowing us to estimate the long-time diffusion coefficient efficiently using a Monte Carlo method. However, in general, such a special choice of tracking point does not exist, and numerical techniques for simulating long trajectories, such as the ones we introduce here, are necessary to study diffusion on long time scales.

  13. Brownian dynamics of confined rigid bodies

    Science.gov (United States)

    Delong, Steven; Balboa Usabiaga, Florencio; Donev, Aleksandar

    2015-10-01

    We introduce numerical methods for simulating the diffusive motion of rigid bodies of arbitrary shape immersed in a viscous fluid. We parameterize the orientation of the bodies using normalized quaternions, which are numerically robust, space efficient, and easy to accumulate. We construct a system of overdamped Langevin equations in the quaternion representation that accounts for hydrodynamic effects, preserves the unit-norm constraint on the quaternion, and is time reversible with respect to the Gibbs-Boltzmann distribution at equilibrium. We introduce two schemes for temporal integration of the overdamped Langevin equations of motion, one based on the Fixman midpoint method and the other based on a random finite difference approach, both of which ensure that the correct stochastic drift term is captured in a computationally efficient way. We study several examples of rigid colloidal particles diffusing near a no-slip boundary and demonstrate the importance of the choice of tracking point on the measured translational mean square displacement (MSD). We examine the average short-time as well as the long-time quasi-two-dimensional diffusion coefficient of a rigid particle sedimented near a bottom wall due to gravity. For several particle shapes, we find a choice of tracking point that makes the MSD essentially linear with time, allowing us to estimate the long-time diffusion coefficient efficiently using a Monte Carlo method. However, in general, such a special choice of tracking point does not exist, and numerical techniques for simulating long trajectories, such as the ones we introduce here, are necessary to study diffusion on long time scales.

  14. Trajectory and distribution of suspended non-Brownian particles moving past a fixed spherical or cylindrical obstacle

    CERN Document Server

    Risbud, Sumedh R

    2014-01-01

    We investigate the motion of a suspended non-Brownian sphere past a fixed cylindrical or spherical obstacle in the limit of zero Reynolds number for arbitrary particle-obstacle aspect ratios. We consider both a suspended sphere moving in a quiescent fluid under the action of a uniform force as well as a uniform ambient velocity field driving a freely suspended particle. We determine the distribution of particles around a single obstacle and solve for the individual particle trajectories to comment on the transport of dilute suspensions past an array of fixed obstacles. First, we obtain an expression for the probability density function governing the distribution of a dilute suspension of particles around an isolated obstacle, and we show that it is isotropic. We then present an analytical expression -- derived using both Eulerian and Lagrangian approaches -- for the minimum particle-obstacle separation attained during the motion, as a function of the incoming impact parameter, i.e. the initial offset between ...

  15. Hydrodynamic interactions of two nearly touching Brownian spheres in a stiff potential: Effect of fluid inertia

    International Nuclear Information System (INIS)

    The hydrodynamic interaction of two closely spaced micron-scale spheres undergoing Brownian motion was measured as a function of their separation. Each sphere was attached to the distal end of a different atomic force microscopy cantilever, placing each sphere in a stiff one-dimensional potential (0.08 Nm−1) with a high frequency of thermal oscillations (resonance at 4 kHz). As a result, the sphere’s inertial and restoring forces were significant when compared to the force due to viscous drag. We explored interparticle gap regions where there was overlap between the two Stokes layers surrounding each sphere. Our experimental measurements are the first of their kind in this parameter regime. The high frequency of oscillation of the spheres means that an analysis of the fluid dynamics would include the effects of fluid inertia, as described by the unsteady Stokes equation. However, we find that, for interparticle separations less than twice the thickness of the wake of the unsteady viscous boundary layer (the Stokes layer), the hydrodynamic interaction between the Brownian particles is well-approximated by analytical expressions that neglect the inertia of the fluid. This is because elevated frictional forces at narrow gaps dominate fluid inertial effects. The significance is that interparticle collisions and concentrated suspensions at this condition can be modeled without the need to incorporate fluid inertia. We suggest a way to predict when fluid inertial effects can be ignored by including the gap-width dependence into the frequency number. We also show that low frequency number analysis can be used to determine the microrheology of mixtures at interfaces

  16. Hydrodynamic interactions of two nearly touching Brownian spheres in a stiff potential: Effect of fluid inertia

    Energy Technology Data Exchange (ETDEWEB)

    Radiom, Milad, E-mail: milad.radiom@unige.ch; Ducker, William, E-mail: wducker@vt.edu [Department of Chemical Engineering, Virginia Tech, Blacksburg, Virginia 24060 (United States); Robbins, Brian; Paul, Mark [Department of Mechanical Engineering, Virginia Tech, Blacksburg, Virginia 24060 (United States)

    2015-02-15

    The hydrodynamic interaction of two closely spaced micron-scale spheres undergoing Brownian motion was measured as a function of their separation. Each sphere was attached to the distal end of a different atomic force microscopy cantilever, placing each sphere in a stiff one-dimensional potential (0.08 Nm{sup −1}) with a high frequency of thermal oscillations (resonance at 4 kHz). As a result, the sphere’s inertial and restoring forces were significant when compared to the force due to viscous drag. We explored interparticle gap regions where there was overlap between the two Stokes layers surrounding each sphere. Our experimental measurements are the first of their kind in this parameter regime. The high frequency of oscillation of the spheres means that an analysis of the fluid dynamics would include the effects of fluid inertia, as described by the unsteady Stokes equation. However, we find that, for interparticle separations less than twice the thickness of the wake of the unsteady viscous boundary layer (the Stokes layer), the hydrodynamic interaction between the Brownian particles is well-approximated by analytical expressions that neglect the inertia of the fluid. This is because elevated frictional forces at narrow gaps dominate fluid inertial effects. The significance is that interparticle collisions and concentrated suspensions at this condition can be modeled without the need to incorporate fluid inertia. We suggest a way to predict when fluid inertial effects can be ignored by including the gap-width dependence into the frequency number. We also show that low frequency number analysis can be used to determine the microrheology of mixtures at interfaces.

  17. Massively parallel simulations of Brownian dynamics particle transport in low pressure parallel-plate reactors

    International Nuclear Information System (INIS)

    An understanding of particle transport is necessary to reduce contamination of semiconductor wafers during low-pressure processing. The trajectories of particles in these reactors are determined by external forces (the most important being neutral fluid drag, thermophoresis, electrostatic, viscous ion drag, and gravitational), by Brownian motion (due to neutral and charged gas molecule collisions), and by particle inertia. Gas velocity and temperature fields are also needed for particle transport calculations, but conventional continuum fluid approximations break down at low pressures when the gas mean free path becomes comparable to chamber dimensions. Thus, in this work we use a massively parallel direct simulation Monte Carlo method to calculate low-pressure internal gas flow fields which show temperature jump and velocity slip at the reactor boundaries. Because particle residence times can be short compared to particle response times in these low-pressure systems (for which continuum diffusion theory fails), we solve the Langevin equation using a numerical Lagrangian particle tracking model which includes a fluctuating Brownian force. Because of the need for large numbers of particle trajectories to ensure statistical accuracy, the particle tracking model is also implemented on a massively parallel computer. The particle transport model is validated by comparison to the Ornstein endash Furth theoretical result for the mean square displacement of a cloud of particles. For long times, the particles tend toward a Maxwellian spatial distribution, while at short times, particle spread is controlled by their initial (Maxwellian) velocity distribution. Several simulations using these techniques are presented for particle transport and deposition in a low pressure, parallel-plate reactor geometry. The corresponding particle collection efficiencies on a wafer for different particle sizes, gas temperature gradients, and gas pressures are evaluated

  18. Fast simulation of Brownian dynamics in a crowded environment

    CERN Document Server

    Smith, Stephen

    2016-01-01

    Brownian dynamics simulations are an increasingly popular tool for understanding spatially-distributed biochemical reaction systems. Recent improvements in our understanding of the cellular environment show that volume exclusion effects are fundamental to reaction networks inside cells. These systems are frequently studied by incorporating inert hard spheres (crowders) into three-dimensional Brownian dynamics simulations, however these methods are extremely slow owing to the sheer number of possible collisions between particles. Here we propose a rigorous "crowder-free" method to dramatically increase simulation speed for crowded biochemical reaction systems by eliminating the need to explicitly simulate the crowders. We consider both the case where the reactive particles are point particles, and where they themselves occupy a volume. We use simulations of simple chemical reaction networks to confirm that our simplification is just as accurate as the original algorithm, and that it corresponds to a large spee...

  19. Multiscale Reaction-Diffusion Algorithms: PDE-Assisted Brownian Dynamics

    KAUST Repository

    Franz, Benjamin

    2013-06-19

    Two algorithms that combine Brownian dynami cs (BD) simulations with mean-field partial differential equations (PDEs) are presented. This PDE-assisted Brownian dynamics (PBD) methodology provides exact particle tracking data in parts of the domain, whilst making use of a mean-field reaction-diffusion PDE description elsewhere. The first PBD algorithm couples BD simulations with PDEs by randomly creating new particles close to the interface, which partitions the domain, and by reincorporating particles into the continuum PDE-description when they cross the interface. The second PBD algorithm introduces an overlap region, where both descriptions exist in parallel. It is shown that the overlap region is required to accurately compute variances using PBD simulations. Advantages of both PBD approaches are discussed and illustrative numerical examples are presented. © 2013 Society for Industrial and Applied Mathematics.

  20. Brownian microswimmer in a Poiseuille Flow

    Science.gov (United States)

    Apaza-Pilco, Leonardo; Sandoval, Mario

    We study the two and three dimensional dynamics of a microswimmer at low-Reynolds-number in a Poiseuille flow and subject to thermal fluctuations. A deterministic analysis is also performed, and we find that under certain conditions the swimmer becomes hydrodynamically trapped thus performing periodic orbits. We provide an analytical expression where this trapping occur. A numerical solution for the coupled system of stochastic differential equations based on two parameters, the Peclet number and the ratio of the swimming velocity and the flow velocity, is also obtained. Based on this parameter space, it is found that the mean-square displacement (MSD) along the longitudinal axis (flow direction) is always quadratic in time, whereas along the transversal direction the mean-square displacement achieves a constant value due to the presence of physical boundaries. A comparison among the 2D and 3D MSD results are also discussed. Finally, the effect of the Poiseuille flow on the angular probability distribution for the two-dimensional motion is also computationally shown.

  1. Hydrogen Bond in Liquid Water as a Brownian Oscillator

    Science.gov (United States)

    Woutersen, Sander; Bakker, Huib J.

    1999-09-01

    We present the first experimental observation of a vibrational dynamic Stokes shift. This dynamic Stokes shift is observed in a femtosecond pump-probe study on the OH-stretch vibration of HDO dissolved in D2O. We find that the Stokes shift has a value of approximately 70 cm-1 and occurs with a time constant of approximately 500 femtoseconds. The measurements can be accurately described by modeling the hydrogen bond in liquid water as a Brownian oscillator.

  2. GENERALIZED BROWNIAN SHEET IMAGES AND BESSEL-RIESZ CAPACITY

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Let (W) be a two-parameter Rd-valued generalized Brownian sheet. The author obtains an explicit Bessel-Riesz capacity estimate for the images of a two-dimensional set under (W). He also presents the connections between the Lebesgue measure of the image of (W) and Bessel-Riesz capacity. His conclusions also solve a problem proposed by J.P.Kahane.

  3. Modelling conversion options with a mean reversion motion

    Directory of Open Access Journals (Sweden)

    Luiz E. T. Brandão

    2007-12-01

    Full Text Available Commodity prices are generally better modeled by a long-term Mean Reverting Process, than by a Geometric Brownian Motion stochastic diffusion process, which is more generally used to value real options, since it is simpler to use. In this article we model two correlated uncertain variables using a mean reversing process bivariate lattice to value the switch option between outputs available to ethanol and sugar producers, using the same source: sugarcane. The model results show that the switch option adds a significant value for the producer income. The article also shows that when modeled by a geometric brownian motion, the switch option yields significantly higher values than with a mean reverting model, for the option itself as much as for the base case without flexibility. This confirms that the stochastic model chosen can influence significantly the option value.

  4. Analysis of Brownian Dynamics Simulations of Reversible Bimolecular Reactions

    KAUST Repository

    Lipková, Jana

    2011-01-01

    A class of Brownian dynamics algorithms for stochastic reaction-diffusion models which include reversible bimolecular reactions is presented and analyzed. The method is a generalization of the λ-bcȳ model for irreversible bimolecular reactions which was introduced in [R. Erban and S. J. Chapman, Phys. Biol., 6(2009), 046001]. The formulae relating the experimentally measurable quantities (reaction rate constants and diffusion constants) with the algorithm parameters are derived. The probability of geminate recombination is also investigated. © 2011 Society for Industrial and Applied Mathematics.

  5. Transport and diffusion of overdamped Brownian particles in random potentials

    Science.gov (United States)

    Simon, Marc Suñé; Sancho, J. M.; Lindenberg, Katja

    2013-12-01

    We present a numerical study of the anomalies in transport and diffusion of overdamped Brownian particles in totally disordered potential landscapes in one and in two dimensions. We characterize and analyze the effects of three different disordered potentials. The anomalous regimes are characterized by the time exponents that exhibit the statistical moments of the ensemble of particle trajectories. The anomaly in the transport is always of the subtransport type, but diffusion presents a greater variety of anomalies: Both subdiffusion and superdiffusion are possible. In two dimensions we present a mixed anomaly: subdiffusion in the direction perpendicular to the force and superdiffusion in the parallel direction.

  6. Transport and diffusion of underdamped Brownian particles in random potentials

    Science.gov (United States)

    Suñé Simon, Marc; Sancho, J. M.; Lindenberg, Katja

    2014-09-01

    We present numerical results for the transport and diffusion of underdamped Brownian particles in one-dimensional disordered potentials. We compare the anomalies observed with those found in the overdamped regime and with results for a periodic potential. We relate these anomalies to the time dependent probability distributions for the position and velocity of the particles. The anomalies are caused by the random character of the barrier crossing events between locked and running states which is manifested in the spatial distributions. The role of the velocities is small because the particles quickly thermalize into locked or running states.

  7. Reversed radial SLE and the Brownian loop measure

    OpenAIRE

    Field, Laurence S.; Lawler, Gregory F.

    2012-01-01

    The Brownian loop measure is a conformally invariant measure on loops in the plane that arises when studying the Schramm-Loewner evolution (SLE). When an SLE curve in a domain evolves from an interior point, it is natural to consider the loops that hit the curve and leave the domain, but their measure is infinite. We show that there is a related normalized quantity that is finite and invariant under M\\"obius transformations of the plane. We estimate this quantity when the curve is small and t...

  8. Brownian dynamics simulation for modeling ion permeation across bionanotubes.

    Science.gov (United States)

    Krishnamurthy, Vikram; Chung, Shin-Ho

    2005-03-01

    The principles underlying Brownian dynamics (BD), its statistical consistency, and algorithms for practical implementation are outlined here. The ability to compute current flow across ion channels confers a distinct advantage to BD simulations compared to other simulation techniques. Thus, two obvious applications of BD ion channels are in calculation of the current-voltage and current-concentration curves, which can be directly compared to the physiological measurements to assess the reliability of the model and predictive power of the method. We illustrate how BD simulations are used to unravel the permeation dynamics in two biological ion channels-the KcsA K+ channel and CIC Cl- channel. PMID:15816176

  9. Additivity, density fluctuations, and nonequilibrium thermodynamics for active Brownian particles

    Science.gov (United States)

    Chakraborti, Subhadip; Mishra, Shradha; Pradhan, Punyabrata

    2016-05-01

    Using an additivity property, we study particle-number fluctuations in a system of interacting self-propelled particles, called active Brownian particles (ABPs), which consists of repulsive disks with random self-propulsion velocities. From a fluctuation-response relation, a direct consequence of additivity, we formulate a thermodynamic theory which captures the previously observed features of nonequilibrium phase transition in the ABPs from a homogeneous fluid phase to an inhomogeneous phase of coexisting gas and liquid. We substantiate the predictions of additivity by analytically calculating the subsystem particle-number distributions in the homogeneous fluid phase away from criticality where analytically obtained distributions are compatible with simulations in the ABPs.

  10. Quantum correlations from Brownian diffusion of chaotic level-spacings

    CERN Document Server

    Evangelou, S N

    2004-01-01

    Quantum chaos is linked to Brownian diffusion of the underlying quantum energy level-spacing sequences. The level-spacings viewed as functions of their order execute random walks which imply uncorrelated random increments of the level-spacings while the integrability to chaos transition becomes a change from Poisson to Gauss statistics for the level-spacing increments. This universal nature of quantum chaotic spectral correlations is numerically demonstrated for eigenvalues from random tight binding lattices and for zeros of the Riemann zeta function.

  11. Phenomenon of Repeated Current Reversals in the Brownian Ratchet

    Institute of Scientific and Technical Information of China (English)

    杨明; 曹力; 吴大进; 李湘莲

    2002-01-01

    We study the probability current of the Brownian particles in a tilted periodic piecewise linear "saw-tooth"potential. It is found that the stationary probability current takes on a maximum value at a given additive noise if the intensity of the multiplicative noise is appropriate and at the same time both noises are correlated;and the direction of the stationary probability current is reversed more than once upon some certain correlation intensities between both noises. It is proven that the occurrence of current reversal is only dependent on the relative intensity of the multiplicative and additive noises, but has nothing to do with the absolute intensities of the two noises.

  12. Moments of inertia and the shapes of Brownian paths

    International Nuclear Information System (INIS)

    The joint probability law of the principal moments of inertia of Brownian paths (open or closed) is computed, using constrained path integrals and Random Matrix Theory. The case of two-dimensional paths is discussed in detail. In particular, it is shown that the ratio of the average values of the largest and smallest moments is equal to 4.99 (open paths) and 3.07 (closed paths). Results of numerical simulations are also presented, which include investigation of the relationships between the moments of inertia and the arithmetic area enclosed by a path. (authors) 28 refs., 2 figs

  13. Algebraic and arithmetic area for $m$ planar Brownian paths

    OpenAIRE

    Desbois, Jean; Ouvry, Stephane

    2011-01-01

    The leading and next to leading terms of the average arithmetic area $$ enclosed by $m\\to\\infty$ independent closed Brownian planar paths, with a given length $t$ and starting from and ending at the same point, is calculated. The leading term is found to be $ \\sim {\\pi t\\over 2}\\ln m$ and the $0$-winding sector arithmetic area inside the $m$ paths is subleading in the asymptotic regime. A closed form expression for the algebraic area distribution is also obtained and discussed.

  14. Moments of inertia and the shapes of Brownian paths

    Energy Technology Data Exchange (ETDEWEB)

    Fougere, F.; Desbois, J.

    1993-12-31

    The joint probability law of the principal moments of inertia of Brownian paths (open or closed) is computed, using constrained path integrals and Random Matrix Theory. The case of two-dimensional paths is discussed in detail. In particular, it is shown that the ratio of the average values of the largest and smallest moments is equal to 4.99 (open paths) and 3.07 (closed paths). Results of numerical simulations are also presented, which include investigation of the relationships between the moments of inertia and the arithmetic area enclosed by a path. (authors) 28 refs., 2 figs.

  15. Algebraic and arithmetic area for m planar Brownian paths

    International Nuclear Information System (INIS)

    The leading and next to leading terms of the average arithmetic area (S(m)) enclosed by m→∞ independent closed Brownian planar paths, with a given length t and starting from and ending at the same point, are calculated. The leading term is found to be (S(m)) ∼ (πt/2)lnm and the 0-winding sector arithmetic area inside the m paths is subleading in the asymptotic regime. A closed form expression for the algebraic area distribution is also obtained and discussed

  16. Brownian dynamics in a confined geometry. Experiments and numerical simulations

    OpenAIRE

    Garnier, Nicolas; Ostrowsky, N.

    1991-01-01

    The Brownian dynamics of a colloidal suspension is measured in the immediate vicinity of a rigid surface by the Evanescent Quasielastic Light Scattering Technique. A net decrease of the measured diffusion coefficient is observed, due to the hydrodynamic slowing down of the particles very close to the wall. This effect is all the more important when the particles are allowed to get closer to the wall, i.e. when the range of the static wall/particle repulsive interaction decreases. It thus prov...

  17. Asymmetrical Diffusion-Induced Directional Motion

    Institute of Scientific and Technical Information of China (English)

    BAO Jing-Dong; WANG Hai-Yan; SONG Yan-Li

    2004-01-01

    Competition between anomalous diffusion and normal diffusion along two different directions of the track for a Brownian motor, combined with a periodic potential flashing, can lead to a macroscopic motion. The current is calculated analytically by using the Astumian-Bier's approach of the step number per cycle. It is shown that the direction of current occurs reversal for different waiting times of the potential off and the magnitude of current is prominently enhanced. Moreover, a thermal "green" noise is proposed to produce the ballistic diffusion, numerical simulations for the average velocity of the particle in the presence of ballistic and normal diffusions support the present theoretical findings.

  18. Heat distribution function for motion in a general potential at low temperature

    DEFF Research Database (Denmark)

    Fogedby, Hans; Imparato, Alberto

    2009-01-01

    We consider the 1D motion of an over-damped Brownian particle in a general potential in the low temperature limit. We derive an explicit expression for the probability distribution for the heat transferred to the particle. We find that the local minima in the potential yield divergent side bands in...

  19. Thermodynamic characteristics of a Brownian heat pump in a spatially periodic temperature field

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    This paper has studied the thermodynamic performance of a thermal Brownian heat pump,which consists of Brownian particles moving at a periodic sawtooth potential with external forces and contacting with the alternating hot and cold reservoirs along the space coordinate.The heat flows driven by both potential and kinetic energies are taken into account.The analytical expressions for the heating load,coefficient of performance(COP) and power input of the Brownian heat pump are derived and the performance characteristics are obtained by numerical calculations.It is shown that due to the heat flow via the change of kinetic energy of the particles,the Brownian heat pump is always irreversible and the COP can never attain the Carnot COP.The study has also investigated the influences of the operating parameters,i.e.the external force,barrier height of the potential,asymmetry of the sawtooth potential and temperature ratio of the heat reservoirs,on the performance of the Brownian heat pump.The effective regions of external force and barrier height of the potential in which the Brownian motor can operates as a heat pump are determined.The results show that the performance of the Brownian heat pump greatly depends on the parameters;if the parameters are properly chosen,the Brownian heat pump may be controlled to operate in the optimal regimes.

  20. A Second-Order Stochastic Leap-Frog Algorithm for Multiplicative Noise Brownian Motion

    CERN Document Server

    Qiang, J; Qiang, Ji; Habib, Salman

    1999-01-01

    A stochastic leap-frog algorithm for the numerical integration of Brownianmotion stochastic differential equations with multiplicative noise is proposedand tested. The algorithm has a second-order convergence of moments in a finitetime interval and requires the sampling of only one uniformly distributedrandom variable per time step. The noise may be white or colored. We apply thealgorithm to a study of the approach towards equilibrium of an oscillatorcoupled nonlinearly to a heat bath and investigate the effect of themultiplicative noise (arising from the nonlinear coupling) on the relaxationtime. This allows us to test the regime of validity of the energy-envelopeapproximation method.