WorldWideScience

Sample records for brownian motion

  1. 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.

  2. 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.

  3. 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.

  4. 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.

  5. 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...

  6. Brownian motion from molecular dynamics

    CERN Document Server

    Shin, Hyun Kyung; Talkner, Peter; Lee, Eok Kyun

    2010-01-01

    Brownian motion of single particles with various masses M and diameters D is studied by molecular dynamics simulations. Besides the momentum auto-correlation function of the Brownian particle the memory function and the fluctuating force which enter the generalized Langevin equation of the Brownian particle are determined and their dependence on mass and diameter are investigated for two different fluid densities. Deviations of the fluctuating force distribution from a Gaussian form are observed for small particle diameters. For heavy particles the deviations of the fluctuating force from the total force acting on the Brownian particle decrease linearly with the mass ratio m/M where m denotes the mass of a fluid particle.

  7. Brownian Motion and General Relativity

    CERN Document Server

    O'Hara, Paul

    2013-01-01

    We construct a model of Brownian Motion on a pseudo-Riemannian manifold associated with general relativity. 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, we can associate various distributions with the motion. We will find that the statistics of space-time events will obey a temperature dependent four dimensional Gaussian distribution defined over the quaternions which locally can be identified with Minkowski space. Analogously, the statistics of the 4-velocities will obey a kind of Maxwell-Juttner distribution. In contrast to previous work, our processes are characterized by two independent proper 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 th...

  8. 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.

  9. 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...

  10. 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...

  11. 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.

  12. 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.

  13. Generalized functionals of Brownian motion

    Directory of Open Access Journals (Sweden)

    N. U. Ahmed

    1994-01-01

    Full Text Available In this paper we discuss some recent developments in the theory of generalized functionals of Brownian motion. First we give a brief summary of the Wiener-Ito multiple Integrals. We discuss some of their basic properties, and related functional analysis on Wiener measure space. then we discuss the generalized functionals constructed by Hida. The generalized functionals of Hida are based on L2-Sobolev spaces, thereby, admitting only Hs, s∈R valued kernels in the multiple stochastic integrals. These functionals are much more general than the classical Wiener-Ito class. The more recent development, due to the author, introduces a much more broad class of generalized functionals which are based on Lp-Sobolev spaces admitting kernels from the spaces p,s, s∈R. This allows analysis of a very broad class of nonlinear functionals of Brownian motion, which can not be handled by either the Wiener-Ito class or the Hida class. For s≤0, they represent generalized functionals on the Wiener measure space like Schwarz distributions on finite dimensional spaces. In this paper we also introduce some further generalizations, and construct a locally convex topological vector space of generalized functionals. We also present some discussion on the applications of these results.

  14. 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.

  15. Brownian motion in AdS/CFT

    NARCIS (Netherlands)

    de Boer, J.; Hubeny, V.E.; Rangamani, M.; Shigemori, M.

    2009-01-01

    We study Brownian motion and the associated Langevin equation in AdS/CFT. The Brownian particle is realized in the bulk spacetime as a probe fundamental string in an asymptotically AdS black hole background, stretching between the AdS boundary and the horizon. The modes on the string are excited by

  16. 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.

  17. 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...

  18. Simulations of magnetic nanoparticle Brownian motion.

    Science.gov (United States)

    Reeves, Daniel B; Weaver, John B

    2012-12-15

    Magnetic nanoparticles are useful in many medical applications because they interact with biology on a cellular level thus allowing microenvironmental investigation. An enhanced understanding of the dynamics of magnetic particles may lead to advances in imaging directly in magnetic particle imaging or through enhanced MRI contrast and is essential for nanoparticle sensing as in magnetic spectroscopy of Brownian motion. Moreover, therapeutic techniques like hyperthermia require information about particle dynamics for effective, safe, and reliable use in the clinic. To that end, we have developed and validated a stochastic dynamical model of rotating Brownian nanoparticles from a Langevin equation approach. With no field, the relaxation time toward equilibrium matches Einstein's model of Brownian motion. In a static field, the equilibrium magnetization agrees with the Langevin function. For high frequency or low amplitude driving fields, behavior characteristic of the linearized Debye approximation is reproduced. In a higher field regime where magnetic saturation occurs, the magnetization and its harmonics compare well with the effective field model. On another level, the model has been benchmarked against experimental results, successfully demonstrating that harmonics of the magnetization carry enough information to infer environmental parameters like viscosity and temperature.

  19. Performance of Brownian-motion-generated universal portfolios

    Science.gov (United States)

    Tan, Choon Peng; Pang, Sook Theng

    2014-06-01

    Investment in a market of m stocks is considered. Generating a universal portfolio using m independent Brownian motions is demonstrated. The asymptotic behaviour of a Brownian-motion-generated universal portfolio is described. The empirical performance of such portfolios on some selected three-stock data sets is analysed. Investment wealth can be increased by varying the drift coefficients or parameters of the Brownian motions.

  20. The Isolation Time of Poisson Brownian motions

    CERN Document Server

    Peres, Yuval; Stauffer, Alexandre

    2011-01-01

    Let the nodes of a Poisson point process move independently in $\\R^d$ according to Brownian motions. We study the isolation time for a target particle that is placed at the origin, namely how long it takes until there is no node of the Poisson point process within distance $r$ of it. We obtain asymptotics for the tail probability which are tight up to constants in the exponent in dimension $d\\geq 3$ and tight up to logarithmic factors in the exponent for dimensions $d=1,2$.

  1. Quantum Darwinism in Quantum Brownian Motion

    Science.gov (United States)

    Blume-Kohout, Robin; Zurek, Wojciech H.

    2008-12-01

    Quantum Darwinism—the redundant encoding of information about a decohering system in its environment—was proposed to reconcile the quantum nature of our Universe with apparent classicality. We report the first study of the dynamics of quantum Darwinism in a realistic model of decoherence, quantum Brownian motion. Prepared in a highly squeezed state—a macroscopic superposition—the system leaves records whose redundancy increases rapidly with initial delocalization. Redundancy appears rapidly (on the decoherence time scale) and persists for a long time.

  2. LINEAR SEARCH FOR A BROWNIAN TARGET MOTION

    Institute of Scientific and Technical Information of China (English)

    A. B. El-Rayes; Abd El-Moneim A. Mohamed; Hamdy M. Abou Gabal

    2003-01-01

    A target is assumed to move according to a Brownian motion on the real line.The searcher starts from the origin and moves in the two directions from the starting point.The object is to detect the target.The purpose of this paper is to find the conditions under which the expected value of the first meeting time of the searcher and the target is finite,and to show the existence of a search plan which made this expected value minimum.

  3. Brownian Motion and its Conditional Descendants

    Science.gov (United States)

    Garbaczewski, Piotr

    It happened before [1] that I have concluded my publication with a special dedication to John R. Klauder. Then, the reason was John's PhD thesis [2] and the questions (perhaps outdated in the eyes of the band-wagon jumpers, albeit still retaining their full vitality [3]): (i) What are the uses of the classical (c-number, non-Grassmann) spinor fields, especially nonlinear ones, what are they for at all ? (ii) What are, if any, the classical partners for Fermi models and fields in particular ? The present dedication, even if not as conspicuously motivated as the previous one by John's research, nevertheless pertains to investigations pursued by John through the years and devoted to the analysis of random noise. Sometimes, re-reading old papers and re-analysing old, frequently forgotten ideas might prove more rewarding than racing the fashions. Following this attitude, let us take as the departure point Schrödinger's original suggestion [4] of the existence of a special class of random processes, which have their origin in the Einstein-Smoluchowski theory of the Brownian motion and its Wiener's codification. The original analysis due to Schrodinger of the probabilistic significance of the heat equation and of its time adjoint in parallel, remained unnoticed by the physics community, and since then forgotten. It reappeared however in the mathematical literature as an inspiration to generalise the concept of Markovian diffusions to the case of Bernstein stochastic processes. But, it stayed without consequences for a deeper understanding of the possible physical phenomena which might underly the corresponding abstract formalism. Schrödinger's objective was to initiate investigations of possible links between quantum theory and the theory of Brownian motion, an attempt which culminated later in the so-called Nelson's stochastic mechanics [8] and its encompassing formalism [7] in which the issue of the Brownian implementation of quantum dynamics is placed in the

  4. Inducing Tropical Cyclones to Undergo Brownian Motion

    Science.gov (United States)

    Hodyss, D.; McLay, J.; Moskaitis, J.; Serra, E.

    2014-12-01

    Stochastic parameterization has become commonplace in numerical weather prediction (NWP) models used for probabilistic prediction. Here, a specific stochastic parameterization will be related to the theory of stochastic differential equations and shown to be affected strongly by the choice of stochastic calculus. From an NWP perspective our focus will be on ameliorating a common trait of the ensemble distributions of tropical cyclone (TC) tracks (or position), namely that they generally contain a bias and an underestimate of the variance. With this trait in mind we present a stochastic track variance inflation parameterization. This parameterization makes use of a properly constructed stochastic advection term that follows a TC and induces its position to undergo Brownian motion. A central characteristic of Brownian motion is that its variance increases with time, which allows for an effective inflation of an ensemble's TC track variance. Using this stochastic parameterization we present a comparison of the behavior of TCs from the perspective of the stochastic calculi of Itô and Stratonovich within an operational NWP model. The central difference between these two perspectives as pertains to TCs is shown to be properly predicted by the stochastic calculus and the Itô correction. In the cases presented here these differences will manifest as overly intense TCs, which, depending on the strength of the forcing, could lead to problems with numerical stability and physical realism.

  5. The Fractional Langevin Equation: Brownian Motion Revisited

    CERN Document Server

    Mainardi, Francesco

    2008-01-01

    We have revisited the Brownian motion on the basis of the fractional Langevin equation which turns out to be a particular case of the generalized Langevin equation introduced by Kubo on 1966. The importance of our approach is to model the Brownian motion more realistically than the usual one based on the classical Langevin equation, in that it takes into account also the retarding effects due to hydrodynamic backflow, i.e. the added mass and the Basset memory drag. On the basis of the two fluctuation-dissipation theorems and of the techniques of the Fractional Calculus we have provided the analytical expressions of the correlation functions (both for the random force and the particle velocity) and of the mean squared particle displacement. The random force has been shown to be represented by a superposition of the usual white noise with a "fractional" noise. The velocity correlation function is no longer expressed by a simple exponential but exhibits a slower decay, proportional to $t^{-3/2}$ as $t \\to \\infty...

  6. Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

    Science.gov (United States)

    2014-10-09

    motions and other stochastic processes. For the control of both continuous time and discrete time finite dimensional linear systems with quadratic...problems for stochastic partial differential equations driven by fractional Brownian motions are explicitly solved. For the control of a continuous time...2010 30-Jun-2014 Approved for Public Release; Distribution Unlimited Final Report: Optimal Control of Stochastic Systems Driven by Fractional Brownian

  7. Parallel Molecular Distributed Detection with Brownian Motion.

    Science.gov (United States)

    Rogers, Uri; Koh, Min-Sung

    2016-12-05

    This paper explores the in vivo distributed detection of an undesired biological agent's (BAs) biomarkers by a group of biological sized nanomachines in an aqueous medium under drift. The term distributed, indicates that the system information relative to the BAs presence is dispersed across the collection of nanomachines, where each nanomachine possesses limited communication, computation, and movement capabilities. Using Brownian motion with drift, a probabilistic detection and optimal data fusion framework, coined molecular distributed detection, will be introduced that combines theory from both molecular communication and distributed detection. Using the optimal data fusion framework as a guide, simulation indicates that a suboptimal fusion method exists, allowing for a significant reduction in implementation complexity while retaining BA detection accuracy.

  8. Lecture Notes on Quantum Brownian Motion

    CERN Document Server

    Erdos, Laszlo

    2010-01-01

    Einstein's kinetic theory of the Brownian motion, based upon light water molecules continuously bombarding a heavy pollen, provided an explanation of diffusion from the Newtonian mechanics. Since the discovery of quantum mechanics it has been a challenge to verify the emergence of diffusion from the Schr\\"odinger equation. The first step in this program is to verify the linear Boltzmann equation as a certain scaling limit of a Schr\\"odinger equation with random potential. In the second step, one considers a longer time scale that corresponds to infinitely many Boltzmann collisions. The intuition is that the Boltzmann equation then converges to a diffusive equation similarly to the central limit theorem for Markov processes with sufficient mixing. In these lecture notes (prepared for the Les Houches summer school in 2010 August) we present the mathematical tools to rigorously justify this intuition. The new material relies on joint papers with H.-T. Yau and M. Salmhofer.

  9. 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.

  10. Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions

    Directory of Open Access Journals (Sweden)

    Pengju Duan

    2013-01-01

    Full Text Available This paper deals with a new class of reflected backward stochastic differential equations driven by countable Brownian motions. The existence and uniqueness of the RBSDEs are obtained via Snell envelope and fixed point theorem.

  11. 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.

  12. Brownian Motion of a Classical Particle in Quantum Environment

    OpenAIRE

    Tsekov, R.

    2017-01-01

    The Klein-Kramers equation, governing the Brownian motion of a classical particle in quantum environment under the action of an arbitrary external potential, is derived. Quantum temperature and friction operators are introduced and at large friction the corresponding Smoluchowski equation is obtained. Introducing the Bohm quantum potential, this Smoluchowski equation is extended to describe the Brownian motion of a quantum particle in quantum environment.

  13. Langevin model for a Brownian system with directed motion

    Science.gov (United States)

    Ambía, Francisco; Híjar, Humberto

    2016-08-01

    We propose a model for an active Brownian system that exhibits one-dimensional directed motion. This system consists of two Brownian spherical particles that interact through an elastic potential and have time-dependent radii. We suggest an algorithm by which the sizes of the particles can be varied, such that the center of mass of the system is able to move at an average constant speed in one direction. The dynamics of the system is studied theoretically using a Langevin model, as well as from Brownian Dynamics simulations.

  14. 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.

  15. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Atmaja, Ardian Nata [Research Center for Physics, Indonesian Institute of Sciences (LIPI), Kompleks PUSPITEK Serpong, Tangerang 15310 (Indonesia); Indonesia Center for Theoretical and Mathematical Physics (ICTMP), Bandung 40132 (Indonesia); Boer, Jan de [Institute for Theoretical Physics, University of Amsterdam, Valckenierstraat 65, 1018 XE Amsterdam (Netherlands); Shigemori, Masaki [Yukawa Institute for Theoretical Physics (YITP), Kyoto University, Kitashirakawa Oiwakecho, Sakyo-ku, Kyoto 606-8502 (Japan); Hakubi Center, Kyoto University, Yoshida-Ushinomiyacho, Sakyo-ku, Kyoto 606-8501 (Japan)

    2014-03-15

    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. Based on a simple kinetic theory, we first argue that the mean-free-path time is related to the connected 4-point function of the random force felt by the Brownian particle. Then, by holographically computing the 4-point function and regularizing the IR divergence appearing in the computation, we write down a general formula for the mean-free-path time, and apply it to the STU black hole which corresponds to plasma charged under three U(1)R-charges. The result indicates that the Brownian particle collides with many plasma constituents simultaneously.

  17. 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 ...

  18. 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.

  19. Wrapping Brownian motion and heat kernels I: compact Lie groups

    CERN Document Server

    Maher, David G

    2010-01-01

    An important object of study in harmonic analysis is the heat equation. On a Euclidean space, the fundamental solution of the associated semigroup is known as the heat kernel, which is also the law of Brownian motion. Similar statements also hold in the case of a Lie group. By using the wrapping map of Dooley and Wildberger, we show how to wrap a Brownian motion to a compact Lie group from its Lie algebra (viewed as a Euclidean space) and find the heat kernel. This is achieved by considering It\\^o type stochastic differential equations and applying the Feynman-Ka\\v{c} theorem.

  20. Brownian motion of solitons in a Bose-Einstein condensate.

    Science.gov (United States)

    Aycock, Lauren M; Hurst, Hilary M; Efimkin, Dmitry K; Genkina, Dina; Lu, Hsin-I; Galitski, Victor M; Spielman, I B

    2017-03-07

    We observed and controlled the Brownian motion of solitons. We launched solitonic excitations in highly elongated [Formula: see text] Bose-Einstein condensates (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 (1D), 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-1D scattering theory of impurity atoms interacting with a soliton, giving diffusion coefficients consistent with experiment.

  1. 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...

  2. 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.

  3. 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...

  4. Two-sided reflection of Markov-modulated Brownian motion

    NARCIS (Netherlands)

    D'Auria, B.; Ivanovs, J.; Kella, O.; Mandjes, M.

    2012-01-01

    This article considers a Markov-modulated Brownian motion with a two-sided reflection. For this doubly-reflected process we compute the Laplace transform of the stationary distribution, as well as the average loss rates at both barriers. Our approach relies on spectral properties of the matrix polyn

  5. Wrapping Brownian motion and heat kernels II: symmetric spaces

    CERN Document Server

    Maher, David G

    2010-01-01

    In this paper we extend our previous results on wrapping Brownian motion and heat kernels onto compact Lie groups to various symmetric spaces, where a global generalisation of Rouvi\\`ere's formula and the $e$-function are considered. Additionally, we extend some of our results to complex Lie groups, and certain non-compact symmetric spaces.

  6. Distribution of maximum loss of fractional Brownian motion with drift

    OpenAIRE

    Çağlar, Mine; Vardar-Acar, Ceren

    2013-01-01

    In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t.

  7. 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.

  8. The genealogy of extremal particles of Branching Brownian Motion

    CERN Document Server

    Arguin, Louis-Pierre; Kistler, Nicola

    2010-01-01

    Branching Brownian Motion describes a system of particles which diffuse in space and split into offsprings according to a certain random mechanism. In virtue of the groundbreaking work by M. Bramson on the convergence of solutions of the Fisher-KPP equation to traveling waves, the law of the rightmost particle in the limit of large times is rather well understood. In this work, we address the full statistics of the extremal particles (first-, second-, third- etc. largest). In particular, we prove that in the large $t-$limit, such particles descend with overwhelming probability from ancestors having split either within a distance of order one from time $0$, or within a distance of order one from time $t$. The approach relies on characterizing, up to a certain level of precision, the paths of the extremal particles. As a byproduct, a heuristic picture of Branching Brownian Motion ``at the edge'' emerges, which sheds light on the still unknown limiting extremal process.

  9. On a nonstandard Brownian motion and its maximal function

    Science.gov (United States)

    Andrade, Bernardo B. de

    2015-07-01

    This article uses Radically Elementary Probability Theory (REPT) to prove results about the Wiener walk (the radically elementary Brownian motion) without the technical apparatus required by stochastic integration. The techniques used replace measure-theoretic tools by discrete probability and the rigorous use of infinitesimals. Specifically, REPT is applied to the results in Palacios (The American Statistician, 2008) to calculate certain expectations related to the Wiener walk and its maximal function. Because Palacios uses mostly combinatorics and no measure theory his results carry over through REPT with minimal changes. The paper also presents a construction of the Wiener walk which is intended to mimic the construction of Brownian motion from "continuous" white noise. A brief review of the nonstandard model on which REPT is based is given in the Appendix in order to minimize the need for previous exposure to the subject.

  10. Quantum and classical correlations in quantum Brownian motion

    OpenAIRE

    Eisert, J; Plenio, M. B.

    2001-01-01

    We investigate the entanglement properties of the joint state of a distinguished quantum system and its environment in the quantum Brownian motion model. This model is a frequent starting point for investigations of environment-induced superselection. Using recent methods from quantum information theory, we show that there exists a large class of initial states for which no entanglement will be created at all times between the system of salient interest and the environment. If the distinguish...

  11. Free Energies and Fluctuations for the Unitary Brownian Motion

    Science.gov (United States)

    Dahlqvist, Antoine

    2016-12-01

    We show that the Laplace transforms of traces of words in independent unitary Brownian motions converge towards an analytic function on a non trivial disc. These results allow one to study the asymptotic behavior of Wilson loops under the unitary Yang-Mills measure on the plane with a potential. The limiting objects obtained are shown to be characterized by equations analogue to Schwinger-Dyson's ones, named here after Makeenko and Migdal.

  12. Analytical studies of Spectrum Broadcast Structures in Quantum Brownian Motion

    OpenAIRE

    2016-01-01

    Spectrum Broadcast Structures are a new and fresh concept in the quantum-to-classical transition, introduced recently in the context of decoherence and the appearance of objective features in quantum mechanics. These are specific quantum state structures, responsible for an apparent objectivity of a decohered state of a system. Recently they have been shown to appear in the well known Quantum Brownian Motion model, however the final analysis relied on numerics. Here, after a presentation of t...

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

    DEFF Research Database (Denmark)

    Høg, Esben; Frederiksen, Per; Schiemert, Daniel

    of the state variables instead of standard Brownian motions. This is a new direction in pricing non defaultable bonds. By extending the theory developed by Dippon & Schiemert (2006a), the paper developes a bond market with memory, and proves the absence of arbitrage. The framework is readily extendable...... to other markets or multi factors. As a complement the paper shows an example of how to derive the implied bond pricing parameters using the ordinary Kalman filter....

  14. The frustrated Brownian motion of nonlocal solitary waves

    CERN Document Server

    Folli, Viola

    2010-01-01

    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 non-paraxial effects. Analytical predictions are compared with numerical simulations based on stochastic partial differential equation

  15. On the Spectral Gap of Brownian Motion with Jump Boundary

    CERN Document Server

    Kolb, Martin

    2011-01-01

    In this paper we consider the Brownian motion with jump boundary and present a new proof of a recent result of Li, Leung and Rakesh concerning the exact convergence rate in the one-dimensional case. Our methods are different and mainly probabilistic relying on coupling methods adapted to the special situation under investigation. Moreover, we answer a question raised by Ben-Ari and Pinsky concerning the dependence of the spectral gap on the jump distribution in a multi-dimensional setting.

  16. Coupling of Brownian motions and Perelman's L-functional

    CERN Document Server

    Kuwada, Kazumasa

    2010-01-01

    We show that on a manifold whose Riemannian metric evolves under backwards Ricci flow two Brownian motions can be coupled in such a way that the expectation of their normalized L-distance is non-increasing. As an immediate corollary we obtain a new proof of a recent result of Topping (J. reine angew. Math. 636 (2009), 93-122), namely that the normalized L-transportation cost between two solutions of the heat equation is non-increasing as well.

  17. Fractional Brownian motions: memory, diffusion velocity, and correlation functions

    Science.gov (United States)

    Fuliński, A.

    2017-02-01

    Fractional Brownian motions (FBMs) have been observed recently in the measured trajectories of individual molecules or small particles in the cytoplasm of living cells and in other dense composite systems, among others. Various types of FBMs differ in a number of ways, including the strength, range and type of damping of the memory encoded in their definitions, but share several basic characteristics: distributions, non-ergodic properties, and scaling of the second moment, which makes it difficult to determine which type of Brownian motion (fractional or normal) the measured trajectory belongs to. Here, we show, by introducing FBMs with regulated range and strength of memory, that it is the structure of memory which determines their physical properties, including mean velocity of diffusion; therefore, the course and kinetics of several processes (including coagulation and some chemical reactions). We also show that autocorrelation functions possess characteristic features which enable identification of an observed FBM, and of the type of memory governing its trajectory. In memoriam Marian Smoluchowski, on the 100th anniversary of the publication of his seminal papers on Brownian motion and diffusion-limited kinetics.

  18. Reflected Brownian motions in the KPZ universality class

    CERN Document Server

    Weiss, Thomas; Spohn, Herbert

    2017-01-01

    This book presents a detailed study of a system of interacting Brownian motions in one dimension. The interaction is point-like such that the n-th Brownian motion is reflected from the Brownian motion with label n-1. This model belongs to the Kardar-Parisi-Zhang (KPZ) universality class. In fact, because of the singular interaction, many universal properties can be established with rigor. They depend on the choice of initial conditions. Discussion addresses packed and periodic initial conditions (Chapter 5), stationary initial conditions (Chapter 6), and mixtures thereof (Chapter 7). The suitably scaled spatial process will be proven to converge to an Airy process in the long time limit. A chapter on determinantal random fields and another one on Airy processes are added to have the notes self-contained. These notes serve as an introduction to the KPZ universality class, illustrating the main concepts by means of a single model only. The notes will be of interest to readers from interacting diffusion processe...

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

    Directory of Open Access Journals (Sweden)

    Mees Muller

    Full Text Available 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 (< 10 μm vs. <400 nm. We have developed biomechanical models of vertebrate hair cells where the bundle is approximated as a stiff, cylindrical elastic rod subject to friction and thermal agitation. Our models suggest that the above differences aid SCC hair cells in circumventing the masking effects of Brownian motion noise of about 70 nm, and thereby permit transduction of very low frequency (<10 Hz signals. We observe that very low frequency mechanoreception requires increased stimulus amplitude, and argue that this is adaptive to circumvent Brownian motion overload at the hair bundles. We suggest that the selective advantage of detecting such low frequency stimuli may have favoured the evolution of large guiding structures such as semicircular canals and otoliths to overcome Brownian Motion noise at the level of the mechanoreceptors of the SCC.

  20. A discrete impulsive model for random heating and Brownian motion

    Science.gov (United States)

    Ramshaw, John D.

    2010-01-01

    The energy of a mechanical system subjected to a random force with zero mean increases irreversibly and diverges with time in the absence of friction or dissipation. This random heating effect is usually encountered in phenomenological theories formulated in terms of stochastic differential equations, the epitome of which is the Langevin equation of Brownian motion. We discuss a simple discrete impulsive model that captures the essence of random heating and Brownian motion. The model may be regarded as a discrete analog of the Langevin equation, although it is developed ab initio. Its analysis requires only simple algebraic manipulations and elementary averaging concepts, but no stochastic differential equations (or even calculus). The irreversibility in the model is shown to be a consequence of a natural causal stochastic condition that is closely analogous to Boltzmann's molecular chaos hypothesis in the kinetic theory of gases. The model provides a simple introduction to several ostensibly more advanced topics, including random heating, molecular chaos, irreversibility, Brownian motion, the Langevin equation, and fluctuation-dissipation theorems.

  1. 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...

  2. Transient aging in fractional Brownian and Langevin-equation motion.

    Science.gov (United States)

    Kursawe, Jochen; Schulz, Johannes; Metzler, Ralf

    2013-12-01

    Stochastic processes driven by stationary fractional Gaussian noise, that is, fractional Brownian motion and fractional Langevin-equation motion, are usually considered to be ergodic in the sense that, after an algebraic relaxation, time and ensemble averages of physical observables coincide. Recently it was demonstrated that fractional Brownian motion and fractional Langevin-equation motion under external confinement are transiently nonergodic-time and ensemble averages behave differently-from the moment when the particle starts to sense the confinement. Here we show that these processes also exhibit transient aging, that is, physical observables such as the time-averaged mean-squared displacement depend on the time lag between the initiation of the system at time t=0 and the start of the measurement at the aging time t(a). In particular, it turns out that for fractional Langevin-equation motion the aging dependence on t(a) is different between the cases of free and confined motion. We obtain explicit analytical expressions for the aged moments of the particle position as well as the time-averaged mean-squared displacement and present a numerical analysis of this transient aging phenomenon.

  3. Fractional Brownian motion and motion governed by the fractional Langevin equation in confined geometries.

    Science.gov (United States)

    Jeon, Jae-Hyung; Metzler, Ralf

    2010-02-01

    Motivated by subdiffusive motion of biomolecules observed in living cells, we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and restricted to a finite domain. We investigate by analytic calculations and simulations how time-averaged observables (e.g., the time-averaged mean-squared displacement and displacement correlation) are affected by spatial confinement and dimensionality. In particular, we study the degree of weak ergodicity breaking and scatter between different single trajectories for this confined motion in the subdiffusive domain. The general trend is that deviations from ergodicity are decreased with decreasing size of the movement volume and with increasing dimensionality. We define the displacement correlation function and find that this quantity shows distinct features for fractional Brownian motion, fractional Langevin equation, and continuous time subdiffusion, such that it appears an efficient measure to distinguish these different processes based on single-particle trajectory data.

  4. Hausdorff measures of the image, graph and level set of bifractional Brownian motion

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    Let BH,K = {BH,K(t), t ∈ R+} be a bifractional Brownian motion in Rd. This process is a selfsimilar Gaussian process depending on two parameters H and K and it constitutes a natural generalization of fractional Brownian motion (which is obtained for K = 1). The exact Hausdorff measures of the image, graph and the level set of BH,K are investigated. The results extend the corresponding results proved by Talagrand and Xiao for fractional Brownian motion.

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

    CERN Document Server

    Azmoodeh, Ehsan; 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.

  6. Convergence in Law to Operator Fractional Brownian Motion of Riemann-Liouville Type

    Institute of Scientific and Technical Information of China (English)

    Hong Shuai DAI

    2013-01-01

    In this paper,we extend the well-studied fractional Brownian motion of Riemann-Liouville type to the multivariate case,and the corresponding processes are called operator fractional Brownian motions of Riemann-Liouville type.We also provide two results on approximation to operator fractional Brownian motions of Riemann-Liouville type.The first approximation is based on a Poisson process,and the second one is based on a sequence of I.I.D.random variables.

  7. 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.

  8. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Wang, Gaoyuan; Battefeld, Thorsten [Institute for Astrophysics, University of Goettingen,Friedrich Hund Platz 1, D-37077 Goettingen (Germany)

    2016-09-05

    We develope a computationally efficient extension of the Dyson Brownian Motion (DBM) algorithm to generate random function in C{sup 2} 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. Non-Markovian quantum Brownian motion of a harmonic oscillator

    Energy Technology Data Exchange (ETDEWEB)

    Tang, J.

    1994-02-01

    We apply the density-matrix method to the study of quantum Brownian motion of a harmonic oscillator coupled to a heat bath, a system investigated previously by Caldeira and Leggett using a different method. Unlike the earlier work, in our derivation of the master equation the non-Markovian terms are maintained. Although the same model of interaction is used, discrepancy is found between their results and our equation in the Markovian limit. We also point out that the particular interaction model used by both works cannot lead to the phenomenological generalized Langevin theory of Kubo.

  11. 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.

  12. Isolated zeros for Brownian motion with variable drift

    CERN Document Server

    Antunović, Tonći; Peres, Yuval; Ruscher, Julia

    2010-01-01

    It is well known that standard one-dimensional Brownian motion B(t) has no isolated zeros almost surely. We show that for any alpha<1/2 there are alpha-H\\"older continuous functions f(t) for which the process B(t)-f(t) has isolated zeros with positive probability. We also prove that for any f(t), the zero set of B(t)-f(t) has Hausdorff dimension at least 1/2 with positive probability, and 1/2 is an upper bound if f(t) is 1/2-H\\"older continuous or of bounded variation.

  13. 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.

  14. 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.

  15. Whitening filter and innovational representation of fractional Brownian motion

    Energy Technology Data Exchange (ETDEWEB)

    Wang Xiaotian [School of Mathematical sciences, South China University of Technology, Guangzhou 510640 (China)], E-mail: swa001@126.com; Wu Min [School of Mathematical sciences, South China University of Technology, Guangzhou 510640 (China)

    2009-03-15

    In this paper, by means of fractional differential-integral technique we give a new whitening filter formula for fractional Brownian motion defined by Mandelbrot and van Ness [Mandelbrot BB, van Ness JW. SIAM Rev 1968;10(4):422]. This new formula has potential use in time series analysis and in detecting signals as Barton and Vincent Poor [Barton RJ, Vincent Poor H. IEEE Trans Inform Theory 1988;34(5):943] have shown. Another potential application of it is behavioral finance, where the arbitrage opportunities that come from the reversal effect of stock returns, can be eliminated by such a formula.

  16. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Zunino, L. [Centro de Investigaciones Opticas, C.C. 124 Correo Central, 1900 La Plata (Argentina); Departamento de Ciencias Basicas, Facultad de Ingenieria, Universidad Nacional de La Plata (UNLP), 1900 La Plata (Argentina); Departamento de Fisica, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata (Argentina)], E-mail: lucianoz@ciop.unlp.edu.ar; Perez, D.G. [Instituto de Fisica, Pontificia Universidad Catolica de Valparaiso (PUCV), 23-40025 Valparaiso (Chile)], E-mail: dario.perez@ucv.cl; Martin, M.T. [Instituto de Fisica (IFLP), Facultad de Ciencias Exactas, Universidad Nacional de La Plata and Argentina' s National Council (CCT-CONICET), C.C. 727, 1900 La Plata (Argentina)], E-mail: mtmartin@fisica.unlp.edu.ar; Garavaglia, M. [Centro de Investigaciones Opticas, C.C. 124 Correo Central, 1900 La Plata (Argentina); Departamento de Fisica, Facultad de Ciencias Exactas, Universidad Nacional de La Plata, 1900 La Plata (Argentina)], E-mail: garavagliam@ciop.unlp.edu.ar; Plastino, A. [Instituto de Fisica (IFLP), Facultad de Ciencias Exactas, Universidad Nacional de La Plata and Argentina' s National Council (CCT-CONICET), C.C. 727, 1900 La Plata (Argentina)], E-mail: plastino@fisica.unlp.edu.ar; Rosso, O.A. [Centre for Bioinformatics, Biomarker Discovery and Information-Based Medicine, School of Electrical Engineering and Computer Science, The University of Newcastle, University Drive, Callaghan NSW 2308 (Australia); Chaos and Biology Group, Instituto de Calculo, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellon II, Ciudad Universitaria, 1428 Ciudad de Buenos Aires (Argentina)], E-mail: oarosso@fibertel.com.ar

    2008-06-30

    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.

  18. Karhunen-Loève Expansion for the Second Order Detrended Brownian Motion

    Directory of Open Access Journals (Sweden)

    Yongchun Zhou

    2014-01-01

    Full Text Available Based on the norm in the Hilbert Space L2[0,1], the second order detrended Brownian motion is defined as the orthogonal component of projection of the standard Brownian motion into the space spanned by nonlinear function subspace. Karhunen-Loève expansion for this process is obtained together with the relationship of that of a generalized Brownian bridge. As applications, Laplace transform, large deviation, and small deviation are given.

  19. Comment on 'Finding viscosity of liquids from Brownian motion at students' laboratory' and 'Brownian motion using video capture'

    Energy Technology Data Exchange (ETDEWEB)

    Greczylo, Tomasz; Debowska, Ewa [Institute of Experimental Physics, Wroclaw University, pl. Maxa Borna 9, 50-204 Wroclaw (Poland)

    2007-09-15

    The authors make comments and remarks on the papers by Salmon et al (2002 Eur. J. Phys. 23 249-53) and their own (2005 Eur. J. Phys. 26 827-33) concerning Brownian motion in two-dimensional space. New, corrected results of calculations and measurements for students' experiments on finding the viscosity of liquids from Brownian motion are presented. (letters and comments)

  20. 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…

  1. Linear filtering with fractional Brownian motion in the signal and observation processes

    Directory of Open Access Journals (Sweden)

    M. L. Kleptsyna

    1999-01-01

    Full Text Available Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1 and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.

  2. Probabilities on the Heisenberg group limit theorems and Brownian motion

    CERN Document Server

    Neuenschwander, Daniel

    1996-01-01

    The Heisenberg group comes from quantum mechanics and is the simplest non-commutative Lie group. While it belongs to the class of simply connected nilpotent Lie groups, it turns out that its special structure yields many results which (up to now) have not carried over to this larger class. This book is a survey of probabilistic results on the Heisenberg group. The emphasis lies on limit theorems and their relation to Brownian motion. Besides classical probability tools, non-commutative Fourier analysis and functional analysis (operator semigroups) comes in. The book is intended for probabilists and analysts interested in Lie groups, but given the many applications of the Heisenberg group, it will also be useful for theoretical phycisists specialized in quantum mechanics and for engineers.

  3. Semicircular canals circumvent Brownian Motion overload of mechanoreceptor hair cells

    DEFF Research Database (Denmark)

    Muller, Mees; Heeck, Kier; Elemans, Coen P H

    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 (hair cells where the bundle is approximated as a stiff, cylindrical elastic rod subject to friction and thermal agitation. Our models suggest that the above...... differences aid SCC hair cells in circumventing the masking effects of Brownian motion noise of about 70 nm, and thereby permit transduction of very low frequency (

  4. The genealogy of branching Brownian motion with absorption

    CERN Document Server

    Berestycki, Julien; Schweinsberg, Jason

    2010-01-01

    We consider a system of particles which perform branching Brownian motion with negative drift and are killed upon reaching zero, in the near-critical regime where the total population stays roughly constant with approximately N particles. We show that the characteristic time scale for the evolution of this population is of order (log N)^3, in the sense that when time is measured in these units, the scaled number of particles converges to a variant of Neveu's continuous-state branching process. Furthermore, the genealogy of the particles is then governed by a coalescent process known as the Bolthausen-Sznitman coalescent. This validates the non-rigorous predictions by Brunet, Derrida, Muller, and Munier for a closely related model.

  5. Brownian motion near a liquid-gas interface

    Science.gov (United States)

    Benavides-Parra, Juan Carlos; Jacinto-Méndez, Damián; Brotons, Guillaume; Carbajal-Tinoco, Mauricio D.

    2016-09-01

    By using digital video microscopy, we study the three-dimensional displacement of fluorescent colloidal particles that are located close to a water-air interface. Our technique takes advantage of the diffraction pattern generated by fluorescent spheres that are found below the focal plane of the microscope objective. By means of image analysis software, we are able to determine the spatial location of a few beads in a sequence of digital images, which allows us to reconstruct their trajectories. From their corresponding mean square displacements, we get the diffusion coefficients in the directions parallel and perpendicular to the interface. We find a qualitatively different kind of diffusion between the two directions, in agreement with theoretical predictions that are obtained from established models as well as our own proposals. Quite interesting, we observe the enhanced Brownian motion in the parallel direction.

  6. 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.

  7. Mean-squared-displacement statistical test for fractional Brownian motion

    Science.gov (United States)

    Sikora, Grzegorz; Burnecki, Krzysztof; Wyłomańska, Agnieszka

    2017-03-01

    Anomalous diffusion in crowded fluids, e.g., in cytoplasm of living cells, is a frequent phenomenon. A common tool by which the anomalous diffusion of a single particle can be classified is the time-averaged mean square displacement (TAMSD). A classical mechanism leading to the anomalous diffusion is the fractional Brownian motion (FBM). A validation of such process for single-particle tracking data is of great interest for experimentalists. In this paper we propose a rigorous statistical test for FBM based on TAMSD. To this end we analyze the distribution of the TAMSD statistic, which is given by the generalized chi-squared distribution. Next, we study the power of the test by means of Monte Carlo simulations. We show that the test is very sensitive for changes of the Hurst parameter. Moreover, it can easily distinguish between two models of subdiffusion: FBM and continuous-time random walk.

  8. Non-Markovian expansion in quantum Brownian motion

    Science.gov (United States)

    Fraga, Eduardo S.; Krein, Gastão; Palhares, Letícia F.

    2014-01-01

    We consider the non-Markovian Langevin evolution of a dissipative dynamical system in quantum mechanics in the path integral formalism. After discussing the role of the frequency cutoff for the interaction of the system with the heat bath and the kernel and noise correlator that follow from the most common choices, we derive an analytic expansion for the exact non-Markovian dissipation kernel and the corresponding colored noise in the general case that is consistent with the fluctuation-dissipation theorem and incorporates systematically non-local corrections. We illustrate the modifications to results obtained using the traditional (Markovian) Langevin approach in the case of the exponential kernel and analyze the case of the non-Markovian Brownian motion. We present detailed results for the free and the quadratic cases, which can be compared to exact solutions to test the convergence of the method, and discuss potentials of a general nonlinear form.

  9. Analytical studies of spectrum broadcast structures in quantum Brownian motion

    Science.gov (United States)

    Tuziemski, J.; Korbicz, J. K.

    2016-11-01

    Spectrum broadcast structures are a new and fresh concept in the quantum-to-classical transition, introduced recently in the context of decoherence and the appearance of objective features in quantum mechanics. These are specific quantum state structures, responsible for the objectivization of the decohered state of a system. Recently, they have been demonstrated by means of the well-known quantum Brownian motion model of the recoilless limit (infinitely massive central system), as the principal interest lies in information transfer from the system to the environment. However, a final analysis relied on numerics. Here, after a presentation of the main concepts, we perform analytical studies of the model, showing the timescales and the efficiency of the spectrum broadcast structure formation. We consider a somewhat simplified environment, being random with a uniform distribution of frequencies.

  10. Effects of Brownian motion on freezing of PCM containing nanoparticles

    Directory of Open Access Journals (Sweden)

    Abdollahzadeh Jamalabadi M.Y.

    2016-01-01

    Full Text Available Enhancement of thermal and heat transfer capabilities of phase change materials with addition of nanoparticles is reported. The mixed nanofluid of phase change material and nanoparticles presents a high thermal conductivity and low heat capacity and latent heat, in comparison with the base fluid. In order to present the thermophysical effects of nanoparticles, a solidification of nanofluid in a rectangular enclosure with natural convection induced by different wall temperatures is considered. The results show that the balance between the solidification acceleration by nanoparticles and slowing-down by phase change material gives rise to control the medium temperature. It indicates that this kind of mixture has great potential in various applications which requires temperature regulation. Also, the Brownian motion of nanoparticles enhances the convective heat transfer much more than the conductive transfer.

  11. Quantum Brownian motion near a point-like reflecting boundary

    CERN Document Server

    De Lorenci, V A; Silva, M M

    2014-01-01

    The Brownian motion of a test particle interacting with a quantum scalar field in the presence of a perfectly reflecting boundary is studied in (1 + 1)-dimensional flat spacetime. Particularly, the expressions for dispersions in velocity and position of the particle are explicitly derived and their behaviors examined. The results are similar to those corresponding to an electric charge interacting with a quantum electromagnetic field near a reflecting plane boundary, mainly regarding the divergent behavior of the dispersions at the origin (where the boundary is placed), and at the time interval corresponding to a round trip of a light pulse between the particle and the boundary. We close by addressing some effects of allowing the position of the particle to fluctuate.

  12. Brownian motion on Lie groups and open quantum systems

    Energy Technology Data Exchange (ETDEWEB)

    Aniello, P; Marmo, G; Ventriglia, F [Dipartimento di Scienze Fisiche dell' Universita di Napoli ' Federico II' and Istituto Nazionale di Fisica Nucleare (INFN), Sezione di Napoli, Complesso Universitario di Monte S. Angelo, via Cintia, I-80126 Napoli (Italy); Kossakowski, A, E-mail: paolo.aniello@na.infn.i, E-mail: kossak@fyzika.umk.p, E-mail: marmo@na.infn.i, E-mail: ventriglia@na.infn.i [MECENAS, Universita di Napoli ' Federico II' , via Mezzocannone 8, I-80134 Napoli (Italy)

    2010-07-02

    We study the twirling semigroups of (super) operators, namely certain quantum dynamical semigroups that are associated, in a natural way, with the pairs formed by a projective representation of a locally compact group and a convolution semigroup of probability measures on this group. The link connecting this class of semigroups of operators with (classical) Brownian motion is clarified. It turns out that every twirling semigroup associated with a finite-dimensional representation is a random unitary semigroup, and, conversely, every random unitary semigroup arises as a twirling semigroup. Using standard tools of the theory of convolution semigroups of measures and of convex analysis, we provide a complete characterization of the infinitesimal generator of a twirling semigroup associated with a finite-dimensional unitary representation of a Lie group.

  13. Brownian motion on Lie groups and open quantum systems

    Science.gov (United States)

    Aniello, P.; Kossakowski, A.; Marmo, G.; Ventriglia, F.

    2010-07-01

    We study the twirling semigroups of (super) operators, namely certain quantum dynamical semigroups that are associated, in a natural way, with the pairs formed by a projective representation of a locally compact group and a convolution semigroup of probability measures on this group. The link connecting this class of semigroups of operators with (classical) Brownian motion is clarified. It turns out that every twirling semigroup associated with a finite-dimensional representation is a random unitary semigroup, and, conversely, every random unitary semigroup arises as a twirling semigroup. Using standard tools of the theory of convolution semigroups of measures and of convex analysis, we provide a complete characterization of the infinitesimal generator of a twirling semigroup associated with a finite-dimensional unitary representation of a Lie group.

  14. Brownian motion on Lie groups and open quantum systems

    CERN Document Server

    Aniello, P; Marmo, G; Ventriglia, F

    2010-01-01

    We study the twirling semigroups of (super)operators, namely, certain quantum dynamical semigroups that are associated, in a natural way, with the pairs formed by a projective representation of a locally compact group and a convolution semigroup of probability measures on this group. The link connecting this class of semigroups of operators with (classical) Brownian motion is clarified. It turns out that every twirling semigroup associated with a finite-dimensional representation is a random unitary semigroup, and, conversely, every random unitary semigroup arises as a twirling semigroup. Using standard tools of the theory of convolution semigroups of measures and of convex analysis, we provide a complete characterization of the infinitesimal generator of a twirling semigroup associated with a finite-dimensional unitary representation of a Lie group.

  15. On the first-passage time of integrated Brownian motion

    Directory of Open Access Journals (Sweden)

    Christian H. Hesse

    2005-01-01

    Full Text Available Let (Bt;t≥0 be a Brownian motion process starting from B0=ν and define Xν(t=∫0tBsds. For a≥0, set τa,ν:=inf{t:Xν(t=a} (with inf φ=∞. We study the conditional moments of τa,ν given τa,ν<∞. Using martingale methods, stopping-time arguments, as well as the method of dominant balance, we obtain, in particular, an asymptotic expansion for the conditional mean E(τa,ν|τa,ν<∞ as ν→∞. Through a series of simulations, it is shown that a truncation of this expansion after the first few terms provides an accurate approximation to the unknown true conditional mean even for small ν.

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

    Institute of Scientific and Technical Information of China (English)

    Xu Sheng-Hua; Sun Zhi-Wei; Li Xu; Jin Tong Wang

    2012-01-01

    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 preikinetic and pure orthokinetic coagulations.By comparing the SOPC with pure preikinetic 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).

  17. 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.

  18. Biased Brownian motion in narrow channels with asymmetry and anisotropy

    Science.gov (United States)

    To, Kiwing; Peng, Zheng

    2016-11-01

    We study Brownian motion of a single millimeter size bead confined in a quasi-two-dimensional horizontal channel with built-in anisotropy and asymmetry. Channel asymmetry is implemented by ratchet walls while anisotropy is introduced using a channel base that is grooved along the channel axis so that a bead can acquire a horizontal impulse perpendicular to the longitudinal direction when it collides with the base. When energy is injected to the channel by vertical vibration, the combination of asymmetric walls and anisotropic base induces an effective force which drives the bead into biased diffusive motion along the channel axis with diffusivity and drift velocity increase with vibration strength. The magnitude of this driving force, which can be measured in experiments of tilted channel, is found to be consistent to those obtained from dynamic mobility and position probability distribution measurements. These results are explained by a simple collision model that suggests the random kinetic energies transfer between different translational degrees of freedom may be turned into useful work in the presence of asymmetry and anisotropy.

  19. A Stability Result for Stochastic Differential Equations Driven by Fractional Brownian Motions

    Directory of Open Access Journals (Sweden)

    Bruno Saussereau

    2012-01-01

    Full Text Available We study the stability of the solutions of stochastic differential equations driven by fractional Brownian motions with Hurst parameter greater than half. We prove that when the initial conditions, the drift, and the diffusion coefficients as well as the fractional Brownian motions converge in a suitable sense, then the sequence of the solutions of the corresponding equations converge in Hölder norm to the solution of a stochastic differential equation. The limit equation is driven by the limit fractional Brownian motion and its coefficients are the limits of the sequence of the coefficients.

  20. A simple model for Brownian motion leading to the Langevin equation

    NARCIS (Netherlands)

    Grooth, de Bart G.

    1999-01-01

    A simple one-dimensional model is presented for the motion of a Brownian particle. It is shown how the collisions between a Brownian particle and its surrounding molecules lead to the Langevin equation, the power spectrum of the stochastic force, and the equipartition of kinetic energy.

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

    Directory of Open Access Journals (Sweden)

    J. Lévy Véhel

    2013-09-01

    Full Text Available 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.

  2. Harnack Inequalities and Applications for Stochastic Differential Equations Driven by Fractional Brownian Motion

    CERN Document Server

    Fan, Xi-Liang

    2012-01-01

    In the paper, Harnack inequalities are established for stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H<1/2$. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given.

  3. 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).

  4. 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.

  5. Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

    Directory of Open Access Journals (Sweden)

    Di Pan

    2013-01-01

    Full Text Available Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact on the option value.

  6. Applying Brownian motion to the study of birth-death chains

    CERN Document Server

    Markowsky, Greg

    2011-01-01

    Basic properties of Brownian motion are used to derive two results concerning birth-death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth-death chain are given to ensure that the expected value of the chain converges to a limit. The theory of Brownian motion local time figures prominently in the proof of the second result.

  7. The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment

    Directory of Open Access Journals (Sweden)

    Chao Wang

    2015-01-01

    Full Text Available Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian motion setting. With the changes of measures, the traditional pricing method is simplified and the general pricing formula is obtained for the European vulnerable option with stochastic interest rate. At the same time, the explicit expression for it comes into being.

  8. 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.

  9. Quantum power source: putting in order of a Brownian motion without Maxwell's demon

    Science.gov (United States)

    Aristov, Vitaly V.; Nikulov, A. V.

    2003-07-01

    The problem of possible violation of the second law of thermodynamics is discussed. It is noted that the task of the well known challenge to the second law called Maxwell's demon is put in order a chaotic perpetual motion and if any ordered Brownian motion exists then the second law can be broken without this hypothetical intelligent entity. The postulate of absolute randomness of any Brownian motion saved the second law in the beginning of the 20th century when it was realized as perpetual motion. This postulate can be proven in the limits of classical mechanics but is not correct according to quantum mechanics. Moreover some enough known quantum phenomena, such as the persistent current at non-zero resistance, are an experimental evidence of the non-chaotic Brownian motion with non-zero average velocity. An experimental observation of a dc quantum power soruce is interperted as evidence of violation of the second law.

  10. 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...

  11. The reduction in the brownian motion of electrometers

    NARCIS (Netherlands)

    Milatz, J.M.W.; Zolingen, J.J. van; Iperen, B.B. van

    1953-01-01

    A method is described to reduce the Brownian deflections of electrometer systems. This is achieved by replacing the air damping by a special type of artificial damping. The latter is realised by means of a photoelectric amplifier containing a differentiating circuit, comp. fig. 1. The amount of ligh

  12. Thermodynamic laws and equipartition theorem in relativistic Brownian motion.

    Science.gov (United States)

    Koide, T; Kodama, T

    2011-06-01

    We extend the stochastic energetics to a relativistic system. The thermodynamic laws and equipartition theorem are discussed for a relativistic Brownian particle and the first and the second law of thermodynamics in this formalism are derived. The relation between the relativistic equipartition relation and the rate of heat transfer is discussed in the relativistic case together with the nature of the noise term.

  13. Brownian motion of a charged test particle in vacuum between two conducting plates

    Science.gov (United States)

    Yu, Hongwei; Chen, Jun

    2004-12-01

    The Brownian motion of a charged test particle caused by quantum electromagnetic vacuum fluctuations between two perfectly conducting plates is examined and the mean squared fluctuations in the velocity and position of the test particle are calculated. Our results show that the Brownian motion in the direction normal to the plates is reinforced in comparison to that in the single plate case. The effective temperature associated with this normal Brownian motion could be three times as large as that in the single plate case. However, the negative dispersions for the velocity and position in the longitudinal directions, which could be interpreted as reducing the quantum uncertainties of the particle, acquire positive corrections due to the presence of the second plate, and are thus weakened.

  14. Brownian motion of a charged test particle in vacuum between two conducting plates

    CERN Document Server

    Yu, H; Yu, Hongwei; Chen, Jun

    2004-01-01

    The Brownian motion of a charged test particle caused by quantum electromagnetic vacuum fluctuations between two perfectly conducting plates is examined and the mean squared fluctuations in the velocity and position of the test particle are calculated. Our results show that the Brownian motion in the direction normal to the plates is reinforced in comparison to that in the single-plate case. The effective temperature associated with this normal Brownian motion could be three times as large as that in the single-plate case. However, the negative dispersions for the velocity and position in the longitudinal directions, which could be interpreted as reducing the quantum uncertainties of the particle, acquire positive corrections due to the presence of the second plate, and are thus weakened.

  15. (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...

  16. 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.

  17. Accumulation of Microswimmers near a Surface Mediated by Collision and Rotational Brownian Motion

    Science.gov (United States)

    Li, Guanglai; Tang, Jay X.

    2009-08-01

    In this Letter we propose a kinematic model to explain how collisions with a surface and rotational Brownian motion give rise to accumulation of microswimmers near a surface. In this model, an elongated microswimmer invariably travels parallel to the surface after hitting it from an oblique angle. It then swims away from the surface, facilitated by rotational Brownian motion. Simulations based on this model reproduce the density distributions measured for the small bacteria E. coli and Caulobacter crescentus, as well as for the much larger bull spermatozoa swimming between two walls.

  18. Survival probability of mutually killing Brownian motions and the O'Connell process

    CERN Document Server

    Katori, Makoto

    2011-01-01

    Recently O'Connell introduced an interacting diffusive particle system in order to study a directed polymer model in 1+1 dimensions. The infinitesimal generator of the process is a harmonic transform of the quantum Toda-lattice Hamiltonian by the Whittaker function. As a physical interpretation of this construction, we show that the O'Connell process without drift is realized as a system of mutually killing Brownian motions conditioned that all particles survive forever. When the characteristic length of interaction killing other particles goes to zero, the process is reduced to the noncolliding Brownian motion (the Dyson model).

  19. 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.

  20. Brownian motion in a singular potential and a fractal renewal process

    Science.gov (United States)

    Ouyang, H. F.; Huang, Z. Q.; Ding, E. J.

    1995-10-01

    We have proposed a model for the one-dimensional Brownian motion of a single particle in a singular potential field in our previous paper [Phys. Rev. E 50, 2491 (1994)]. In this Brief Report, we further discuss this model and show that, in some special cases, the Brownian motion can be considered as a finite-valued alternating renewal process, which has been investigated by Lowen and Teich [Phys. Rev. E 47, 992 (1993)]. The numerical results here are in agreement with those drawn by Lowen and Teich.

  1. Finding viscosity of liquids from Brownian motion at students' laboratory

    Energy Technology Data Exchange (ETDEWEB)

    Greczylo, Tomasz; Debowska, Ewa [Institute of Experimental Physics, Wroclaw University, pl. Maxa Borna 9, 50-204 Wroclaw (Poland)

    2005-09-01

    Brownian motion appears to be a good subject for investigation at advanced students' laboratory [1]. The paper presents such an investigation carried out in Physics Laboratory II at the Institute of Experimental Physics of Wroclaw University. The experiment has been designed to find viscosity of liquids from Brownian motion phenomenon. Authors use modern technology that helps to proceed with measurements and makes the procedure less time and effort consuming. Discussion of the process of setting up the experiment and the results obtained for three different solutions of glycerin in water are presented. Advantages and disadvantages of the apparatus are pointed out along with descriptions of possible future uses.

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

    Directory of Open Access Journals (Sweden)

    J. Sadeghi

    2014-01-01

    Full Text Available 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.

  3. 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...

  4. Quantum Brownian motion representation for the quantum field modes

    CERN Document Server

    Arteaga, Daniel

    2007-01-01

    Any pair of modes of opposite momentum of any interacting quantum field theory can be regarded as an open quantum system. Provided that the state of the field is stationary, homogeneous and isotropic, under a Gaussian approximation the two-mode system can be equivalently represented in terms of a pair of quantum Brownian oscillators, namely, by two identical harmonic oscillators linearly coupled to an effective environment. The precise details of the correspondence are explained, and its usefulness is commented. As an example of application, the interpretation of the imaginary part of the retarded self-energy in a general background state is rederived.

  5. 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...

  6. Brownian motion and parabolic Anderson model in a renormalized Poisson potential

    OpenAIRE

    Chen, Xia; Kulik, Alexey M.

    2012-01-01

    A method known as renormalization is proposed for constructing some more physically realistic random potentials in a Poisson cloud. The Brownian motion in the renormalized random potential and related parabolic Anderson models are modeled. With the renormalization, for example, the models consistent to Newton’s law of universal attraction can be rigorously constructed.

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

    Institute of Scientific and Technical Information of China (English)

    ZHANG Mei

    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.

  8. Moderate Deviation for the Single Point Catalytic Super-Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    Xu YANG; Mei ZHANG

    2012-01-01

    We establish the moderate deviation for the density process of the single point catalytic super-Brownian motion.The main tools are the abstract G(a)rtner-Ellis theorem,Dawson-G(a)rtner theorem and the contraction principle.The rate function is expressed by the Fenchel-Legendre transform of log-exponential moment generation function.

  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. Brownian motion with variable drift: 0-1 laws, hitting probabilities and Hausdorff dimension

    CERN Document Server

    Peres, Yuval

    2010-01-01

    By the Cameron--Martin theorem, if a function $f$ is in the Dirichlet space $D$, then $B+f$ has the same a.s. properties as standard Brownian motion, $B$. In this paper we examine properties of $B+f$ when $f \

  11. Successive Approximation of SFDEs with Finite Delay Driven by G-Brownian Motion

    Directory of Open Access Journals (Sweden)

    Litan Yan

    2013-01-01

    Full Text Available We consider the stochastic functional differential equations with finite delay driven by G-Brownian motion. Under the global Carathéodory conditions we prove the existence and uniqueness, and as an application, we price the European call option when the underlying asset's price follows such an equation.

  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. Brownian Motion on a Pseudo Sphere in Minkowski Space R^l_v

    Science.gov (United States)

    Jiang, Xiaomeng; Li, Yong

    2016-10-01

    For a Brownian motion moving on a pseudo sphere in Minkowski space R^l_v of radius r starting from point X, we obtain the distribution of hitting a fixed point on this pseudo sphere with l≥ 3 by solving Dirichlet problems. The proof is based on the method of separation of variables and the orthogonality of trigonometric functions and Gegenbauer polynomials.

  14. Some Properties of Stochastic Differential Equations Driven by the G-Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    Qian LIN

    2013-01-01

    In this paper,we study the property of continuous dependence on the parameters of stochastic integrals and solutions of stochastic differential equations driven by the G-Brownian motion.In addition,the uniqueness and comparison theorems for those stochastic differential equations with non-Lipschitz coefficients are obtained.

  15. Accumulation of microswimmers near surface due to steric confinement and rotational Brownian motion

    Science.gov (United States)

    Li, Guanglai; Tang, Jay

    2009-03-01

    Microscopic swimmers display some intriguing features dictated by Brownian motion, low Reynolds number fluid mechanics, and boundary confinement. We re-examine the reported accumulation of swimming bacteria or bull spermatozoa near the boundaries of a fluid chamber, and propose a kinematic model to explain how collision with surface, confinement and rotational Brownian motion give rise to the accumulation of micro-swimmers near a surface. In this model, an elongated microswimmer invariably travels parallel to the surface after hitting it from any incident angle. It then takes off and swims away from the surface after some time due to rotational Brownian motion. Based on this analysis, we obtain through computer simulation steady state density distributions that reproduce the ones measured for the small bacteria E coli and Caulobacter crescentus, as well as for the much larger bull spermatozoa swimming near surfaces. These results suggest strongly that Brownian dynamics and surface confinement are the dominant factors for the accumulation of microswimmers near a surface.

  16. Local times and excursion theory for Brownian motion a tale of Wiener and Itô measures

    CERN Document Server

    Yen, Ju-Yi

    2013-01-01

    This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.

  17. 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.

  18. 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}).

  19. The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Let {W(t),t∈R}, {B(t),t∈R+} be two independent Brownian motions on R with W(0) = B(0) = 0. In this paper, we shall consider the exact Hausdorff measures for the image and graph sets of the d-dimensional iterated Brownian motion X(t), where X(t) = (Xi(t),... ,Xd(t)) and X1(t),... ,Xd(t) are d independent copies of Y(t) = W(B(t)). In particular, for any Borel set Q (?) (0,∞), the exact Hausdorff measures of the image X(Q) = {X(t) : t∈Q} and the graph GrX(Q) = {(t, X(t)) :t∈Q}are established.

  20. The exact Hausdorff measures for the graph and image of a multidimensional iterated Brownian motion

    Institute of Scientific and Technical Information of China (English)

    Rong-mao ZHANG; Zheng-yan LIN

    2007-01-01

    Let {W(t),t ∈ R}, {B(t),t ∈ R+} be two independent Brownian motions on R with W(0) = B(0) = 0. In this paper, we shall consider the exact Hausdorff measures for the image and graph sets of the d-dimensional iterated Brownian motion X(t), where X(t) = (X1(t),..., Xd(t))and X1(t),... ,Xd(t) are d independent copies of Y(t) = W(B(t)). In particular, for any Borel set Q (∈) (0, oo), the exact Hausdorff measures of the image X(Q) = {X(t) ∶ t ∈ Q} and the graph GrX(Q) = {(t, X(t))∶ t ∈ Q} are established.

  1. 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.

  2. 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.

  3. 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.

  4. Occupation and Local Times for Skew Brownian Motion with Applications to Dispersion Across an Interface

    CERN Document Server

    Appuhamillage, Thilanka; Thomann, Enrique; Waymire, Edward; Wood, Brian

    2010-01-01

    Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient. In the absence of drift, this process may be represented as a function of $\\alpha$-skew Brownian motion for a uniquely determined value of $\\alpha=\\alpha^*$; see Ramirez et al. (2006). In the present paper, the analysis is extended to the case of nonzero drift. A determination of the (joint) distributions of key functionals of standard skew Brownian motion together with some associated probabilistic semigroup and local time theory is given for these purposes. An application to the dispersion of a solute concentration across an interface is provided that explains certain symmetries and asymmetries in recently reported laboratory experiments conducted at Lawrence-Livermore Berkeley Labs by Berkowitz et al. (2009).

  5. 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.

  6. Dipole—Dipole Interaction and the Directional Motion of Brownian

    Institute of Scientific and Technical Information of China (English)

    YUHui; ZHAOTong-Jun; 等

    2002-01-01

    The electric field of the microtubule is calculated according to its dipole distribution.The conformational change of a molecular motor is described by the rotation of a dipole which interacts with the microtubule.The numerical simulation for the particle currend shows that this interaction helps to produce a directional motion along the microtubule.And the average displacement executes step changes that resemble the experimental result for kinesin motors.

  7. Simulation paradoxes related to a fractional Brownian motion with small Hurst index

    OpenAIRE

    Makogin, Vitalii

    2016-01-01

    We consider the simulation of sample paths of a fractional Brownian motion with small values of the Hurst index and estimate the behavior of the expected maximum. We prove that, for each fixed $N$, the error of approximation $\\mathbf {E}\\max_{t\\in[0,1]}B^H(t)-\\mathbf {E}\\max_{i=\\overline{1,N}}B^H(i/N)$ grows rapidly to $\\infty$ as the Hurst index tends to 0.

  8. 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.

  9. Array-induced collective transport in the Brownian motion of coupled nonlinear oscillator systems

    OpenAIRE

    Zheng, Zhigang; Hu, Bambi; Hu, Gang

    1998-01-01

    Brownian motion of an array of harmonically coupled particles subject to a periodic substrate potential and driven by an external bias is investigated. In the linear response limit (small bias), the coupling between particles may enhance the diffusion process, depending on the competition between the harmonic chain and the substrate potential. An analytical formula of the diffusion rate for the single-particle case is also obtained. In the nonlinear response regime, the moving kink may become...

  10. Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion

    Science.gov (United States)

    Kamrani, Minoo; Jamshidi, Nahid

    2017-03-01

    This work was intended as an attempt to motivate the approximation of quasi linear evolution equations driven by infinite-dimensional fractional Brownian motion with Hurst parameter H >1/2 . The spatial approximation method is based on Galerkin and the temporal approximation is based on implicit Euler scheme. An error bound and the convergence of the numerical method are given. The numerical results show usefulness and accuracy of the method.

  11. Study of Submicron Particle Size Distribution by Laser Doppler Measurement of Brownian Motion.

    Science.gov (United States)

    1987-01-30

    regime considered here, heat transfer from the submicron particles by forced convection and natural convection are negligible due to the extremely small...physical processes begin to influence the Brownian motion characteristics at high laser beam intensity. An analysis of the effects of thermophoresis and...photon pressure was carried out. The effect of thermophoresis due to the uneven heating of the particle by the laser beam was found to be a major

  12. Stability of Linear Stochastic Differential Equations with Respect to Fractional Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    SHU Hui-sheng; CHEN Chun-li; WEI Guo-liang

    2009-01-01

    This paper is concerned with the stochastically stability for the m -dimensional linear stochastic differential equations with respect to fractional Brownian motion (FBM) with Hurst parameter H∈ (1/2, 1). On the basis of the pioneering work of Duncan and Hu, a Ito's formula is given.An improved derivative operator to Lyapunov functions is constructed, and the sufficient conditions for the stochastically stability of linear stochastic differential equations driven by FBM are established. These extend the stochastic Lyapunov stability theories.

  13. Intersection local times of independent Brownian motions as generalized white noise functionals

    OpenAIRE

    Albeverio, Sergio; Oliveira, Maria João; Streit, Ludwig

    2001-01-01

    The original publication is available at http://www.springerlink.com/content/14jtbl19nh37ggtx/fulltext.pdf A "chaos expansion" of the intersection local time functional of two independent Brownian motions in Rd is given. The expansion is in terms of normal products of white noise (corresponding to multiple Wiener integrals). As a consequence of the local structure of the normal products, the kernel functions in the expansion are explicitly given and exhibit clearly the dimension depende...

  14. 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...

  15. Feller processes: the next generation in modeling. Brownian motion, Levy processes and beyond.

    Directory of Open Access Journals (Sweden)

    Björn Böttcher

    Full Text Available 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 Lévy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in applications. In recent years also Lévy processes, of which Brownian Motion is a special case, have become increasingly popular. Lévy processes are spatially homogeneous, but empirical data often suggest the use of spatially inhomogeneous processes. Thus it seems necessary to go to the next level of generalization: Feller processes. These include Lévy processes and in particular brownian motion as special cases but allow spatial inhomogeneities. Many properties of Feller processes are known, but proving the very existence is, in general, very technical. Moreover, an applicable framework for the generation of sample paths of a Feller process was missing. We explain, with practitioners in mind, how to overcome both of these obstacles. In particular our simulation technique allows to apply Monte Carlo methods to Feller processes.

  16. Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond.

    Science.gov (United States)

    Böttcher, Björn

    2010-12-03

    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 Lévy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in applications. In recent years also Lévy processes, of which Brownian Motion is a special case, have become increasingly popular. Lévy processes are spatially homogeneous, but empirical data often suggest the use of spatially inhomogeneous processes. Thus it seems necessary to go to the next level of generalization: Feller processes. These include Lévy processes and in particular brownian motion as special cases but allow spatial inhomogeneities. Many properties of Feller processes are known, but proving the very existence is, in general, very technical. Moreover, an applicable framework for the generation of sample paths of a Feller process was missing. We explain, with practitioners in mind, how to overcome both of these obstacles. In particular our simulation technique allows to apply Monte Carlo methods to Feller processes.

  17. Bessel processes and hyperbolic Brownian motions stopped at different random times

    CERN Document Server

    D'Ovidio, Mirko

    2010-01-01

    Iterated Bessel processes R^\\gamma(t), t>0, \\gamma>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B^{hp}(t), t>0 are examined and their probability laws derived. The higher-order partial differential equations governing the distributions of I_R(t)=_1R^\\gamma(_2R^\\gamma(t)), t>0 and J_R(t) =_1R^\\gamma(|_2R^\\gamma(t)|^2), t>0 are obtained and discussed. Processes of the form R^\\gamma(T_t), t>0, B^{hp}(T_t), t>0 where T_t=\\inf{s: B(s)=t} are examined and numerous probability laws derived, including the Student law, the arcsin laws (also their asymmetric versions), the Lamperti distribution of the ratio of independent positively skewed stable random variables and others. For the process R^{\\gamma}(T^\\mu_t), t>0 (where T^\\mu_t = \\inf{s: B^\\mu(s)=t} and B^\\mu is a Brownian motion with drift \\mu) the explicit probability law and the governing equation are obtained. For the hyperbolic Brownian motions on the Poincar\\'e half-spaces H^+_2, H^+_3 we study B^{hp}(T_t), t>0 and the corresp...

  18. 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...

  19. Relativistic Brownian motion: from a microscopic binary collision model to the Langevin equation.

    Science.gov (United States)

    Dunkel, Jörn; Hänggi, Peter

    2006-11-01

    The Langevin equation (LE) for the one-dimensional relativistic Brownian motion is derived from a microscopic collision model. The model assumes that a heavy pointlike Brownian particle interacts with the lighter heat bath particles via elastic hard-core collisions. First, the commonly known, nonrelativistic LE is deduced from this model, by taking into account the nonrelativistic conservation laws for momentum and kinetic energy. Subsequently, this procedure is generalized to the relativistic case. There, it is found that the relativistic stochastic force is still delta correlated (white noise) but no longer corresponds to a Gaussian white noise process. Explicit results for the friction and momentum-space diffusion coefficients are presented and discussed.

  20. Applications of statistical mechanics to non-Brownian random motion

    Science.gov (United States)

    Kutner, Ryszard; Wysocki, Krzysztof

    1999-12-01

    We analysed discrete and continuous Weierstrass-Mandelbrot representations of the Lévy flights occasionally interrupted by spatial localizations. We chose the discrete representation to easily detect by Monte Carlo simulation which stochastic quantity could be a candidate for describing the real processes. We found that the particle propagator is able to reveal surprisingly close, stable long-range algebraic tail. Unfortunately, long flights present in the system make, in practice, the particle mean-square displacement an irregular step-like function; such a behavior was expected since it is an experimental reminiscence of divergence of the mean-square displacement, predicted by the theory. We developed the continuous representation in the context of random motion of a particle in an amorphous environment; we established a correspondence between the stochastic quantities of both representations in which the latter quantities contain some material constants. The material constants appear due to the thermal average of the space-dependent stretch exponent which defines the probability of the particle passing a given distance. This averaging was performed for intermediate or even high temperatures, as well as for low or even intermediate internal friction regimes where long but not extremely long flights are readily able to construct a significant part of the Lévy distribution. This supplies a kind of self-cut-off of the length of flights. By way of example, we considered a possibility of observing the Lévy flights of hydrogen in amorphous low-concentration, high-temperature Pd 85Si 15H 7.5 phase; this conclusion is based on the results of a real experiment (Driesen et al., in: Janot et al. (Eds.), Atomic Transport and Defects in Metals by Neutron Scattering, Proceedings in Physics, Vol. 10, Springer, Berlin, 1986, p. 126; Richter et al., Phys. Rev. Lett. 57 (1986) 731; Driesen, Doctoral Thesis, Antwerpen University, 1987), performed by detecting the incoherent

  1. Probing short-range protein Brownian motion in the cytoplasm of living cells

    Science.gov (United States)

    di Rienzo, Carmine; Piazza, Vincenzo; Gratton, Enrico; Beltram, Fabio; Cardarelli, Francesco

    2014-12-01

    The translational motion of molecules in cells deviates from what is observed in dilute solutions. Theoretical models provide explanations for this effect but with predictions that drastically depend on the nanoscale organization assumed for macromolecular crowding agents. A conclusive test of the nature of the translational motion in cells is missing owing to the lack of techniques capable of probing crowding with the required temporal and spatial resolution. Here we show that fluorescence-fluctuation analysis of raster scans at variable timescales can provide this information. By using green fluorescent proteins in cells, we measure protein motion at the unprecedented timescale of 1 μs, unveiling unobstructed Brownian motion from 25 to 100 nm, and partially suppressed diffusion above 100 nm. Furthermore, experiments on model systems attribute this effect to the presence of relatively immobile structures rather than to diffusing crowding agents. We discuss the implications of these results for intracellular processes.

  2. Probing short-range protein Brownian motion in the cytoplasm of living cells.

    Science.gov (United States)

    Di Rienzo, Carmine; Piazza, Vincenzo; Gratton, Enrico; Beltram, Fabio; Cardarelli, Francesco

    2014-12-23

    The translational motion of molecules in cells deviates from what is observed in dilute solutions. Theoretical models provide explanations for this effect but with predictions that drastically depend on the nanoscale organization assumed for macromolecular crowding agents. A conclusive test of the nature of the translational motion in cells is missing owing to the lack of techniques capable of probing crowding with the required temporal and spatial resolution. Here we show that fluorescence-fluctuation analysis of raster scans at variable timescales can provide this information. By using green fluorescent proteins in cells, we measure protein motion at the unprecedented timescale of 1 μs, unveiling unobstructed Brownian motion from 25 to 100 nm, and partially suppressed diffusion above 100 nm. Furthermore, experiments on model systems attribute this effect to the presence of relatively immobile structures rather than to diffusing crowding agents. We discuss the implications of these results for intracellular processes.

  3. 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.

  4. Brownian motion, old and new, and Irwin's role in my academic life

    Science.gov (United States)

    Lindenberg, Katja

    2015-03-01

    Irwin Oppenheim's early work on Langevin equations, master equations, and Brownian motion was one of the earliest and strongest reasons for my change of direction from my PhD work in condensed matter theory to my later and lifelong interest in Brownian motion and, more broadly, statistical mechanics. I will talk about some of my most recent work on subdiffusion, a form of anomalous diffusion that describes random motions in crowded or disordered media where motions are hindered by the medium. On a personal note, I knew Irwin for decades, from the time before he had a family (he was a sworn bachelor...until he met his wife) until shortly before his death. For many years, first alone and then with family, Irwin would spend some portion of the cold Boston winter in warm La Jolla, and we would always get together during these visits. For a period of a number of years we decided to take advantage of these visits to write the definitive text in traditional Thermodynamics. We did not make it past about 2/3 of the project, but it was a great learning experience for me while it lasted. Irwin's knowledge and understanding of the subject were breathtaking.

  5. Semilinear Backward Doubly Stochastic Differential Equations and SPDEs Driven by Fractional Brownian Motion with Hurst Parameter in (0,1/2)

    CERN Document Server

    Jing, Shuai

    2010-01-01

    We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic integral with respect to the fractional Brownian motion is the extended divergence operator and the one with respect to Brownian motion is It\\^o's backward integral. For this we use the technique developed by R.Buckdahn to analyze stochastic differential equations on the Wiener space, which is based on the Girsanov theorem and the Malliavin calculus, and we reduce the backward doubly stochastic differential equation to a backward stochastic differential equation driven by the Brownian motion. We also prove that the solution of semilinear fractional backward doubly stochastic differential equation defines the unique stochastic viscosity solution of a semilinear stochastic partial differential equation driven by a fractional Brownian motion.

  6. Second order asymptotics for Brownian motion among a heavy tailed Poissonian potential

    CERN Document Server

    Fukushima, Ryoki

    2010-01-01

    We consider the Feynman-Kac functional associated with a Brownian motion among a random potential. The potential is defined by attaching a heavy tailed positive potential around the Poisson point process. This model was first considered by Pastur~(1977) and the first order term of the moment asymptotics was determined. In this paper, both moment and almost sure asymptotics are determined up to the second order. As an application, we also derive the second order asymptotics of the integrated density of states of the corresponding random Schr\\"{o}dinger operator.

  7. The fractional Brownian motion property of the turbulent refractive within Geometric Optics

    CERN Document Server

    Pérez, D G

    2003-01-01

    We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the refractive index properties, but they are not differentiable. We overcome the apparent impossibility of their use within the Ray Optics approximation introducing a Stochastic Calculus. Afterwards, we successfully provide a solution for the stochastic ray-equation; moreover, its implications in the statistical analysis of experimental data is discussed. In particular, we analyze the dependence of the averaged solution against the characteristic variables of a simple propagation problem.

  8. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion.

    Science.gov (United States)

    Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei

    2014-01-01

    The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed.

  9. Brownian-motion ensembles of random matrix theory: A classification scheme and an integral transform method

    Energy Technology Data Exchange (ETDEWEB)

    Macedo-Junior, A.F. [Departamento de Fisica, Laboratorio de Fisica Teorica e Computacional, Universidade Federal de Pernambuco, 50670-901 Recife, PE (Brazil)]. E-mail: ailton@df.ufpe.br; Macedo, A.M.S. [Departamento de Fisica, Laboratorio de Fisica Teorica e Computacional, Universidade Federal de Pernambuco, 50670-901 Recife, PE (Brazil)

    2006-09-25

    We study a class of Brownian-motion ensembles obtained from the general theory of Markovian stochastic processes in random-matrix theory. The ensembles admit a complete classification scheme based on a recent multivariable generalization of classical orthogonal polynomials and are closely related to Hamiltonians of Calogero-Sutherland-type quantum systems. An integral transform is proposed to evaluate the n-point correlation function for a large class of initial distribution functions. Applications of the classification scheme and of the integral transform to concrete physical systems are presented in detail.

  10. 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. 

  11. A Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion

    CERN Document Server

    Deya, Aurélien; Tindel, Samy

    2010-01-01

    In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these equations, which is based on a second order Taylor expansion, where the usual Levy area terms are replaced by products of increments of the driving fBm. The convergence of our scheme is shown by means of a combination of rough paths techniques and error bounds for the discretisation of the Levy area terms.

  12. Weak convergence of the past and future of Brownian motion given the present

    Indian Academy of Sciences (India)

    K B Athreya; B Rajeev

    2017-02-01

    In this paper, we show that for $t > 0$, the joint distribution of the past $\\{W_{t−s} : 0 \\leq s \\leq t\\}$ and the future $\\{W_{t+s} : s \\geq 0\\}$ of a $d$-dimensional standard Brownian motion $(W_s)$, conditioned on $\\{W_t\\in U\\}$, where $U$ is a bounded open set in $\\mathbb{R}^d$, converges weakly in $C[0,\\infty)\\times C[0, \\infty)$ as $t\\rightarrow\\infty$. The limiting distribution is that of a pair of coupled processes $Y + B^1$, $Y + B^2$ where $Y$, $B^1$, $B^2$ are independent, $Y$ is uniformly distributed on $U$ and $B^1$, $B^2$ are standard $d$-dimensional Brownian motions. Let $\\sigma_t$, $d_t$ be respectively, the last entrance time before time $t$ into the set $U$ and the first exit time after $t$ from $U$. When the boundary of $U$ is regular, we use the continuous mapping theorem to show that the limiting distribution as $t\\rightarrow\\infty$ of the four dimensional vector with components $(W_{\\sigma_t}, t − \\sigma_t, W_{d_t}, d_t − t)$, conditioned on $\\{W_t\\in U\\}$, is the same as that of the four dimensional vector whose components are the place and time of first exit from $U$ of the processes $Y + B^1$ and $Y + B^2$ respectively.

  13. Probability distribution of financial returns in a model of multiplicative Brownian motion with stochastic diffusion coefficient

    Science.gov (United States)

    Silva, Antonio

    2005-03-01

    It is well-known that the mathematical theory of Brownian motion was first developed in the Ph. D. thesis of Louis Bachelier for the French stock market before Einstein [1]. In Ref. [2] we studied the so-called Heston model, where the stock-price dynamics is governed by multiplicative Brownian motion with stochastic diffusion coefficient. We solved the corresponding Fokker-Planck equation exactly and found an analytic formula for the time-dependent probability distribution of stock price changes (returns). The formula interpolates between the exponential (tent-shaped) distribution for short time lags and the Gaussian (parabolic) distribution for long time lags. The theoretical formula agrees very well with the actual stock-market data ranging from the Dow-Jones index [2] to individual companies [3], such as Microsoft, Intel, etc. [] [1] Louis Bachelier, ``Th'eorie de la sp'eculation,'' Annales Scientifiques de l''Ecole Normale Sup'erieure, III-17:21-86 (1900).[] [2] A. A. Dragulescu and V. M. Yakovenko, ``Probability distribution of returns in the Heston model with stochastic volatility,'' Quantitative Finance 2, 443--453 (2002); Erratum 3, C15 (2003). [cond-mat/0203046] [] [3] A. C. Silva, R. E. Prange, and V. M. Yakovenko, ``Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact,'' Physica A 344, 227--235 (2004). [cond-mat/0401225

  14. Underdamped scaled Brownian motion: (non-)existence of the overdamped limit in anomalous diffusion

    Science.gov (United States)

    Bodrova, Anna S.; Chechkin, Aleksei V.; Cherstvy, Andrey G.; Safdari, Hadiseh; Sokolov, Igor M.; Metzler, Ralf

    2016-07-01

    It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases.

  15. 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...

  16. 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...

  17. 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...

  18. 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.

  19. Nonisothermal Brownian motion: Thermophoresis as the macroscopic manifestation of thermally biased molecular motion.

    Science.gov (United States)

    Brenner, Howard

    2005-12-01

    A quiescent single-component gravity-free gas subject to a small steady uniform temperature gradient T, despite being at rest, is shown to experience a drift velocity UD=-D* gradient ln T, where D* is the gas's nonisothermal self-diffusion coefficient. D* is identified as being the gas's thermometric diffusivity alpha. The latter differs from the gas's isothermal isotopic self-diffusion coefficient D, albeit only slightly. Two independent derivations are given of this drift velocity formula, one kinematical and the other dynamical, both derivations being strictly macroscopic in nature. Within modest experimental and theoretical uncertainties, this virtual drift velocity UD=-alpha gradient ln T is shown to be constitutively and phenomenologically indistinguishable from the well-known experimental and theoretical formulas for the thermophoretic velocity U of a macroscopic (i.e., non-Brownian) non-heat-conducting particle moving under the influence of a uniform temperature gradient through an otherwise quiescent single-component rarefied gas continuum at small Knudsen numbers. Coupled with the size independence of the particle's thermophoretic velocity, the empirically observed equality, U=UD, leads naturally to the hypothesis that these two velocities, the former real and the latter virtual, are, in fact, simply manifestations of the same underlying molecular phenomenon, namely the gas's Brownian movement, albeit biased by the temperature gradient. This purely hydrodynamic continuum-mechanical equality is confirmed by theoretical calculations effected at the kinetic-molecular level on the basis of an existing solution of the Boltzmann equation for a quasi-Lorentzian gas, modulo small uncertainties pertaining to the choice of collision model. Explicitly, this asymptotically valid molecular model allows the virtual drift velocity UD of the light gas and the thermophoretic velocity U of the massive, effectively non-Brownian, particle, now regarded as the tracer particle

  20. Tight-binding approach to overdamped Brownian motion on a multidimensional tilted periodic potential.

    Science.gov (United States)

    Challis, K J; Jack, Michael W

    2013-05-01

    We present a theoretical treatment of overdamped Brownian motion on a multidimensional tilted periodic potential that is analogous to the tight-binding model of quantum mechanics. In our approach, we expand the continuous Smoluchowski equation in the localized Wannier states of the periodic potential to derive a discrete master equation. This master equation can be interpreted in terms of hopping within and between Bloch bands, and for weak tilting and long times we show that a single-band description is valid. In the limit of deep potential wells, we derive a simple functional dependence of the hopping rates and the lowest band eigenvalues on the tilt. We also derive formal expressions for the drift and diffusion in terms of the lowest band eigenvalues.

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

    CERN Document Server

    Dettmer, Simon L; Pagliara, Stefano

    2014-01-01

    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...

  2. 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...

  3. Generalized uncertainty relations and entanglement dynamics in quantum Brownian motion models

    CERN Document Server

    Anastopoulos, C; Mylonas, D

    2010-01-01

    We study entanglement dynamics in quantum Brownian motion (QBM) models. Our main tool is the Wigner function propagator. Time evolution in the Wigner picture is physically intuitive and it leads to a simple derivation of a master equation for any number of system harmonic oscillators and spectral density of the environment. It also provides generalized uncertainty relations, valid for any initial state that allow a characterization of the environment in terms of the modifications it causes to the system's dynamics. In particular, the uncertainty relations are very informative about the entanglement dynamics of Gaussian states, and to a lesser extent for other families of states. For concreteness, we apply these techniques to a bipartite QBM model, describing the processes of entanglement creation, disentanglement and decoherence at all temperatures and timescales.

  4. 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.

  5. On the use of reverse Brownian motion to accelerate hybrid simulations

    Science.gov (United States)

    Bakarji, Joseph; Tartakovsky, Daniel M.

    2017-04-01

    Multiscale and multiphysics simulations are two rapidly developing fields of scientific computing. Efficient coupling of continuum (deterministic or stochastic) constitutive solvers with their discrete (stochastic, particle-based) counterparts is a common challenge in both kinds of simulations. We focus on interfacial, tightly coupled simulations of diffusion that combine continuum and particle-based solvers. The latter employs the reverse Brownian motion (rBm), a Monte Carlo approach that allows one to enforce inhomogeneous Dirichlet, Neumann, or Robin boundary conditions and is trivially parallelizable. We discuss numerical approaches for improving the accuracy of rBm in the presence of inhomogeneous Neumann boundary conditions and alternative strategies for coupling the rBm solver with its continuum counterpart. Numerical experiments are used to investigate the convergence, stability, and computational efficiency of the proposed hybrid algorithm.

  6. A MAP estimator based on geometric Brownian motion for sample distances of laser triangulation data

    Science.gov (United States)

    Herrmann, Markus; Otesteanu, Marius

    2016-11-01

    The proposed algorithm is designed to enhance the line-detection stability in laser-stripe sensors. Despite their many features and capabilities, these sensors become unstable when measuring in dark or strongly-reflective environments. Ambiguous points within a camera image can appear on dark surfaces and be confused with noise when the laser-reflection intensity approaches noise level. Similar problems arise when strong reflections within the sensor image have intensities comparable to that of the laser. In these circumstances, it is difficult to determine the most probable point for the laser line. Hence, the proposed algorithm introduces a maximum a posteriori estimator, based on geometric Brownian motion, to provide a range estimate for the expected location of the reflected laser line.

  7. 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...

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

    Energy Technology Data Exchange (ETDEWEB)

    Ni Xiaohui [School of Business, East China University of Science and Technology, Shanghai 200237 (China)] [School of Science, East China University of Science and Technology, Shanghai 200237 (China)] [Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237 (China); Jiang Zhiqiang [School of Business, East China University of Science and Technology, Shanghai 200237 (China)] [School of Science, East China University of Science and Technology, Shanghai 200237 (China)] [Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237 (China)] [Chair of Entrepreneurial Risks, D-MTEC, ETH Zurich, Kreuplatz 5, CH-8032 Zurich (Switzerland); Zhou Weixing, E-mail: wxzhou@ecust.edu.c [School of Business, East China University of Science and Technology, Shanghai 200237 (China)] [School of Science, East China University of Science and Technology, Shanghai 200237 (China)] [Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237 (China)] [Engineering Research Center of Process Systems Engineering (Ministry of Education), East China University of Science and Technology, Shanghai 200237 (China)] [Research Center on Fictitious Economics and Data Science, Chinese Academy of Sciences, Beijing 100080 (China)

    2009-10-12

    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 alpha 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 alphaapproxH linear relationship.

  9. 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.

  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)

    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.

  11. Quantfication of longitudinal dispersion by upscaling Brownian motion of tracer displacement in a 3D pore-scale network model

    NARCIS (Netherlands)

    Acharya, R.C.; Dijke, van M.I.J.; Sorbie, K.S.; Zee, van der S.E.A.T.M.; Leijnse, A.

    2007-01-01

    We present a 3D network model with particle tracking to upscale 3D Brownian motion of non-reactive tracer particles subjected to a velocity field in the network bonds, representing both local diffusion and convection. At the intersections of the bonds (nodes) various jump conditions are implemented.

  12. Unsteady three-dimensional stagnation-point flow and heat transfer of a nanofluid with thermophoresis and Brownian motion effects

    Science.gov (United States)

    Dinarvand, S.; Hosseini, R.; Tamim, H.; Damangir, E.; Pop, I.

    2015-07-01

    An unsteady three-dimensional stagnation-point flow of a nanofluid past a circular cylinder with sinusoidal radius variation is investigated numerically. By introducing new similarity transformations for the velocity, temperature, and nanoparticle volume fraction, the basic equations governing the flow and heat and mass transfer are reduced to highly nonlinear ordinary differential equations. The resulting nonlinear system is solved numerically by the fourth-order Runge-Kutta method with the shooting technique. The thermophoresis and Brownian motion effects occur in the transport equations. The velocity, temperature, and nanoparticle concentration profiles are analyzed with respect to the involved parameters of interest, namely, unsteadiness parameter, Brownian motion parameter, thermophoresis parameter, Prandtl number, and Lewis number. Numerical values of the friction coefficient, diffusion mass flux, and heat flux are computed. It is found that the friction coefficient and heat transfer rate increase with increasing unsteadiness parameter (the highest heat transfer rate at the surface occurs if the thermophoresis and Brownian motion effects are absent) and decrease with increasing both thermophoresis and Brownian motion parameters. The present results are found to be in good agreement with previously published results.

  13. 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.

  14. An integral test on time dependent local extinction for super-coalescing Brownian motion with Lebesgue initial measure

    CERN Document Server

    He, Hui; Zhou, Xiaowen

    2009-01-01

    This paper concerns the almost sure time dependent local extinction behavior for super-coalescing Brownian motion $X$ with $(1+\\beta)$-stable branching and Lebesgue initial measure on $\\bR$. We first give a representation of $X$ using excursions of a continuous state branching process and Arratia's coalescing Brownian flow. For any nonnegative, nondecreasing and right continuous function $g$, put \\tau:=\\sup \\{t\\geq 0: X_t([-g(t),g(t)])>0 \\}. We prove that $\\bP\\{\\tau=\\infty\\}=0$ or 1 according as the integral $\\int_1^\\infty g(t)t^{-1-1/\\beta} dt$ is finite or infinite.

  15. 布朗运动仿真实验的设计与实现%Simulation experiment of Brownian motion

    Institute of Scientific and Technical Information of China (English)

    丁望峰

    2014-01-01

    介绍了布朗运动仿真实验的设计与实现方法,利用“位置朗之万方程”的数值离散化,最大程度还原真实的布朗运动。通过对仿真实验数据的定量分析,并计算出了阿伏加德罗常量的近似值。%The design and implement method of Brownian motion simulation experiment were in-troduced .The characteristics of real Brownian motion was maximally retained by the numerial discret-ization of position of Langevin equation .By quantitative analyzing of the motion traces ,a close ap-proximation of Avogadro constant was obtained .

  16. 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

  17. Search reliability and search efficiency of combined Lévy-Brownian motion: long relocations mingled with thorough local exploration

    Science.gov (United States)

    Palyulin, Vladimir V.; Chechkin, Aleksei V.; Klages, Rainer; Metzler, Ralf

    2016-09-01

    A combined dynamics consisting of Brownian motion and Lévy flights is exhibited by a variety of biological systems performing search processes. Assessing the search reliability of ever locating the target and the search efficiency of doing so economically of such dynamics thus poses an important problem. Here we model this dynamics by a one-dimensional fractional Fokker-Planck equation combining unbiased Brownian motion and Lévy flights. By solving this equation both analytically and numerically we show that the superposition of recurrent Brownian motion and Lévy flights with stable exponent α \\lt 1, by itself implying zero probability of hitting a point on a line, leads to transient motion with finite probability of hitting any point on the line. We present results for the exact dependence of the values of both the search reliability and the search efficiency on the distance between the starting and target positions as well as the choice of the scaling exponent α of the Lévy flight component.

  18. 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.

  19. Brownian earthworm

    CERN Document Server

    Burdzy, Krzysztof; Pal, Soumik

    2010-01-01

    We prove that the distance between two reflected Brownian motions outside a sphere in a 3-dimensional flat torus does not converge to 0, a.s., if the radius of the sphere is sufficiently small, relative to the size of the torus.

  20. Brownian motion or Lévy walk? Stepping towards an extended statistical mechanics for animal locomotion.

    Science.gov (United States)

    Gautestad, Arild O

    2012-09-07

    Animals moving under the influence of spatio-temporal scaling and long-term memory generate a kind of space-use pattern that has proved difficult to model within a coherent theoretical framework. An extended kind of statistical mechanics is needed, accounting for both the effects of spatial memory and scale-free space use, and put into a context of ecological conditions. Simulations illustrating the distinction between scale-specific and scale-free locomotion are presented. The results show how observational scale (time lag between relocations of an individual) may critically influence the interpretation of the underlying process. In this respect, a novel protocol is proposed as a method to distinguish between some main movement classes. For example, the 'power law in disguise' paradox-from a composite Brownian motion consisting of a superposition of independent movement processes at different scales-may be resolved by shifting the focus from pattern analysis at one particular temporal resolution towards a more process-oriented approach involving several scales of observation. A more explicit consideration of system complexity within a statistical mechanical framework, supplementing the more traditional mechanistic modelling approach, is advocated.

  1. Isotropic Brownian motions over complex fields as a solvable model for May-Wigner stability analysis

    Science.gov (United States)

    Ipsen, J. R.; Schomerus, H.

    2016-09-01

    We consider matrix-valued stochastic processes known as isotropic Brownian motions, and show that these can be solved exactly over complex fields. While these processes appear in a variety of questions in mathematical physics, our main motivation is their relation to a May-Wigner-like stability analysis, for which we obtain a stability phase diagram. The exact results establish the full joint probability distribution of the finite-time Lyapunov exponents, and may be used as a starting point for a more detailed analysis of the stability-instability phase transition. Our derivations rest on an explicit formulation of a Fokker-Planck equation for the Lyapunov exponents. This formulation happens to coincide with an exactly solvable class of models of the Calgero-Sutherland type, originally encountered for a model of phase-coherent transport. The exact solution over complex fields describes a determinantal point process of biorthogonal type similar to recent results for products of random matrices, and is also closely related to Hermitian matrix models with an external source.

  2. 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...

  3. Brownian-motion based simulation of stochastic reaction-diffusion systems for affinity based sensors

    Science.gov (United States)

    Tulzer, Gerhard; Heitzinger, Clemens

    2016-04-01

    In this work, we develop a 2D algorithm for stochastic reaction-diffusion systems describing the binding and unbinding of target molecules at the surfaces of affinity-based sensors. In particular, we simulate the detection of DNA oligomers using silicon-nanowire field-effect biosensors. Since these devices are uniform along the nanowire, two dimensions are sufficient to capture the kinetic effects features. The model combines a stochastic ordinary differential equation for the binding and unbinding of target molecules as well as a diffusion equation for their transport in the liquid. A Brownian-motion based algorithm simulates the diffusion process, which is linked to a stochastic-simulation algorithm for association at and dissociation from the surface. The simulation data show that the shape of the cross section of the sensor yields areas with significantly different target-molecule coverage. Different initial conditions are investigated as well in order to aid rational sensor design. A comparison of the association/hybridization behavior for different receptor densities allows optimization of the functionalization setup depending on the target-molecule density.

  4. Finite time extinction of super-Brownian motions with deterministic catalyst

    Institute of Scientific and Technical Information of China (English)

    REN; Yanxia(任艳霞); WANG; Yongjin(王永进)

    2003-01-01

    In this paper we consider a super-Brownian motion X with branching mechanism k(x)za, where k(x) > 0 is a bounded Holder continuous function on Rd and infx∈Rd k(x) = 0. We prove that if k(x) ≥‖x‖-1(0 ≤ l <∞) for sufficiently large x, then X has compact support property, and for dimension d = 1, if k(x) ≥ exp(-l‖x‖)(0 ≤ l <∞) for sufficiently large x, then X also has compact support property. The maximal order of k(x) for finite time extinction is different between d = 1, d = 2 and d ≥3: it is O(‖x‖-(a+1))in one dimension, O(‖x‖-2(log ‖x‖)-(a+1)) in two dimensions, and O(‖x‖2) in higher dimensions. These growth orders also turn out to be the maximum order for the nonexistence of a positive solution for 1/2△u =k(x)uα.

  5. 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.

  6. 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.

  7. The generalization of a class of impulse stochastic control models of a geometric Brownian motion

    Institute of Scientific and Technical Information of China (English)

    LIU XiaoPeng; LIU KunHui

    2009-01-01

    Recently, international academic circles advanced a class of new stochastic control models of a geometric Brownian motion which is an important kind of impulse control models whose cost structure is different from the others before, and it has a broad applying background and important theoretical significance in financial control and management of investment. This paper generalizes substantially the above stochastic control models under quite extensive conditions and describes the models more exactly under more normal theoretical system of stochastic process. By establishing a set of proper variational equations and proving the existence of its solution, and applying the means of stochastic analysis, this paper proves that the generalized stochastic control models have optimal controls.Meanwhile, we also analyze the structure of optimal controls carefully. Besides, we study the solution function of variational equations in a relatively deep-going way, which constitutes the value function of control models to some extent. Because the analysis methods of this paper are greatly different from those of original reference, this paper possesses considerable originality to some extent. In addition,this paper gives the strict proof to the part of original reference which is not fairly well-knit in analyses,and makes analyses and discussions of the model have the exactitude of mathematical sense.

  8. Fractional Brownian Motion and Geodesic Rao Distance for Bone X-ray Image Characterization.

    Science.gov (United States)

    El Hassouni, Mohammed; Tafraouti, Abdessamad; Toumi, Hechmi; Lespessailles, Eric; Jennane, Rachid

    2016-10-19

    Osteoporosis diagnosis has attracted particular attention in recent decades. Textured images from the microarchitecture of osteoporotic and healthy subjects show a high degree of similarity, increasing the difficulty of classifying such textures. Thus, the evaluation of osteoporosis from bone X-ray images presents a major challenge for pattern recognition and medical applications. The purpose of this paper is to use the fractional Brownian motion (fBm) model and the Probability Density Function (PDF) of its increments to compute a similarity measure with the Rao geodesic distance to classify trabecular bone X-ray images. When evaluated on synthetic fBm images (test vectors) with the well-known Hurst parameter H, the proposed method met our expectations in that a good classification of the synthetic images was achieved. A clinical study was conducted on textured bone X-ray images from two different female populations of osteoporotic patients (fracture cases) and control subjects. Using the proposed method, an Area Under Curve (AUC) rate of 97% was achieved.

  9. Brownian-motion based simulation of stochastic reaction-diffusion systems for affinity based sensors.

    Science.gov (United States)

    Tulzer, Gerhard; Heitzinger, Clemens

    2016-04-22

    In this work, we develop a 2D algorithm for stochastic reaction-diffusion systems describing the binding and unbinding of target molecules at the surfaces of affinity-based sensors. In particular, we simulate the detection of DNA oligomers using silicon-nanowire field-effect biosensors. Since these devices are uniform along the nanowire, two dimensions are sufficient to capture the kinetic effects features. The model combines a stochastic ordinary differential equation for the binding and unbinding of target molecules as well as a diffusion equation for their transport in the liquid. A Brownian-motion based algorithm simulates the diffusion process, which is linked to a stochastic-simulation algorithm for association at and dissociation from the surface. The simulation data show that the shape of the cross section of the sensor yields areas with significantly different target-molecule coverage. Different initial conditions are investigated as well in order to aid rational sensor design. A comparison of the association/hybridization behavior for different receptor densities allows optimization of the functionalization setup depending on the target-molecule density.

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

    Science.gov (United States)

    Kumar, A.; Wyłomańska, A.; Połoczański, R.; Sundar, S.

    2017-02-01

    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 kinds 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 rescaled modified cumulative distribution function for estimation of parameters of the second considered process. This method is very useful in description of rounded data, like waiting times of subordinated processes delayed by inverse subordinators. By using the Monte Carlo method we show the effectiveness of proposed estimation procedures. Finally, we present the applications of proposed models to real time series.

  11. Multifractality and Laplace spectrum of horizontal visibility graphs constructed from fractional Brownian motions

    Science.gov (United States)

    Yu, Zu-Guo; Zhang, Huan; Huang, Da-Wen; Lin, Yong; Anh, Vo

    2016-03-01

    Many studies have shown that additional information can be gained on time series by investigating their associated complex networks. In this work, we investigate the multifractal property and Laplace spectrum of the horizontal visibility graphs (HVGs) constructed from fractional Brownian motions. We aim to identify via simulation and curve fitting the form of these properties in terms of the Hurst index H. First, we use the sandbox algorithm to study the multifractality of these HVGs. It is found that multifractality exists in these HVGs. We find that the average fractal dimension of HVGs approximately satisfies the prominent linear formula =2-H ; while the average information dimension and average correlation dimension are all approximately bi-linear functions of H when H≥slant 0.15 . Then, we calculate the spectrum and energy for the general Laplacian operator and normalized Laplacian operator of these HVGs. We find that, for the general Laplacian operator, the average logarithm of second-smallest eigenvalue , the average logarithm of third-smallest eigenvalue , and the average logarithm of maximum eigenvalue of these HVGs are approximately linear functions of H; while the average Laplacian energy is approximately a quadratic polynomial function of H. For the normalized Laplacian operator, and of these HVGs approximately satisfy linear functions of H; while and are approximately a 4th and cubic polynomial function of H respectively.

  12. Mean Square Displacement Analysis of Single-Particle Trajectories with Localization Error: Brownian Motion in Isotropic Medium

    OpenAIRE

    Michalet, Xavier

    2010-01-01

    We examine the capability of mean square displacement analysis to extract reliable values of the diffusion coefficient D of single particle undergoing Brownian motion in an isotropic medium in the presence of localization uncertainty. The theoretical results, supported by simulations, show that a simple unweighted least square fit of the MSD curve can provide the best estimate of D provided an optimal number of MSD points is used for the fit. We discuss the practical implications of these res...

  13. Polarized fluorescent emission in uniaxial liquid crystals. The effect of intramolecular energy transfer and rotational Brownian motion on measurements of the orientational distribution function

    DEFF Research Database (Denmark)

    Chapoy, Larry Lawrence; DuPré, Donald B.

    1978-01-01

    An expression is derived for the anisotropic fluorescent emission in uniaxial liquid crystals where fluorescent sites governed by an initial nonrandom distribution of orientations are subject to rotational Brownian motion. The possibility of nonparallelism of absorption and emission oscillators...

  14. On the first crossing distributions in fractional Brownian motion and the mass function of dark matter haloes

    Science.gov (United States)

    Hiotelis, Nicos; Del Popolo, Antonino

    2017-03-01

    We construct an integral equation for the first crossing distributions for fractional Brownian motion in the case of a constant barrier and we present an exact analytical solution. Additionally we present first crossing distributions derived by simulating paths from fractional Brownian motion. We compare the results of the analytical solutions with both those of simulations and those of some approximated solutions which have been used in the literature. Finally, we present multiplicity functions for dark matter structures resulting from our analytical approach and we compare with those resulting from N-body simulations. We show that the results of analytical solutions are in good agreement with those of path simulations but differ significantly from those derived from approximated solutions. Additionally, multiplicity functions derived from fractional Brownian motion are poor fits of the those which result from N-body simulations. We also present comparisons with other models which are exist in the literature and we discuss different ways of improving the agreement between analytical results and N-body simulations.

  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. Reflecting Brownian motion in two dimensions: Exact asymptotics for the stationary distribution

    Directory of Open Access Journals (Sweden)

    Jim Dai

    2011-01-01

    Full Text Available We consider a two-dimensional semimartingale reflecting Brownian motion (SRBM in the nonnegative quadrant. The data of the SRBM consists of a two-dimensional drift vector, a 2 × 2 positive definite covariance matrix, and a 2 × 2 reflection matrix. Assuming the SRBM is positive recurrent, we are interested in tail asymptotic of its marginal stationary distribution along each direction in the quadrant. For a given direction, the marginal tail distribution has the exact asymptotic of the form bxκ exp(–αx as x goes to infinity, where α and b are positive constants and κ takes one of the values –3/2, –1/2, 0, or 1; both the decay rate α and the power κ can be computed explicitly from the given direction and the SRBM data.A key tool in our proof is a relationship governing the moment generating function of the two-dimensional stationary distribution and two moment generating functions of the associated one-dimensional boundary measures. This relationship allows us to characterize the convergence domain of the two-dimensional moment generating function. For a given direction c, the line in this direction intersects the boundary of the convergence domain at one point, and that point uniquely determines the decay rate α. The one-dimensional moment generating function of the marginal distribution along direction c has a singularity at α. Using analytic extension in complex analysis, we characterize the precise nature of the singularity there. Using that characterization and complex inversion techniques, we obtain the exact asymptotic of the marginal tail distribution.

  17. First passage times for a tracer particle in single file diffusion and fractional Brownian motion.

    Science.gov (United States)

    Sanders, Lloyd P; Ambjörnsson, Tobias

    2012-05-01

    We investigate the full functional form of the first passage time density (FPTD) of a tracer particle in a single-file diffusion (SFD) system whose population is: (i) homogeneous, i.e., all particles having the same diffusion constant and (ii) heterogeneous, with diffusion constants drawn from a heavy-tailed power-law distribution. In parallel, the full FPTD for fractional Brownian motion [fBm-defined by the Hurst parameter, H ∈ (0, 1)] is studied, of interest here as fBm and SFD systems belong to the same universality class. Extensive stochastic (non-Markovian) SFD and fBm simulations are performed and compared to two analytical Markovian techniques: the method of images approximation (MIA) and the Willemski-Fixman approximation (WFA). We find that the MIA cannot approximate well any temporal scale of the SFD FPTD. Our exact inversion of the Willemski-Fixman integral equation captures the long-time power-law exponent, when H ≥ 1/3, as predicted by Molchan [Commun. Math. Phys. 205, 97 (1999)] for fBm. When H systems are compared to their fBm counter parts; and in the homogeneous system both scaled FPTDs agree on all temporal scales including also, the result by Molchan, thus affirming that SFD and fBm dynamics belong to the same universality class. In the heterogeneous case SFD and fBm results for heterogeneity-averaged FPTDs agree in the asymptotic time limit. The non-averaged heterogeneous SFD systems display a lack of self-averaging. An exponential with a power-law argument, multiplied by a power-law pre-factor is shown to describe well the FPTD for all times for homogeneous SFD and sub-diffusive fBm systems.

  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. Feller-Brown 运动的游程与 Tanaka 公式%Excursions and Tananka Formula of Feller-Brownian Motions

    Institute of Scientific and Technical Information of China (English)

    杜海霞; 谢栋梁; 李永凤

    2013-01-01

    The excursion theory of Feller-Brownian motions about the state of 0 was discussed.All the Feller-Brownian motions were structured by using the excursion theory and the Tanaka formula of this kind of processes were given.%  讨论了 Feller-Brown 运动关于状态0的游程理论,利用游程理论构造了所有的 Feller-Brown 运动,并给出了这类过程的 Tanaka 公式。

  20. OpenCL/OpenGL aproach for studying active Brownian motion

    CERN Document Server

    Żabicki, Michał A

    2011-01-01

    This work presents a methodology for studying active Brownian dynamics on ratchet potentials using interoperating OpenCL and OpenGL frameworks. Programing details along with optimization issues are discussed, followed by a comparison of performance on different devices. Time of visualization using OpenGL sharing buffer with OpenCL has been tested against another technique which, while using OpenGL, does not share memory buffer with OpenCL. Both methods has been compared with visualizing data to external software - gnuplot. OpenCL/OpenGL interoperating method has been found the most appropriate to visualize large set of data for which calculation itself is not very long.

  1. Quantum Brownian Motions and Navier-Stokes Weakly Turbulence — a Path Integral Study

    Science.gov (United States)

    Botelho, Luiz C. L.

    In this paper, we present a new method to solve exactly the Schrödinger Harmonic oscillator wave equation in the presence of time-dependent parameter. We also apply such technique to solve exactly the problem of random frequency averaged quantum propagator of a harmonic oscillator with white-noise statistics frequency. We still apply our technique to solve exactly the Brownian Quantum Oscillator in the presence of an electric field. Finally, we use these quantum mechanic techniques to solve exactly the Statistical-Turbulence of the Navier-Stokes in a region of fluid random stirring weakly (analytical) coupling through time-dependent Euclidean-Quantum oscillators path-integrals.

  2. Residual mean first-passage time for jump processes: theory and applications to Levy flights and fractional Brownian motion

    Energy Technology Data Exchange (ETDEWEB)

    Tejedor, V; Benichou, O; Voituriez, R [Laboratoire de Physique Theorique de la Matiere Condensee (UMR 7600), Universite Pierre et Marie Curie, 4 Place Jussieu, 75255 Paris Cedex (France); Metzler, Ralf, E-mail: voiturie@lptmc.jussieu.fr [Physics Department, Technical University of Munich, James Franck Strasse, 85747 Garching (Germany)

    2011-06-24

    We derive a functional equation for the mean first-passage time (MFPT) of a generic self-similar Markovian continuous process to a target in a one-dimensional domain and obtain its exact solution. We show that the obtained expression of the MFPT for continuous processes is actually different from the large system size limit of the MFPT for discrete jump processes allowing leapovers. In the case considered here, the asymptotic MFPT admits non-vanishing corrections, which we call residual MFPT. The case of Levy flights with diverging variance of jump lengths is investigated in detail, in particular, with respect to the associated leapover behavior. We also show numerically that our results apply with good accuracy to fractional Brownian motion, despite its non-Markovian nature.

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

    CERN Document Server

    Randrup, Jorgen

    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 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.

  4. 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.

  5. Numerical study of the tight-binding approach to overdamped Brownian motion on a tilted periodic potential

    Science.gov (United States)

    Challis, K. J.

    2016-12-01

    We present a numerical study of the tight-binding approach to overdamped Brownian motion on a tilted periodic potential. In the tight-binding method the probability density is expanded on a basis of Wannier states to transform the Smoluchowski equation to a discrete master equation that can be interpreted in terms of thermal hopping between potential minima. We calculate the Wannier states and hopping rates for a variety of potentials, including tilted cosine and ratchet potentials. For deep potential minima the Wannier states are well localized and the hopping rates between nearest-neighbor states are qualitatively well described by Kramers' escape rate. The next-nearest-neighbor hopping rates are negative and must be negligible compared to the nearest-neighbor rates for the discrete master equation treatment to be valid. We find that the validity of the master equation extends beyond the quantitative applicability of Kramers' escape rate.

  6. 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.

  7. 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.

  8. Aging underdamped scaled Brownian motion: Ensemble- and time-averaged particle displacements, nonergodicity, and the failure of the overdamping approximation

    Science.gov (United States)

    Safdari, Hadiseh; Cherstvy, Andrey G.; Chechkin, Aleksei V.; Bodrova, Anna; Metzler, Ralf

    2017-01-01

    We investigate both analytically and by computer simulations the ensemble- and time-averaged, nonergodic, and aging properties of massive particles diffusing in a medium with a time dependent diffusivity. We call this stochastic diffusion process the (aging) underdamped scaled Brownian motion (UDSBM). We demonstrate how the mean squared displacement (MSD) and the time-averaged MSD of UDSBM are affected by the inertial term in the Langevin equation, both at short, intermediate, and even long diffusion times. In particular, we quantify the ballistic regime for the MSD and the time-averaged MSD as well as the spread of individual time-averaged MSD trajectories. One of the main effects we observe is that, both for the MSD and the time-averaged MSD, for superdiffusive UDSBM the ballistic regime is much shorter than for ordinary Brownian motion. In contrast, for subdiffusive UDSBM, the ballistic region extends to much longer diffusion times. Therefore, particular care needs to be taken under what conditions the overdamped limit indeed provides a correct description, even in the long time limit. We also analyze to what extent ergodicity in the Boltzmann-Khinchin sense in this nonstationary system is broken, both for subdiffusive and superdiffusive UDSBM. Finally, the limiting case of ultraslow UDSBM is considered, with a mixed logarithmic and power-law dependence of the ensemble- and time-averaged MSDs of the particles. In the limit of strong aging, remarkably, the ordinary UDSBM and the ultraslow UDSBM behave similarly in the short time ballistic limit. The approaches developed here open ways for considering other stochastic processes under physically important conditions when a finite particle mass and aging in the system cannot be neglected.

  9. 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."

  10. 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.

  11. Non-Markovian Brownian motion in a magnetic field and time-dependent force fields

    Science.gov (United States)

    Hidalgo-Gonzalez, J. C.; Jiménez-Aquino, J. I.; Romero-Bastida, M.

    2016-11-01

    This work focuses on the derivation of the velocity and phase-space generalized Fokker-Planck equations for a Brownian charged particle embedded in a memory thermal bath and under the action of force fields: a constant magnetic field and arbitrary time-dependent force fields. To achieve the aforementioned goal we use a Gaussian but non-Markovian generalized Langevin equation with an arbitrary friction memory kernel. In a similar way, the generalized diffusion equation in the zero inertia limit is also derived. Additionally we show, in the absence of the time-dependent external forces, that, if the fluctuation-dissipation relation of the second kind is valid, then the generalized Langevin dynamics associated with the charged particle reaches a stationary state in the large-time limit. The consistency of our theoretical results is also verified when they are compared with those derived in the absence of the force fields and in the Markovian case.

  12. On the weak convergence of super-Brownian mo-tion with immigration

    Institute of Scientific and Technical Information of China (English)

    ZHANG Mei

    2009-01-01

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

  13. Solutions to Master equations of quantum Brownian motion in a general environment with external force

    Energy Technology Data Exchange (ETDEWEB)

    Roura, Albert [Los Alamos National Laboratory; Fleming, C H [UNIV OF MARYLAND; Hu, B L [UNIV OF MARYLAND

    2008-01-01

    We revisit the model of a system made up of a Brownian quantum oscillator linearly coupled to an environment made up of many quantum oscillators at finite temperature. We show that the HPZ master equation for the reduced density matrix derived earlier [B.L. Hu, J.P. Paz, Y. Zhang, Phys. Rev. D 45, 2843 (1992)] has incorrectly specified coefficients for the case of nonlocal dissipation. We rederive the QBM master equation, correctly specifying all coefficients, and determine the position uncertainty to be free of excessive cutoff sensitivity. Our coefficients and solutions are reduced entirely to contour integration for analytic spectra at arbitrary temperature, coupling strength, and cut-off. As an illustration we calculate the master equation coefficients and solve the master equation for ohmic coupling (with finite cutoff) and example supra-ohmic and sub-ohmic spectral densities. We determine the effect of an external force on the quantum oscillator and also show that our representation of the master equation and solutions naturally extends to a system of multiple oscillators bilinearly coupled to themselves and the bath in arbitrary fashion. This produces a formula for investigating the standard quantum limit which is central to addressing many theoretical issues in macroscopic quantum phenomena and experimental concerns related to low temperature precision measurements. We find that in a dissipative environment, all initial states settle down to a Gaussian density matrix whose covariance is determined by the thermal reservoir and whose mean is determined by the external force. We specify the thermal covariance for the spectral densities we explore.

  14. Thon rings from amorphous ice and implications of beam-induced Brownian motion in single particle electron cryo-microscopy.

    Science.gov (United States)

    McMullan, G; Vinothkumar, K R; Henderson, R

    2015-11-01

    We have recorded dose-fractionated electron cryo-microscope images of thin films of pure flash-frozen amorphous ice and pre-irradiated amorphous carbon on a Falcon II direct electron detector using 300 keV electrons. We observe Thon rings [1] in both the power spectrum of the summed frames and the sum of power spectra from the individual frames. The Thon rings from amorphous carbon images are always more visible in the power spectrum of the summed frames whereas those of amorphous ice are more visible in the sum of power spectra from the individual frames. This difference indicates that while pre-irradiated carbon behaves like a solid during the exposure, amorphous ice behaves like a fluid with the individual water molecules undergoing beam-induced motion. Using the measured variation in the power spectra amplitude with number of electrons per image we deduce that water molecules are randomly displaced by a mean squared distance of ∼1.1 Å(2) for every incident 300 keV e(-)/Å(2). The induced motion leads to an optimal exposure with 300 keV electrons of 4.0 e(-)/Å(2) per image with which to observe Thon rings centred around the strong 3.7 Å scattering peak from amorphous ice. The beam-induced movement of the water molecules generates pseudo-Brownian motion of embedded macromolecules. The resulting blurring of single particle images contributes an additional term, on top of that from radiation damage, to the minimum achievable B-factor for macromolecular structure determination.

  15. 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.

  16. 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.

  17. 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.

  18. 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.

  19. Dipole-Dipole Interaction and the Directional Motion of Brownian Motors

    Institute of Scientific and Technical Information of China (English)

    YU Hui; ZHAO TongJun; JI Qing; SONG YanLi; WANG YongHong; ZHAN Yong

    2002-01-01

    The electric field of the microtubule is calculated according to its dipole distribution. The conformationalchange of a molecular motor is described by the rotation ofa dipole which interacts with the microtubulc. The mricalsimulation for the particle current shows that this interaction helps to produce a directional motion along the microtubule.And tte average displacement executes step changes that resemble the experimental result for kinesin motors.

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

    Energy Technology Data Exchange (ETDEWEB)

    Jumarie, Guy [Department of Mathematics, University of Quebec at Montreal, P.O. Box 8888, Downtown Station, Montreal, QC, H3C 3P8 (Canada)]. E-mail: jumarie.guy@uqam.ca

    2006-06-15

    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)=E{sub {alpha}}(h{sup {alpha}}D{sub z}{sup {alpha}}).f(z), where E{sub {alpha}} 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){sup {alpha}}, 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Jumarie, Guy E-mail: jumarie.guy@uqam.ca

    2004-11-01

    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.

  2. Characterizing N-dimensional anisotropic Brownian motion by the distribution of diffusivities

    CERN Document Server

    Heidernätsch, Mario; Radons, Günter

    2013-01-01

    Anisotropic diffusion processes emerge in various fields such as transport in biological tissue and diffusion in liquid crystals. In such systems, the motion is described by a diffusion tensor. For a proper characterization of processes with more than one diffusion coefficient an average description by the mean squared displacement is often not sufficient. Hence, in this paper, we use the distribution of diffusivities to study diffusion in a homogeneous anisotropic environment. We derive analytical expressions of the distribution and relate its properties to an anisotropy measure in order to distinguish between isotropic and anisotropic processes. We further discuss the influence on the analysis of projected trajectories, which are typically accessible in experiments. For the experimentally relevant cases of two- and three-dimensional anisotropic diffusion we derive the specific expressions, determine the diffusion tensor, characterize the anisotropy, and demonstrate the applicability for simulated trajectori...

  3. Motion of a nano-ellipsoid in a cylindrical vessel flow: Brownian and hydrodynamic interactions

    CERN Document Server

    Ramakrishnan, N; Eckmann, D M; Ayyaswamy, P S; Radhakrishnan, Ravi

    2016-01-01

    We present comprehensive numerical studies of the motion of a buoyant or a nearly neutrally buoyant nano-sized ellipsoidal particle in a fluid filled cylindrical tube without or with the presence of imposed pressure gradient (weak Poiseuille flow). The Fluctuating hydrodynamics approach and the Deterministic method are both employed. We ensure that the fluctuation-dissipation relation and the principle of thermal equipartition of energy are both satisfied. The major focus is on the effect of the confining boundary. Results for the velocity and angular velocity autocorrelations (VACF and AVACF), diffusivities, and drag and lift forces as functions of shape, aspect ratio, inclination angle, and proximity to the wall are presented. For the parameters considered, the boundary modifies the VACF and AVACF such that three distinct regimes are discernible --- an initial exponential decay, followed by an algebraic decay culminating in a second exponential decay. The first is due to thermal noise, the algebraic regime ...

  4. Visual information and expert’s idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation

    Science.gov (United States)

    Taheriyoun, Ali R.; Moghimbeygi, Meisam

    2017-02-01

    An approximation of the fractional Brownian motion based on the Ornstein-Uhlenbeck process is used to obtain an asymptotic likelihood function. Two estimators of the Hurst index are then presented in the likelihood approach. The first estimator is produced according to the observed values of the sample path; while the second one employs the likelihood function of the incremental process. We also employ visual roughness of realization to restrict the parameter space and to obtain prior information in Bayesian approach. The methods are then compared with three contemporary estimators and an experimental data set is studied.

  5. Lie Group Analysis on Brownian Motion and Thermophoresis Effect on Free Convective Boundary-Layer Flow on a Vertical Cylinder Embedded in a Nanofluid-Saturated Porous Medium

    Directory of Open Access Journals (Sweden)

    Mohammad Ferdows

    2015-01-01

    Full Text Available Natural convective boundary-layer flow of a nanofluid on a heated vertical cylinder embedded in a nanofluid-saturated porous medium is studied. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis. Lie groups analysis is used to get the similarity transformations, which transform the governing partial differential equations to a system of ordinary differential equations. Two groups of similarity transformations are obtained. Numerical solutions of the resulting ordinary differential systems are obtained and discussed for various values of the governing parameters.

  6. Archimedes' principle for Brownian liquid

    OpenAIRE

    Burdzy, Krzysztof; Chen, Zhen-Qing; 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 ...

  7. 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.

  8. Coarse-grained picture of Brownian motion in water: Role of size and interaction distance range on the nature of randomness.

    Science.gov (United States)

    Hanasaki, Itsuo; Nagura, Ryo; Kawano, Satoyuki

    2015-03-14

    The Brownian motion of a particle in a fluid is often described by the linear Langevin equation, in which it is assumed that the mass of the particle is sufficiently large compared to the surrounding fluid molecules. This assumption leads to a diffusion coefficient that is independent of the particle mass. The Stokes-Einstein equation indicates that the diffusion coefficient depends solely on the particle size, but the concept of size can be ambiguous when close to the molecular scale. We first examine the Brownian motion of simple model particles based on short-range interactions in water by the molecular dynamics method and show that the diffusion coefficient can vary with mass when this mass is comparable to that of the solvent molecules, and that this effect is evident when the solute particle size is sufficiently small. We then examine the properties of a water molecule considered as a solute in the bulk solvent consisting of the remainder of the water. A comparison with simple solute models is used to clarify the role of force fields. The long-range Coulomb interaction between water molecules is found to lead to a Gaussian force distribution in spite of a mass ratio and nominal size ratio of unity, such that solutes with short-range interactions exhibit non-Gaussian force distribution. Thus, the range of the interaction distance determines the effective size even if it does not represent the volume excluded by the repulsive force field.

  9. 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...

  10. 分支依赖于人口总数的具有交互作用的超布朗运动%Interacting Super-Brownian Motions Depending on Population Size

    Institute of Scientific and Technical Information of China (English)

    陈丽; 闫国军

    2008-01-01

    In this paper,we investigate the interacting super-Brownian motion depending on population size.This process can be viewed as the high density limit of a sequence of particle systems with branching mechanism depending on their population size.We will construct a limit function-valued dual process.

  11. Brownian ratchets in physics and biology

    Science.gov (United States)

    Bier, Martin

    1997-06-01

    Thirty years ago Feynman et al. presented a paradox in the Lectures on Physics: an imagined device could let Brownian motion do work by allowing it in one direction and blocking it in the opposite direction. In the chapter Feynman et al. eventually show that such ratcheting can only be achieved if there is, in compliance with the basic conservation laws, some energy input from an external source. Now that technology is going into ever smaller dimensions, ratcheting Brownian motion seems to be a real possibility in nanotechnological applications. Furthermore, Brownian motion plays an essential role in the action of motor proteins (individual molecules that convert chemical energy into motion).

  12. Brownian Emitters

    Science.gov (United States)

    Tsekov, Roumen

    2016-06-01

    A Brownian harmonic oscillator, which dissipates energy either by friction or via emission of electromagnetic radiation, is considered. This Brownian emitter is driven by the surrounding thermo-quantum fluctuations, which are theoretically described by the fluctuation-dissipation theorem. It is shown how the Abraham-Lorentz force leads to dependence of the half-width on the peak frequency of the oscillator amplitude spectral density. It is found that for the case of a charged particle moving in vacuum at zero temperature, its root-mean-square velocity fluctuation is a universal constant, equal to roughly 1/18 of the speed of light. The relevant Fokker-Planck and Smoluchowski equations are also derived.

  13. Confined Brownian ratchets.

    Science.gov (United States)

    Malgaretti, Paolo; Pagonabarraga, Ignacio; Rubi, J Miguel

    2013-05-21

    We analyze the dynamics of Brownian ratchets in a confined environment. The motion of the particles is described by a Fick-Jakobs kinetic equation in which the presence of boundaries is modeled by means of an entropic potential. The cases of a flashing ratchet, a two-state model, and a ratchet under the influence of a temperature gradient are analyzed in detail. We show the emergence of a strong cooperativity between the inherent rectification of the ratchet mechanism and the entropic bias of the fluctuations caused by spatial confinement. Net particle transport may take place in situations where none of those mechanisms leads to rectification when acting individually. The combined rectification mechanisms may lead to bidirectional transport and to new routes to segregation phenomena. Confined Brownian ratchets could be used to control transport in mesostructures and to engineer new and more efficient devices for transport at the nanoscale.

  14. 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.

  15. 分数布朗运动下有红利支付的可转换债券定价%The Pricing of Convertible Bond with Dividend-paying Under the Fractional Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    苗杰

    2013-01-01

    Under the fractional brownian motion, we supposes that risk-free rate, dividend rate, anticipated returns ratio and fluctuating rate of the stock all are the definite continue function of time. By the equal qusi-martingale measure method, we discuss the pricing of the convertible bond with dividend-paying under the fractional Brownian motion and obtain pricing formula of the convertible bond.%在分数布朗运动环境下,假设股票的预期收益率、波动率、红利率和无风险利率都是时间的确定性连续函数,用通过等价概率测度变换,用拟鞅的方法,得到了分数布朗运动下有红利支付的可转换债券的定价公式。

  16. Brownian vortexes

    Science.gov (United States)

    Sun, Bo; Lin, Jiayi; Darby, Ellis; Grosberg, Alexander Y.; Grier, David G.

    2009-07-01

    Mechanical equilibrium at zero temperature does not necessarily imply thermodynamic equilibrium at finite temperature for a particle confined by a static but nonconservative force field. Instead, the diffusing particle can enter into a steady state characterized by toroidal circulation in the probability flux, which we call a Brownian vortex. The circulatory bias in the particle’s thermally driven trajectory is not simply a deterministic response to the solenoidal component of the force but rather reflects interplay between advection and diffusion in which thermal fluctuations extract work from the nonconservative force field. As an example of this previously unrecognized class of stochastic heat engines, we consider a colloidal sphere diffusing in a conventional optical tweezer. We demonstrate both theoretically and experimentally that nonconservative optical forces bias the particle’s fluctuations into toroidal vortexes whose circulation can reverse direction with temperature or laser power.

  17. 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

  18. Application and prediction of geometric Brownian motion on Matlab%基于Matlab的几何运动布朗模型的应用与预测

    Institute of Scientific and Technical Information of China (English)

    冯晓龙

    2013-01-01

    介绍了Matlab计量经济学工具箱在随机微分方程方面的应用.叙述了几何布朗运动模型的定义以及该系统的离散化过程.利用Matlab计量经济学工具箱对某地区证券交易所10年综合指数进行模拟,阐述了随机模型分析数据的步骤,比较了真实值与Euler逼近值之间的误差.最后使用Euler数值方法离散后的方程,以最终的原始数据预测之后20天的综合指数,并与实际值进行了比较.研究结果表明几何布朗运动模型的应用与预测效果良好.%In this paper,the application of econometrics toolbox of Matlab in Stochastic Differential Equation (SDE) was introduced firstly,the definition for Geometric Brownian Motion (GBM) and discrete approximation of this model were discussed.Then,the method and steps of composite index analysis over 10 years of one stock exchange by using econometrics toolbox were showed,and the error between analytic solution and numerical solution of Euler method was displayed.Finally,the values of composite index in this stock exchange were predicted by using the equation of Euler method and initial values of the ending numbers on raw data.The result shows that the application and prediction of GBM are satisfactory.

  19. Impulse Control of Brownian Motion.

    Science.gov (United States)

    1981-11-01

    convert some of his cash into securities, and for this he pays a fixed transaction cost K plus a proportional cost of k times the transaction size...securities, incurring a transaction cost of K+kq. (le never liquidates securities except when it is necessary to maintain a positive cash balance.) On the...and incurring a total transaction cost of L+1s. (If the initial cash balance exceeds S, the controller imediately buys enough securities to reduce

  20. 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...

  1. 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)

  2. 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

  3. Ratcheted electrophoresis of Brownian particles

    Science.gov (United States)

    Kowalik, Mikołaj; Bishop, Kyle J. M.

    2016-05-01

    The realization of nanoscale machines requires efficient methods by which to rectify unbiased perturbations to perform useful functions in the presence of significant thermal noise. The performance of such Brownian motors often depends sensitively on their operating conditions—in particular, on the relative rates of diffusive and deterministic motions. In this letter, we present a type of Brownian motor that uses contact charge electrophoresis of a colloidal particle within a ratcheted channel to achieve directed transport or perform useful work against an applied load. We analyze the stochastic dynamics of this model ratchet to show that it functions under any operating condition—even in the limit of strong thermal noise and in contrast to existing ratchets. The theoretical results presented here suggest that ratcheted electrophoresis could provide a basis for electrochemically powered, nanoscale machines capable of transport and actuation of nanoscale components.

  4. Carbon option pricing based on fractional Brownian motion combined with GARCH model%基于 GARCH-分形布朗运动模型的碳期权定价研究

    Institute of Scientific and Technical Information of China (English)

    张晨; 彭婷; 刘宇佳

    2015-01-01

    文章将广义自回归条件异方差(generalized autoregressive conditional heteroskedasticity ,GARCH )模型和分形布朗运动结合引入碳金融期权定价研究中。通过对欧洲碳排放配额(European Union Allowance , EUA)期货收盘价的样本数据检验,发现其存在尖峰厚尾、条件异方差性和分形特征;采用GARCH模型拟合并预测碳价收益率波动率;将预测的波动率作为输入值代入分形布朗运动期权定价方法,运用蒙特卡罗模拟对EUA期货期权进行定价,并与B‐S期权定价法(Black‐Scholes Option Pricing Model)比较。结果表明,基于GARCH分形布朗运动模型的碳期权定价法预测精度有显著提高。%This paper introduces the idea of combining generalized autoregressive conditional heteroskedasticity (GARCH) model and fractional Brownian motion into carbon option pricing .Firstly ,the test results from closing price of European Union Allowance (EUA) Futures show that obvious peak and fat tails ,heterosce‐dasticity and fractal feature reside in the data .Secondly ,the GARCH model is used to fit the volatility of EUA Futures price ,which can reasonably describe and forecast the time‐varying volatility .With the forecas‐ted volatility being the input in fractional Brownian motion carbon option pricing ,the Monte Carlo simulation is used to simulate the pricing of EUA Futures options ,and then the pricing result is compared with that of Black‐Scholes option pricing model .The result shows that carbon option pricing based on fractional Brownian motion combined with GARCH model can improve the pricing accuracy .

  5. 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

  6. 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.

  7. 在分数布朗运动下权益指数年金的定价%On Pricing of Equity-Indexed Annuities in Fractional Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    郭峰涛

    2012-01-01

    假设标的资产价格服从几何分数布朗运动,在标的资产有红利支付且红利率和无风险利率为非随机函数的情况下,给出了不同方法下权益指数年金的定价公式.%In this paper, the underlying asset is supposed to be subject to Geometric Fractional Brownian Motion with payment of dividends. The risk-free interest rate and dividend yield are non-random functions. The pricing formulas of Equity-Indexed Annuities under different methods are given. In addition, a-nalysis of sensitivity has also been made.

  8. Chiral Brownian heat pump

    OpenAIRE

    Van Den Broek, Martijn; Van Den Broeck, Christian

    2007-01-01

    We present the exact analysis of a chiral Brownian motor and heat pump. Optimization of the construction predicts, for a nanoscale device, frequencies of the order of kHz and cooling rates of the order of femtojoule per second.

  9. Chiral brownian heat pump.

    Science.gov (United States)

    van den Broek, M; Van den Broeck, C

    2008-04-04

    We present the exact analysis of a chiral Brownian motor and heat pump. Optimization of the construction predicts, for a nanoscale device, frequencies of the order of kHz and cooling rates of the order of femtojoule per second.

  10. How superdiffusion gets arrested: ecological encounters explain shift from Lévy to Brownian movement

    OpenAIRE

    de Jager, Monique; Bartumeus, Frederic; Kölzsch, Andrea; Franz J. Weissing; Hengeveld, Geerten M; Nolet, Bart A.; Herman, Peter M. J.; van de Koppel, Johan

    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 foraging in resource-poor environments. Yet, empirical studies reveal animals moving in a Brownian fashion when resources are abundant. We demonstrate that Einstein's original theory of collision-induc...

  11. 基于鞅方法下分数布朗运动欧式回望期权的定价%Study on the Valuation of Look-back Options in Fractional Brownian Motion by the Martingale Approach

    Institute of Scientific and Technical Information of China (English)

    桑利恒; 杜雪樵

    2012-01-01

    利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.%This paper mainly deals with the pricing problem of the look-back option using the fractional Berownian motion, which is a kind of path dependent option. First of all the paper Lists in the definition and lemma; and secondly by the use of the definition and lemma established under fractional Brownian motion model of the price, look-back options pricing has been met by the differential equation; the final shows look-back put option and look-back call option pricing formula of the explicit solution respectively by using the random differential equation and the martingale methods.

  12. Penalising Brownian paths

    CERN Document Server

    Roynette, Bernard

    2009-01-01

    Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are presenting a number of examples of such penalisations in the Brownian and Bessel processes framework. The Martingale theory plays a crucial role. A general principle for penalisation emerges from these examples. In particular, it is shown in the Brownian framework that a positive sigma-finite measure takes a large class of penalisations into account.

  13. Radiation Reaction for a Charged Brownian Particle

    CERN Document Server

    Vlasov, A A

    2002-01-01

    As it is known a model of a charged particle with finite size is a good tool to consider the effects of self- action and backreaction, caused by electromagnetic radiation. In this work the "size" of a charged particle is induced by its stochastic Brownian vibration. Appropriate equation of particle's motion with radiation force is derived. It is shown that the solutions of this equation correctly describe the effects of radiation reaction.

  14. A kind of European lookback option pricing model under fractional jump-diffusion mixed fractional Brownian motion%一类混合跳-扩散分数布朗运动的欧式回望期权定价

    Institute of Scientific and Technical Information of China (English)

    杨朝强

    2013-01-01

    利用混合分数布朗运动的Itó公式和复合泊松过程驱动的随机微分方程,建立了一类混合跳-扩散分数布朗运动环境下的价格模型,在Merton假设条件下对其随机微分方程的Cauchy初值问题采用迭代法作了估计,得到了混合跳-扩散模型下的欧式看跌期权定价的Merton公式,从而给出了混合跳-扩散分数布朗运动欧式浮动履约价的看涨回望期权和看跌回望期权定价公式.%The mixed jump-diffusion fractional Brownian motion model under the Itó formula and fractional diffusion process with non-homogeneous Poisson process was proposed.By using the iterative method,the Cauchy initial problem of stochastic differential equations were estimated under the conditions of Merton assumptions.Then the pricing Merton-formula of European option that meets the pricing model for the European floating strike price of the lookback option was obtained.Finally the pricing formulas of floating strike lookback call option and lookback put option were proofed.

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

    Science.gov (United States)

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

    2009-06-01

    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.

  16. Dynamics of stochastic non-Newtonian fluids driven by fractional Brownian motion with Hurst parameter $H \\in (1/4,1/2)$

    CERN Document Server

    Li, Jin

    2011-01-01

    In this paper we consider the Stochastic isothermal, nonlinear, incompressible bipolar viscous fluids driven by a genuine cylindrical fractional Bronwnian motion with Hurst parameter $H \\in (1/4,1/2)$ under Dirichlet boundary condition on 2D square domain. First we prove the existence and regularity of the stochastic convolution corresponding to the stochastic non-Newtonian fluids. Then we obtain the existence and uniqueness results for the stochastic non-Newtonian fluids. Under certain condition, the random dynamical system generated by non-Newtonian fluids has a random attractor.

  17. Cooperative rectification in confined Brownian ratchets.

    Science.gov (United States)

    Malgaretti, Paolo; Pagonabarraga, Ignacio; Rubí, J Miguel

    2012-01-01

    We analyze the rectified motion of a Brownian particle in a confined environment. We show the emergence of strong cooperativity between the inherent rectification of the ratchet mechanism and the entropic bias of the fluctuations caused by spatial confinement. Net particle transport may develop even in situations where separately the ratchet and the geometric restrictions do not give rise to particle motion. The combined rectification effects can lead to bidirectional transport depending on particle size, resulting in a different route for segregation. The reported mechanism can be used to control transport in mesostructures and nanodevices in which particles move in a reduced space.

  18. Anomalous Brownian Refrigerator

    OpenAIRE

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

    2015-01-01

    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 particle 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 ...

  19. Discovery of Brownian Motion and Its Nature of Science%布朗运动的发现及其所蕴涵的科学本质探析

    Institute of Scientific and Technical Information of China (English)

    陈彦芬

    2015-01-01

    对于如何在科学教育过程中实现科学本质教育这一目标,研究者提出了多种模式和观点。其中,在科学课程与教学中融合科学史,即 HPS 教育模式受到人们的重视。布朗运动的发现过程蕴含了丰富的科学本质观教育内容。从布朗运动的发现过程可以看出,要成为在某一领域有重要贡献的科学家,需要奉献、时间以及被相应的科学共同体认可的特殊技术和理论能力;一个科学问题的提出和研究,会受到社会文化和技术水平的影响;科学的本质就是一种探究过程,这种探究过程主要包括观察和提出问题、形成假设、实验求证、得出和交流结论四大基本步骤;科学应当是民主的,这种民主的主要表现之一就是所有的知识主张应当被公平对待,无论这些知识主张的来源如何,即普遍性与公正性标准;科学是不断发展的,布朗运动的发现直至解释经历了布朗的实验观察、古伊的定性研究、爱因斯坦的定量理论模型、贝兰的实验验证等几个阶段。所以,科学具有一种动态的品质,它的一个永恒不变的性质就是变化,就科学的理论内容而言,科学“永远是临时的”。%There are many views about how to realize the objective of education of the nature of science. HPS model is paid great attention. The process of the discovery of Brownian Motion implied many views of the nature of science. That is, to become a scientist who is recognized as a significant contributor to any field requires dedication, time, and particular technical and theoretical competences recognized by the peer group. Science is a social activity and that the creation of scientific theories and the acceptance of procedures and results is also a matter of social negotiation. Science is an inquiry process which mainly includes observing and raising questions, hypothesizing, verifying with experiments, giving

  20. Fractional motions

    Energy Technology Data Exchange (ETDEWEB)

    Eliazar, Iddo I., E-mail: eliazar@post.tau.ac.il [Holon Institute of Technology, P.O. Box 305, Holon 58102 (Israel); Shlesinger, Michael F., E-mail: mike.shlesinger@navy.mil [Office of Naval Research, Code 30, 875 N. Randolph St., Arlington, VA 22203 (United States)

    2013-06-10

    Brownian motion is the archetypal model for random transport processes in science and engineering. Brownian motion displays neither wild fluctuations (the “Noah effect”), nor long-range correlations (the “Joseph effect”). The quintessential model for processes displaying the Noah effect is Lévy motion, the quintessential model for processes displaying the Joseph effect is fractional Brownian motion, and the prototypical model for processes displaying both the Noah and Joseph effects is fractional Lévy motion. In this paper we review these four random-motion models–henceforth termed “fractional motions” –via a unified physical setting that is based on Langevin’s equation, the Einstein–Smoluchowski paradigm, and stochastic scaling limits. The unified setting explains the universal macroscopic emergence of fractional motions, and predicts–according to microscopic-level details–which of the four fractional motions will emerge on the macroscopic level. The statistical properties of fractional motions are classified and parametrized by two exponents—a “Noah exponent” governing their fluctuations, and a “Joseph exponent” governing their dispersions and correlations. This self-contained review provides a concise and cohesive introduction to fractional motions.

  1. 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...

  2. On Optimal Control of a Brownian Motion.

    Science.gov (United States)

    1982-06-01

    barriers. Puterman [9] uses diffusion processes to model production and inventory processes. In both cases they assume the existence of a stationary... Puterman , A diffusion model for a storage system, Logistic, M. Geisler ed., North-Holland 197S. [101 J. Rath, The optimal policy for a controlled

  3. 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.

  4. 分数布朗运动时间序列的基于递归图的网络分析%Network Analysis of Fractional Brownian Motion Time Series Based on Recurrence Plot 

    Institute of Scientific and Technical Information of China (English)

    唐振华; 喻祖国

    2012-01-01

    最近发展了一些将时间序列转化为复杂网络的方法,从而可以通过研究网络的拓扑性质来分析原始时间序列的性质.本文用递归图方法将分数布朗运动(FBM)时间序列转化为复杂网络,并研究其对应递归网络的拓扑性质.我们发现,对固定的Hurst指数H,在网络连通率首次增长到1之前,随着递归图的参数阈值的增大,网络的平均路径长度L也随之递增,之后反而递减.我们也发现由FBM时间序列转化得到的网络是无标度网络.我们采用节点覆盖盒计数法分析发现FBM的递归网络为分形网络,具有自相似特性,其分形维数dB随Hurst指数H的增大而减小,特别当H≥0.4时,有近似关系dB=H2 - 2.1×H+2.%Some methods have been proposed recently to convert a single time series to a complex network so that the properties of the original time series can be understood by investigating the topological properties of the network. Here we convert fractional Brownian motion (FBM) time series to complex networks using recurrence plot method, and then we investigate the topological properties of the corresponding recurrence networks. It is found that for fixed Hurst exponent H, before the connectivity rate of corresponding networks increases to about 1 for the first time, the average length L of the shortest paths increases with the increase of parameter threshold in the recurrence plot, and then decreases. It is also found that the converted networks from FBM time series are scale-free. The analysis using the node-covering box-counting method shows that the recurrence networks are fractals with self-similarity property, and the fractal dimension dB decreases with Hurst index H. Especially, when H ≥ 0.4, there is a approximately relationship dB = H2 - 2.1 × H + 2.

  5. Near-field optically driven Brownian motors (Conference Presentation)

    Science.gov (United States)

    Wu, Shao-Hua; Huang, Ningfeng; Jaquay, Eric; Povinelli, Michelle L.

    2016-09-01

    Brownian ratchets are of fundamental interest in fields from statistical physics to molecular motors. The realization of Brownian ratchets in engineered systems opens up the potential to harness thermal energy for directed motion, with applications in transport and sorting of nanoparticles. Implementations based on optical traps provide a high degree of tunability along with precise spatiotemporal control. Near-field optical methods provide particular flexibility and ease of on-chip integration with other microfluidic components. Here, we demonstrate the first all-optical, near-field Brownian ratchet. Our approach uses an asymmetrically patterned photonic crystal and yields an ultra-stable trap stiffness of 253.6 pN/nm-W, 100x greater than conventional optical tweezers. By modulating the laser power, optical ratcheting with transport speed of 1 micron/s can be achieved, allowing a variety of dynamical lab-on-a-chip applications. The resulting transport speed matches well with the theoretical prediction.

  6. 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.

  7. 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

  8. Brownian transport controlled by dichotomic and thermal fluctuations

    Science.gov (United States)

    Kula, J.; Kostur, M.; Łuczka, J.

    1998-09-01

    We study transport of Brownian particles in spatially periodic structures, driven by both thermal equilibrium fluctuations and dichotomic noise of zero mean values. Introducing specific scaling, we show that the dimensionless Newton-Langevin type equation governing the motion of Brownian particles is very well approximated by the overdamped dynamics; inertial effects can be neglected because for generic systems dimensionless mass is many orders less than a dimensionless friction coefficient. An exact probability current, proportional to the mean drift velocity of particles, is obtained for a piecewise linear spatially periodic potential. We analyze in detail properties of the macroscopic averaged motion of particles. In dependence on statistics of both sources of fluctuations, the directed transport of particles exhibits such distinctive non-monotonic behavior as: bell-shaped dependence (there exists optimal statistics of fluctuations maximizing velocity) and reversal in the direction of macroscopic motion (there exists critical statistics at which the drift velocity is zero).

  9. 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.

  10. 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 baths1. However, this bound needs to be reinterpreted at microscopic scales, where molecular bio-motors2 and some artificial micro-engines3-5 operate. As described by stochastic thermodynamics6,7, energy transfers in microscopic systems are random and thermal fluctuations induce transient decreases of entropy, allowing for possible violations of the Carnot limit8. 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 temperatures9-11. 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.

  11. 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.

  12. Brownian Ratchets: Transport Controlled by Thermal Noise

    Science.gov (United States)

    Kula, J.; Czernik, T.; Łuczka, J.

    1998-02-01

    We analyze directed transport of overdamped Brownian particles in a 1D spatially periodic potential that are subjected to both zero-mean thermal equilibrium Nyquist noise and zero-mean exponentially correlated dichotomous fluctuations. We show that particles can reverse the direction of average motion upon a variation of noise parameters if two fundamental symmetries, namely, the reflection symmetry of the spatial periodic structure, and the statistical symmetry of dichotomous fluctuations, are broken. There is a critical thermal noise intensity Dc, or equivalently a critical temperature Tc, at which the mean velocity of particles is zero. Below Tc and above Tc particles move in opposite directions. At fixed temperature, there is a region of noise parameters in which particles of different linear size are transported in opposite directions.

  13. Molecular Motors: Power Strokes Outperform Brownian Ratchets.

    Science.gov (United States)

    Wagoner, Jason A; Dill, Ken A

    2016-07-07

    Molecular motors convert chemical energy (typically from ATP hydrolysis) to directed motion and mechanical work. Their actions are often described in terms of "Power Stroke" (PS) and "Brownian Ratchet" (BR) mechanisms. Here, we use a transition-state model and stochastic thermodynamics to describe a range of mechanisms ranging from PS to BR. We incorporate this model into Hill's diagrammatic method to develop a comprehensive model of motor processivity that is simple but sufficiently general to capture the full range of behavior observed for molecular motors. We demonstrate that, under all conditions, PS motors are faster, more powerful, and more efficient at constant velocity than BR motors. We show that these differences are very large for simple motors but become inconsequential for complex motors with additional kinetic barrier steps.

  14. Thermal equilibrium of two quantum Brownian particles

    CERN Document Server

    Valente, D M

    2009-01-01

    The influence of the environment in the thermal equilibrium properties of a bipartite continuous variable quantum system is studied. The problem is treated within a system-plus-reservoir approach. The considered model reproduces the conventional Brownian motion when the two particles are far apart and induces an effective interaction between them, depending on the choice of the spectral function of the bath. The coupling between the system and the environment guarantees the translational invariance of the system in the absence of an external potential. The entanglement between the particles is measured by the logarithmic negativity, which is shown to monotonically decrease with the increase of the temperature. A range of finite temperatures is found in which entanglement is still induced by the reservoir.

  15. Continuous state branching processes in random environment: The Brownian case

    OpenAIRE

    Palau, Sandra; Pardo, Juan Carlos

    2015-01-01

    We consider continuous state branching processes that are perturbed by a Brownian motion. These processes are constructed as the unique strong solution of a stochastic differential equation. The long-term extinction and explosion behaviours are studied. In the stable case, the extinction and explosion probabilities are given explicitly. We find three regimes for the asymptotic behaviour of the explosion probability and, as in the case of branching processes in random environment, we find five...

  16. 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.

  17. 标的资产服从几何布朗运动的期权价格风险模型%Model about capital price and loss underlying asset price submitted to geometric Brownian motion

    Institute of Scientific and Technical Information of China (English)

    曹玉松

    2013-01-01

      针对标的资产服从几何布朗运动的期权价格风险问题,通过购买看跌风险降低股票风险,将市场分为风险市场和无风险市场,建立服从几何布朗运动的资本运营过程,使其更加贴近实际情况。讨论了风险市场和无风险市场资本运营的情况,利用随机过程相关知识给出了购买过看跌期权后的期末最终资本的市场价格期望、最终资本的市场价格超过给定值的概率及期末最终损失的期望。所得结论对预防股票风险具有一定的指导意义。%  On account of the problem that option price risk of which the underline asset follows the geometric Brownian, the problem of stock hedging through buying a put option is concerned, this paper divided the market into risky market and the risk free market, and built the process of capital operation which follows the geometric Brownian. The model reflects the realities. The problem about capital operation in risky market and the risk free market is studied. Using stochastic process knowledge, the paper obtained the expectation of the final market price of the portfolio, the probability of the final market price of the portfolio which exceeds a give threshold and the expectation of the final risk. This study is useful to prevent the risk of stock.

  18. A Flashing Model for Transport of Brownian Motors

    Institute of Scientific and Technical Information of China (English)

    赵同军; 展永; 吴建海; 王永宏

    2002-01-01

    A flashing coloured noise model is proposed to describe the motion of a molecular motor. In this model,the overdamped Brownian particle moves in an asymmetric periodic potential with a tashing Ornstein-Ulenbeck coloured noise. The relationship between the current and the parameters-such as the intensity, the correlation time of coloured noise and the flip rate of the noise-is discussed using the Monte Carlo simulation method.Current reversal occurs with the change of the correlation time and the flip rate of coloured noise, which may be related to the directed motion and the current reversal of molecular motors.

  19. Financial Brownian Particle in the Layered Order-Book Fluid and Fluctuation-Dissipation Relations

    Science.gov (United States)

    Yura, Yoshihiro; Takayasu, Hideki; Sornette, Didier; Takayasu, Misako

    2014-03-01

    We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding fluid particles reflect specific layering interactions; in the inner layer the correlation is strong and with short memory, while in the outer layer it is weaker and with long memory. By interpreting and estimating the contribution from the outer layer as a drag resistance, we demonstrate the validity of the fluctuation-dissipation relation in this nonmaterial Brownian motion process.

  20. 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.

  1. 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.

  2. CNT based thermal Brownian motor to pump water in nanodevices

    DEFF Research Database (Denmark)

    Oyarzua, Elton; Zambrano, Harvey; Walther, Jens Honore

    2016-01-01

    Brownian molecular motors are nanoscale machines that exploit thermal fluctuations for directional motion by employing mechanisms such as the Feynman-Smoluchowski ratchet. In this study, using Non Equilibrium Molecular Dynamics, we propose a novel thermal Brownian motor for pumping water through...... Carbon Nanotubes (CNTs). To achieve this we impose a thermal gradient along the axis of a CNT filled with water and impose, in addition, a spatial asymmetry by flxing specific zones on the CNT in order to modify the vibrational modes of the CNT. We find that the temperature gradient and imposed spatial...... asymmetry drive the water ow in a preferential direction. We systematically modified the magnitude of the applied thermal gradient and the axial position of the fixed points. The analysis involves measurement of the vibrational modes in the CNTs using a Fast Fourier Transform (FFT) algorithm. We observed...

  3. Thermophoresis and Brownian Motion Effects on Boundary-Layer Flow of a Nanofluid in the Presence of Thermal Stratification Due to Solar Energy%热泳和Brown运动对太阳能辐射下热分层纳米流体边界层流动的影响

    Institute of Scientific and Technical Information of China (English)

    N·安布泽志昂; K·斯里尼瓦桑; K·钱德拉塞卡兰; R·坎达沙密; 海治

    2012-01-01

    The problem of laminar fluid flow resulted from the stretching of a vertical surface with variable stream conditions in a nanofluid due to solar energ was investigated numerically.The model used for the nanofluid incorporated the effects of Brownian motion and thermophoresis in the presence of thermal stratification.The symmetry groups admitted by the corresponding boundary value problem were obtained by using a special form of Lie group transformations viz.scaling group of transformations.An exact solution was obtained for translation symmetry and numerical solutions for scaling symmetry.This solution depended on a Lewis number,Brownian motion parameter,thermal stratification parameter and thermophoretic parameter.The conclusion was drawn that the flow field and temperature and nanoparticle volume fraction profiles were significantly influenced by these parameters.Nanofluids were shown to increase the thermal conductivity and convective heat transfer performance of the base liquids.Nanoparticles in the base fluid also offered the potential of improving the radiative properties of the liquids,leading to an increase in the efficiency of direct absorption solar collectors.%在太阳辐射下的纳米流体中,数值地研究竖向延伸壁面具有可变流条件时的层流运动.使用的纳米流体模型为,在热分层中综合考虑了Brown运动和热泳的影响.应用一个特殊形式的Lie群变换,即缩放群变换,得到相应边值问题的对称群.对平移对称群得到一个精确解,对缩放对称群得到数值解.数值解依赖于Lewis数、Brown运动参数、热分层参数和热泳参数.得到结论:上述参数明显地影响着流场、温度和纳米粒子体积率的分布.显示出纳米流体提高了基流体热传导率和对流的热交换性能,基流体中的纳米粒子还具有改善液体辐射性能的作用,直接提高了太阳能集热器的吸热效率.

  4. 具有列维飞行与布朗运动特征的循环竞争博弈及物种稳定共存条件%Cyclical game coupling with Levy flight and Brownian motion and stable co existence conditions of sp ecies

    Institute of Scientific and Technical Information of China (English)

    王栋; 唐长庆; 田宝国; 曲亮生; 张金春; 狄增如

    2014-01-01

    循环竞争博弈常被用来研究物种多样性。以前有关循环竞争博弈的研究工作所考虑的相互作用距离模式包括最近邻、取固定距离或一定距离以内的随机值,这与实际情况不相符。考虑到实际生物系统中物种个体做列维飞行与布朗运动的情况广泛存在,综合考虑了最近邻相互作用模式和列维飞行(布朗运动)长程相互作用模式,对循环竞争博弈及保持物种多样性的条件进行了研究。得到了最大飞行距离与选择概率的临界关系(包括Logistic式和指数式关系),进一步得到了幂指数与选择概率的临界关系,以及保持物种共存的条件。%Cyclical game is often used to study the biodiversity in ecosystem. However, the interaction distance mode con-sidered in previous studies of cyclical game is only the interaction between nearest neighbors, a fixed distance, or a random value of fixed distance among the individuals of species. This is not consistent with the actual situation. In this paper, considering the fact that Levy flight and Brownian motion widespreadly exist in ecosystem, and comprehensively considering the nearest-neighbor-interaction and long-range-interaction given by Levy flight and Brownian motion, the cyclical game and conditions of maintaining biodiversity are investigated. The critical relation of maximal step length of flight versus choosing probability is presented, including Logistic and exponent relations. Further the critical relation between power-law exponent and choosing probability is found. The condition of maintaining species coexistence is also found.

  5. Statistical Properties of Thermal Noise Driving the Brownian Particles in Fluids

    Directory of Open Access Journals (Sweden)

    Tóthová Jana

    2016-01-01

    Full Text Available In several recent works high-resolution interferometric detection allowed to study the Brownian motion of optically trapped microparticles in air and fluids. The observed positional fluctuations of the particles are well described by the generalized Langevin equation with the Boussinesq-Basset “history force” instead of the Stokes friction, which is valid only for the steady motion. Recently, also the time correlation function of the thermal random force Fth driving the Brownian particles through collisions with the surrounding molecules has been measured. In the present contribution we propose a method to describe the statistical properties of Fth in incompressible fluids. Our calculations show that the time decay of the correlator 〈Fth(tFth(0〉 is significantly slower than that found in the literature. It is also shown how the “color” of the thermal noise can be determined from the measured positions of the Brownian particles.

  6. Non-conservative optical forces and Brownian vortexes

    Science.gov (United States)

    Sun, Bo

    Optical manipulation using optical tweezers has been widely adopted in physics, chemical engineering and biology. While most applications and fundamental studies of optical trapping have focused on optical forces resulting from intensity gradients, we have also explored the role of radiation pressure, which is directed by phase gradients in beams of light. Interestingly, radiation pressure turns out to be a non-conservative force and drives trapped objects out of thermodynamic equilibrium with their surrounding media. We have demonstrated the resulting nonequilibrium effects experimentally by tracking the thermally driven motions of optically trapped colloidal spheres using holographic video microscopy. Rather than undergoing equilibrium thermal fluctuations, as has been assumed for more than a quarter century, a sphere in an optical tweezer enters into a stochastic steady-state characterized by closed loops in its probability current density. These toroidal vortexes constitute a bias in the particle's otherwise random thermal fluctuations arising at least indirectly from a solenoidal component in the optical force. This surprising effect is a particular manifestation of a more general class of noise-driven machines that we call Brownian vortexes. This previously unrecognized class of stochastic heat engines operates on qualitatively different principles from such extensively studied nonequilibrium systems as thermal ratchets and Brownian motors. Among its interesting properties, a Brownian vortex can reverse its direction with changes in temperature or equivalent control parameters.

  7. Brownian dynamics without Green's functions

    Energy Technology Data Exchange (ETDEWEB)

    Delong, Steven; Donev, Aleksandar, E-mail: donev@courant.nyu.edu [Courant Institute of Mathematical Sciences, New York University, New York, New York 10012 (United States); Usabiaga, Florencio Balboa; Delgado-Buscalioni, Rafael [Departamento de Física Teórica de la Materia Condensada and Condensed Matter Physics Center (IFIMAC), Univeridad Autónoma de Madrid, Madrid 28049 (Spain); Griffith, Boyce E. [Courant Institute of Mathematical Sciences, New York University, New York, New York 10012 (United States); Leon H. Charney Division of Cardiology, Department of Medicine, New York University School of Medicine, New York, New York 10016 (United States)

    2014-04-07

    We develop a Fluctuating Immersed Boundary (FIB) method for performing Brownian dynamics simulations of confined particle suspensions. Unlike traditional methods which employ analytical Green's functions for Stokes flow in the confined geometry, the FIB method uses a fluctuating finite-volume Stokes solver to generate the action of the response functions “on the fly.” Importantly, we demonstrate that both the deterministic terms necessary to capture the hydrodynamic interactions among the suspended particles, as well as the stochastic terms necessary to generate the hydrodynamically correlated Brownian motion, can be generated by solving the steady Stokes equations numerically only once per time step. This is accomplished by including a stochastic contribution to the stress tensor in the fluid equations consistent with fluctuating hydrodynamics. We develop novel temporal integrators that account for the multiplicative nature of the noise in the equations of Brownian dynamics and the strong dependence of the mobility on the configuration for confined systems. Notably, we propose a random finite difference approach to approximating the stochastic drift proportional to the divergence of the configuration-dependent mobility matrix. Through comparisons with analytical and existing computational results, we numerically demonstrate the ability of the FIB method to accurately capture both the static (equilibrium) and dynamic properties of interacting particles in flow.

  8. 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).

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

    Institute of Scientific and Technical Information of China (English)

    熊海灵; 杨志敏; 李航

    2015-01-01

    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[L][L][L] when the cluster is to be moved. Similarly, there are difficulties in the process of collision detection to locate all neighboring positions of the cluster. The traditional method must perform exhaustive search in the whole system, what’s more, this kind of exhaustive search will repeated over and over again in the simulation progression. In this paper, the traditional on-lattice CCA algorithm is optimized by improving the storage structure to reduce the time complexity, in which the simulation system is represented by a three dimensional array, while the clusters in the system are simultaneously stored by the linked lists respectively in programming. Another one

  10. Numerical simulation of infiltration laws of grouts in random aperture based on multi-fractional Brownian motion%基于MBM随机隙宽单裂隙浆液渗透规律的模拟研究

    Institute of Scientific and Technical Information of China (English)

    罗平平; 王兰甫; 范波; 张芳

    2012-01-01

    In order to study the influence of aperture distribution on the infiltration in a single fracture, based on the fractal theory of multi-fractional Brownian motion(MBM), four groups of fracture surfaces at different regularization dimensions are constructed, all of which more realistically reflect the asymptotic self-similarity of aperture distribution of natural fracture surface. From the numerical simulation of grouting in a single random aperture fracture, it is indicated that pressure contours show twists and turns spreading over time, which reflects the distinct non-uniform characteristics. The distribution of closed area has a tendency that is from dot-like scatter to focused plane with the regularization dimensions tending to reduce, and its spatial location has obvious influence on the pressure and grouting time. As the development of percolation, there appears a tendency that the node pressure is from monotonically rapid increase to stepwise stability, and the more the node approaching the percolation border, the shorter the grouting time used in the case of reaching the steady pressure. Moreover, there is a power relationship between the node pressure and the grouting time. In view of this rule, empirical equations with different parameters are also obtained by fitting curves.%为了研究单裂隙面隙宽分布对浆液渗透的影响,基于多重分数布朗运动(MBM)分形理论构建出4种不同规则维数下的随机隙宽单裂隙几何模型,从而较真实的反应了天然裂隙面隙宽分布的局部渐进自相似性。通过注浆数值模拟研究发现,压力等值线随时间延续呈现曲折扩散形式,反映了其非均匀渗透特征。裂隙面闭合区分布形态随规则维数降低由点状散布趋向面状集中,其空间位置对浆液后期渗透压力和全程注浆时间影响很大;并且随着浆液入渗发展,节点压力由前期的较快单调增长到后期逐步趋于稳定,越靠近入渗边界的节点

  11. 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.

  12. Brownian Ratchets in Biophysics: from Diffusing Phospholipids to Polymerizing Actin Filaments

    Science.gov (United States)

    van Oudenaarden, Alexander

    2000-03-01

    In the 'Feynman Lectures on Physics' Feynman introduces a mechanical ratchet and pawl subjected to thermal fluctuations to demonstrate the impossibility to violate the second law of thermodynamics. Since this introduction the Brownian ratchet has evolved from Gedanken experiments to real experiments in the interdisciplinary sciences such as biophysics and biochemistry. In this symposium I will present two experiments in which the concept Brownian ratchet is of key importance. The first experiment addresses a so-called geometrical Brownian ratchet [1]. This ratchet consists of a two-dimensional microfabricated periodic array of asymmetric diffusion barriers. As an experimental realization of a two-dimensional fluid of Brownian particles, a bilayer of phospholipid molecules is used. I will demonstrate that the geometrical Brownian ratchet can be used as a molecular sieve to separate mixtures of membrane molecules without the need to extract them from the membrane. In the second experiment I explore the spontaneous symmetry breaking of polymerizing actin networks [2]. Small submicron size beads coated uniformly with a protein that catalyzes actin polymerization, are initially surrounded by a symmetrical cloud of actin filaments. This symmetry can be broken spontaneously after which the beads undergo directional motion with constant velocity. I will present a simple stochastic theory, in which each filament is modeled as an elastic Brownian ratchet that qualitatively reproduces the experimental results. The presence of the bead couples the dynamics of different filaments which results in a complex collective system of interacting Brownian ratchets that exhibits an emergent symmetry breaking behavior. [1] A. van Oudenaarden and S. G. Boxer, Science 285, 1046 (1999). [2] A. van Oudenaarden and J. A. Theriot, Nature Cell Biology 1, 493 (1999).

  13. Probing Brownian relaxation in water-glycerol mixtures using magnetic hyperthermia

    Science.gov (United States)

    Nemala, Humeshkar; Milgie, Michael; Wadehra, Anshu; Thakur, Jagdish; Naik, Vaman; Naik, Ratna

    2013-03-01

    Generation of heat by magnetic nanoparticles in the presence of an external oscillating magnetic field is known as magnetic hyperthermia (MHT). This heat is generated by two mechanisms: the Neel relaxation and Brownian relaxation. While the internal spin relaxation of the nanoparticles known as Neel relaxation is largely dependent on the magnetic properties of the nanoparticles, the physical motion of the particle or the Brownian relaxation is largely dependent on the viscous properties of the carrier liquid. The MHT properties of dextran coated iron oxide nanoparticles have been investigated at a frequency of 400KHz. To understand the influence of Brownian relaxation on heating, we probe the MHT properties of these ferrofluids in water-glycerol mixtures of varying viscosities. The heat generation is quantified using the specific absorption rate (SAR) and its maximum at a particular temperature is discussed with reference to the viscosity.

  14. Fluctuation relations for a driven Brownian particle

    Science.gov (United States)

    Imparato, A.; Peliti, L.

    2006-08-01

    We consider a driven Brownian particle, subject to both conservative and nonconservative applied forces, whose probability evolves according to the Kramers equation. We derive a general fluctuation relation, expressing the ratio of the probability of a given Brownian path in phase space with that of the time-reversed path, in terms of the entropy flux to the heat reservoir. This fluctuation relation implies those of Seifert, Jarzynski, and Gallavotti-Cohen in different special cases.

  15. Intermediate scattering function of an anisotropic active Brownian particle

    Science.gov (United States)

    Kurzthaler, Christina; Leitmann, Sebastian; Franosch, Thomas

    2016-10-01

    Various challenges are faced when animalcules such as bacteria, protozoa, algae, or sperms move autonomously in aqueous media at low Reynolds number. These active agents are subject to strong stochastic fluctuations, that compete with the directed motion. So far most studies consider the lowest order moments of the displacements only, while more general spatio-temporal information on the stochastic motion is provided in scattering experiments. Here we derive analytically exact expressions for the directly measurable intermediate scattering function for a mesoscopic model of a single, anisotropic active Brownian particle in three dimensions. The mean-square displacement and the non-Gaussian parameter of the stochastic process are obtained as derivatives of the intermediate scattering function. These display different temporal regimes dominated by effective diffusion and directed motion due to the interplay of translational and rotational diffusion which is rationalized within the theory. The most prominent feature of the intermediate scattering function is an oscillatory behavior at intermediate wavenumbers reflecting the persistent swimming motion, whereas at small length scales bare translational and at large length scales an enhanced effective diffusion emerges. We anticipate that our characterization of the motion of active agents will serve as a reference for more realistic models and experimental observations.

  16. 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

  17. Stochastic heating of a single Brownian particle by charge fluctuations in a radio-frequency produced plasma sheath.

    Science.gov (United States)

    Schmidt, Christian; Piel, Alexander

    2015-10-01

    The Brownian motion of a single particle in the plasma sheath is studied to separate the effect of stochastic heating by charge fluctuations from heating by collective effects. By measuring the particle velocities in the ballistic regime and by carefully determining the particle mass from the Epstein drag it is shown that for a pressure of 10 Pa, which is typical of many experiments, the proper kinetic temperature of the Brownian particle remains close to the gas temperature and rises only slightly with particle size. This weak effect is confirmed by a detailed model for charging and charge fluctuations in the sheath. A substantial temperature rise is found for decreasing pressure, which approximately shows the expected scaling with p(-2). The system under study is an example for non-equilibrium Brownian motion under the influence of white noise without corresponding dissipation.

  18. CNT based thermal Brownian motor to pump water in nanodevices

    Science.gov (United States)

    Oyarzua, Elton; Zambrano, Harvey; Walther, J. H.

    2016-11-01

    Brownian molecular motors are nanoscale machines that exploit thermal fluctuations for directional motion by employing mechanisms such as the Feynman-Smoluchowski ratchet. In this study, using Non Equilibrium Molecular Dynamics, we propose a novel thermal Brownian motor for pumping water through Carbon Nanotubes (CNTs). To achieve this we impose a thermal gradient along the axis of a CNT filled with water and impose, in addition, a spatial asymmetry by fixing specific zones on the CNT in order to modify the vibrational modes of the CNT. We find that the temperature gradient and imposed spatial asymmetry drive the water flow in a preferential direction. We systematically modified the magnitude of the applied thermal gradient and the axial position of the fixed points. The analysis involves measurement of the vibrational modes in the CNTs using a Fast Fourier Transform (FFT) algorithm. We observed water flow in CNTs of 0.94, 1.4 and 2.0 nm in diameter, reaching a maximum velocity of 5 m/s for a thermal gradient of 3.3 K/nm. The proposed thermal motor is capable of delivering a continuous flow throughout a CNT, providing a useful tool for driving liquids in nanofluidic devices by exploiting thermal gradients. We aknowledge partial support from Fondecyt project 11130559.

  19. Brownian semistationary processes and conditional full support

    CERN Document Server

    Pakkanen, Mikko S

    2010-01-01

    In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a property introduced by Guasoni, R\\'asonyi, and Schachermayer [Ann. Appl. Probab., 18 (2008) pp. 491--520]. By the results of Guasoni, R\\'asonyi, and Schachermayer, this property has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.

  20. 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

  1. A surface-bound molecule that undergoes optically biased Brownian rotation

    Science.gov (United States)

    Hutchison, James A.; Uji-I, Hiroshi; Deres, Ania; Vosch, Tom; Rocha, Susana; Müller, Sibylle; Bastian, Andreas A.; Enderlein, Jörg; Nourouzi, Hassan; Li, Chen; Herrmann, Andreas; Müllen, Klaus; de Schryver, Frans; Hofkens, Johan

    2014-02-01

    Developing molecular systems with functions analogous to those of macroscopic machine components, such as rotors, gyroscopes and valves, is a long-standing goal of nanotechnology. However, macroscopic analogies go only so far in predicting function in nanoscale environments, where friction dominates over inertia. In some instances, ratchet mechanisms have been used to bias the ever-present random, thermally driven (Brownian) motion and drive molecular diffusion in desired directions. Here, we visualize the motions of surface-bound molecular rotors using defocused fluorescence imaging, and observe the transition from hindered to free Brownian rotation by tuning medium viscosity. We show that the otherwise random rotations can be biased by the polarization of the excitation light field, even though the associated optical torque is insufficient to overcome thermal fluctuations. The biased rotation is attributed instead to a fluctuating-friction mechanism in which photoexcitation of the rotor strongly inhibits its diffusion rate.

  2. 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.

  3. 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.

  4. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Padding, J. T. [Department of Chemical Engineering and Chemistry, Eindhoven University of Technology, P.O. Box 513, 5600 MB, Eindhoven (Netherlands); Briels, W. J. [Computational Biophysics, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands)

    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.

  6. BROWNIAN HEAT TRANSFER ENHANCEMENT IN THE TURBULENT REGIME

    Directory of Open Access Journals (Sweden)

    Suresh Chandrasekhar

    2016-08-01

    Full Text Available The paper presents convection heat transfer of a turbulent flow Al2O3/water nanofluid in a circular duct. The duct is a under constant and uniform heat flux. The paper computationally investigates the system’s thermal behavior in a wide range of Reynolds number and also volume concentration up to 6%. To obtain the nanofluid thermophysical properties, the Hamilton-Crosser model along with the Brownian motion effect are utilized. Then the thermal performance of the system with the nanofluid is compared to the conventional systems which use water as the working fluid. The results indicate that the use of nanofluid of 6% improves the heat transfer rate up to 36.8% with respect to pure water. Therefore, using the Al2O3/water nanofluid instead of water can be a great choice when better heat transfer is needed.

  7. 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

    The temporal magnetization-direction fluctuations in the three-dimensional classical ferromagnetic Heisenberg model have been generated by Monte Carlo simulation and analyzed by the rescaled-range method to yield the Hurst exponent H. A value of H congruent-to 1 has been found to apply...

  8. Semicircular canals circumvent brownian motion overload of mechanoreceptor hair cells

    NARCIS (Netherlands)

    Muller, Mees; Heeck, Kier; Elemans, Coen P.H.

    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 (4

  9. 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 (mechanoreceptors of the SCC. PMID:27448330

  10. Brownian Motion as a Limit to Physical Measuring Processes

    DEFF Research Database (Denmark)

    Niss, Martin

    2016-01-01

    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...

  11. 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 ap...

  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

    NARCIS (Netherlands)

    Fannin, PC; Charles, SW; Kopcansky, P; Timko, M; Ocelik, [No Value; Koneracka, M; Tomco, L; Turek, F; Stelina, J; Musil, C; Ocelik, Vaclav

    2001-01-01

    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 susceptibil

  14. Glassy dynamics of Brownian particles with velocity-dependent friction

    Science.gov (United States)

    Yazdi, Anoosheh; Sperl, Matthias

    2016-09-01

    We consider a two-dimensional model system of Brownian particles in which slow particles are accelerated while fast particles are damped. The motion of the individual particles is described by a Langevin equation with Rayleigh-Helmholtz velocity-dependent friction. In the case of noninteracting particles, the time evolution equations lead to a non-Gaussian velocity distribution. The velocity-dependent friction allows negative values of the friction or energy intakes by slow particles, which we consider active motion, and also causes breaking of the fluctuation dissipation relation. Defining the effective temperature proportional to the second moment of velocity, it is shown that for a constant effective temperature the higher the noise strength, the lower the number of active particles in the system. Using the Mori-Zwanzig formalism and the mode-coupling approximation, the equations of motion for the density autocorrelation function are derived. The equations are solved using the equilibrium structure factors. The integration-through-transients approach is used to derive a relation between the structure factor in the stationary state considering the interacting forces, and the conventional equilibrium static structure factor.

  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. Feedback control in a coupled Brownian ratchet

    Institute of Scientific and Technical Information of China (English)

    Gao Tian-Fu; Liu Feng-Shan; Chen Jin-Can

    2012-01-01

    On the basis of the double-well ratchet potential which can be calculated theoretically and implemented experimentally,the influences of the time delay,the coupling constant,and the asymmetric parameter of the potential on the performance of a delayed feedback ratchet consisting of two Brownian particles coupled mutually with a linear elastic force are investigated.The centre-of-mass velocity of two coupled Brownian particles.the average effective diffusion coefficient,and the Pe number are calculated.It is found that the parameters are affected by not only the time delay and coupling constant but also the asymmetric parameter of the double-well ratchet potential.It is also found that the enhancement of the current may be obtained by varying the coupling constant of the system for the weak coupling case.It is expected that the results obtained here may be observed in some physical and biological systems.

  17. Ising model for a Brownian donkey

    Science.gov (United States)

    Cleuren, B.; Van den Broeck, C.

    2001-04-01

    We introduce a thermal engine consisting of N interacting Brownian particles moving in a periodic potential, featuring an alternation of hot and cold symmetric peaks. A discretized Ising-like version is solved analytically. In response to an external force, absolute negative mobility is observed for N >= 4. For N → ∞ a nonequilibrium phase transition takes place with a spontaneous symmetry breaking entailing the appearance of a current in the absence of an external force.

  18. Dynamics of Brownian motors in deformable medium

    Science.gov (United States)

    Woulaché, Rosalie Laure; Kepnang Pebeu, Fabrice Maxime; Kofané, Timoléon C.

    2016-10-01

    The directed transport in a one-dimensional overdamped, Brownian motor subjected to a travelling wave potential with variable shape and exposed to an external bias is studied numerically. We focus our attention on the class of Remoissenet-Peyrard parametrized on-site potentials with slight modification, whose shape can be varied as a function of a parameter s, recovering the sine-Gordon shape as the special case. We demonstrate that in the presence of the travelling wave potential the observed dynamical properties of the Brownian motor which crucially depends on the travelling wave speed, the intensity of the noise and the external load is significantly influenced also by the geometry of the system. In particular, we notice that systems with sharp wells and broad barriers favour the transport under the influence of an applied load. The efficiency of transport of Brownian motors in deformable systems remains equal to 1 (in the absence of an applied load) up to a critical value of the travelling wave speed greater than that of the pure sine-Gordon shape.

  19. Properties of Brownian Image Models in Scale-Space

    DEFF Research Database (Denmark)

    Pedersen, Kim Steenstrup

    2003-01-01

    In this paper it is argued that the Brownian image model is the least committed, scale invariant, statistical image model which describes the second order statistics of natural images. Various properties of three different types of Gaussian image models (white noise, Brownian and fractional...... 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...... 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...

  20. Collective Transport of Coupled Brownian Motors with Low Randomness

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    The transport properties of coupled Brownian motors in rocking ratchet are investigated via solving single particle have been found. In the regime of low-to-moderate D, the average velocity of elastically coupled Brownian with the increase of a single Brownian motor. The results exhibit an interesting cooperative behavior between coupled particles subjected to a rocking force, which can generate directed transport with low randomness or high transport coherence in symmetrical periodic potential.

  1. Application of Brownian model in the northwestern Beijing, China

    Institute of Scientific and Technical Information of China (English)

    冉洪流; 周本刚

    2004-01-01

    The mathematic theory of Brownian passage-time model and its difference from other recurrence models such asPoisson, lognormal, gamma and Weibull, were introduced. We assessed and analyzed the earthquake probabilitiesof the major faults with the elapsed time much greater than the recurrence interval in the northwest region of Beijing (China) in 100-year by using both Brownian passage-time model and Poisson model, and concluded that thecalculated results obtained from Brownian passage-time model is more reasonable.

  2. 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.

  3. Effective diffusion of confined active Brownian swimmers

    Science.gov (United States)

    Sandoval, Mario; Dagdug, Leonardo

    2014-11-01

    We find theoretically the effect of confinement and thermal fluctuations, on the diffusivity of a spherical active swimmer moving inside a two-dimensional narrow cavity of general shape. The explicit formulas for the effective diffusion coefficient of a swimmer moving inside two particular cavities are presented. We also compare our analytical results with Brownian Dynamics simulations and we obtain excellent agreement. L.D. thanks Consejo Nacional de Ciencia y Tecnologia (CONACyT) Mexico, for partial support by Grant No. 176452. M. S. thanks CONACyT and Programa de Mejoramiento de Profesorado (PROMEP) for partially funding this work under Grant No. 103.5/13/6732.

  4. 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.

  5. Perpetual Motion with Maxwell's Demon

    Science.gov (United States)

    Gordon, Lyndsay G. M.

    2002-11-01

    A method for producing a temperature gradient by Brownian motion in an equilibrated isolated system composed of two fluid compartments and a separating adiabatic membrane is discussed. This method requires globular protein molecules, partially embedded in the membrane, to alternate between two conformations which lie on opposite sides of the membrane. The greater part of each conformer is bathed by one of the fluids and rotates in Brownian motion around its axis, perpendicular to the membrane. Rotational energy is transferred through the membrane during conformational changes. Angular momentum is conserved during the transitions. The energy flow becomes asymmetrical when the conformational changes of the protein are sterically hindered by two of its side-chains, the positions of which are affected by the angular velocity of the rotor. The heat flow increases the temperature gradient in contravention of the Second Law. A second hypothetical model which illustrates solute transfer at variance with the Second Law is also discussed.

  6. Brownian aggregation rate of colloid particles with several active sites

    Energy Technology Data Exchange (ETDEWEB)

    Nekrasov, Vyacheslav M.; Yurkin, Maxim A.; Chernyshev, Andrei V., E-mail: chern@ns.kinetics.nsc.ru [Institute of Chemical Kinetics and Combustion, Institutskaya 3, 630090 Novosibirsk (Russian Federation); Physics Department, Novosibirsk State University, Pirogova 2, 630090 Novosibirsk (Russian Federation); Polshchitsin, Alexey A. [Institute of Chemical Kinetics and Combustion, Institutskaya 3, 630090 Novosibirsk (Russian Federation); JSC “VECTOR-BEST”, PO BOX 492, Novosibirsk 630117 (Russian Federation); Yakovleva, Galina E. [JSC “VECTOR-BEST”, PO BOX 492, Novosibirsk 630117 (Russian Federation); Maltsev, Valeri P. [Institute of Chemical Kinetics and Combustion, Institutskaya 3, 630090 Novosibirsk (Russian Federation); Physics Department, Novosibirsk State University, Pirogova 2, 630090 Novosibirsk (Russian Federation); Department of Preventive Medicine, Novosibirsk State Medical University, Krasny Prospect 52, 630091 Novosibirsk (Russian Federation)

    2014-08-14

    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.

  7. EPR statistical mixture of correlated states with fractional brownian process induced by third party interaction

    CERN Document Server

    Tamburini, F; Bianchini, A

    1999-01-01

    A time-correlated EPR pairs protocol is analized, based on detection of fractal correlated signals into a statistical mixture of EPR correlated pairs: an approximated alpha-Fractional Brownian Motion (FBM) is induced on the group of EPR pairs (e.g. by sender-third party eavesdropper-like interactions as in Ekert quantum cryptography), to be detected by the receiver using a non - orthogonal wavelet filter, able to characterize the FBM from a noisy enviroment by formalizing a nonlinear optimization problem for the FBM alpha-characteristic parameter extimation.

  8. 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.

  9. 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.

  10. 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.

  11. 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.

  12. Cost and Precision of Brownian Clocks

    CERN Document Server

    Barato, Andre C

    2016-01-01

    Brownian clocks are biomolecular networks that can count time. A paradigmatic example are proteins that go through a cycle thus regulating some oscillatory behaviour in a living system. Typically, such a cycle requires free energy often provided by ATP hydrolysis. We investigate the relation between the precision of such a clock and its thermodynamic costs. For clocks driven by a constant thermodynamic force, a given precision requires a minimal cost that diverges as the uncertainty of the clock vanishes. In marked contrast, we show that a clock driven by a periodic variation of an external protocol can achieve arbitrary precision at arbitrarily low cost. This result constitutes a fundamental difference between processes driven by a fixed thermodynamic force and those driven periodically. As a main technical tool, we map a periodically driven system with a deterministic protocol to one subject to an external protocol that changes in stochastic time intervals, which simplifies calculations significantly. In th...

  13. Microstructure from simulated Brownian suspension flows at large shear rate

    Science.gov (United States)

    Morris, Jeffrey F.; Katyal, Bhavana

    2002-06-01

    Pair microstructure of concentrated Brownian suspensions in simple-shear flow is studied by sampling of configurations from dynamic simulations by the Stokesian Dynamics technique. Simulated motions are three dimensional with periodic boundary conditions to mimic an infinitely extended suspension. Hydrodynamic interactions through Newtonian fluid and Brownian motion are the only physical influences upon the motion of the monodisperse hard-sphere particles. The dimensionless parameters characterizing the suspension are the particle volume fraction and Péclet number, defined, respectively, as φ=(4π/3)na3 with n the number density and a the sphere radius, and Pe=6πηγ˙a3/kT with η the fluid viscosity, γ˙ the shear rate, and kT the thermal energy. The majority of the results reported are from simulations at Pe=1000; results of simulations at Pe=1, 25, and 100 are also reported for φ=0.3 and φ=0.45. The pair structure is characterized by the pair distribution function, g(r)=P1|1(r)/n, where P1|1(r) is the conditional probability of finding a pair at a separation vector r. The structure under strong shearing exhibits an accumulation of pair probability at contact, and angular distortion (from spherical symmetry at Pe=0), with both effects increasing with Pe. Flow simulations were performed at Pe=1000 for eight volume fractions in the range 0.2⩽φ⩽0.585. For φ=0.2-0.3, the pair structure at contact, g(|r|=2)≡g(2), is found to exhibit a single region of strong correlation, g(2)≫1, at points around the axis of compression, with a particle-deficient wake in the extensional zones. A qualitative change in microstructure is observed between φ=0.3 and φ=0.37. For φ⩾0.37, the maximum g(2) lies at points in the shear plane nearly on the x axis of the bulk simple shear flow Ux=γ˙y, while at smaller φ, the maximum g(2) lies near the compressional axis; long-range string ordering is not observed. For φ=0.3 and φ=0.45, g(2)˜Pe0.7 for 1⩽Pe⩽1000, a

  14. 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.

  15. Critical Brownian sheet does not have double points

    CERN Document Server

    Dalang, Robert C; Nualart, Eulalia; Wu, Dongsheng; Xiao, Yimin

    2010-01-01

    We derive a decoupling formula for the Brownian sheet which has the following ready consequence: An $N$-parameter Brownian sheet in $\\R^d$ has double points if and only if $2(d-2N)Brownian sheet does not have double points. This answers an old problem in the folklore of the subject. We also discuss some of the geometric consequences of the mentioned decoupling, and establish a partial result concerning $k$-multiple points in the critical case $k(d-2N) = d$.

  16. Rotational Brownian Dynamics simulations of clathrin cage formation

    Energy Technology Data Exchange (ETDEWEB)

    Ilie, Ioana M.; Briels, Wim J. [Computational BioPhysics, Faculty of Science and Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); MESA+ Institute for Nanotechnology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); Otter, Wouter K. den, E-mail: w.k.denotter@utwente.nl [Computational BioPhysics, Faculty of Science and Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); MESA+ Institute for Nanotechnology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); Multi Scale Mechanics, Faculty of Engineering Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands)

    2014-08-14

    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.

  17. Optimal tuning of a confined Brownian information engine

    Science.gov (United States)

    Park, Jong-Min; Lee, Jae Sung; Noh, Jae Dong

    2016-03-01

    A Brownian information engine is a device extracting mechanical work from a single heat bath by exploiting the information on the state of a Brownian particle immersed in the bath. As for engines, it is important to find the optimal operating condition that yields the maximum extracted work or power. The optimal condition for a Brownian information engine with a finite cycle time τ has been rarely studied because of the difficulty in finding the nonequilibrium steady state. In this study, we introduce a model for the Brownian information engine and develop an analytic formalism for its steady-state distribution for any τ . We find that the extracted work per engine cycle is maximum when τ approaches infinity, while the power is maximum when τ approaches zero.

  18. Rotational Brownian dynamics simulations of clathrin cage formation.

    Science.gov (United States)

    Ilie, Ioana M; den Otter, Wouter K; Briels, Wim J

    2014-08-14

    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.

  19. 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

  20. The double-temperature ratchet model and current reversal of coupled Brownian motors

    CERN Document Server

    Li, Chen-pu; Zheng, Zhi-gang

    2016-01-01

    Based on the transport features and experimental phenomena observed in studies of molecular motors, we proposed the double-temperature ratchet model of coupled motors to reveal the dynamical mechanism of cooperative transport of motors with two heads, where the interactions and the asynchronous between two motor heads are taken into account. We investigated the collective unidirectional transport of coupled system, and find that the direction of motion can be inversed under certain conditions. Inverse motion can be achieved by modulating the coupling strength, the coupling free length and the asymmetric efficient of the periodic potential, which is understood in terms of the effective-potential theory. The dependence of directed current on various parameters is studied systematically. Directed transport of coupled Brownian motors can be manipulated and optimized by adjusting pulsating period or the phase shift of the pulsating temperature.

  1. Response of Brownian Fluctuations to External Forces

    Science.gov (United States)

    Laub, Jeffrey William

    Millikan's law of particle fall is an empirical result which shows the dependence of particle fall rate in a gas on particle radius and host gas density. The size of submicron particles in gases has long been determined by Millikan's law. The dominant factor is Stokes' law with a correction added to account for the physics of slip. However, it was recently shown by Kim and Fedele that Brownian fluctuations affect the fall rate while showing no anomalies in the density dependence of the rms displacement. The effect was an enhancement of the fall rate of small particles as the density of the host gas is increased. This enhancement showed a size dependence in the form of a smooth transition from the one of decreasing fall rate with increasing density for large particles (~0.4 μm radius) to another of increasing fall rate with increasing gas density for small particles ( ~0.15mum radius). The magnitude of the anomaly is determined by how the rms Brownian velocity compares with its fall rate. In an effort to understand the effect of Brownian fluctuations coupling with gravity, a new experiment has been carried out where an AC field was applied to force particles to fluctuate more in the vertical direction on one hand and where a constant DC field was applied to change the effective force of gravity on the other. These fields were applied to a charged oil drop in the 0.2 to 0.3 μm radius range falling in a nitrogen environment. Displacements over a 4 second time interval were repeatedly measured in both the vertical and horizontal directions. The original experimental apparatus was used with some modifications. The modifications included computer automation of particle control and data taking to allow for longer use of the same particle, up to 120 hours, and to facilitate application of the additional fields. The objective was to make large particles appear to be smaller via forced oscillations and make them fall faster or slower via the DC bias to effect the change in

  2. 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.

  3. Interplay between optical, viscous and elastic forces on an optically trapped Brownian particle immersed in a viscoelastic fluid

    CERN Document Server

    Domínguez-García, P; Jeney, Sylvia

    2016-01-01

    We provide a detailed study of the interplay between the different interactions which appear in the Brownian motion of a micronsized sphere immersed in a viscoelastic fluid measured with optical trapping interferometry. To explore a wide range of viscous, elastic and optical forces, we analyze two different viscoelastic solutions at various concentrations, which provide a dynamic polymeric structure surrounding the Brownian sphere. Our experiments show that, depending of the fluid, optical forces, even if small, slightly modify the complex modulus at low frequencies. Based on our findings, we propose an alternative methodology to calibrate this kind of experimental set-up when non-Newtonian fluids are used. Understanding the influence of the optical potential is essential for a correct interpretation of the mechanical properties obtained by optically-trapped probe-based studies of biomaterials and living matter.

  4. Interplay between optical, viscous, and elastic forces on an optically trapped Brownian particle immersed in a viscoelastic fluid

    Science.gov (United States)

    Domínguez-García, P.; Forró, László; Jeney, Sylvia

    2016-10-01

    We provide a detailed study of the interplay between the different interactions which appear in the Brownian motion of a micronsized sphere immersed in a viscoelastic fluid measured with optical trapping interferometry. To explore a wide range of viscous, elastic, and optical forces, we analyze two different viscoelastic solutions at various concentrations, which provide a dynamic polymeric structure surrounding the Brownian sphere. Our experiments show that, depending on the fluid, optical forces, even if small, slightly modify the complex modulus at low frequencies. Based on our findings, we propose an alternative methodology to calibrate this kind of experimental set-up when non-Newtonian fluids are used. Understanding the influence of the optical potential is essential for a correct interpretation of the mechanical properties obtained by optically-trapped probe-based studies of biomaterials and living matter.

  5. Engineered swift equilibration of a Brownian particle

    Science.gov (United States)

    Martínez, Ignacio A.; Petrosyan, Artyom; Guéry-Odelin, David; Trizac, Emmanuel; Ciliberto, Sergio

    2016-09-01

    A fundamental and intrinsic property of any device or natural system is its relaxation time τrelax, which is the time it takes to return to equilibrium after the sudden change of a control parameter. Reducing τrelax is frequently necessary, and is often obtained by a complex feedback process. To overcome the limitations of such an approach, alternative methods based on suitable driving protocols have been recently demonstrated, for isolated quantum and classical systems. Their extension to open systems in contact with a thermostat is a stumbling block for applications. Here, we design a protocol, named Engineered Swift Equilibration (ESE), that shortcuts time-consuming relaxations, and we apply it to a Brownian particle trapped in an optical potential whose properties can be controlled in time. We implement the process experimentally, showing that it allows the system to reach equilibrium 100 times faster than the natural equilibration rate. We also estimate the increase of the dissipated energy needed to get such a time reduction. The method paves the way for applications in micro- and nano-devices, where the reduction of operation time represents as substantial a challenge as miniaturization.

  6. Instantaneous ballistic velocity of suspended Brownian nanocrystals measured by upconversion nanothermometry

    Science.gov (United States)

    Brites, Carlos D. S.; Xie, Xiaoji; Debasu, Mengistie L.; Qin, Xian; Chen, Runfeng; Huang, Wei; Rocha, João; Liu, Xiaogang; Carlos, Luís D.

    2016-10-01

    Brownian motion is one of the most fascinating phenomena in nature. Its conceptual implications have a profound impact in almost every field of science and even economics, from dissipative processes in thermodynamic systems, gene therapy in biomedical research, artificial motors and galaxy formation to the behaviour of stock prices. However, despite extensive experimental investigations, the basic microscopic knowledge of prototypical systems such as colloidal particles in a fluid is still far from being complete. This is particularly the case for the measurement of the particles' instantaneous velocities, elusive due to the rapid random movements on extremely short timescales. Here, we report the measurement of the instantaneous ballistic velocity of Brownian nanocrystals suspended in both aqueous and organic solvents. To achieve this, we develop a technique based on upconversion nanothermometry. We find that the population of excited electronic states in NaYF4:Yb/Er nanocrystals at thermal equilibrium can be used for temperature mapping of the nanofluid with great thermal sensitivity (1.15% K-1 at 296 K) and a high spatial resolution (<1 μm). A distinct correlation between the heat flux in the nanofluid and the temporal evolution of Er3+ emission allows us to measure the instantaneous velocity of nanocrystals with different sizes and shapes.

  7. Brownian nanoimaging of interface dynamics and ligand-receptor binding at cell surfaces in 3-D.

    Science.gov (United States)

    Kuznetsov, Igor R; Evans, Evan A

    2013-04-01

    We describe a method for nanoimaging interfacial dynamics and ligand-receptor binding at surfaces of live cells in 3-D. The imaging probe is a 1-μm diameter glass bead confined by a soft laser trap to create a "cloud" of fluctuating states. Using a facile on-line method of video image analysis, the probe displacements are reported at ~10 ms intervals with bare precisions (±SD) of 4-6 nm along the optical axis (elevation) and 2 nm in the transverse directions. We demonstrate how the Brownian distributions are analyzed to characterize the free energy potential of each small probe in 3-D taking into account the blur effect of its motions during CCD image capture. Then, using the approach to image interactions of a labeled probe with lamellae of leukocytic cells spreading on cover-glass substrates, we show that deformations of the soft distribution in probe elevations provide both a sensitive long-range sensor for defining the steric topography of a cell lamella and a fast telemetry for reporting rare events of probe binding with its surface receptors. Invoking established principles of Brownian physics and statistical thermodynamics, we describe an off-line method of super resolution that improves precision of probe separations from a non-reactive steric boundary to ~1 nm.

  8. 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.

  9. 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

  10. From generalized Langevin equations to Brownian dynamics and embedded Brownian dynamics

    Science.gov (United States)

    Ma, Lina; Li, Xiantao; Liu, Chun

    2016-09-01

    We present the reduction of generalized Langevin equations to a coordinate-only stochastic model, which in its exact form involves a forcing term with memory and a general Gaussian noise. It will be shown that a similar fluctuation-dissipation theorem still holds at this level. We study the approximation by the typical Brownian dynamics as a first approximation. Our numerical test indicates how the intrinsic frequency of the kernel function influences the accuracy of this approximation. In the case when such an approximate is inadequate, further approximations can be derived by embedding the nonlocal model into an extended dynamics without memory. By imposing noises in the auxiliary variables, we show how the second fluctuation-dissipation theorem is still exactly satisfied.

  11. 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.

  12. 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.

  13. Free energy and entropy production rate for a Brownian particle that walks on overdamped medium

    Science.gov (United States)

    Taye, Mesfin Asfaw

    2016-09-01

    We derive general expressions for the free energy, entropy production, and entropy extraction rates for a Brownian particle that walks in a viscous medium where the dynamics of its motion is governed by the Langevin equation. It is shown that, when the system is out of equilibrium, it constantly produces entropy and at the same time extracts entropy out of the system. Its entropy production and extraction rates decrease in time and saturate to a constant value. In the long-time limit, the rate of entropy production balances the rate of entropy extraction and, at equilibrium, both entropy production and extraction rates become zero. Moreover, considering different model systems, not only do we investigate how various thermodynamic quantities behave in time but also we discuss the fluctuation theorem in detail.

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

    Directory of Open Access Journals (Sweden)

    Daniel B Reeves

    Full Text Available 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.

  15. 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.

  16. Optimal estimates of the diffusion coefficient of a single Brownian trajectory.

    Science.gov (United States)

    Boyer, Denis; Dean, David S; Mejía-Monasterio, Carlos; Oshanin, Gleb

    2012-03-01

    Modern developments in microscopy and image processing are revolutionizing areas of physics, chemistry, and biology as nanoscale objects can be tracked with unprecedented accuracy. The goal of single-particle tracking is to determine the interaction between the particle and its environment. The price paid for having a direct visualization of a single particle is a consequent lack of statistics. Here we address the optimal way to extract diffusion constants from single trajectories for pure Brownian motion. It is shown that the maximum likelihood estimator is much more efficient than the commonly used least-squares estimate. Furthermore, we investigate the effect of disorder on the distribution of estimated diffusion constants and show that it increases the probability of observing estimates much smaller than the true (average) value.

  17. Thermophoresis and Brownian effects on the Blasius flow of a nanofluid due to a curved surface with thermal radiation

    Science.gov (United States)

    Naveed, M.; Abbas, Z.; Sajid, M.

    2016-06-01

    In this analysis, we have discussed the Blasius flow of a nanofluid over a curved surface coiled in a circle of radius R . The physical situation is formulated in a mathematical model using a curvilinear coordinates system. The model is considered for the nanofluid including the effects of Brownian motion and thermophoresis in the presence of thermal radiation. A similarity solution of the developed ordinary differential equations is obtained numerically using the shooting method. The influence of the various involved parameters on the flow phenomena are analyzed through graphs and tables.

  18. Accurate method for the Brownian dynamics simulation of spherical particles with hard-body interactions

    Science.gov (United States)

    Barenbrug, Theo M. A. O. M.; Peters, E. A. J. F. (Frank); Schieber, Jay D.

    2002-11-01

    In Brownian Dynamics simulations, the diffusive motion of the particles is simulated by adding random displacements, proportional to the square root of the chosen time step. When computing average quantities, these Brownian contributions usually average out, and the overall simulation error becomes proportional to the time step. A special situation arises if the particles undergo hard-body interactions that instantaneously change their properties, as in absorption or association processes, chemical reactions, etc. The common "naı̈ve simulation method" accounts for these interactions by checking for hard-body overlaps after every time step. Due to the simplification of the diffusive motion, a substantial part of the actual hard-body interactions is not detected by this method, resulting in an overall simulation error proportional to the square root of the time step. In this paper we take the hard-body interactions during the time step interval into account, using the relative positions of the particles at the beginning and at the end of the time step, as provided by the naı̈ve method, and the analytical solution for the diffusion of a point particle around an absorbing sphere. Öttinger used a similar approach for the one-dimensional case [Stochastic Processes in Polymeric Fluids (Springer, Berlin, 1996), p. 270]. We applied the "corrected simulation method" to the case of a simple, second-order chemical reaction. The results agree with recent theoretical predictions [K. Hyojoon and Joe S. Kook, Phys. Rev. E 61, 3426 (2000)]. The obtained simulation error is proportional to the time step, instead of its square root. The new method needs substantially less simulation time to obtain the same accuracy. Finally, we briefly discuss a straightforward way to extend the method for simulations of systems with additional (deterministic) forces.

  19. Rotational Brownian Dynamics simulations of clathrin cage formation

    NARCIS (Netherlands)

    Ilie, I.M.; Otter, den W.K.; Briels, W.J.

    2014-01-01

    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 assem

  20. Brownian dynamics determine universality of charge transport in ionic liquids

    Energy Technology Data Exchange (ETDEWEB)

    Sangoro, Joshua R [ORNL; Iacob, Ciprian [University of Leipzig; Mierzwa, Michal [University of Silesia, Uniwersytecka, Katowice, Poland; Paluch, Marian [University of Silesia, Uniwersytecka, Katowice, Poland; Kremer, Friedrich [University of Leipzig

    2012-01-01

    Broadband dielectric spectroscopy is employed to investigate charge transport in a variety of glass-forming ionic liquids over wide frequency, temperature and pressure ranges. Using a combination of Einstein, Einstein-Smoluchowski, and Langevin relations, the observed universal scaling of charge transport in ionic liquids is traced back to the dominant role of Brownian dynamics.

  1. 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 ...

  2. 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.

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

    Science.gov (United States)

    Hayat, T.; Nisar, Z.; Ahmad, B.; Yasmin, H.

    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.

  4. 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 ...

  5. 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.

  6. Pressure and phase equilibria in interacting active brownian spheres.

    Science.gov (United States)

    Solon, Alexandre P; Stenhammar, Joakim; Wittkowski, Raphael; Kardar, Mehran; Kafri, Yariv; Cates, Michael E; Tailleur, Julien

    2015-05-15

    We derive a microscopic expression for the mechanical pressure P in a system of spherical active Brownian particles at density ρ. Our exact result relates P, defined as the force per unit area on a bounding wall, to bulk correlation functions evaluated far away from the wall. It shows that (i) P(ρ) is a state function, independent of the particle-wall interaction; (ii) interactions contribute two terms to P, one encoding the slow-down that drives motility-induced phase separation, and the other a direct contribution well known for passive systems; and (iii) P is equal in coexisting phases. We discuss the consequences of these results for the motility-induced phase separation of active Brownian particles and show that the densities at coexistence do not satisfy a Maxwell construction on P.

  7. 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...

  8. Multiscale reaction-diffusion algorithms: PDE-assisted Brownian dynamics

    CERN Document Server

    Franz, Benjamin; Chapman, S Jonathan; Erban, Radek

    2012-01-01

    Two algorithms that combine Brownian dynamics (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 to accurately compute variances using the PBD simulation requires the overlap region. Advantages of both PBD approaches are discussed and illustrative numerical examples are presented.

  9. 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.

  10. The Brownian Cactus I. Scaling limits of discrete cactuses

    OpenAIRE

    Curien, Nicolas; Gall, Jean-François Le; 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 $\\mathbb{R}$-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,...

  11. Analysis of a Brownian heat engine with ecological criteria

    Science.gov (United States)

    Açıkkalp, Emin

    2016-12-01

    The purpose of this study is to investigate the Brownian heat engine with thermo-ecological function ( ECF) and ecological coefficient of performance ( ECOP). Potential and kinetic heat flows are taken into account. Different parameters are considered in the analyses. Beside the thermo-ecological function and ecological coefficient of performance, the basic thermodynamics parameters involving power output and efficiency are investigated. Results are presented numerically and the optimum points of the system are determined.

  12. Amoeba-inspired nanoarchitectonic computing implemented using electrical Brownian ratchets.

    Science.gov (United States)

    Aono, M; Kasai, S; Kim, S-J; Wakabayashi, M; Miwa, H; Naruse, M

    2015-06-12

    In this study, we extracted the essential spatiotemporal dynamics that allow an amoeboid organism to solve a computationally demanding problem and adapt to its environment, thereby proposing a nature-inspired nanoarchitectonic computing system, which we implemented using a network of nanowire devices called 'electrical Brownian ratchets (EBRs)'. By utilizing the fluctuations generated from thermal energy in nanowire devices, we used our system to solve the satisfiability problem, which is a highly complex combinatorial problem related to a wide variety of practical applications. We evaluated the dependency of the solution search speed on its exploration parameter, which characterizes the fluctuation intensity of EBRs, using a simulation model of our system called 'AmoebaSAT-Brownian'. We found that AmoebaSAT-Brownian enhanced the solution searching speed dramatically when we imposed some constraints on the fluctuations in its time series and it outperformed a well-known stochastic local search method. These results suggest a new computing paradigm, which may allow high-speed problem solving to be implemented by interacting nanoscale devices with low power consumption.

  13. Control of dynamical self-assembly of strongly Brownian nanoparticles through convective forces induced by ultrafast laser

    Science.gov (United States)

    Ilday, Serim; Akguc, Gursoy B.; Tokel, Onur; Makey, Ghaith; Yavuz, Ozgun; Yavuz, Koray; Pavlov, Ihor; Ilday, F. Omer; Gulseren, Oguz

    We report a new dynamical self-assembly mechanism, where judicious use of convective and strong Brownian forces enables effective patterning of colloidal nanoparticles that are almost two orders of magnitude smaller than the laser beam. Optical trapping or tweezing effects are not involved, but the laser is used to create steep thermal gradients through multi-photon absorption, and thereby guide the colloids through convective forces. Convective forces can be thought as a positive feedback mechanism that helps to form and reinforce pattern, while Brownian motion act as a competing negative feedback mechanism to limit the growth of the pattern, as well as to increase the possibilities of bifurcation into different patterns, analogous to the competition observed in reaction-diffusion systems. By steering stochastic processes through these forces, we are able to gain control over the emergent pattern such as to form-deform-reform of a pattern, to change its shape and transport it spatially within seconds. This enables us to dynamically initiate and control large patterns comprised of hundreds of colloids. Further, by not relying on any specific chemical, optical or magnetic interaction, this new method is, in principle, completely independent of the material type being assembled.

  14. A parity breaking Ising chain Hamiltonian as a Brownian motor

    Science.gov (United States)

    Cornu, F.; Hilhorst, H. J.

    2014-10-01

    We consider the translationally invariant but parity (left-right symmetry) breaking Ising chain Hamiltonian {\\cal H} =-{U_2}\\sumk sksk+1 - {U_3}\\sumk sksk+1sk+3 and let this system evolve by Kawasaki spin exchange dynamics. Monte Carlo simulations show that perturbations forcing this system off equilibrium make it act as a Brownian molecular motor which, in the lattice gas interpretation, transports particles along the chain. We determine the particle current under various different circumstances, in particular as a function of the ratio {U_3}/{U_2} and of the conserved magnetization M=\\sum_ksk . The symmetry of the U3 term in the Hamiltonian is discussed.

  15. Some Results on Fractional Brownian Sheets and Their Local Times

    Institute of Scientific and Technical Information of China (English)

    Zong-mao Cheng; Zheng-yan Lin

    2008-01-01

    Let BHO={BHO(t),E RN+} be a real-valued fractional Brownian sheet. Define the (N,d)-Ganssian random field BH by where BH1,..., BHd are independent copies of BHO. The existence and joint continuity of local times of BH is proven in some given conditions in [22]. We then study further properties of the local times of BH, such as the moments of increments of local times, the large increments and the maximum moduli of continuity of local times and as a result, we answer the questions posed in [22].

  16. Properties of the Collision Efficiency of Nanoparticles in Brownian Coagulation

    Institute of Scientific and Technical Information of China (English)

    WANG Yu-Ming; LIN Jian-Zhong; CHEN Zhong-Li

    2011-01-01

    The collision efficiency of nanoparticles with diameters from 100 nm to 750nm in the Brownian coagulation is studied by building and solving numerically the equations of particle collision in the presence of the van der Waals force, the elastic deformation force, the Stokes resistance, the lubrication force and the electrostatic force. The results show that the collision efficiency decreases overall with the increasing particle diameter. It is found that there exists an abrupt increase in the collision efficiency when the particle diameter is equals to 550 nm. Finally a new expression for the collision efficiency is presented.

  17. 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.

  18. Entropic Ratchet transport of interacting active Brownian particles

    Energy Technology Data Exchange (ETDEWEB)

    Ai, Bao-Quan, E-mail: aibq@hotmail.com [Laboratory of Quantum Engineering and Quantum Materials, School of Physics and Telecommunication Engineering, South China Normal University, 510006 Guangzhou (China); He, Ya-Feng [College of Physics Science and Technology, Hebei University, 071002 Baoding (China); Zhong, Wei-Rong, E-mail: wrzhong@jnu.edu.cn [Department of Physics and Siyuan Laboratory, College of Science and Engineering, Jinan University, 510632 Guangzhou (China)

    2014-11-21

    Directed transport of interacting active (self-propelled) Brownian particles is numerically investigated in confined geometries (entropic barriers). The self-propelled velocity can break thermodynamical equilibrium and induce the directed transport. It is found that the interaction between active particles can greatly affect the ratchet transport. For attractive particles, on increasing the interaction strength, the average velocity first decreases to its minima, then increases, and finally decreases to zero. For repulsive particles, when the interaction is very weak, there exists a critical interaction at which the average velocity is minimal, nearly tends to zero, however, for the strong interaction, the average velocity is independent of the interaction.

  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. Amoeba-inspired nanoarchitectonic computing implemented using electrical Brownian ratchets

    Science.gov (United States)

    Aono, M.; Kasai, S.; Kim, S.-J.; Wakabayashi, M.; Miwa, H.; Naruse, M.

    2015-06-01

    In this study, we extracted the essential spatiotemporal dynamics that allow an amoeboid organism to solve a computationally demanding problem and adapt to its environment, thereby proposing a nature-inspired nanoarchitectonic computing system, which we implemented using a network of nanowire devices called ‘electrical Brownian ratchets (EBRs)’. By utilizing the fluctuations generated from thermal energy in nanowire devices, we used our system to solve the satisfiability problem, which is a highly complex combinatorial problem related to a wide variety of practical applications. We evaluated the dependency of the solution search speed on its exploration parameter, which characterizes the fluctuation intensity of EBRs, using a simulation model of our system called ‘AmoebaSAT-Brownian’. We found that AmoebaSAT-Brownian enhanced the solution searching speed dramatically when we imposed some constraints on the fluctuations in its time series and it outperformed a well-known stochastic local search method. These results suggest a new computing paradigm, which may allow high-speed problem solving to be implemented by interacting nanoscale devices with low power consumption.

  1. Ergodicity convergence test suggests telomere motion obeys fractional dynamics

    Science.gov (United States)

    Kepten, E.; Bronshtein, I.; Garini, Y.

    2011-04-01

    Anomalous diffusion, observed in many biological processes, is a generalized description of a wide variety of processes, all obeying the same law of mean-square displacement. Identifying the basic mechanisms of these observations is important for deducing the nature of the biophysical systems measured. We implement a previously suggested method for distinguishing between fractional Langevin dynamics, fractional Brownian motion, and continuous time random walk based on the ergodic nature of the data. We apply the method together with the recently suggested P-variation test and the displacement correlation to the lately measured dynamics of telomeres in the nucleus of mammalian cells and find strong evidence that the telomeres motion obeys fractional dynamics. The ergodic dynamics are observed experimentally to fit fractional Brownian or Langevin dynamics.

  2. Experimental study of the stochastic heating of a single Brownian particle by charge fluctuations

    Science.gov (United States)

    Schmidt, Christian; Piel, Alexander

    2016-08-01

    The Brownian motion of a micro-particle, which is suspended in the sheath of a radio-frequency discharge, is studied by high-speed video microscopy. In this environment, stochastic heating by charge fluctuations is expected, which should lead to an anisotropic kinetic temperature of the particle with a preferential heating in the direction of the mean electric field in the sheath. The stochastic heating should become more effective at low gas pressures where cooling by the neutral gas becomes ineffective. Our refined experiments confirm the anisotropic heating and the temperature rise for diminishing pressure. Particle-in-cell simulations have guided us in modifying the gap width of the discharge and to specify the dependence of the plasma density on gas pressure as n i ∝ p 1 / 2 . Since the stochastic heating rate also depends on the life-time of charge fluctuations, a temperature scaling T kin ∝ p 3 / 2 results, which is in agreement with the experimental data. The experimental procedure to eliminate other spurious heating mechanisms is described in detail.

  3. On Representation Theorem of G-Expectations and Paths of G-Brownian Motion

    Institute of Scientific and Technical Information of China (English)

    Ming-shang Hu; Shi-ge Peng

    2009-01-01

    We give a very simple and elementary proof of the existence of a weakly compact family of probability measures {Pθ : θ∈θ} representing an important sublinear expectation-G-expectation IE[.]. We also give a concrete approximation of a bounded continuous function X(ω) by an increasing sequence of cylinder functions Lip(Ω) in order to prove that Cb(Ω) belongs to the completion of Lip(Ω) under the natural norm E[|.|].

  4. An exactly solvable model for Brownian motion : IV. Susceptibility and Nyquist's theorem

    NARCIS (Netherlands)

    Ullersma, P.

    1966-01-01

    By means of an exactly solvable model, treated in a previous paper1), the relation between the microscopic and macroscopic susceptibility is discussed. Furthermore, the limits of the validity of Nyquist's theorem are given.

  5. Auditory hair cell centrioles undergo confined Brownian motion throughout the developmental migration of the kinocilium.

    OpenAIRE

    Lepelletier, Léa; de Monvel, Jacques Boutet; Buisson, Johanna; Desdouets, Chantal; Petit, Christine

    2013-01-01

    Planar polarization of the forming hair bundle, the mechanosensory antenna of auditory hair cells, depends on the poorly characterized center-to-edge displacement of a primary cilium, the kinocilium, at their apical surface. Taking advantage of the gradient of hair cell differentiation along the cochlea, we reconstituted a map of the kinocilia displacements in the mouse embryonic cochlea. We then developed a cochlear organotypic culture and video-microscopy approach to monitor the movements o...

  6. 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.

  7. Representations of isotropic random fields with homogeneous increments, with applications to spacial fractional Brownian motion

    NARCIS (Netherlands)

    Dzhaparidze, K.O.

    2005-01-01

    This is a brief account of the current work by Dzhaparidze, van Zanten and Zareba, delivered as a lecture note at the conference Small deviations and related topics II held in St. Petersburg, September 12-19, 2005

  8. Littelmann path model for geometric crystals, Whittaker functions on Lie groups and Brownian motion

    Science.gov (United States)

    Chhaibi, Reda

    2013-02-01

    Generally speaking, this thesis focuses on the interplay between the representations of Lie groups and probability theory. It subdivides into essentially three parts. In a first rather algebraic part, we construct a path model for geometric crystals in the sense of Berenstein and Kazhdan, for complex semi-simple Lie groups. We will mainly describe the algebraic structure, its natural morphisms and parameterizations. The theory of total positivity will play a particularly important role. Then, we anticipate on the probabilistic part by exhibiting a canonical measure on geometric crystals. It uses as ingredients the superpotential for the flag manifold and a measure invariant under the crystal actions. The image measure under the weight map plays the role of Duistermaat-Heckman measure. Its Laplace transform defines Whittaker functions, providing an interesting formula for all Lie groups. Then it appears clearly that Whittaker functions are to geometric crystals, what characters are to combinatorial crystals. The Littlewood-Richardson rule is also exposed. Finally we present the probabilistic approach that allows to find the canonical measure. It is based on the fundamental idea that the Wiener measure will induce the adequate measure on the algebraic structures through the path model. In the last chapter, we show how our geometric model degenerates to the continuous classical Littelmann path model and thus recover known results. For example, the canonical measure on a geometric crystal of highest weight degenerates into a uniform measure on a polytope, and recovers the parameterizations of continuous crystals.

  9. Brownian motion of the electron and the Lamb shift at finite temperature

    CERN Document Server

    Kolomeisky, Eugene B

    2012-01-01

    By enhancing electron position fluctuations, equilibrium electromagnetic radiation modifies the potential for an electron in a Hydrogen atom. This can have significant effects for weakly bound states and especially at finite temperature. This implies a 2% correction to Bethe's value for 2S-2P Lamb shift for weak fluctuations, but the effect is an order of magnitude larger for strong fluctuations where it provides direct measure of the proton diameter.

  10. A Simulation-Based Study on Bayesian Estimators for the Skew Brownian Motion

    Directory of Open Access Journals (Sweden)

    Manuel Barahona

    2016-06-01

    Full Text Available In analyzing a temporal data set from a continuous variable, diffusion processes can be suitable under certain conditions, depending on the distribution of increments. We are interested in processes where a semi-permeable barrier splits the state space, producing a skewed diffusion that can have different rates on each side. In this work, the asymptotic behavior of some Bayesian inferences for this class of processes is discussed and validated through simulations. As an application, we model the location of South American sea lions (Otaria flavescens on the coast of Calbuco, southern Chile, which can be used to understand how the foraging behavior of apex predators varies temporally and spatially.

  11. Introduction to the theory of stochastic processes and Brownian motion problems

    OpenAIRE

    Garcia-Palacios, J L

    2007-01-01

    These notes are an introduction to the theory of stochastic processes based on several sources. The presentation mainly follows the books of van Kampen and Wio, except for the introduction, which is taken from the book of Gardiner and the parts devoted to the Langevin equation and the methods for solving Langevin and Fokker-Planck equations, which are based on the book of Risken.

  12. Kinetics of self-induced aggregation of Brownian particles: non-Markovian and non-Gaussian features

    CERN Document Server

    Ghosh, Pulak Kumar; Bag, Bidhan Chandra

    2012-01-01

    In this paper we have studied a model for self-induced aggregation in Brownian particle incorporating the non-Markovian and non-Gaussian character of the associated random noise process. In this model the time evolution of each individual is guided by an over-damped Langevin equation of motion with a non-local drift resulting from the local unbalance distributions of the other individuals. Our simulation result shows that colored nose can induce the cluster formation even at large noise strength. Another observation is that critical noise strength grows very rapidly with increase of noise correlation time for Gaussian noise than non Gaussian one. However, at long time limit the cluster number in aggregation process decreases with time following a power law. The exponent in the power law increases remarkable for switching from Markovian to non Markovian noise process.

  13. A new analysis methodology for the motion of self-propelled particles and its application

    Science.gov (United States)

    Byun, Young-Moo; Lammert, Paul; Crespi, Vincent

    2011-03-01

    The self-propelled particle (SPP) on the microscale in the solution is a growing field of study, which has a potential to be used for nanomedicine and nanorobots. However, little detailed quantitative analysis on the motion of the SPP has been performed so far because its self-propelled motion is strongly coupled to Brownian motion, which makes the extraction of intrinsic propulsion mechanisms problematic, leading to inconsistent conclusions. Here, we present a novel way to decompose the motion of the SPP into self-propelled and Brownian components; accurate values for self-propulsion speed and diffusion coefficients of the SPP are obtained for the first time. Then, we apply our analysis methodology to ostensible chemotaxis of SPP, and reveal the actual (non-chemotactic) mechanism of the phenomenon, demonstrating that our analysis methodology is a powerful and reliable tool.

  14. Diffusion in crowded biological environments: applications of Brownian dynamics

    Directory of Open Access Journals (Sweden)

    Długosz Maciej

    2011-03-01

    Full Text Available Abstract Biochemical reactions in living systems occur in complex, heterogeneous media with total concentrations of macromolecules in the range of 50 - 400 mgml. Molecular species occupy a significant fraction of the immersing medium, up to 40% of volume. Such complex and volume-occupied environments are generally termed 'crowded' and/or 'confined'. In crowded conditions non-specific interactions between macromolecules may hinder diffusion - a major process determining metabolism, transport, and signaling. Also, the crowded media can alter, both qualitatively and quantitatively, the reactions in vivo in comparison with their in vitro counterparts. This review focuses on recent developments in particle-based Brownian dynamics algorithms, their applications to model diffusive transport in crowded systems, and their abilities to reproduce and predict the behavior of macromolecules under in vivo conditions.

  15. Transitions in a genetic transcriptional regulatory system under Lévy motion

    OpenAIRE

    Zheng, Yayun; Serdukova, Larissa; Duan, Jinqiao; Kurths, Jürgen

    2016-01-01

    Based on a stochastic differential equation model for a single genetic regulatory system, we examine the dynamical effects of noisy fluctuations, arising in the synthesis reaction, on the evolution of the transcription factor activator in terms of its concentration. The fluctuations are modeled by Brownian motion and α-stable Lévy motion. Two deterministic quantities, the mean first exit time (MFET) and the first escape probability (FEP), are used to analyse the transitions from the low to hi...

  16. Effect of Brownian Coagulation on the Liquid-liquid Decomposition in Gas-atomized Alloy Drops

    Institute of Scientific and Technical Information of China (English)

    Jiuzhou ZHAO; Lingling GAO; Jie HE; L.Ratke

    2006-01-01

    Modeling and simulation have been carried out for Al-Pb alloys to investigate the Brownian coagulation effect on the microstructure development in a gas-atomized drop during the liquid-liquid decomposition.The results indicate that Brownian coagulation has a weak effect on the nucleation and a relatively strong effect on coarsening the minority phase droplets. The influence of Brownian coagulation on the liquid-liquid decomposition decreases with the increase in the diameter (or the decrease in the cooling rate) of the atomized drop.

  17. On-chip measurement of the Brownian relaxation frequency of magnetic beads using magnetic tunneling junctions

    DEFF Research Database (Denmark)

    Donolato, M.; Sogne, E.; Dalslet, Bjarke Thomas

    2011-01-01

    We demonstrate the detection of the Brownian relaxation frequency of 250 nm diameter magnetic beads using a lab-on-chip platform based on current lines for exciting the beads with alternating magnetic fields and highly sensitive magnetic tunnel junction (MTJ) sensors with a superparamagnetic free...... layer. The first harmonic out-of-phase component of the MTJ response gives the imaginary part of the magnetic bead susceptibility, which peaks at the Brownian relaxation frequency. This work paves the way to on-chip implementation of Brownian magnetorelaxometry in innovative "lab-on-a-bead" assays...

  18. Mean Mobility and Rotation Number in Time-inhomogenous Brownian Ratchets

    Institute of Scientific and Technical Information of China (English)

    张雪娟

    2004-01-01

    @@ Recently, Brownian ratchets have attracted considerable attention due to their abitlity to realize a unidirectional transport only throught the use of a proper asymmetry and thermal noise fluctuation, for recent review, see[1,2].

  19. Communication: Green-Kubo approach to the average swim speed in active Brownian systems

    Science.gov (United States)

    Sharma, A.; Brader, J. M.

    2016-10-01

    We develop an exact Green-Kubo formula relating nonequilibrium averages in systems of interacting active Brownian particles to equilibrium time-correlation functions. The method is applied to calculate the density-dependent average swim speed, which is a key quantity entering coarse grained theories of active matter. The average swim speed is determined by integrating the equilibrium autocorrelation function of the interaction force acting on a tagged particle. Analytical results are validated using Brownian dynamics simulations.

  20. Modelling Collective Opinion Formation by Means of Active Brownian Particles

    CERN Document Server

    Schweitzer, F; Schweitzer, Frank; Holyst, Janusz

    1999-01-01

    The concept of active Brownian particles is used to model a collective opinion formation process. It is assumed that individuals in community create a two-component communication field that influences the change of opinions of other persons and/or can induce their migration. The communication field is described by a reaction-diffusion equation, meaning that it has a certain lifetime, which models memory effects, further it can spread out in the community. Within our stochastic approach, the opinion change of the individuals is described by a master equation, while the migration is described by a set of Langevin equations, coupled by the communication field. In the mean-field limit which holds for fast communication, we derive a critical population size, above which the community separates into a majority and a minority with opposite opinions. The existence of external support (e.g. from mass media) can change the ratio between minority and majority, until above a critical external support the supported subpop...

  1. From Brownian Dynamics to Markov Chain: An Ion Channel Example

    KAUST Repository

    Chen, Wan

    2014-02-27

    A discrete rate theory for multi-ion channels is presented, in which the continuous dynamics of ion diffusion is reduced to transitions between Markovian discrete states. In an open channel, the ion permeation process involves three types of events: an ion entering the channel, an ion escaping from the channel, or an ion hopping between different energy minima in the channel. The continuous dynamics leads to a hierarchy of Fokker-Planck equations, indexed by channel occupancy. From these the mean escape times and splitting probabilities (denoting from which side an ion has escaped) can be calculated. By equating these with the corresponding expressions from the Markov model, one can determine the Markovian transition rates. The theory is illustrated with a two-ion one-well channel. The stationary probability of states is compared with that from both Brownian dynamics simulation and the hierarchical Fokker-Planck equations. The conductivity of the channel is also studied, and the optimal geometry maximizing ion flux is computed. © 2014 Society for Industrial and Applied Mathematics.

  2. Virial pressure in systems of spherical active Brownian particles.

    Science.gov (United States)

    Winkler, Roland G; Wysocki, Adam; Gompper, Gerhard

    2015-09-01

    The pressure of suspensions of self-propelled objects is studied theoretically and by simulation of spherical active Brownian particles (ABPs). We show that for certain geometries, the mechanical pressure as force/area of confined systems can be equally expressed by bulk properties, which implies the existence of a nonequilibrium equation of state. Exploiting the virial theorem, we derive expressions for the pressure of ABPs confined by solid walls or exposed to periodic boundary conditions. In both cases, the pressure comprises three contributions: the ideal-gas pressure due to white-noise random forces, an activity-induced pressure ("swim pressure"), which can be expressed in terms of a product of the bare and a mean effective particle velocity, and the contribution by interparticle forces. We find that the pressure of spherical ABPs in confined systems explicitly depends on the presence of the confining walls and the particle-wall interactions, which has no correspondence in systems with periodic boundary conditions. Our simulations of three-dimensional ABPs in systems with periodic boundary conditions reveal a pressure-concentration dependence that becomes increasingly nonmonotonic with increasing activity. Above a critical activity and ABP concentration, a phase transition occurs, which is reflected in a rapid and steep change of the pressure. We present and discuss the pressure for various activities and analyse the contributions of the individual pressure components.

  3. Brownian dynamics simulations of nanosheet solutions under shear.

    Science.gov (United States)

    Xu, Yueyi; Green, Micah J

    2014-07-14

    The flow-induced conformation dynamics of nanosheets are simulated using a Brownian Dynamics (BD) formulation applied to a bead-rod sheetlike molecular model. This is the first-ever use of BD to simulate flow-induced dynamics of two-dimensional structures. Using this framework, we simulate dilute suspensions of coarse-grained nanosheets and compute conformation dynamics for simple shear flow. The data show power law scaling relationships between nanosheet parameters (such as bending moduli and molecular weight) and the resulting intrinsic viscosity and conformation. For nonzero bending moduli, an effective dimension of 2.77 at equilibrium is calculated from the scaling relationship between radius of gyration and molecular weight. We also find that intrinsic viscosity varies with molecular weight with an exponent of 2.12 ± 0.23; this dependence is significantly larger than those found for linear polymers. Weak shear thinning is observed at high Weissenberg number (Wi). This simulation method provides a computational basis for developing manufacturing processes for nanosheet-derived materials by relating flow forces and nanosheet parameters to the resulting material morphology.

  4. From Brownian Dynamics to Markov Chain: an Ion Channel Example

    CERN Document Server

    Chen, Wan; Chapman, S Jonathan

    2012-01-01

    A discrete rate theory for general multi-ion channels is presented, in which the continuous dynamics of ion diffusion is reduced to transitions between Markovian discrete states. In an open channel, the ion permeation process involves three types of events: an ion entering the channel, an ion escaping from the channel, or an ion hopping between different energy minima in the channel. The continuous dynamics leads to a hierarchy of Fokker-Planck equations, indexed by channel occupancy. From these the mean escape times and splitting probabilities (denoting from which side an ion has escaped) can be calculated. By equating these with the corresponding expressions from the Markov model the Markovian transition rates can be determined. The theory is illustrated with a two-ion one-well channel. The stationary probability of states is compared with that from both Brownian dynamics simulation and the hierarchical Fokker-Planck equations. The conductivity of the channel is also studied, and the optimal geometry maximi...

  5. Phase transition in non-brownian fiber suspensions

    Science.gov (United States)

    Franceschini, Alexandre; Filippidi, Emmanouella; Guazzelli, Elizabeth; Pine, David

    2012-11-01

    The simple shear of a suspension of fibers tends to align them with the flow direction. We previously reported that the oscillatory shear of neutrally buoyant non-Brownian fibers align them with the vorticity (Franceschini A. et al. PRL, 2011). We interpreted this phenomenon as the minimization of a ``corrected volume fraction'' defined as a function of the strain amplitude, the average orientation and the volume fraction. Below a critical value of this parameter, the system becomes fully reversible after a few periods. Above it, fluctuations remain and the fibers align with the vorticity, subsequently reducing the value of this corrected volume fraction. We present here the collective behavior of fibers constrained at the liquid-air interface. By pinning the liquid on the wall of a Couette cell, we can have a flat interface. By modifying the surface of the fibers, we get rid of most of surface tension mediated fiber-fiber interactions. In this 2D configuration we can measure spatial correlations, as well as the position and orientation of every fiber at each shear cycle. We similarly define a ``corrected surface fraction'' and see how this parameter help us understand the difference between the surface behavior and the suspension behavior. This work was supported by the NSF through the NYU MRSEC, Award DMR:0820341. Additional support was provided by a Lavoisier Fellowship (AF) and from the Onassis Foundation (EF).

  6. Effects of temperature gradient induced nanoparticle motion on conduction and convection of fluid

    Energy Technology Data Exchange (ETDEWEB)

    Zhou Leping, E-mail: lpzhou@ncepu.edu.cn [North China Electric Power University, Key Laboratory of Condition Monitoring and Control for Power Plant Equipment of Ministry of Education, School of Energy, Power and Mechanical Engineering (China); Peterson, George P.; Yoda, Minani [Georgia Institute of Technology, George W. Woodruff School of Mechanical Engineering (United States); Wang Buxuan [Tsinghua University, Department of Thermal Engineering (China)

    2012-03-15

    The role of temperature gradient induced nanoparticle motion on conduction and convection was investigated. Possible mechanisms for variations resulting from variations in the thermophysical properties are theoretically and experimentally discussed. The effect of the nanoparticle motion on conduction is demonstrated through thermal conductivity measurement of deionized water with suspended CuO nanoparticles (50 nm in diameter) and correlated with the contributions of Brownian diffusion, thermophoresis, etc. The tendencies observed is that the magnitude of and the variation in the thermal conductivity increases with increasing volume fraction for a given temperature, which is due primarily to the Brownian diffusion of the nanoparticles. Using dimensional analysis, the thermal conductivity is correlated and both the interfacial thermal resistance and near-field radiation are found to be essentially negligible. A modification term that incorporates the contributions of Brownian motion and thermophoresis is proposed. The effect of nanoscale convection is illustrated through an experimental investigation that utilized fluorescent polystyrene nanoparticle tracers (200 nm in diameter) and multilayer nanoparticle image velocimetry. The results indicate that both the magnitude and the deviation of the fluid motion increased with increasing heat flux in the near-wall region. Meanwhile, the fluid motion tended to decrease with the off-wall distance for a given heating power. A corresponding numerical study of convection of pure deionized water shows that the velocity along the off-wall direction is several orders of magnitude lower than that of deionized water, which indicates that Brownian motion in the near-wall region is crucial for fluid with suspended nanoparticles in convection.

  7. Dependence of the apex angle of an inverted pyramidal-shaped container on crystallization of Brownian particles

    OpenAIRE

    Kanatsu, Youhei; Sato, Masahide

    2015-01-01

    Large grains of a close-packed colloidal crystal have been experimentally shown to form in an inverted pyramidal pit by sedimentation [S. Matsuo et al., Appl. Phys. Lett. 82, 4285 (2003)]. Keeping this experiment in mind, we study the crystallization of Brownian particles. We carry out Brownian dynamics simulations in an inverted pyramidal-shaped container. The Brownian particles settle out toward the apex of the container by a uniform external force. If the apex angle is suitable, large grai...

  8. A Brownian Dynamics Approach to ESR Line Shape Calculations

    Science.gov (United States)

    Wright, Matthew P.

    The work presented in this thesis uses a Monte Carlo technique to simulate spectra for 14N spin-labels and 15N spin labels. The algorithm presented here also has the capability to produce simulated spectra for any admixture of 14N and 15N. The algorithm makes use of `iterative loops' to model Brownian rotational diffusion and for the repeated evaluation of the spectral correlation function (relaxation function). The method described in this work starts with a derivation of an angular dependent "Spin Hamiltonian" that when diagonalized yields orientation dependent eigenvalues. The resulting eigenvalue equations are later used to calculate the energy trajectories of a nitroxide spin-label undergoing rotational diffusion. The energy trajectories are then used to evaluate the relaxation function. The absorption spectrum is obtained by applying a Fourier transform to the relaxation function. However, the application of the Fourier transform to the relaxation function produces "leakage" effects that manifest as spurious peaks in the first derivative spectrum. To counter "leakage" effects a data windowing function was applied to the relaxation function prior to the Fourier transform. In order to test the accuracy of this algorithm, simulated spectra for 14N, and 15N spin labels diffusing in a glycerol-water mixture as well as a 14N-15N admixture diffusing in the same solvent were produced and compared to experimental spectra. An attempt to quantify the level of agreement was made by calculating the mean square residual of the simulated and experimental spectra. The main spectral features were reproduced with reasonable fidelity by the simulated spectra.

  9. Electromagnetic radiation of charged particles in stochastic motion

    Energy Technology Data Exchange (ETDEWEB)

    Harko, Tiberiu [Babes-Bolyai University, Department of Physics, Cluj-Napoca (Romania); University College London, Department of Mathematics, London (United Kingdom); Mocanu, Gabriela [Astronomical Institute of the Romanian Academy, Cluj-Napoca (Romania)

    2016-03-15

    The study of the Brownian motion of a charged particle in electric and magnetic 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 of the emitted power is also obtained for each case, and, for all considered oscillating systems, it shows the presence of peaks, corresponding to certain intervals of the frequency. (orig.)

  10. Motion contrast using optical coherence tomography

    Science.gov (United States)

    Fingler, Jeffrey Paul

    Diagnosis of ophthalmic diseases like age-related macular degeneration is very important for treatment of the disease as well as the development of future treatments. Optical coherence tomography (OCT) is an optical interference technique which can measure the three-dimensional structural information of the reflecting layers within a sample. In retinal imaging, OCT is used as the primary diagnostic tool for structural abnormalities such as retinal holes and detachments. The contrast within the images of this technique is based upon reflectivity changes from different regions of the retina. This thesis demonstrates the developments of methods used to produce additional contrast to the structural OCT images based on the tiny fluctuations of motion experienced by the mobile scatterers within a sample. Motion contrast was observed for motions smaller than 50 nm in images of a variety of samples. Initial contrast method demonstrations used Brownian motion differences to separate regions of a mobile Intralipid solution from a static agarose gel, chosen in concentration to minimize reflectivity contrast. Zebrafish embryos in the range of 3-4 days post fertilization were imaged using several motion contrast methods to determine the capabilities of identifying regions of vascular flow. Vasculature identification was demonstrated in zebrafish for blood vessels of all orientations as small as 10 microns in diameter. Mouse retinal imaging utilized the same motion contrast methods to determine the contrast capabilities for motions associated with vasculature within the retina. Improved contrast imaging techniques demonstrated comparable images to fluorescein angiography, the gold standard of retinal vascular imaging. Future studies can improve the demonstrated contrast analysis techniques and apply them towards human retinal motion contrast imaging for ophthalmic diagnostic purposes.

  11. Two-component Brownian coagulation: Monte Carlo simulation and process characterization

    Institute of Scientific and Technical Information of China (English)

    Haibo Zhao; Chu guang Zheng

    2011-01-01

    The compositional distribution within aggregates of a given size is essential to the functionality of composite aggregates that are usually enlarged by rapid Brownian coagulation.There is no analytical solution for the process of such two-component systems.Monte Carlo method is an effective numerical approach for two-component coagulation.In this paper,the differentially weighted Monte Carlo method is used to investigate two-component Brownian coagulation,respectively,in the continuum regime,the freemolecular regime and the transition regime.It is found that ( 1 ) for Brownian coagulation in the continuum regime and in the free-molecular regime,the mono-variate compositional distribution,i.e.,the number density distribution function of one component amount (in the form of volume of the component in aggregates) satisfies self-preserving form the same as particle size distribution in mono-component Brownian coagulation; (2) however,for Brownian coagulation in the transition regime the mono-variate compositional distribution cannot reach self-similarity; and (3) the bivariate compositional distribution,i.e.,the combined number density distribution function of two component amounts in the three regimes satisfies a semi self-preserving form.Moreover,other new features inherent to aggregative mixing are also demonstrated; e.g.,the degree of mixing between components,which is largely controlled by the initial compositional mass fraction,improves as aggregate size increases.

  12. Real-time monitoring and visualization of the multi-dimensional motion of an anisotropic nanoparticle

    Science.gov (United States)

    Go, Gi-Hyun; Heo, Seungjin; Cho, Jong-Hoi; Yoo, Yang-Seok; Kim, Minkwan; Park, Chung-Hyun; Cho, Yong-Hoon

    2017-03-01

    As interest in anisotropic particles has increased in various research fields, methods of tracking such particles have become increasingly desirable. Here, we present a new and intuitive method to monitor the Brownian motion of a nanowire, which can construct and visualize multi-dimensional motion of a nanowire confined in an optical trap, using a dual particle tracking system. We measured the isolated angular fluctuations and translational motion of the nanowire in the optical trap, and determined its physical properties, such as stiffness and torque constants, depending on laser power and polarization direction. This has wide implications in nanoscience and nanotechnology with levitated anisotropic nanoparticles.

  13. 分数阶Brown马达及其定向输运现象%Fractional Brownian motor and its directed transport

    Institute of Scientific and Technical Information of China (English)

    白文斯密; 彭皓; 屠浙; 马洪

    2012-01-01

    Adopting power function as a damping kernel function of generalized Langevin equation, flash ratchet potential as a potential field, the model of fractional Brownian motor is derived in the case of overdamped condition. With the memory effect of fractional derivatives, the motion characteristics of the particle in overdamped fractional Brownian motor are discussed. Inverse transport which is not seen in conventional Brownian motor, is found in an overdamped fractional Brownian motor. The influences of fractional order and noise density on transport speed are discussed separately. For a fixed fractional order, stochastic resonance appears in transport speed as noise density varies. For a fixed noise density, transport speed will oscillate as the fractional order varies, that is, multipeak generalized stochastic resonance takes place.%选取幂函数作为广义Langevin方程的阻尼核函数,采用闪烁棘轮势,建立了过阻尼分数阶Brown马达模型.结合分数阶微积分的记忆性,分析了粒子在过阻尼分数阶Brown马达作用下的运动特性.研究发现,较之整数阶情形,过阻尼分数阶Brown马达也会产生定向输运现象,并且在某些阶数下会产生整数阶情形所不具有的反向定向流.此外,还讨论了阶数和噪声强度对系统输运速度的影响,发现当阶数固定时,其平均输运速度会随噪声变化出现随机共振;当噪声强度固定时,其输运速度会随阶数变化而振荡,即出现多峰的广义随机共振现象.

  14. On-chip Brownian relaxation measurements of magnetic nanobeads in the time domain

    DEFF Research Database (Denmark)

    Østerberg, Frederik Westergaard; Rizzi, Giovanni; Hansen, Mikkel Fougt

    2013-01-01

    We present and demonstrate a new method for on-chip Brownian relaxation measurements on magnetic nanobeads in the time domain using magnetoresistive sensors. The beads are being magnetized by the sensor self-field arising from the bias current passed through the sensors and thus no external...... magnetic fields are needed. First, the method is demonstrated on Brownian relaxation measurements of beads with nominal sizes of 40, 80, 130, and 250 nm. The results are found to compare well to those obtained by an already established measurement technique in the frequency domain. Next, we demonstrate...... the time and frequency domain methods on Brownian relaxation detection of clustering of streptavidin coated magnetic beads in the presence of different concentrations of biotin-conjugated bovine serum albumin and obtain comparable results. In the time domain, a measurement is carried out in less than 30 s...

  15. Brownian ratchets from statistical physics to bio and nano-motors

    CERN Document Server

    Cubero, David

    2016-01-01

    Illustrating the development of Brownian ratchets, from their foundations, to their role in the description of life at the molecular scale and in the design of artificial nano-machinery, this text will appeal to both advanced graduates and researchers entering the field. Providing a self-contained introduction to Brownian ratchets, devices which rectify microscopic fluctuations, Part I avoids technicalities and sets out the broad range of physical systems where the concept of ratchets is relevant. Part II supplies a single source for a complete and modern theoretical analysis of ratchets in regimes such as classical vs quantum and stochastic vs deterministic, and in Part III readers are guided through experimental developments in different physical systems, each highlighting a specific unique feature of ratchets. The thorough and systematic approach to the topic ensures that this book provides a complete guide to Brownian ratchets for newcomers and established researchers in physics, biology and biochemistry.

  16. Non-Brownian diffusion in lipid membranes: Experiments and simulations.

    Science.gov (United States)

    Metzler, R; Jeon, J-H; Cherstvy, A G

    2016-10-01

    The dynamics of constituents and the surface response of cellular membranes-also in connection to the binding of various particles and macromolecules to the membrane-are still a matter of controversy in the membrane biophysics community, particularly with respect to crowded membranes of living biological cells. We here put into perspective recent single particle tracking experiments in the plasma membranes of living cells and supercomputing studies of lipid bilayer model membranes with and without protein crowding. Special emphasis is put on the observation of anomalous, non-Brownian diffusion of both lipid molecules and proteins embedded in the lipid bilayer. While single component, pure lipid bilayers in simulations exhibit only transient anomalous diffusion of lipid molecules on nanosecond time scales, the persistence of anomalous diffusion becomes significantly longer ranged on the addition of disorder-through the addition of cholesterol or proteins-and on passing of the membrane lipids to the gel phase. Concurrently, experiments demonstrate the anomalous diffusion of membrane embedded proteins up to macroscopic time scales in the minute time range. Particular emphasis will be put on the physical character of the anomalous diffusion, in particular, the occurrence of ageing observed in the experiments-the effective diffusivity of the measured particles is a decreasing function of time. Moreover, we present results for the time dependent local scaling exponent of the mean squared displacement of the monitored particles. Recent results finding deviations from the commonly assumed Gaussian diffusion patterns in protein crowded membranes are reported. The properties of the displacement autocorrelation function of the lipid molecules are discussed in the light of their appropriate physical anomalous diffusion models, both for non-crowded and crowded membranes. In the last part of this review we address the upcoming field of membrane distortion by elongated membrane

  17. An elementary singularity-free Rotational Brownian Dynamics algorithm for anisotropic particles

    Energy Technology Data Exchange (ETDEWEB)

    Ilie, Ioana M.; Briels, Wim J. [Computational Biophysics, Faculty of Science and Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); MESA+ Institute for Nanotechnology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); Otter, Wouter K. den, E-mail: w.k.denotter@utwente.nl [Computational Biophysics, Faculty of Science and Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); MESA+ Institute for Nanotechnology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands); Multi Scale Mechanics, Faculty of Engineering Technology, University of Twente, P.O. Box 217, 7500 AE Enschede (Netherlands)

    2015-03-21

    Brownian Dynamics is the designated technique to simulate the collective dynamics of colloidal particles suspended in a solution, e.g., the self-assembly of patchy particles. Simulating the rotational dynamics of anisotropic particles by a first-order Langevin equation, however, gives rise to a number of complications, ranging from singularities when using a set of three rotational coordinates to subtle metric and drift corrections. Here, we derive and numerically validate a quaternion-based Rotational Brownian Dynamics algorithm that handles these complications in a simple and elegant way. The extension to hydrodynamic interactions is also discussed.

  18. On-chip measurements of Brownian relaxation vs. concentration of 40nm magnetic beads

    DEFF Research Database (Denmark)

    Østerberg, Frederik Westergaard; Rizzi, Giovanni; Hansen, Mikkel Fougt

    2012-01-01

    are needed as the beads are magnetized by the field generated by the applied sensor bias current. We show that the Brownian relaxation frequency can be extracted from fitting the Cole-Cole model to measurements for bead concentrations of 64 mu g/ml or higher and that the measured dynamic magnetic response......We present on-chip Brownian relaxation measurements on a logarithmic dilution series of 40 nm beads dispersed in water with bead concentrations between 16 mu g/ml and 4000 mu g/ml. The measurements are performed using a planar Hall effect bridge sensor at frequencies up to 1 MHz. No external fields...

  19. Feedback control of two-headed Brownian motors in flashing ratchet potential

    Institute of Scientific and Technical Information of China (English)

    Zhao A-Ke; Zhang Hong-Wei; Li Yu-Xiao

    2010-01-01

    We presented a detailed investigation on the movement of two-headed Brownian motors in an asymmetric potential under a feedback control. By numerical simulations the direct current is obtained. The current is periodic in the initial length of spring. There is an optimal value of the spring constant. And the dependence of the current on the opposing force is reversed. Then we found that when the change of the temperature and the opposing force have optimal values, the Brownian motors can also obtain the optimal efficiency.

  20. An Approach to Enhance the Efficiency of a Brownian Heat Engine

    Institute of Scientific and Technical Information of China (English)

    ZHANG Yan-Ping; HE Ji-Zhou; XIAO Yu-Ling

    2011-01-01

    A Brownian microscopic heat engine, driven by temperature difference and consisting of a Brownian particle moving in a sawtooth potential with an external load, is investigated. The heat Hows, driven by both potential and kinetic energies, are taken into account. Based on the master equation, the expressions for efficiency and power output are derived analytically, and performance characteristic curves are plotted. It is shown that the heat How via the kinetic energy of the particle decreases. The efficiency of the engine is enhanced, but the power output reduces as the a shape parameter of the sawtooth potential increases. The influence of the a shape parameter on efficiency and power output is then analyzed in detail.%A Brownian microscopic heat engine,driven by temperature difference and consisting of a Brownian particle moving in a sawtooth potential with an external load,is investigated.The heat flows,driven by both potential and kinetic energies,are taken into account.Based on the master equation,the expressions for efficiency and power output are derived analytically,and performance characteristic curves are plotted.It is shown that the heat flow via the kinetic energy of the particle decreases.The efficiency of the engine is enhanced,but the power output reduces as the α shape parameter of the sawtooth potential increases.The influence of the α shape parameter on efficiency and power output is then analyzed in detail.Like the Carnot cycle,the Brownian heat engine can extract work from the temperature difference between heat reservoirs,where the Brownian working material operates as a transducer of thermal energy into mechanical work.In the last few decades,the study of Brownian heat engines has received considerable attention,not only for the construction of the miniaturized engine that helps us utilize energy resources at microscopic scales,but also for a better understanding of nonequilibrium statistical physics.[1-3] The thermodynamic properties of the

  1. Brownian agents and active particles collective dynamics in the natural and social sciences

    CERN Document Server

    Schweitzer, Frank

    2007-01-01

    ""This book lays out a vision for a coherent framework for understanding complex systems"" (from the foreword by J. Doyne Farmer). By developing the genuine idea of Brownian agents, the author combines concepts from informatics, such as multiagent systems, with approaches of statistical many-particle physics. This way, an efficient method for computer simulations of complex systems is developed which is also accessible to analytical investigations and quantitative predictions. The book demonstrates that Brownian agent models can be successfully applied in many different contexts, ranging from

  2. MHD mixed convective peristaltic motion of nanofluid with Joule heating and thermophoresis effects.

    Science.gov (United States)

    Shehzad, Sabir Ali; Abbasi, Fahad Munir; Hayat, Tasawar; Alsaadi, Fuad

    2014-01-01

    The primary objective of present investigation is to introduce the novel aspect of thermophoresis in the mixed convective peristaltic transport of viscous nanofluid. Viscous dissipation and Joule heating are also taken into account. Problem is modeled using the lubrication approach. Resulting system of equations is solved numerically. Effects of sundry parameters on the velocity, temperature, concentration of nanoparticles and heat and mass transfer rates at the wall are studied through graphs. It is noted that the concentration of nanoparticles near the boundaries is enhanced for larger thermophoresis parameter. However reverse situation is observed for an increase in the value of Brownian motion parameter. Further, the mass transfer rate at the wall significantly decreases when Brownian motion parameter is assigned higher values.

  3. Stochastic thermodynamics with a Brownian particle in an optical trap (Presentation Recording)

    Science.gov (United States)

    Martinez, Ignacio A.; Roldán, Édgar; Dinis, Luis; Mestres, Pau; Parrondo, Juan M. R.; Rica, Raúl A.

    2015-08-01

    Stochastic thermodynamics [1,2] is a recently developed framework to deal with the thermodynamics at the microscope, where thermal fluctuations strongly influence their behaviour. Typical such systems are colloids and biomolecules or cells. These thermal fluctuations do not only lead to Brownian motion, but to a continuous and unavoidable heat exchange between the suspending medium and the particles, leading to a very interesting phenomenology. In order to explore such phenomenology and to test theoretical results obtained from stochastic thermodynamics, we developed an "experimental simulator" of thermodynamic devices in the microscale with an optically trapped bead that is subject to an external noise that mimics a controllable thermal bath. The noise is applied by means of electric fields acting on the charge of the trapped particle. In this talk, I will present some of the results we obtained with this simulator, demonstrating excellent control over the effective temperature of the system and a control parameter. This allows us to perform a variety of equilibrium and non-equilibrium thermodynamic processes [3-5]. In particular, we were able to realize microadiabatic processes, where no heat is exchanged on average between the particle and the medium [6]. This achievement allowed us to implement a Carnot microengine as a concatenation of isothermal and adiabatic processes [7], whose theoretical study is playing a key role in the foundations of stochastic thermodynamics. References [1] K Sekimoto; Lecture Notes in Physics (Springer, Berlin, 2010), Vol. 799. [2] U Seifert; Rep. Prog. Phys. 75 (2012) 126001 [3] IA Martínez, E Roldan, JMR Parrondo, D Petrov; Phys. Rev. E 87 (2013) 032159 [4] É Roldán, IA Martínez, L Dinis, RA Rica; Appl. Phys. Lett. 104 (2014) 234103 [5] P Mestres, IA Martinez, A Ortiz-Ambriz, RA Rica, E Roldan; Phys. Rev. E 90 (2014) 032116 [6] IA Martínez, E Roldan, L Dinis, D Petrov, RA Rica; Phys. Rev. Lett. (2015) In press [7] IA Martinez

  4. Anti-Brownian ELectrokinetic (ABEL) trapping of single β2-adrenergic receptors in the absence and presence of agonist

    Science.gov (United States)

    Bockenhauer, Samuel; Fuerstenberg, Alexandre; Yao, Xiao Jie; Kobilka, Brian K.; Moerner, W. E.

    2012-02-01

    The ABEL trap allows trapping of single biomolecules in solution for extended observation without immobilization. The essential idea combines fluorescence-based position estimation with fast electrokinetic feedback in a microfluidic geometry to counter the Brownian motion of a single nanoscale object, hence maintaining its position in the field of view for hundreds of milliseconds to seconds. Such prolonged observation of single proteins allows access to slow dynamics, as probed by any available photophysical observables. We have used the ABEL trap to study conformational dynamics of the β2-adrenergic receptor, a key G-protein coupled receptor and drug target, in the absence and presence of agonist. A single environment-sensitive dye reports on the receptor microenvironment, providing a real-time readout of conformational change for each trapped receptor. The focus of this paper will be a quantitative comparison of the ligandfree and agonist-bound receptor data from our ABEL trap experiments. We observe a small but clearly detectable shift in conformational equilibria and a lengthening of fluctuation timescales upon binding of agonist. In order to quantify the shift in state distributions and timescales, we apply nonparametric statistical tests to place error bounds on the resulting single-molecule distributions.

  5. Tumbling of a Brownian particle in an extensional flow

    CERN Document Server

    Plan, Emmanuel Lance Christopher VI Medillo

    2016-01-01

    The phenomenon of tumbling of microscopic objects is commonly associated with shear flows. We address the question of whether tumbling can also occur in stretching-dominated flows. To answer this, we study the dynamics of a semi-flexible trumbbell in a planar extensional velocity field. We show that the trumbbell undergoes a random tumbling-through-folding motion. The probability distribution of long tumbling times is exponential with a time scale exponentially increasing with the Weissenberg number.

  6. OCCUPATION TIMES OF BALLS BYBROWNIAN MOTION WITH DRIFT

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    Let X = {Xt,t 0} be a d-dimensional (d 2) standard Brownian motion with drift c started at a fixed x, and BR = {x ∈ Rd : |x| < R}, the ball centered at 0 with radius R. Consider the distributions of TR(t) and TR(∞), where TR(t) denotes the time spent by X in BR up to time t and TR(∞) the total time of X spent in BR. Explicit formulas for the Laplace transform of TR(∞) and the double Laplace transform of TR(t) are obtained.

  7. Influence of Brownian Diffusion on Levitation of Bodies in Magnetic Fluid

    Directory of Open Access Journals (Sweden)

    V. Bashtovoi

    2013-12-01

    Full Text Available The present work deals with experimental investigation of the levitation of magnetic and non-magnetic bodies in a magnetic fluid when essentially influenced by Brownian diffusion of magnetic particles in it. It is established that the point of levitation of bodies in a magnetic fluid varies with time.

  8. On the cumulants of increments for two classes of Brownian semi-stationary processes

    DEFF Research Database (Denmark)

    Urbina, José Ulises Márquez

    2015-01-01

    In this article we obtain formulae for the cumulants of the increments of two classes of Brownian semi-stationary (BSS) processes. The first class corresponds to BSS processes where the volatility is a Lévy semi-stationary process and the second class consists in BSS processes where the volatilit...

  9. From Levy to Brownian: a computational model based on biological fluctuation.

    Directory of Open Access Journals (Sweden)

    Surya G Nurzaman

    Full Text Available BACKGROUND: Theoretical studies predict that Lévy walks maximizes the chance of encountering randomly distributed targets with a low density, but Brownian walks is favorable inside a patch of targets with high density. Recently, experimental data reports that some animals indeed show a Lévy and Brownian walk movement patterns when forage for foods in areas with low and high density. This paper presents a simple, Gaussian-noise utilizing computational model that can realize such behavior. METHODOLOGY/PRINCIPAL FINDINGS: We extend Lévy walks model of one of the simplest creature, Escherichia coli, based on biological fluctuation framework. We build a simulation of a simple, generic animal to observe whether Lévy or Brownian walks will be performed properly depends on the target density, and investigate the emergent behavior in a commonly faced patchy environment where the density alternates. CONCLUSIONS/SIGNIFICANCE: Based on the model, animal behavior of choosing Lévy or Brownian walk movement patterns based on the target density is able to be generated, without changing the essence of the stochastic property in Escherichia coli physiological mechanism as explained by related researches. The emergent behavior and its benefits in a patchy environment are also discussed. The model provides a framework for further investigation on the role of internal noise in realizing adaptive and efficient foraging behavior.

  10. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Szozda, Benedykt

    This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G∗ of Potthoff--Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discusse...

  11. On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

    DEFF Research Database (Denmark)

    E. Barndorff-Nielsen, Ole; Benth, Fred Espen; Szozda, Benedykt

    This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed...

  12. Simultaneous detection of rotational and translational motion in optical tweezers by measurement of backscattered intensity

    CERN Document Server

    Roy, Basudev; Banerjee, Ayan

    2014-01-01

    We describe a simple yet powerful technique of simultaneously measuring both translational and rotational motion of mesoscopic particles in optical tweezers by measuring the backscattered intensity on a quadrant photodiode (QPD). While the measurement of translational motion by taking the difference of the backscattered intensity incident on adjacent quadrants of a QPD is well-known, we demonstrate that rotational motion can be measured very precisely by taking the difference between the diagonal quadrants. The latter measurement eliminates the translational component entirely, and leads to a detection sensitivity of around 50 mdeg at S/N of 2 for angular motion of a driven micro-rod. The technique is also able to resolve the translational and rotational Brownian motion components of the micro-rod in an unperturbed trap, and can be very useful in measuring translation-rotation coupling of micro-objects induced by hydrodynamic interactions.

  13. EDITORIAL: Nanotechnology in motion Nanotechnology in motion

    Science.gov (United States)

    Demming, Anna

    2012-02-01

    , Toshio Ando from the University of Kanazawa provides an overview of developments that have allowed atomic force microscopy to move from rates of the order of one frame a minute to over a thousand frames per second in constant height mode, as reported by Mervyn Miles and colleagues at Bristol University and University College London [8]. Among the pioneers in the field, Ando's group demonstrated the ability to record the Brownian motion of myosin V molecules on mica with image capture rates of 100 x 100 pixels in 80 ms over a decade ago [9]. The developments unleash the potential of atomic force microscopy to observe the dynamics of biological and materials systems. If seeing is believing, the ability to present real motion pictures of the nanoworld cannot fail to capture the public imagination and stimulate burgeoning new avenues of scientific endeavour. Nearly 350 years on from the publication Micrographia, images in microscopy have moved from the page to the movies. References [1] Binnig G, Quate C F, and Gerber Ch 1986 Phys. Rev. Lett. 56 930-3 [2] Ando T 2012 Nanotechnology 23 062001 [3] J G 1934 Nature 134 635-6 [4] Bharadwaj P, Anger P and Novotny L 2007 Nanotechnology 18 044017 [5] The Nobel Prize in Physics 1986 Nobelprize.org [6] Kim K K, Reina A, Shi Y, Park H, Li L-J, Lee Y H and Kong J 2010 Nanotechnology 21 285205 [7] Phillips D B, Grieve J A, Olof S N, Kocher S J, Bowman R, Padgett M J, Miles M J and Carberry D M 2011 Nanotechnology 22 285503 [8] Picco L M, Bozec L, Ulcinas A, Engledew D J, Antognozzi M, Horton M A and Miles M J 2007 Nanotechnology 18 044030 [9] Ando T, Kodera N, Takai E, Maruyama D, Saito K and Toda A 2001 Proc. Natl. Acad. Sci. 98 12468

  14. Motion Simulator

    Science.gov (United States)

    1993-01-01

    MOOG, Inc. supplies hydraulic actuators for the Space Shuttle. When MOOG learned NASA was interested in electric actuators for possible future use, the company designed them with assistance from Marshall Space Flight Center. They also decided to pursue the system's commercial potential. This led to partnership with InterActive Simulation, Inc. for production of cabin flight simulators for museums, expositions, etc. The resulting products, the Magic Motion Simulator 30 Series, are the first electric powered simulators. Movements are computer-guided, including free fall to heighten the sense of moving through space. A projection system provides visual effects, and the 11 speakers of a digital laser based sound system add to the realism. The electric actuators are easier to install, have lower operating costs, noise, heat and staff requirements. The U.S. Space & Rocket Center and several other organizations have purchased the simulators.

  15. The collision efficiency of spherical dioctyl phthalate aerosol particles in the Brownian coagulation

    Institute of Scientific and Technical Information of China (English)

    Feng Yu; Lin Jian-Zhong

    2008-01-01

    The collision efficiency in the Brownian coagulation is investigated. A new mechanical model of collision between two identical spherical particles is proposed, and a set of corresponding collision equations is established. The equations are solved numerically, thereby obtaining the collision efficiency for the monodisperse dioctyl phthalate spherical aerosols with diameters ranging from 100 to 760 nm in the presence of van der Waals force and the elastic deformation force.The calculated collision efficiency, in agreement with the experimental data qualitatively, decreases with the increase of particle diameter except a small peak appearing in the particles with a diameter of 510 nm. The results show that the interparticle elastic deformation force cannot be neglected in the computation of particle Brownian coagulation.Finally, a set of new expressions relating collision efficiency to particle diameter is established.

  16. Dwell time of a Brownian interacting molecule in a cellular microdomain

    CERN Document Server

    Taflia, A; Taflia, Adi; Holcman, David

    2006-01-01

    The time spent by an interacting Brownian molecule inside a bounded microdomain has many applications in cellular biology, because the number of bounds is a quantitative signal, which can initiate a cascade of chemical reactions and thus has physiological consequences. In the present article, we propose to estimate the mean time spent by a Brownian molecule inside a microdomain $\\Omega$ which contains small holes on the boundary and agonist molecules located inside. We found that the mean time depends on several parameters such as the backward binding rate (with the agonist molecules), the mean escape time from the microdomain and the mean time a molecule reaches the binding sites (forward binding rate). In addition, we estimate the mean and the variance of the number of bounds made by a molecule before it exits $\\Omega$. These estimates rely on a boundary layer analysis of a conditional mean first passage time, solution of a singular partial differential equation. In particular, we apply the present results ...

  17. A weak limit theorem for numerical approximation of Brownian semi-stationary processes

    DEFF Research Database (Denmark)

    Podolskij, Mark; Thamrongrat, Nopporn

    In this paper we present a weak limit theorem for a numerical approximation of Brownian semi-stationary processes studied in [14]. In the original work of [14] the authors propose to use Fourier transformation to embed a given one dimensional (Levy) Brownian semi-stationary process into a two......-parameter stochastic field. For the latter they use a simple iteration procedure and study the strong approximation error of the resulting numerical scheme given that the volatility process is fully observed. In this work we present the corresponding weak limit theorem for the setting, where the volatility....../drift process needs to be numerically simulated. In particular, weak approximation errors for smooth test functions can be obtained from our asymptotic theory....

  18. A Simple Discrete Model of Brownian Motors: Time-periodic Markov Chains

    Science.gov (United States)

    Ge, Hao; Jiang, Da-Quan; Qian, Min

    2006-05-01

    In this paper, we consider periodically inhomogeneous Markov chains, which can be regarded as a simple version of physical model—Brownian motors. We introduce for them the concepts of periodical reversibility, detailed balance, entropy production rate and circulation distribution. We prove the equivalence of the following statements: The time-periodic Markov chain is periodically reversible; It is in detailed balance; Kolmogorov's cycle condition is satisfied; Its entropy production rate vanishes; Every circuit and its reversed circuit have the same circulation weight. Hence, in our model of Markov chains, the directed transport phenomenon of Brownian motors, i.e. the existence of net circulation, can occur only in nonequilibrium and irreversible systems. Moreover, we verify the large deviation property and the Gallavotti-Cohen fluctuation theorem of sample entropy production rates of the Markov chain.

  19. Auditory Motion Elicits a Visual Motion Aftereffect

    Directory of Open Access Journals (Sweden)

    Christopher C. Berger

    2016-12-01

    Full Text Available The visual motion aftereffect is a visual illusion in which exposure to continuous motion in one direction leads to a subsequent illusion of visual motion in the opposite direction. Previous findings have been mixed with regard to whether this visual illusion can be induced cross-modally by auditory stimuli. Based on research on multisensory perception demonstrating the profound influence auditory perception can have on the interpretation and perceived motion of visual stimuli, we hypothesized that exposure to auditory stimuli with strong directional motion cues should induce a visual motion aftereffect. Here, we demonstrate that horizontally moving auditory stimuli induced a significant visual motion aftereffect—an effect that was driven primarily by a change in visual motion perception following exposure to leftward moving auditory stimuli. This finding is consistent with the notion that visual and auditory motion perception rely on at least partially overlapping neural substrates.

  20. Three vortex motion in the slightly viscous flow

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    The dynamics of three vortices moving in an ideal fluid in a plane can be expressed in Hamiltonian form. However, when viscosity can not be ignored, the system of point vortices has not this delicious structure. This investigation focuses on the viscosity effect on the motion of three vortices. Since the viscous diffusion of vortices is simulated by Brownian motion, the equations of intervortical distances are obtained by Ito formula. These equations show that there exist two viscosity effects on intervortical distances: stable expansion and random impulse. Furthermore, via employing the asymptotic solution to these equations, these two viscous effects have been shown to destroy the self-similar process of collapse and make it into a new configuration, which is similar to the near collapse in the ideal case.

  1. Level-statistics in Disordered Systems: A single parametric scaling and Connection to Brownian Ensembles

    OpenAIRE

    Shukla, Pragya

    2004-01-01

    We find that the statistics of levels undergoing metal-insulator transition in systems with multi-parametric Gaussian disorders and non-interacting electrons behaves in a way similar to that of the single parametric Brownian ensembles \\cite{dy}. The latter appear during a Poisson $\\to$ Wigner-Dyson transition, driven by a random perturbation. The analogy provides the analytical evidence for the single parameter scaling of the level-correlations in disordered systems as well as a tool to obtai...

  2. Environmental context explains Lévy and Brownian movement patterns of marine predators

    OpenAIRE

    Nicolas E Humphries; Queiroz, Nuno; Dyer, Jennifer R.M.; Pade, Nicolas G.; Musyl, Michael K.; Schaefer, Kurt M.; Fuller, Daniel W.; Brunnschweiler, Juerg M.; Thomas K. Doyle; Jonathan D.R. Houghton; Hays, Graeme C.; Jones, Catherine S.; Noble, Leslie R.; Wearmouth, Victoria J.; Southall, Emily J.

    2010-01-01

    An optimal search theory, the so-called Lévy-flight foraging hypothesis, predicts that predators should adopt search strategies known as Lévy flights where prey is sparse and distributed unpredictably, but that Brownian movement is sufficiently efficient for locating abundant prey. Empirical studies have generated controversy because the accuracy of statistical methods that have been used to identify Lévy behaviour has recently been questioned. Consequently, whether foragers exhibit Lévy flig...

  3. Collective motion

    Science.gov (United States)

    Vicsek, Tamás; Zafeiris, Anna

    2012-08-01

    We review the observations and the basic laws describing the essential aspects of collective motion - being one of the most common and spectacular manifestation of coordinated behavior. Our aim is to provide a balanced discussion of the various facets of this highly multidisciplinary field, including experiments, mathematical methods and models for simulations, so that readers with a variety of background could get both the basics and a broader, more detailed picture of the field. The observations we report on include systems consisting of units ranging from macromolecules through metallic rods and robots to groups of animals and people. Some emphasis is put on models that are simple and realistic enough to reproduce the numerous related observations and are useful for developing concepts for a better understanding of the complexity of systems consisting of many simultaneously moving entities. As such, these models allow the establishing of a few fundamental principles of flocking. In particular, it is demonstrated, that in spite of considerable differences, a number of deep analogies exist between equilibrium statistical physics systems and those made of self-propelled (in most cases living) units. In both cases only a few well defined macroscopic/collective states occur and the transitions between these states follow a similar scenario, involving discontinuity and algebraic divergences.

  4. Fractional brownian functions as mathematical models of natural rhythm in architecture.

    Science.gov (United States)

    Cirovic, Ivana M

    2014-10-01

    Carl Bovill suggested and described a method of generating rhythm in architecture with the help of fractional Brownian functions, as they are mathematical models of natural rhythm. A relationship established in the stated procedure between fractional Brownian functions as models of rhythm, and the observed group of architectural elements, is recognized as an analogical relationship, and the procedure of generating rhythm as a process of analogical transfer from the natural domain to the architectural domain. Since analogical transfer implies relational similarity of two domains, and the establishment of one-to-one correspondence, this paper is trying to determine under which conditions such correspondence could be established. For example, if the values of the observed visual feature of architectural elements are not similar to each other in a way in which they can form a monotonically increasing, or a monotonically decreasing bounded sequence, then the structural alignment and the one-to-one correspondence with a single fractional Brownian function cannot be established, hence, this function is deemed inappropriate as a model for the architectural rhythm. In this case we propose overlapping of two or more functions, so that each of them is an analog for one subset of mutually similar values of the visual feature of architectural elements.

  5. An exactly solvable model for Brownian motion : II. Derivation of the Fokker-Planck equation and the master equation

    NARCIS (Netherlands)

    Ullersma, P.

    1966-01-01

    As in a previous paper1) an elastically bound particle, linearly coupled with a bath of small oscillators, is considered. At the initial time the bath is chosen in thermal equilibrium with temperature T. In the classical case the distribution function for the momentum and displacement of the particl

  6. Existence of Random Attractors for a Class of Second-Order Lattice Dynamical Systems with Brownian Motions

    Directory of Open Access Journals (Sweden)

    Yamin Wang

    2014-01-01

    Full Text Available This paper is concerned with the random attractors for a class of second-order stochastic lattice dynamical systems. We first prove the uniqueness and existence of the solutions of second-order stochastic lattice dynamical systems in the space F=lλ2×l2. Then, by proving the asymptotic compactness of the random dynamical systems, we establish the existence of the global random attractor. The system under consideration is quite general, and many existing results can be regarded as the special case of our results.

  7. A hundred years of the theory of Brownian motion%布朗运动理论一百年

    Institute of Scientific and Technical Information of China (English)

    郝柏林

    2011-01-01

    This is a reprint of a 2005 talk given at a Fragrant Hill Conference devoted to the centenary of the Einstein Miracle Year.It briefly reviewed the development of stochastic approach in physics with some emphasis on contributions related to Chinese physicists.%文章基于作者在2005年纪念爱因斯坦奇迹年的香山会议上的综述报告,扼要叙述了从布朗运动到统计涨落场论的发展历程,特别提及了与中国物理学家有关的贡献.

  8. Open Quantum System Dynamics from a Measurement Perspective: Applications to Coherent Particle Transport and to Quantum~Brownian Motion

    Science.gov (United States)

    Kamleitner, Ingo

    2010-09-01

    We employ the theoretical framework of positive operator valued measures, to study Markovian open quantum systems. In particular, we discuss how a quantum system influences its environment. Using the theory of indirect measurements, we then draw conclusions about the information we could hypothetically obtain about the system by observing the environment. Although the environment is not actually observed, we can use these results to describe the change of the quantum system due to its interaction with the environment. We apply this technique to two different problems. In the first part, we study the coherently driven dynamics of a particle on a rail of quantum dots. This tunnelling between adjacent quantum dots can be controlled externally. We employ an adiabatic scheme similar to stimulated Raman adiabatic passage, to transfer the particle between different quantum dots. We compare two fundamentally different sources of decoherence. In the second part, we study the dynamics of a free quantum particle, which experiences random collisions with gas particles. Previous studies on this topic applied scattering theory to momentum eigenstates. We present a supplementary approach, where we develop a rigorous measurement interpretation of the collision process to derive a master equation. Finally, we study the collisional decoherence process in terms of the Wigner function. We restrict ourselves to one spatial dimension. Nevertheless, we find some interesting new insight, including that the previously celebrated quantum contribution to position diffusion is not real, but a consequence of the Markovian approximation. Further, we discover that the leading decoherence process is due to phase averaging, rather than induced by the information transfer between the colliding particles.

  9. Open Quantum System Dynamics from a Measurement Perspective: Applications to Coherent Particle Transport and to Quantum~Brownian Motion

    CERN Document Server

    Kamleitner, Ingo

    2010-01-01

    We employ the theoretical framework of positive operator valued measures, to study Markovian open quantum systems. In particular, we discuss how a quantum system influences its environment. Using the theory of indirect measurements, we then draw conclusions about the information we could hypothetically obtain about the system by observing the environment. Although the environment is not actually observed, we can use these results to describe the change of the quantum system due to its interaction with the environment. We apply this technique to two different problems. In the first part, we study the coherently driven dynamics of a particle on a rail of quantum dots. This tunnelling between adjacent quantum dots can be controlled externally. We employ an adiabatic scheme similar to stimulated Raman adiabatic passage, to transfer the particle between different quantum dots. We compare two fundamentally different sources of decoherence. In the second part, we study the dynamics of a free quantum particle, which ...

  10. Motion control report

    CERN Document Server

    2013-01-01

    Please note this is a short discount publication. In today's manufacturing environment, Motion Control plays a major role in virtually every project.The Motion Control Report provides a comprehensive overview of the technology of Motion Control:* Design Considerations* Technologies* Methods to Control Motion* Examples of Motion Control in Systems* A Detailed Vendors List

  11. Bayesian Decision Tree for the Classification of the Mode of Motion in Single-Molecule Trajectories

    CERN Document Server

    Türkcan, Silvan

    2015-01-01

    Membrane proteins move in heterogeneous environments with spatially (sometimes temporally) varying friction and with biochemical interactions with various partners. It is important to reliably distinguish different modes of motion to improve our knowledge of the membrane architecture and to understand the nature of interactions between membrane proteins and their environments. Here, we present an analysis technique for single molecule tracking (SMT) trajectories that can determine the preferred model of motion that best matches observed trajectories. Information theory criteria, such as the Bayesian information criterion (BIC), the Akaike information criterion (AIC), and modified AIC (AICc), are used to select the preferred model. The considered group of models includes free Brownian motion, and confined motion in 2nd or 4th order potentials. We determine the best information criteria for classifying trajectories. We tested its limits through simulations matching large sets of experimental conditions and buil...

  12. A Diffusion Approximation Based on Renewal Processes with Applications to Strongly Biased Run-Tumble Motion.

    Science.gov (United States)

    Thygesen, Uffe Høgsbro

    2016-03-01

    We consider organisms which use a renewal strategy such as run-tumble when moving in space, for example to perform chemotaxis in chemical gradients. We derive a diffusion approximation for the motion, applying a central limit theorem due to Anscombe for renewal-reward processes; this theorem has not previously been applied in this context. Our results extend previous work, which has established the mean drift but not the diffusivity. For a classical model of tumble rates applied to chemotaxis, we find that the resulting chemotactic drift saturates to the swimming velocity of the organism when the chemical gradients grow increasingly steep. The dispersal becomes anisotropic in steep gradients, with larger dispersal across the gradient than along the gradient. In contrast to one-dimensional settings, strong bias increases dispersal. We next include Brownian rotation in the model and find that, in limit of high chemotactic sensitivity, the chemotactic drift is 64% of the swimming velocity, independent of the magnitude of the Brownian rotation. We finally derive characteristic timescales of the motion that can be used to assess whether the diffusion limit is justified in a given situation. The proposed technique for obtaining diffusion approximations is conceptually and computationally simple, and applicable also when statistics of the motion is obtained empirically or through Monte Carlo simulation of the motion.

  13. Motion in radiotherapy

    DEFF Research Database (Denmark)

    Korreman, Stine Sofia

    2012-01-01

    This review considers the management of motion in photon radiation therapy. An overview is given of magnitudes and variability of motion of various structures and organs, and how the motion affects images by producing artifacts and blurring. Imaging of motion is described, including 4DCT and 4DPET...

  14. Binary data corruption due to a Brownian agent. II. Two dimensions, competing agents, and generalized couplings.

    Science.gov (United States)

    Triampo, W; Newman, T J

    1999-08-01

    This work is a continuation of our previous investigation of binary data corruption due to a Brownian agent [Phys. Rev. E 59, 5172 (1999)]. We extend our study in three main directions which allow us to make closer contact with real bistable systems. These are (i) a detailed analysis of two dimensions, (ii) the case of competing agents, and (iii) the cases of asymmetric and quenched random couplings. Most of our results are obtained by extending our original phenomenological model, and are supported by extensive numerical simulations.

  15. Joint distributions of partial and global maxima of a Brownian bridge

    Science.gov (United States)

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

    2016-08-01

    We analyze the joint distributions and temporal correlations between the partial maximum m and the global maximum M achieved by a Brownian bridge on the subinterval [0,{t}1] and on the entire interval [0,t], respectively. We determine three probability distribution functions: the joint distribution P(m,M) of both maxima; the distribution P(m) of the partial maximum; and the distribution {{\\Pi }}(G) of the gap between the maxima, G=M-m. We present exact results for the moments of these distributions and quantify the temporal correlations between m and M by calculating the Pearson correlation coefficient.

  16. Weighted-ensemble Brownian dynamics simulation: sampling of rare events in nonequilibrium systems.

    Science.gov (United States)

    Kromer, Justus A; Schimansky-Geier, Lutz; Toral, Raul

    2013-06-01

    We provide an algorithm based on weighted-ensemble (WE) methods, to accurately sample systems at steady state. Applying our method to different one- and two-dimensional models, we succeed in calculating steady-state probabilities of order 10(-300) and reproduce the Arrhenius law for rates of order 10(-280). Special attention is payed to the simulation of nonpotential systems where no detailed balance assumption exists. For this large class of stochastic systems, the stationary probability distribution density is often unknown and cannot be used as preknowledge during the simulation. We compare the algorithm's efficiency with standard Brownian dynamics simulations and the original WE method.

  17. Structure Analysis of Jungle-Gym-Type Gels by Brownian Dynamics Simulation

    Science.gov (United States)

    Ohta, Noriyoshi; Ono, Kohki; Takasu, Masako; Furukawa, Hidemitsu

    2008-02-01

    We investigated the structure and the formation process of two kinds of gels by Brownian dynamics simulation. The effect of flexibility of main chain oligomer was studied. From our results, hard gel with rigid main chain forms more homogeneous network structure than soft gel with flexible main chain. In soft gel, many small loops are formed, and clusters tend to shrink. This heterogeneous network structure may be caused by microgels. In the low density case, soft gel shows more heterogeneity than the high density case.

  18. Asymptotic theory for Brownian semi-stationary processes with application to turbulence

    DEFF Research Database (Denmark)

    Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S.;

    2013-01-01

    This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of the BSS model. We review the limit theory discussed......-stationary processes. In "Prokhorov and Contemporary Probability Theory", Springer.] and present some new connections to fractional diffusion models. We apply our probabilistic results to construct a family of estimators for the smoothness parameter of the BSS process. In this context we develop estimates with gaps......, which allow to obtain a valid central limit theorem for the critical region. Finally, we apply our statistical theory to turbulence data....

  19. Effect of internal viscosity on Brownian dynamics of DNA molecules in shear flow.

    Science.gov (United States)

    Yang, Xiao-Dong; Melnik, Roderick V N

    2007-04-01

    The results of Brownian dynamics simulations of a single DNA molecule in shear flow are presented taking into account the effect of internal viscosity. The dissipative mechanism of internal viscosity is proved necessary in the research of DNA dynamics. A stochastic model is derived on the basis of the balance equation for forces acting on the chain. The Euler method is applied to the solution of the model. The extensions of DNA molecules for different Weissenberg numbers are analyzed. Comparison with the experimental results available in the literature is carried out to estimate the contribution of the effect of internal viscosity.

  20. Analytical estimates of free brownian diffusion times in corrugated narrow channels.

    Science.gov (United States)

    Bosi, Leone; Ghosh, Pulak K; Marchesoni, Fabio

    2012-11-07

    The diffusion of a suspended brownian particle along a sinusoidally corrugated narrow channel is investigated to assess the validity of two competing analytical schemes, both based on effective one-dimensional kinetic equations, one continuous (entropic channel scheme) and the other discrete (random walker scheme). For narrow pores, the characteristic diffusion time scale is represented by the mean first exit time out of a channel compartment. Such a diffusion time has been analytically calculated in both approximate schemes; the two analytical results coincide in leading order and are in excellent agreement with the simulation data.

  1. Brownian dynamics simulations of an idealized chemical reaction network under spatial confinement and crowding conditions

    CERN Document Server

    Bellesia, Giovanni

    2015-01-01

    We investigate, via Brownian dynamics simulations, the reaction dynamics of a simple, non-linear chemical network (the Willamowski-Rossler network) under spatial confinement and crowding conditions. Our results show that the presence of inert crowders has a non-nontrivial effect on the dynamics of the network and, consequently, that effective modeling efforts aiming at a general understanding of the behavior of biochemical networks in vivo should be stochastic in nature and based on an explicit representation of both spatial confinement and macromolecular crowding.

  2. Noise-Induced Phase Transition: Zero-Dimensional Brownian Particles Varying between Ergodicity and Nonergodicity

    Institute of Scientific and Technical Information of China (English)

    BAI Zhan-Wu

    2008-01-01

    @@ We study in phase space a zero-dimensional system of Brownian particles which move in a periodic potential and subject to an internal time derivative Ornstein-Uhlenbeck noise. To resolve the Fokker-Planck equation in such a case, we propose an approximate analytical method. The theoretical predictions exhibit a second order noise-induced nonequilibrium phase transition, which is confirmed by numerical simulation results. The phase transition brings the system from an ergodicity to a nonergodicity phase as the potential barrier height decreases.

  3. Brownian Dynamics Simulation of Microstructures and Elongational Viscosities of Micellar Surfactant Solution

    Institute of Scientific and Technical Information of China (English)

    WEI Jin-Jia; KAWAGUCHI Yasuo; YU Bo; LI Feng-Chen

    2008-01-01

    @@ Brownian dynamics simulation is conducted for a dilute surfactant solution under a steady uniaxial elongational flow.A new inter-cluster potential is used for the interaction among surfactant micelles to determine the micellar network structures in the surfactant solution.The micellar network is successfully simulated.It is formed at low elongation rates and destroyed by high elongation rates.The computed elongational viscosities show elongation-thinning characteristics.The relationship between the elongational viscosities and the microstructure of the surfactant solution is revealed.

  4. Comparisons of characteristic timescales and approximate models for Brownian magnetic nanoparticle rotations

    Energy Technology Data Exchange (ETDEWEB)

    Reeves, Daniel B., E-mail: dbr@Dartmouth.edu; Weaver, John B. [Department of Physics and Astronomy, Dartmouth College, Hanover, New Hampshire 03755 (United States)

    2015-06-21

    Magnetic nanoparticles are promising tools for a host of therapeutic and diagnostic medical applications. The dynamics of rotating magnetic nanoparticles in applied magnetic fields depend strongly on the type and strength of the field applied. There are two possible rotation mechanisms and the decision for the dominant mechanism is often made by comparing the equilibrium relaxation times. This is a problem when particles are driven with high-amplitude fields because they are not necessarily at equilibrium at all. Instead, it is more appropriate to consider the “characteristic timescales” that arise in various applied fields. Approximate forms for the characteristic time of Brownian particle rotations do exist and we show agreement between several analytical and phenomenological-fit models to simulated data from a stochastic Langevin equation approach. We also compare several approximate models with solutions of the Fokker-Planck equation to determine their range of validity for general fields and relaxation times. The effective field model is an excellent approximation, while the linear response solution is only useful for very low fields and frequencies for realistic Brownian particle rotations.

  5. Electrostatic channeling in P. falciparum DHFR-TS: Brownian dynamics and Smoluchowski modeling.

    Science.gov (United States)

    Metzger, Vincent T; Eun, Changsun; Kekenes-Huskey, Peter M; Huber, Gary; McCammon, J Andrew

    2014-11-18

    We perform Brownian dynamics simulations and Smoluchowski continuum modeling of the bifunctional Plasmodium falciparum dihydrofolate reductase-thymidylate synthase (P. falciparum DHFR-TS) with the objective of understanding the electrostatic channeling of dihydrofolate generated at the TS active site to the DHFR active site. The results of Brownian dynamics simulations and Smoluchowski continuum modeling suggest that compared to Leishmania major DHFR-TS, P. falciparum DHFR-TS has a lower but significant electrostatic-mediated channeling efficiency (?15-25%) at physiological pH (7.0) and ionic strength (150 mM). We also find that removing the electric charges from key basic residues located between the DHFR and TS active sites significantly reduces the channeling efficiency of P. falciparum DHFR-TS. Although several protozoan DHFR-TS enzymes are known to have similar tertiary and quaternary structure, subtle differences in structure, active-site geometry, and charge distribution appear to influence both electrostatic-mediated and proximity-based substrate channeling.

  6. Lock-and-key dimerization in dense Brownian systems of hard annular sector particles

    Science.gov (United States)

    Hodson, Wade D.; Mason, Thomas G.

    2016-08-01

    We develop a translational-rotational cage model that describes the behavior of dense two-dimensional (2D) Brownian systems of hard annular sector particles (ASPs), resembling C shapes. At high particle densities, pairs of ASPs can form mutually interdigitating lock-and-key dimers. This cage model considers either one or two mobile central ASPs which can translate and rotate within a static cage of surrounding ASPs that mimics the system's average local structure and density. By comparing with recent measurements made on dispersions of microscale lithographic ASPs [P. Y. Wang and T. G. Mason, J. Am. Chem. Soc. 137, 15308 (2015), 10.1021/jacs.5b10549], we show that mobile two-particle predictions of the probability of dimerization Pdimer, equilibrium constant K , and 2D osmotic pressure Π2 D as a function of the particle area fraction ϕA correspond closely to these experiments. By contrast, predictions based on only a single mobile particle do not agree well with either the two-particle predictions or the experimental data. Thus, we show that collective entropy can play an essential role in the behavior of dense Brownian systems composed of nontrivial hard shapes, such as ASPs.

  7. Lock-and-key dimerization in dense Brownian systems of hard annular sector particles.

    Science.gov (United States)

    Hodson, Wade D; Mason, Thomas G

    2016-08-01

    We develop a translational-rotational cage model that describes the behavior of dense two-dimensional (2D) Brownian systems of hard annular sector particles (ASPs), resembling C shapes. At high particle densities, pairs of ASPs can form mutually interdigitating lock-and-key dimers. This cage model considers either one or two mobile central ASPs which can translate and rotate within a static cage of surrounding ASPs that mimics the system's average local structure and density. By comparing with recent measurements made on dispersions of microscale lithographic ASPs [P. Y. Wang and T. G. Mason, J. Am. Chem. Soc. 137, 15308 (2015)JACSAT0002-786310.1021/jacs.5b10549], we show that mobile two-particle predictions of the probability of dimerization P_{dimer}, equilibrium constant K, and 2D osmotic pressure Π_{2D} as a function of the particle area fraction ϕ_{A} correspond closely to these experiments. By contrast, predictions based on only a single mobile particle do not agree well with either the two-particle predictions or the experimental data. Thus, we show that collective entropy can play an essential role in the behavior of dense Brownian systems composed of nontrivial hard shapes, such as ASPs.

  8. Optimized green fluorescent protein fused to FoF1-ATP synthase for single-molecule FRET using a fast anti-Brownian electrokinetic trap

    Science.gov (United States)

    Dienerowitz, Maria; Ilchenko, Mykhailo; Su, Bertram; Deckers-Hebestreit, Gabriele; Mayer, Günter; Henkel, Thomas; Heitkamp, Thomas; Börsch, Michael

    2016-02-01

    Observation times of freely diffusing single molecules in solution are limited by the photophysics of the attached fluorescence markers and by a small observation volume in the femtolitre range that is required for a sufficient signal-to-background ratio. To extend diffusion-limited observation times through a confocal detection volume, A. E. Cohen and W. E. Moerner have invented and built the ABELtrap -- a microfluidic device to actively counteract Brownian motion of single nanoparticles with an electrokinetic trap. Here we present a version of an ABELtrap with a laser focus pattern generated by electro-optical beam deflectors and controlled by a programmable FPGA chip. This ABELtrap holds single fluorescent nanoparticles for more than 100 seconds, increasing the observation time of fluorescent nanoparticles compared to free diffusion by a factor of 10000. To monitor conformational changes of individual membrane proteins in real time, we record sequential distance changes between two specifically attached dyes using Förster resonance energy transfer (smFRET). Fusing the a-subunit of the FoF1-ATP synthase with mNeonGreen results in an improved signal-to-background ratio at lower laser excitation powers. This increases our measured trap duration of proteoliposomes beyond 2 s. Additionally, we observe different smFRET levels attributed to varying distances between the FRET donor (mNeonGreen) and acceptor (Alexa568) fluorophore attached at the a- and c-subunit of the FoF1-ATP synthase respectively.

  9. Analyzing 2D THz-Raman spectroscopy using a non-Markovian Brownian oscillator model with nonlinear system-bath interactions

    CERN Document Server

    Ikeda, Tatsushi; Tanimura, Yoshitaka

    2015-01-01

    We explore and describe the roles of inter-molecular vibrations in terms of a Brownian oscillator (BO) model with linear-linear (LL) and square-linear (SL) system-bath interactions, which we use to analyze two-dimensional (2D) THz-Raman spectra obtained by means of molecular dynamics (MD) simulations. In addition to linear absorption (1D IR), we calculate 2D Raman-THz-THz, THz-Raman-THz, and THz-THz-Raman signals for liquid formamide, water, and methanol using an equilibrium non-equilibrium hybrid MD simulation. The calculated 1D IR and 2D THz-Raman signals are then accounted by the LL+SL BO model with the use of the hierarchal Fokker-Planck equations for a non-perturbative and non-Markovian noise. All of the characteristic 2D profiles of the simulated signals are reproduced using the LL+SL BO model, indicating that the present model captures the essential features of the inter-molecular motion. We analyze the fitted the 2D profiles in terms of anharmonicity, nonlinear polarizability, and dephasing time. The ...

  10. Water rotational jump driven large amplitude molecular motions of nitrate ions in aqueous potassium nitrate solution

    CERN Document Server

    Banerjee, Puja; Bagchi, Biman

    2016-01-01

    Molecular dynamics simulations of aqueous potassium nitrate solution reveal a highly complex rotational dynamics of nitrate ions where, superimposed on the expected continuous Brownian motion, are large amplitude angular jumps that are coupled to and at least partly driven by similar large amplitude jump motions in water molecules which are associated with change in the hydrogen bonded water molecule. These jumps contribute significantly to rotational and translational motions of these ions. We explore the detailed mechanism of these correlated (or, coupled) jumps and introduce a new time correlation function to decompose the coupled orientational- jump dynamics of solvent and solute in the aqueous electrolytic solution. Time correlation function provides for the unequivocal determination of the time constant involved in orientational dynamics originating from making and breaking of hydrogen bonds. We discover two distinct mechanisms-both are coupled to density fluctuation but are of different types.

  11. Motion of Euglena gracilis: Active fluctuations and velocity distribution

    Science.gov (United States)

    Romanczuk, P.; Romensky, M.; Scholz, D.; Lobaskin, V.; Schimansky-Geier, L.

    2015-07-01

    We study the velocity distribution of unicellular swimming algae Euglena gracilis using optical microscopy and active Brownian particle theory. To characterize a peculiar feature of the experimentally observed distribution at small velocities we use the concept of active fluctuations, which was recently proposed for the description of stochastically self-propelled particles [Romanczuk, P. and Schimansky-Geier, L., Phys. Rev. Lett. 106, 230601 (2011)]. In this concept, the fluctuating forces arise due to internal random performance of the propulsive motor. The fluctuating forces are directed in parallel to the heading direction, in which the propulsion acts. In the theory, we introduce the active motion via the depot model [Schweitzer, et al., Phys. Rev. Lett. 80(23), 5044 (1998)]. We demonstrate that the theoretical predictions based on the depot model with active fluctuations are consistent with the experimentally observed velocity distributions. In addition to the model with additive active noise, we obtain theoretical results for a constant propulsion with multiplicative noise.

  12. Dizziness and Motion Sickness

    Science.gov (United States)

    ... ENTCareers Marketplace Find an ENT Doctor Near You Dizziness and Motion Sickness Dizziness and Motion Sickness Patient ... vision or speech, or hearing loss. What is dizziness? Dizziness can be described in many ways, such ...

  13. Objects in Motion

    Science.gov (United States)

    Damonte, Kathleen

    2004-01-01

    One thing scientists study is how objects move. A famous scientist named Sir Isaac Newton (1642-1727) spent a lot of time observing objects in motion and came up with three laws that describe how things move. This explanation only deals with the first of his three laws of motion. Newton's First Law of Motion says that moving objects will continue…

  14. Optimisation of NMR dynamic models I. Minimisation algorithms and their performance within the model-free and Brownian rotational diffusion spaces.

    Science.gov (United States)

    d'Auvergne, Edward J; Gooley, Paul R

    2008-02-01

    The key to obtaining the model-free description of the dynamics of a macromolecule is the optimisation of the model-free and Brownian rotational diffusion parameters using the collected R (1), R (2) and steady-state NOE relaxation data. The problem of optimising the chi-squared value is often assumed to be trivial, however, the long chain of dependencies required for its calculation complicates the model-free chi-squared space. Convolutions are induced by the Lorentzian form of the spectral density functions, the linear recombinations of certain spectral density values to obtain the relaxation rates, the calculation of the NOE using the ratio of two of these rates, and finally the quadratic form of the chi-squared equation itself. Two major topological features of the model-free space complicate optimisation. The first is a long, shallow valley which commences at infinite correlation times and gradually approaches the minimum. The most severe convolution occurs for motions on two timescales in which the minimum is often located at the end of a long, deep, curved tunnel or multidimensional valley through the space. A large number of optimisation algorithms will be investigated and their performance compared to determine which techniques are suitable for use in model-free analysis. Local optimisation algorithms will be shown to be sufficient for minimisation not only within the model-free space but also for the minimisation of the Brownian rotational diffusion tensor. In addition the performance of the programs Modelfree and Dasha are investigated. A number of model-free optimisation failures were identified: the inability to slide along the limits, the singular matrix failure of the Levenberg-Marquardt minimisation algorithm, the low precision of both programs, and a bug in Modelfree. Significantly, the singular matrix failure of the Levenberg-Marquardt algorithm occurs when internal correlation times are undefined and is greatly amplified in model-free analysis by

  15. Polarized and depolarized light-scattering studies on Brownian diffusional and critical fluid systems: theory and experiment

    Energy Technology Data Exchange (ETDEWEB)

    Sorensen, C.M.

    1976-01-01

    An effort to expand light-scattering autocorrelation techniques to Brownian diffusional and critical fluid systems in which multiple scattering effects are important, and to understand the observed similarity of the Rayleigh linewidth of light scattered from these two seemingly different systems is discussed. A formalism was developed to find the light field multiply scattered from a suspension of Brownian diffusing particles. For the field doubly scattered from a system of noninteracting Brownian particles, the intensity and correlation time were much less dependent on the scattering angle than for the singly scattered component. The polarized and depolarized correlation times of light scattered from Brownian particle systems were measured. The double-scattering formalism was extended to light scattered from critical fluid systems. In the region k xi greater than 5 the doubly and singly scattered correlation times were nearly equal. The dynamic droplet model of critical phenomena was developed which gives the proper, experimentally verified, forms for the intensity and linewidth of light scattered from a critical fluid. To test the dynamic droplet model and the mode theories Rayleigh linewidth predictions, light-scattering measurements were performed on the critical fluid system methanol and cyclohexane. The data agreed with both the dynamic droplet and decoupled mode theory predictions. The depolarized scattered spectra from a critical fluid were measured, and qualitative agreement with the double-scattering theory was found. 57 figures, 5 tables.

  16. The Measurement and Analysis of Brownian Particle Fall Rates in a New Regime of Dense Gases.

    Science.gov (United States)

    Fedele, Paul David

    Millikan's law of fall is an empirical relationship describing the dependence of the fall rate of submicron particles in gases in terms of the particle radius and the gas density. It had been long thought that the physics of slip, embodied in the law, gave a complete description of the phenomenon. During measurements of the velocity autocorrelation function for a single Brownian particle at different gas densities, we have discovered that for sufficiently small particles the fall rate increases with increasing density, in contrast to the prediction of Millikan's law. Vertical displacements during a 10 sec interval of a single oil drop have been measured as a function of nitrogen gas density in the range of one to 22 atm at room temperature by retaining the particle for up to 15 hours. Altogether 24 particles in the radius range of 0.1 to 0.4 (mu)m have been analyzed. The density dependence of the average fall rate undergoes a smooth transition from the Millikan behavior in the large size limit to the newly observed behavior in the small size limit. No anomalies are seen, however, in the density dependence of the rms displacement. In attempts to explain the observations we have examined a model based on the fact that Brownian fluctuation increases with decreasing particle size at a given gas density that the contributions of the vorticity field about such a Brownian particle on the fluctuation increases with density and that gravity sustains the entire system of the host gas and the test particle in a steady non-equilibrium state. The modified Langevin equation with gravity has been numerically solved under varying conditions. The fluctuating force is modeled by means of a series of randomly applied impulsive velocities of the test particle. The results are that while there is no sufficient physics in the model to generate any asymmetry in the fluctuation, the model has a mechanism to preserve any asymmetry given to the system for a long time and to produce

  17. Rolling Shutter Motion Deblurring

    KAUST Repository

    Su, Shuochen

    2015-06-07

    Although motion blur and rolling shutter deformations are closely coupled artifacts in images taken with CMOS image sensors, the two phenomena have so far mostly been treated separately, with deblurring algorithms being unable to handle rolling shutter wobble, and rolling shutter algorithms being incapable of dealing with motion blur. We propose an approach that delivers sharp and undis torted output given a single rolling shutter motion blurred image. The key to achieving this is a global modeling of the camera motion trajectory, which enables each scanline of the image to be deblurred with the corresponding motion segment. We show the results of the proposed framework through experiments on synthetic and real data.

  18. Structural motion engineering

    CERN Document Server

    Connor, Jerome

    2014-01-01

    This innovative volume provides a systematic treatment of the basic concepts and computational procedures for structural motion design and engineering for civil installations. The authors illustrate the application of motion control to a wide spectrum of buildings through many examples. Topics covered include optimal stiffness distributions for building-type structures, the role of damping in controlling motion, tuned mass dampers, base isolation systems, linear control, and nonlinear control. The book's primary objective is the satisfaction of motion-related design requirements, such as restrictions on displacement and acceleration. The book is ideal for practicing engineers and graduate students. This book also: ·         Broadens practitioners' understanding of structural motion control, the enabling technology for motion-based design ·         Provides readers the tools to satisfy requirements of modern, ultra-high strength materials that lack corresponding stiffness, where the motion re...

  19. A Langevin Approach to a Classical Brownian Oscillator in an Electromagnetic Field

    Science.gov (United States)

    Espinoza Ortiz, J. S.; Bauke, F. C.; Lagos, R. E.

    2016-08-01

    We consider a charged Brownian particle bounded by an harmonic potential, embedded in a Markovian heat bath and driven from equilibrium by external electric and magnetic fields. We develop a quaternionic-like (or Pauli spinor-like) representation, hitherto exploited in classical Lorentz related dynamics. Within this formalism, in a very straight forward and elegant fashion, we compute the exact solution for the resulting generalized Langevin equation, for the case of a constant magnetic field. For the case the source electromagnetic fields satisfy Maxwell's equations, yielding spinor-like Mathieu equations, we compute the solutions within the JWKB approximation. With the solutions at hand we further compute spatial, velocities and crossed time correlations. In particular we study the (kinetically defined) nonequilbrium temperature. Therefore, we can display the system's time evolution towards equilibrium or towards non equilibrium (steady or not) states.

  20. Near field magnetostatics and Neel Brownian interactions mediated magnetorheological characteristics of highly stable nano ferrocolloids

    CERN Document Server

    Katiyar, Ajay; Das, Sarit K; Nandi, Tandra

    2015-01-01

    Magnetic nanocolloids with synthesized super paramagnetic Fe3O4 nanoparticles (SPION) (5 to 15 nm) dispersed in insitu developed Polyethylene Glycol (PEG 400) and nano silica complex have been synthesized. The PEG nano Silica complex physically encapsulates the SPIONs, ensuring no phase separation under high magnetic fields (1.2 T). Exhaustive magnetorheological investigations have been performed to comprehend the structural behavior and response of the ferrocolloids. Remarkable stability and reversibility have been observed under magnetic field for concentrated systems. The results exhibit the impact of particle concentration, size and encapsulation efficiency on parameters such as shear viscosity, yield stress, viscoelastic moduli, magnetoviscous hysteresis etc. Analytical models to reveal the system mechanism and mathematically predict the magnetoviscosity and magneto yield stress has been theorized. The mechanistic approach based on near field magnetostatics and Neel Brownian interactivities can predict t...