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)
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.
Noncommutative Brownian motion
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.
Radiation Reaction on Brownian Motions
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.
Brownian Motion, "Diverse and Undulating"
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.
Approximations of fractional Brownian motion
Li, Yuqiang; 10.3150/10-BEJ319
2012-01-01
Approximations of fractional Brownian motion using Poisson processes whose parameter sets have the same dimensions as the approximated processes have been studied in the literature. In this paper, a special approximation to the one-parameter fractional Brownian motion is constructed using a two-parameter Poisson process. The proof involves the tightness and identification of finite-dimensional distributions.
Brownian Motion Theory and Experiment
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.
Entropic forces in Brownian motion
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.
Harmonic functions on Walsh's Brownian motion
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...
Brownian motion from molecular dynamics
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.
Brownian Motion and General Relativity
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...
Generalization of Brownian Motion with Autoregressive Increments
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...
Brownian motion and stochastic calculus
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...
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.
Brownian motion of helical flagella.
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.
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.
On Brownian motion in ideal gas and related principles
Kuzovlev, Yuriy E.
2008-01-01
Brownian motion of particle interacting with atoms of ideal gas is discussed as a key problem of kinetics lying at the border between ``dead'' systems like the Lorentz gas or formal constructs of conceptual Boltzmannian kinetics and actual ``alive'' systems like mere gas possessing scaleless (1/f) fluctuations in their kinetic characteristics (e.g. in diffusuvity and mobility of the ``Brownian particle'').
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.
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.
Simulations of magnetic nanoparticle Brownian motion.
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.
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
On some generalization of fractional Brownian motions
Energy Technology Data Exchange (ETDEWEB)
Wang Xiaotian [School of Management, Tianjin University, Tianjin 300072 (China); Liang Xiangqian [Department of Applied Mathematics, Shandong University of Science and Technology, Qingdao 266510, Shandong (China); Ren Fuyao [Institute of Mathematics, Fudan University, Shanghai 200433 (China); Zhang Shiying [School of Management, Tianjin University, Tianjin 300072 (China)]. E-mail: swa001@126.com
2006-05-15
The multifractional Brownian motion (mBm) is a continuous Gaussian process that extends the classical fractional Brownian motion (fBm) defined by Barton and Vincent Poor [Barton RJ, Vincent Poor H. IEEE Trans Inform 1988;34(5):943] and Decreusefond and Ustuenel [Decreusefond L, Ustuenel AS. Potential Anal 1999;10:177]. In addition, an innovational representation of fBm is given.
Blending Brownian motion and heat equation
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.
From fractional Brownian motion to multifractional and multistable motion
Falconer, Kenneth
2015-03-01
Fractional Brownian motion, introduced by Benoit Mandelbrot and John Van Ness in 1968, has had a major impact on stochastic processes and their applications. We survey a few of the many developments that have stemmed from their ideas. In particular we discuss the local structure of fractional and multifractional Brownian, stable and multistable processes, emphasising the `diagonal' construction of such processes. In all this, the ubiquity and centrality of fractional Brownian motion is striking.
Langevin model for a Brownian system with directed motion
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.
Motion of a nano-ellipsoid in a cylindrical vessel flow: Brownian and hydrodynamic interactions
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 ...
Brownian motion of solitons in a Bose-Einstein condensate.
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.
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.
On Kramers' general theory of Brownian motion
Brinkman, H.C.
1957-01-01
Kramer's general theory of Brownian motion 1) based on a diffusion equation in phase space is discussed from the standpoint of statistical thermodynamics. It is concluded that for particles moving in a medium in equilibrium the restrictions imposed by the second law of thermodynamics limit Kramer's
Fractional Brownian motion of director fluctuations in nematic ordering
DEFF Research Database (Denmark)
Zhang, Z.; Mouritsen, Ole G.; Otnes, K.
1993-01-01
to determine the Hurst exponent H. Theory and experiment are in good agreement. A value of H congruent-to 1 was found for the nematic phase, characterizing fractional Brownian motion, whereas H congruent-to 0.5, reflecting ordinary Brownian motion, applies in the isotropic phase. Field-induced crossover from...... fractional to ordinary Brownian motion was observed in the nematic phase....
Interacting Brownian Swarms: Some Analytical Results
Directory of Open Access Journals (Sweden)
Guillaume Sartoretti
2016-01-01
Full Text Available We consider the dynamics of swarms of scalar Brownian agents subject to local imitation mechanisms implemented using mutual rank-based interactions. For appropriate values of the underlying control parameters, the swarm propagates tightly and the distances separating successive agents are iid exponential random variables. Implicitly, the implementation of rank-based mutual interactions, requires that agents have infinite interaction ranges. Using the probabilistic size of the swarm’s support, we analytically estimate the critical interaction range below that flocked swarms cannot survive. In the second part of the paper, we consider the interactions between two flocked swarms of Brownian agents with finite interaction ranges. Both swarms travel with different barycentric velocities, and agents from both swarms indifferently interact with each other. For appropriate initial configurations, both swarms eventually collide (i.e., all agents interact. Depending on the values of the control parameters, one of the following patterns emerges after collision: (i Both swarms remain essentially flocked, or (ii the swarms become ultimately quasi-free and recover their nominal barycentric speeds. We derive a set of analytical flocking conditions based on the generalized rank-based Brownian motion. An extensive set of numerical simulations corroborates our analytical findings.
Brownian motion, martingales, and stochastic calculus
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...
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.
Performance of Brownian-motion-generated universal portfolios
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.
Reflected Brownian motions in the KPZ universality class
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...
The Isolation Time of Poisson Brownian motions
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 $d=1,2$.
Quantum Darwinism in Quantum Brownian Motion
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.
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.
Brownian Motion and its Conditional Descendants
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
Inducing Tropical Cyclones to Undergo Brownian Motion
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.
Nonequilibrium Brownian motion beyond the effective temperature.
Directory of Open Access Journals (Sweden)
Andrea Gnoli
Full Text Available The condition of thermal equilibrium simplifies the theoretical treatment of fluctuations as found in the celebrated Einstein's relation between mobility and diffusivity for Brownian motion. Several recent theories relax the hypothesis of thermal equilibrium resulting in at least two main scenarios. With well separated timescales, as in aging glassy systems, equilibrium Fluctuation-Dissipation Theorem applies at each scale with its own "effective" temperature. With mixed timescales, as for example in active or granular fluids or in turbulence, temperature is no more well-defined, the dynamical nature of fluctuations fully emerges and a Generalized Fluctuation-Dissipation Theorem (GFDT applies. Here, we study experimentally the mixed timescale regime by studying fluctuations and linear response in the Brownian motion of a rotating intruder immersed in a vibro-fluidized granular medium. Increasing the packing fraction, the system is moved from a dilute single-timescale regime toward a denser multiple-timescale stage. Einstein's relation holds in the former and is violated in the latter. The violation cannot be explained in terms of effective temperatures, while the GFDT is able to impute it to the emergence of a strong coupling between the intruder and the surrounding fluid. Direct experimental measurements confirm the development of spatial correlations in the system when the density is increased.
The Fractional Langevin Equation: Brownian Motion Revisited
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...
Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions
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
Parallel Molecular Distributed Detection with Brownian Motion.
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.
Lecture Notes on Quantum Brownian Motion
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.
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.
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.
Brownian dynamics simulations with hard-body interactions: Spherical particles
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...
Reflected Backward Stochastic Differential Equations Driven by Countable Brownian Motions
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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.
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.
Brownian Motion of a Classical Particle in Quantum Environment
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.
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.
Estimation of the global regularity of a multifractional Brownian motion
DEFF Research Database (Denmark)
Lebovits, Joachim; Podolskij, Mark
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motion at two different frequencies. We show...... that a logarithmic transformation of this statistic converges in probability to the minimum of the Hurst functional parameter, which is, under weak assumptions, identical to the global regularity index of the path....
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.
Quantum Brownian motion near a point-like reflecting boundary
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.
Extreme-value statistics of fractional Brownian motion bridges.
Delorme, Mathieu; Wiese, Kay Jörg
2016-11-01
Fractional Brownian motion is a self-affine, non-Markovian, and translationally invariant generalization of Brownian motion, depending on the Hurst exponent H. Here we investigate fractional Brownian motion where both the starting and the end point are zero, commonly referred to as bridge processes. Observables are the time t_{+} the process is positive, the maximum m it achieves, and the time t_{max} when this maximum is taken. Using a perturbative expansion around Brownian motion (H=1/2), we give the first-order result for the probability distribution of these three variables and the joint distribution of m and t_{max}. Our analytical results are tested and found to be in excellent agreement, with extensive numerical simulations for both H>1/2 and H<1/2. This precision is achieved by sampling processes with a free end point and then converting each realization to a bridge process, in generalization to what is usually done for Brownian motion.
Brownian shape motion: Fission fragment mass distributions
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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.
Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments
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 ...
Survival probability of mutually killing Brownian motions and the O'Connell process
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).
Non-Markovian expansion in quantum Brownian motion
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.
Brownian motion on random dynamical landscapes
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.
Wrapping Brownian motion and heat kernels I: compact Lie groups
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.
Effect of interfaces on the nearby Brownian motion
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...
Brownian motion as a new probe of wettability
Mo, Jianyong; Simha, Akarsh; Raizen, Mark G.
2017-04-01
Understanding wettability is crucial for optimizing oil recovery, semiconductor manufacturing, pharmaceutical industry, and electrowetting. In this letter, we study the effects of wettability on Brownian motion. We consider the cases of a sphere in an unbounded fluid medium, as well as a sphere placed in the vicinity of a plane wall. For the first case, we show the effects of wettability on the statistical properties of the particles' motion, such as velocity autocorrelation, velocity, and thermal force power spectra over a large range of time scales. We also propose a new method to measure wettability based on the particles' Brownian motion. In addition, we compare the boundary effects on Brownian motion imposed by both no-slip and perfect-slip flat walls. We emphasize the surprising boundary effects on Brownian motion imposed by a perfect-slip wall in the parallel direction, such as a higher particle mobility parallel to a perfect flat wall compared to that in the absence of the wall, as well as compared to a particle near a no-slip flat wall.
Stochastic calculus for fractional Brownian motion and related processes
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 0
Quantum Brownian motion model for the stock market
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.
Cosmophysical Factors in the Fluctuation Amplitude Spectrum of Brownian Motion
Directory of Open Access Journals (Sweden)
Kaminsky A. V.
2010-07-01
Full Text Available Phenomenon of the regular variability of the fine structure of the fluctuation in the am- plitude distributions (shapes of related histograms for the case of Brownian motion was investigated. We took an advantage of the dynamic light scattering method (DLS to get a stochastically fluctuated signal determined by Brownian motion. Shape of the histograms is most likely to vary, synchronous, in two proximally located independent cells containing Brownian particles. The synchronism persists in the cells distant at 2 m from each other, and positioned meridionally. With a parallel-wise positioning of the cells, high probability of the synchronous variation in the shape of the histograms by local time has been observed. This result meets the previous conclusion about the dependency of histogram shapes (“fluctuation amplitudes” of the spectra of stochastic processes upon rotation of the Earth.
Two-sided reflection of Markov-modulated Brownian motion
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
Wrapping Brownian motion and heat kernels II: symmetric spaces
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.
Distribution of maximum loss of fractional Brownian motion with drift
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.
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.
Integral representations and properties of operator fractional Brownian motions
Didier, Gustavo; 10.3150/10-BEJ259
2011-01-01
Operator fractional Brownian motions (OFBMs) are (i) Gaussian, (ii) operator self-similar and (iii) stationary increment processes. They are the natural multivariate generalizations of the well-studied fractional Brownian motions. Because of the possible lack of time-reversibility, the defining properties (i)--(iii) do not, in general, characterize the covariance structure of OFBMs. To circumvent this problem, the class of OFBMs is characterized here by means of their integral representations in the spectral and time domains. For the spectral domain representations, this involves showing how the operator self-similarity shapes the spectral density in the general representation of stationary increment processes. The time domain representations are derived by using primary matrix functions and taking the Fourier transforms of the deterministic spectral domain kernels. Necessary and sufficient conditions for OFBMs to be time-reversible are established in terms of their spectral and time domain representations. I...
The genealogy of extremal particles of Branching Brownian Motion
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.
Relating Brownian motion to diffusion with superparamagnetic colloids
Darras, A.; Fiscina, J.; Vandewalle, N.; Lumay, G.
2017-04-01
An original experiment is introduced that allows students to relate the Brownian motion of a set of superparamagnetic colloidal particles to their macroscopic diffusion. An external and constant magnetic field is first applied to the colloidal suspension so that the particles self-organize into chains. When the magnetic field is removed, the particles then freely diffuse from their positions in the chain, starting from the same coordinate on the axis perpendicular to the initial chain. This configuration thus enables an observer to study the one dimensional diffusion process, while also observing the underlying Brownian motion of the microscopic particles. Moreover, by studying the evolution of the particle distribution, a measurement of the diffusion coefficient can be obtained. In addition, by repeating this measurement with fluids of various viscosities, the Stokes-Einstein relation may be illustrated.
On a nonstandard Brownian motion and its maximal function
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.
Quantum mechanics and the square root of the Brownian motion
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.
Coupling of Brownian motions and Perelman's L-functional
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.
The frustrated Brownian motion of nonlocal solitary waves
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
Quantum and classical correlations in quantum Brownian motion
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...
Analytical studies of Spectrum Broadcast Structures in Quantum Brownian Motion
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...
On the Spectral Gap of Brownian Motion with Jump Boundary
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.
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....
Free Energies and Fluctuations for the Unitary Brownian Motion
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.
Spatial Brownian motion in renormalized Poisson potential: A critical case
Chen, Xia
2011-01-01
Let $B_s$ be a three dimensional Brownian motion and $\\omega(dx)$ be an independent Poisson field on $\\mathbb{R}^3$. It is proved that for any $t>0$, conditionally on $\\omega(\\cdot)$, \\label{*} \\mathbb{E}_0 \\exp\\{\\theta \\int_0^t \\bar{V}(B_s) ds\\} \\ 1/16, where $\\bar{V}(x)$ is the renormalized Poisson potential
On moments of the integrated exponential Brownian motion
Caravelli, Francesco; Mansour, Toufik; Sindoni, Lorenzo; Severini, Simone
2016-07-01
We present new exact expressions for a class of moments of the geometric Brownian motion in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Itô's Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.
Fractional Brownian motions: memory, diffusion velocity, and correlation functions
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.
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.
A discrete impulsive model for random heating and Brownian motion
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.
Stochastic Calculus with respect to multifractional Brownian motion
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...
Transient aging in fractional Brownian and Langevin-equation motion.
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.
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.
When fractional Brownian motion does not behave as a continuous function with bounded variation?
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.
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.
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.
Hausdorff measures of the image, graph and level set of bifractional Brownian motion
Institute of Scientific and Technical Information of China (English)
无
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.
Active Brownian motion of an asymmetric rigid particle
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.
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.
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.
Random functions via Dyson Brownian Motion: progress and problems
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.
Random Functions via Dyson Brownian Motion: Progress and Problems
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.
Isolated zeros for Brownian motion with variable drift
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.
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.
Cavity-enhanced optical detection of carbon nanotube Brownian motion
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.
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.
Impurity driven Brownian motion of solitons in elongated Bose-Einstein Condensates
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.
Suspended particle transport through constriction channel with Brownian motion
Hanasaki, Itsuo; Walther, Jens H.
2017-08-01
It is well known that translocation events of a polymer or rod through pores or narrower parts of micro- and nanochannels have a stochastic nature due to the Brownian motion. However, it is not clear whether the objects of interest need to have a larger size than the entrance to exhibit the deviation from the dynamics of the surrounding fluid. We show by numerical analysis that the particle injection into the narrower part of the channel is affected by thermal fluctuation, where the particles have spherical symmetry and are smaller than the height of the constriction. The Péclet number (Pe) is the order parameter that governs the phenomena, which clarifies the spatio-temporal significance of Brownian motion compared to hydrodynamics. Furthermore, we find that there exists an optimal condition of Pe to attain the highest flow rate of particles relative to the dispersant fluid flow. Our finding is important in science and technology from nanopore DNA sequencers and lab-on-a-chip devices to filtration by porous materials and chromatography.
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.
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)
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.
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…
Quantum Brownian motion representation for the quantum field modes
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.
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.
Brownian motion on Lie groups and open quantum systems
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.
Brownian motion on Lie groups and open quantum systems
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.
Analytical studies of spectrum broadcast structures in quantum Brownian motion
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.
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
nN/m), and have a 100-fold higher tip displacement threshold (cells where the bundle is approximated as a stiff, cylindrical elastic rod subject to friction and thermal agitation. Our models suggest that the above......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...... 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 (
The genealogy of branching Brownian motion with absorption
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.
Probabilities on the Heisenberg group limit theorems and Brownian motion
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.
Optimal dividends in the Brownian motion risk model with interest
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.
Brownian Motion in Non-Commutative Super-Yang-Mills
Fischler, Willy; Garcia, Walter Tangarife
2012-01-01
Using the gauge/gravity correspondence, we study the dynamics of a heavy quark in strongly-coupled non-commutative Super-Yang-Mills at finite temperature. We propose a Langevin equation that accounts for the effects of non-commutativity and resembles the structure of Brownian motion in the presence of a magnetic field. As expected, fluctuations along non-commutative directions are generically correlated. Our results show that the viscosity of the plasma is smaller than the commutative case and that the diffusion properties of the quark are unaffected by non-commutativity. Finally, we compute the random force autocorrelator and verify that the fluctuation-dissipation theorem holds in the presence of non-commutativity.
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.
Mean-squared-displacement statistical test for fractional Brownian motion
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.
Brownian motion near a liquid-gas interface
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.
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.
Relativistic Brownian motion: from a microscopic binary collision model to the Langevin equation.
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.
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).
Time integration for particle Brownian motion determined through fluctuating hydrodynamics
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...
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.
Biased Brownian motion in narrow channels with asymmetry and anisotropy
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.
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.
A simple model for Brownian motion leading to the Langevin equation
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.
Brownian motion of massive black hole binaries and the final parsec problem
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.
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).
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.
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.
Stochastic Volterra Equation Driven by Wiener Process and Fractional Brownian Motion
Directory of Open Access Journals (Sweden)
Zhi Wang
2013-01-01
Full Text Available For a mixed stochastic Volterra equation driven by Wiener process and fractional Brownian motion with Hurst parameter H>1/2, we prove an existence and uniqueness result for this equation under suitable assumptions.
Characterizing Detrended Fluctuation Analysis of multifractional Brownian motion
Setty, V. A.; Sharma, A. S.
2015-02-01
The Hurst exponent (H) is widely used to quantify long range dependence in time series data and is estimated using several well known techniques. Recognizing its ability to remove trends the Detrended Fluctuation Analysis (DFA) is used extensively to estimate a Hurst exponent in non-stationary data. Multifractional Brownian motion (mBm) broadly encompasses a set of models of non-stationary data exhibiting time varying Hurst exponents, H(t) as against a constant H. Recently, there has been a growing interest in time dependence of H(t) and sliding window techniques have been used to estimate a local time average of the exponent. This brought to fore the ability of DFA to estimate scaling exponents in systems with time varying H(t) , such as mBm. This paper characterizes the performance of DFA on mBm data with linearly varying H(t) and further test the robustness of estimated time average with respect to data and technique related parameters. Our results serve as a bench-mark for using DFA as a sliding window estimator to obtain H(t) from time series data.
Error Assessment in Modeling with Fractal Brownian Motions
Qiao, Bingqiang
2013-01-01
To model a given time series $F(t)$ with fractal Brownian motions (fBms), it is necessary to have appropriate error assessment for related quantities. Usually the fractal dimension $D$ is derived from the Hurst exponent $H$ via the relation $D=2-H$, and the Hurst exponent can be evaluated by analyzing the dependence of the rescaled range $\\langle|F(t+\\tau)-F(t)|\\rangle$ on the time span $\\tau$. For fBms, the error of the rescaled range not only depends on data sampling but also varies with $H$ due to the presence of long term memory. This error for a given time series then can not be assessed without knowing the fractal dimension. We carry out extensive numerical simulations to explore the error of rescaled range of fBms and find that for $0
Beyond multifractional Brownian motion: new stochastic models for geophysical modelling
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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.
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.
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.
Brownian motion and gambling: from ratchets to paradoxical games
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.
Brownian motion of massive black hole binaries and the final parsec problem
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...
Quantum power source: putting in order of a Brownian motion without Maxwell's demon
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.
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...
The reduction in the brownian motion of electrometers
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
Thermodynamic Laws and Equipartition Theorem in Relativistic Brownian Motion
Koide, T.; Kodama, T.
2011-01-01
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.
Thermodynamic laws and equipartition theorem in relativistic Brownian motion.
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.
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.
Brownian motion of a charged test particle in vacuum between two conducting plates
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.
Brownian motion of a charged test particle in vacuum between two conducting plates
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.
(Quantum) Fractional Brownian Motion and Multifractal Processes under the Loop of a Tensor Networks
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...
Stochastic interactions of two Brownian hard spheres in the presence of depletants
Energy Technology Data Exchange (ETDEWEB)
Karzar-Jeddi, Mehdi; Fan, Tai-Hsi, E-mail: thfan@engr.uconn.edu [Department of Mechanical Engineering, University of Connecticut, Storrs, Connecticut 06269-3139 (United States); Tuinier, Remco [Van' t Hoff Laboratory for Physical and Colloid Chemistry, Debye Institute, Department of Chemistry, Utrecht University, Padualaan 8, 3584 CH, Utrecht (Netherlands); DSM ChemTech R and D, P.O. Box 18, 6160 MD Geleen (Netherlands); Taniguchi, Takashi [Graduate School of Engineering, Kyoto University Katsura Campus, Nishikyo-ku, Kyoto 615-8510 (Japan)
2014-06-07
A quantitative analysis is presented for the stochastic interactions of a pair of Brownian hard spheres in non-adsorbing polymer solutions. The hard spheres are hypothetically trapped by optical tweezers and allowed for random motion near the trapped positions. The investigation focuses on the long-time correlated Brownian motion. The mobility tensor altered by the polymer depletion effect is computed by the boundary integral method, and the corresponding random displacement is determined by the fluctuation-dissipation theorem. From our computations it follows that the presence of depletion layers around the hard spheres has a significant effect on the hydrodynamic interactions and particle dynamics as compared to pure solvent and uniform polymer solution cases. The probability distribution functions of random walks of the two interacting hard spheres that are trapped clearly shift due to the polymer depletion effect. The results show that the reduction of the viscosity in the depletion layers around the spheres and the entropic force due to the overlapping of depletion zones have a significant influence on the correlated Brownian interactions.
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.
Accumulation of Microswimmers near a Surface Mediated by Collision and Rotational Brownian Motion
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.
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.
Brownian motion in a singular potential and a fractal renewal process
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.
Pressure and phase equilibria in interacting active brownian spheres.
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.
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.
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.
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.
The tail of the maximum of Brownian motion minus a parabola
P. Groeneboom; N.M. Temme (Nico)
2011-01-01
textabstractWe analyze the tail behavior of the maximum $N$ of $\\{W(t)-t^2:t\\ge0\\}$, where $W$ is standard Brownian motion on $[0,\\infty)$ and give an asymptotic expansion for $\\mathbb P\\{N\\ge x\\}$, as $x\\to\\infty$. This extends a first order result on the tail behavior, which can be deduced from H\\
Brownian Motion on a Pseudo Sphere in Minkowski Space R^l_v
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.
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.
The tail of the maximum of Brownian motion minus a parabola
P. Groeneboom; N.M. Temme (Nico)
2011-01-01
textabstractWe analyze the tail behavior of the maximum $N$ of $\\{W(t)-t^2:t\\ge0\\}$, where $W$ is standard Brownian motion on $[0,\\infty)$ and give an asymptotic expansion for $\\mathbb P\\{N\\ge x\\}$, as $x\\to\\infty$. This extends a first order result on the tail behavior, which can be deduced from
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.
Brownian motion with variable drift: 0-1 laws, hitting probabilities and Hausdorff dimension
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 \
The first-passage area for drifted Brownian motion and the moments of the Airy distribution
Energy Technology Data Exchange (ETDEWEB)
Kearney, Michael J [Faculty of Engineering and Physical Sciences, University of Surrey, Guildford, Surrey, GU2 7XH (United Kingdom); Majumdar, Satya N [Laboratoire de Physique Theorique et Modeles Statistique, Universite Paris-Sud. Bat. 100 91405, Orsay Cedex (France); Martin, Richard J [Quantitative Credit Strategy Group, Credit Suisse, One Cabot Square, London, E14 4QJ (United Kingdom)
2007-09-07
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The analysis leads to a simple closed-form solution for the moments of the Airy distribution. (fast track communication)
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.
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.
Brownian motion and parabolic Anderson model in a renormalized Poisson potential
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.
Conserved linear dynamics of single-molecule Brownian motion
Serag, Maged F.
2017-06-06
Macromolecular diffusion in homogeneous fluid at length scales greater than the size of the molecule is regarded as a random process. The mean-squared displacement (MSD) of molecules in this regime increases linearly with time. Here we show that non-random motion of DNA molecules in this regime that is undetectable by the MSD analysis can be quantified by characterizing the molecular motion relative to a latticed frame of reference. Our lattice occupancy analysis reveals unexpected sub-modes of motion of DNA that deviate from expected random motion in the linear, diffusive regime. We demonstrate that a subtle interplay between these sub-modes causes the overall diffusive motion of DNA to appear to conform to the linear regime. Our results show that apparently random motion of macromolecules could be governed by non-random dynamics that are detectable only by their relative motion. Our analytical approach should advance broad understanding of diffusion processes of fundamental relevance.
Local times and excursion theory for Brownian motion a tale of Wiener and Itô measures
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.
Accumulation of microswimmers near surface due to steric confinement and rotational Brownian motion
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.
Molecular dynamics test of the Brownian description of Na(+) motion in water
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.
Molecular dynamics test of the Brownian description of Na(+) motion in water
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.
Wang, Dong; Zhao, Yang; Yang, Fangfang; Tsui, Kwok-Leung
2017-09-01
Brownian motion with adaptive drift has attracted much attention in prognostics because its first hitting time is highly relevant to remaining useful life prediction and it follows the inverse Gaussian distribution. Besides linear degradation modeling, nonlinear-drifted Brownian motion has been developed to model nonlinear degradation. Moreover, the first hitting time distribution of the nonlinear-drifted Brownian motion has been approximated by time-space transformation. In the previous studies, the drift coefficient is the only hidden state used in state space modeling of the nonlinear-drifted Brownian motion. Besides the drift coefficient, parameters of a nonlinear function used in the nonlinear-drifted Brownian motion should be treated as additional hidden states of state space modeling to make the nonlinear-drifted Brownian motion more flexible. In this paper, a prognostic method based on nonlinear-drifted Brownian motion with multiple hidden states is proposed and then it is applied to predict remaining useful life of rechargeable batteries. 26 sets of rechargeable battery degradation samples are analyzed to validate the effectiveness of the proposed prognostic method. Moreover, some comparisons with a standard particle filter based prognostic method, a spherical cubature particle filter based prognostic method and two classic Bayesian prognostic methods are conducted to highlight the superiority of the proposed prognostic method. Results show that the proposed prognostic method has lower average prediction errors than the particle filter based prognostic methods and the classic Bayesian prognostic methods for battery remaining useful life prediction.
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.
Mirror coupling of reflecting Brownian motion and an application to Chavel's conjecture
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}).
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).
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.
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.
Derrida, Bernard; Meerson, Baruch; Sasorov, Pavel V.
2016-04-01
Consider a one-dimensional branching Brownian motion and rescale the coordinate and time so that the rates of branching and diffusion are both equal to 1. If X1(t ) is the position of the rightmost particle of the branching Brownian motion at time t , the empirical velocity c of this rightmost particle is defined as c =X1(t ) /t . Using the Fisher-Kolmogorov-Petrovsky-Piscounov equation, we evaluate the probability distribution P (c ,t ) of this empirical velocity c in the long-time t limit for c >2 . It is already known that, for a single seed particle, P (c ,t ) ˜exp[-(c2/4 -1 ) t ] up to a prefactor that can depend on c and t . Here we show how to determine this prefactor. The result can be easily generalized to the case of multiple seed particles and to branching random walks associated with other traveling-wave equations.
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.
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.
Chen, Xia; Rosinski, Jan; Shao, Qi-Man
2009-01-01
In this paper we prove exact forms of large deviations for local times and intersection local times of fractional Brownian motions and Riemann-Liouville processes. We also show that a fractional Brownian motion and the related Riemann-Liouville process behave like constant multiples of each other with regard to large deviations for their local and intersection local times. As a consequence of our large deviation estimates, we derive laws of iterated logarithm for the corresponding local times. The key points of our methods: (1) logarithmic superadditivity of a normalized sequence of moments of exponentially randomized local time of a fractional Brownian motion; (2) logarithmic subadditivity of a normalized sequence of moments of exponentially randomized intersection local time of Riemann-Liouville processes; (3) comparison of local and intersection local times based on embedding of a part of a fractional Brownian motion into the reproducing kernel Hilbert space of the Riemann-Liouville process.
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.
Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
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.
Saussereau, Bruno
2012-01-01
We establish Talagrand's $T_1$ and $T_2$ inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We use the $L^2$ metric and the uniform metric on the path space of continuous functions on $[0,T]$. These results are applied to study small-time and large-time asymptotics for the solutions of such equations by means of a Hoeffding-type inequality.
Study of Submicron Particle Size Distribution by Laser Doppler Measurement of Brownian Motion.
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
Random variables as pathwise integrals with respect to fractional Brownian motion
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.
Array-induced collective transport in the Brownian motion of coupled nonlinear oscillator systems
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...
Simulation paradoxes related to a fractional Brownian motion with small Hurst index
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.
An Averaging Principle for Stochastic Differential Delay Equations with Fractional Brownian Motion
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Yong Xu
2014-01-01
Full Text Available An averaging principle for a class of stochastic differential delay equations (SDDEs driven by fractional Brownian motion (fBm with Hurst parameter in (1/2,1 is considered, where stochastic integration is convolved as the path integrals. The solutions to the original SDDEs can be approximated by solutions to the corresponding averaged SDDEs in the sense of both convergence in mean square and in probability, respectively. Two examples are carried out to illustrate the proposed averaging principle.
Intersection local times of independent Brownian motions as generalized white noise functionals
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...
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.
Vertices of the least concave majorant of Brownian motion with parabolic drift
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...
Fractional Brownian motion, the Matérn process, and stochastic modeling of turbulent dispersion
Lilly, Jonathan M.; Sykulski, Adam M.; Early, Jeffrey J.; Olhede, Sofia C.
2017-08-01
Stochastic processes exhibiting power-law slopes in the frequency domain are frequently well modeled by fractional Brownian motion (fBm), with the spectral slope at high frequencies being 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 Matérn 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 Matérn process and its relationship to fBm. An algorithm for the simulation of the Matérn process in O(NlogN) operations is given. Unlike fBm, the Matérn process is found to provide an excellent match to modeling velocities from particle trajectories in an application to two-dimensional fluid turbulence.
Bessel processes and hyperbolic Brownian motions stopped at different random times
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...
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.
Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond.
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.
Fractional Brownian motion, the Matern process, and stochastic modeling of turbulent dispersion
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...
RECTILINEAR AND BROWNIAN MOTION FROM A RANDOM POINT IN A CONVEX REGION
Directory of Open Access Journals (Sweden)
Peter Ehlers
2011-05-01
Full Text Available A particle is projected from a point P in a subset E of a convex region H to a point Q in a uniformly random direction. The probability that Q lies in the interior of H at time t is obtained for two types of motion of the particle, rectilinear (i.e. straight-line and Brownian. In the case of rectilinear motion, the first passage time through the boundary of H is considered. Results are obtained in terms of the generalized overlap function for embedded bodies.
Probing short-range protein Brownian motion in the cytoplasm of living cells
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.
Probing short-range protein Brownian motion in the cytoplasm of living cells.
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.
Applications of statistical mechanics to non-Brownian random motion
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
Brownian motion, old and new, and Irwin's role in my academic life
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.
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.
Brownian regime of finite-N corrections to particle motion in the XY Hamiltonian mean field model
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.
Brownian regime of finite-N corrections to particle motion in the XY hamiltonian mean field model
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.
Directory of Open Access Journals (Sweden)
Kevin D. Brewer
2012-11-01
Full Text Available This paper presents some Excel-based simulation exercises that are suitable for use in financial modeling courses. Such exercises are based on a stochastic process of stock price movements, called geometric Brownian motion, that underlies the derivation of the Black-Scholes option pricing model. Guidance is provided in assigning appropriate values of the drift parameter in the stochastic process for such exercises. Some further simulation exercises are also suggested. As the analytical underpinning of the materials involved is provided, this paper is expected to be of interest also to instructors and students of investment courses.
A Milstein-type scheme without Levy area terms for SDEs driven by fractional Brownian motion
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.
Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion.
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.
Slower deviations of the branching Brownian motion and of branching random walks
Derrida, Bernard; Shi, Zhan
2017-08-01
We have shown recently how to calculate the large deviation function of the position X\\max(t) of the rightmost particle of a branching Brownian motion at time t. This large deviation function exhibits a phase transition at a certain negative velocity. Here we extend this result to more general branching random walks and show that the probability distribution of X\\max(t) has, asymptotically in time, a prefactor characterized by a non trivial power law. Dedicated to John Cardy on the occasion of his 70th birthday.
The fractional Brownian motion property of the turbulent refractive within Geometric Optics
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.
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.
Second order asymptotics for Brownian motion among a heavy tailed Poissonian potential
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.
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.
Directory of Open Access Journals (Sweden)
Jean-Francois Coeurjolly
2000-09-01
Full Text Available We present a non exhaustive bibliographical and comparative study of the problem of simulation and identification of the fractional Brownian motion. The discussed implementation is realized within the software S-plus 3.4. A few simulations illustrate this work. Furthermore, we propose a test based on the asymptotic behavior of a self-similarity parameter's estimator to explore the quality of different generators. This procedure, easily computable, allows us to extract an efficient method of simulation. In the Appendix are described the S-plus scripts related to simulation and identification methods of the fBm.
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.
Limitation of the Least Square Method in the Evaluation of Dimension of Fractal Brownian Motions
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...
The pricing of credit default swaps under a generalized mixed fractional Brownian motion
He, Xinjiang; Chen, Wenting
2014-06-01
In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to be able to effectively capture the long-range dependence of the stock returns. To develop the pricing mechanics of the CDS, we firstly derive a sufficient condition for the market modeled under the GMFBM to be arbitrage free. Then under the risk-neutral assumption, the CDS is fairly priced by investigating the two legs of the cash flow involved. The price we obtained involves elementary functions only, and can be easily implemented for practical purpose. Finally, based on numerical experiments, we analyze quantitatively the impacts of different parameters on the prices of the CDS. Interestingly, in comparison with all the other FBM models documented in the literature, the results produced from the GMFBM model are in a better agreement with those calculated from the classical Black-Scholes model.
Muniandy, S V; Lim, S C
2001-04-01
Fractional Brownian motion (FBM) is widely used in the modeling of phenomena with power spectral density of power-law type. However, FBM has its limitation since it can only describe phenomena with monofractal structure or a uniform degree of irregularity characterized by the constant Holder exponent. For more realistic modeling, it is necessary to take into consideration the local variation of irregularity, with the Holder exponent allowed to vary with time (or space). One way to achieve such a generalization is to extend the standard FBM to multifractional Brownian motion (MBM) indexed by a Holder exponent that is a function of time. This paper proposes an alternative generalization to MBM based on the FBM defined by the Riemann-Liouville type of fractional integral. The local properties of the Riemann-Liouville MBM (RLMBM) are studied and they are found to be similar to that of the standard MBM. A numerical scheme to simulate the locally self-similar sample paths of the RLMBM for various types of time-varying Holder exponents is given. The local scaling exponents are estimated based on the local growth of the variance and the wavelet scalogram methods. Finally, an example of the possible applications of RLMBM in the modeling of multifractal time series is illustrated.
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.
Underdamped scaled Brownian motion: (non-)existence of the overdamped limit in anomalous diffusion
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.
Supercritical super-Brownian motion with a general branching mechanism and travelling waves
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...
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
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.
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
Byczkowski, Tomasz; Graczyk, Piotr; Malecki, Jacek
2011-01-01
The purpose of the paper is to provide integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method of proof is based on Girsanov's theorem and yields more complete results as those based on Feynmann-Kac technique.
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.
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.
DEFF Research Database (Denmark)
DuPré, Donald B.; Chapoy, L. Lawrence
1980-01-01
The effect of rotational Brownian motion on measurements of orientational distribution functions in uniaxial liquid crystals is discussed. The comments of Naqvi1 on the authors previously published2,3 papers are answered.(AIP) The Journal of Chemical Physics is copyrighted by The American Institute...
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.
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.
A MAP estimator based on geometric Brownian motion for sample distances of laser triangulation data
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.
Inference on the hurst parameter and the variance of diffusions driven by fractional Brownian motion
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...
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.
Large Deviations for the Branching Brownian Motion in Presence of Selection or Coalescence
Derrida, Bernard; Shi, Zhan
2016-06-01
The large deviation function has been known for a long time in the literature for the displacement of the rightmost particle in a branching random walk (BRW), or in a branching Brownian motion (BBM). More recently a number of generalizations of the BBM and of the BRW have been considered where selection or coalescence mechanisms tend to limit the exponential growth of the number of particles. Here we try to estimate the large deviation function of the position of the rightmost particle for several such generalizations: the L-BBM, the N-BBM, and the coalescing branching random walk (CBRW) which is closely related to the noisy FKPP equation. Our approach allows us to obtain only upper bounds on these large deviation functions. One noticeable feature of our results is their non analytic dependence on the parameters (such as the coalescence rate in the CBRW).
On the use of reverse Brownian motion to accelerate hybrid simulations
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.
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.
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...
Localization and Ballistic Diffusion for the Tempered Fractional Brownian-Langevin Motion
Chen, Yao; Wang, Xudong; Deng, Weihua
2017-10-01
This paper discusses the tempered fractional Brownian motion (tfBm), its ergodicity, and the derivation of the corresponding Fokker-Planck equation. Then we introduce the generalized Langevin equation with the tempered fractional Gaussian noise for a free particle, called tempered fractional Langevin equation (tfLe). While the tfBm displays localization diffusion for the long time limit and for the short time its mean squared displacement (MSD) has the asymptotic form t^{2H}, we show that the asymptotic form of the MSD of the tfLe transits from t^2 (ballistic diffusion for short time) to t^{2-2H}, and then to t^2 (again ballistic diffusion for long time). On the other hand, the overdamped tfLe has the transition of the diffusion type from t^{2-2H} to t^2 (ballistic diffusion). The tfLe with harmonic potential is also considered.
Super-Brownian motion: Lp-convergence of martingales through the pathwise spine decomposition
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...
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.
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.
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.
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.
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.
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 .
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
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.
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.
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.
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...
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...
Energy Technology Data Exchange (ETDEWEB)
Mackey, Michael C. [Departments of Physiology, Physics and Mathematics and Centre for Nonlinear Dynamics, McGill University, 3655 Promenade Sir William Osler, Montreal, QC, H3G 1Y6 (Canada)]. E-mail: mackey@cnd.mcgill.ca; Tyran-Kaminska, Marta [Institute of Mathematics, Silesian University, ul. Bankowa 14, 40-007 Katowice (Poland)]. E-mail: mtyran@us.edu.pl
2006-01-15
Here we review and extend central limit theorems for chaotic deterministic semi-dynamical discrete time systems. We then apply these results to show how Brownian motion-like behavior can be recovered and how an Ornstein-Uhlenbeck process can be constructed within a totally deterministic framework. These results illustrate that under certain circumstances the contamination of experimental data by 'noise' may be alternately interpreted as the signature of an underlying chaotic process.
Fractional Brownian Motion and Geodesic Rao Distance for Bone X-ray Image Characterization.
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.
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.
Fractional Brownian motion time-changed by gamma and inverse gamma process
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.
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.
Scale Relativistic signature in the Brownian motion of micro-spheres in optical traps
Lebohec, Stephan
2017-09-01
The development of mechanics of nondifferentiable paths36 suggested by Scale Relativity31,32 results in a foundation of Quantum Mechanics30,37 including Schrödinger’s equation and all the other axioms under the assumption the path nondifferentiability can be described as a Wiener process at the resolution-scale of observation. This naturally brings under question the possibility that the statistics of the dynamics of macroscopic systems fulfilling this hypothesis could fall under a quantum-like description with the Planck constant replaced with some other constant, possibly system specific, and corresponding to a diffusion coefficient. The observation of such a quantum-like dynamics would establish if the Scale Relativistic principle is implemented in macroscopic complex or chaotic systems. This would have major implications for the study of structure formation dynamics in various research fields. In this paper, I investigate the possibility for the detection of such an effect in the Brownian motion of a micro-sphere in an optical trap. I find that, if it exists, the observation of the transition to a quantum-like regime is within reach of modern experiments.
Detection of two-sided alternatives in a Brownian motion model
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...
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.
From Brownian motion to operational risk: Statistical physics and financial markets
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.
Isotropic Brownian motions over complex fields as a solvable model for May-Wigner stability analysis
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.
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.
Suksmono, Andriyan Bayu
2011-01-01
This paper proposes a new fBm (fractional Brownian motion) interpolation/reconstruction method from partially known samples based on CS (Compressive Sampling). Since 1/f property implies power law decay of the fBm spectrum, the fBm signals should be sparse in frequency domain. This property motivates the adoption of CS in the development of the reconstruction method. Hurst parameter H that occurs in the power law determines the sparsity level, therefore the CS reconstruction quality of an fBm signal for a given number of known subsamples will depend on H. However, the proposed method does not require the information of H to reconstruct the fBm signal from its partial samples. The method employs DFT (Discrete Fourier Transform) as the sparsity basis and a random matrix derived from known samples positions as the projection basis. Simulated fBm signals with various values of H are used to show the relationship between the Hurst parameter and the reconstruction quality. Additionally, US-DJIA (Dow Jones Industria...
Brownian-motion based simulation of stochastic reaction-diffusion systems for affinity based sensors
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.
Fractional Brownian motion time-changed by gamma and inverse gamma process
Kumar, A; Połoczański, R; Sundar, S
2016-01-01
Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics similar to Gaussian processes although they are not Gaussian. Therefore there is need to consider new classes of systems to model these kind of empirical behavior. Motivated by this fact in this paper we analyze two processes which exhibit long range dependence property and have additional interesting characteristics which may be observed in real phenomena. Both of them are constructed as the superposition of fractional Brownian motion (FBM) and other process. In the first case the internal process, which plays role of the time, is the gamma process while in the second case the internal process is its inverse. We present in detail their main properties paying main attention to the long range dependence property. Moreover, we show how to simulate these processes and estimate their parameters. We propose to use a novel method based on re...
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.
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.
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.
First passage times for a tracer particle in single file diffusion and fractional Brownian motion.
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.
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.
An exactly solvable model for Brownian motion : I. Derivation of the Langevin equation
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.
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)
Directory of Open Access Journals (Sweden)
Zhaoqiang Yang
2017-01-01
Full Text Available A new framework for pricing the American fractional lookback option is developed in the case where the stock price follows a mixed jump-diffusion fraction Brownian motion. By using Itô formula and Wick-Itô-Skorohod integral a new market pricing model is built. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given. Numerical simulation illustrates some notable features of American fractional lookback options.
Brownian motion in a field of force and the diffusion theory of chemical reactions. II
Brinkman, H.C.
1956-01-01
H. A. Kramers has studied the rate of chemical reactions in view of the Brownian forces caused by a surrounding medium in temperature equilibrium. In a previous paper 3) the author gave a solution of Kramers' diffusion equation in phase space by systematic development. In this paper the general prob
Dwell time of a Brownian interacting molecule in a cellular microdomain
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 ...
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。
OpenCL/OpenGL aproach for studying active Brownian motion
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.
Quantum Brownian Motions and Navier-Stokes Weakly Turbulence — a Path Integral Study
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.
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.
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.
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.
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.
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.
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."
Non-Markovian Brownian motion in a magnetic field and time-dependent force fields
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.
Eka Putri, Irana; Gita Redhyka, Grace
2017-07-01
Micro-air-bubble has a high potential contribution in waste water, farming, and fishery treatment. In this research, submicron scale of micro-air-bubble was observed to determine its stability in H2O solvent. By increasing its stability, it can be used for several applications, such as bio-preservative for medical and food transport. The micro-air-bubble was assumed in spherical shape that in incompressible gas boundary condition. So, the random motion of particle (Brownian motion) can be solved by using Stokes-Einstein approximation. But, Hadamard and Rybczynski equation is promoted to solve for larger bubble (micro scale). While, the effect of physical properties (e.g. diffusion coefficient, density, and flow rate) have taken important role in its characteristics in water. According to the theoretical investigation that have been done, decreasing of bubble velocity indicates that the bubble dissolves away or shrinking to the surface. To obtain longevity bubble in pure water medium, it is recomended to apply some surfactant molecules (e.g. NaCl) in micro-air-bubble medium.
Miao, Linling; Young, Charles D.; Sing, Charles E.
2017-07-01
Brownian Dynamics (BD) simulations are a standard tool for understanding the dynamics of polymers in and out of equilibrium. Quantitative comparison can be made to rheological measurements of dilute polymer solutions, as well as direct visual observations of fluorescently labeled DNA. The primary computational challenge with BD is the expensive calculation of hydrodynamic interactions (HI), which are necessary to capture physically realistic dynamics. The full HI calculation, performed via a Cholesky decomposition every time step, scales with the length of the polymer as O(N3). This limits the calculation to a few hundred simulated particles. A number of approximations in the literature can lower this scaling to O(N2 - N2.25), and explicit solvent methods scale as O(N); however both incur a significant constant per-time step computational cost. Despite this progress, there remains a need for new or alternative methods of calculating hydrodynamic interactions; large polymer chains or semidilute polymer solutions remain computationally expensive. In this paper, we introduce an alternative method for calculating approximate hydrodynamic interactions. Our method relies on an iterative scheme to establish self-consistency between a hydrodynamic matrix that is averaged over simulation and the hydrodynamic matrix used to run the simulation. Comparison to standard BD simulation and polymer theory results demonstrates that this method quantitatively captures both equilibrium and steady-state dynamics after only a few iterations. The use of an averaged hydrodynamic matrix allows the computationally expensive Brownian noise calculation to be performed infrequently, so that it is no longer the bottleneck of the simulation calculations. We also investigate limitations of this conformational averaging approach in ring polymers.
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.
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...
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.
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.
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.
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.
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.
Energy Technology Data Exchange (ETDEWEB)
Meade, Nigel [Imperial College, Business School London (United Kingdom)
2010-11-15
For oil related investment appraisal, an accurate description of the evolving uncertainty in the oil price is essential. For example, when using real option theory to value an investment, a density function for the future price of oil is central to the option valuation. The literature on oil pricing offers two views. The arbitrage pricing theory literature for oil suggests geometric Brownian motion and mean reversion models. Empirically driven literature suggests ARMA-GARCH models. In addition to reflecting the volatility of the market, the density function of future prices should also incorporate the uncertainty due to price jumps, a common occurrence in the oil market. In this study, the accuracy of density forecasts for up to a year ahead is the major criterion for a comparison of a range of models of oil price behaviour, both those proposed in the literature and following from data analysis. The Kullbach Leibler information criterion is used to measure the accuracy of density forecasts. Using two crude oil price series, Brent and West Texas Intermediate (WTI) representing the US market, we demonstrate that accurate density forecasts are achievable for up to nearly two years ahead using a mixture of two Gaussians innovation processes with GARCH and no mean reversion. (author)
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.
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.
Butler, Jason E.; Shaqfeh, Eric S. G.
2005-01-01
Using methods adapted from the simulation of suspension dynamics, we have developed a Brownian dynamics algorithm with multibody hydrodynamic interactions for simulating the dynamics of polymer molecules. The polymer molecule is modeled as a chain composed of a series of inextensible, rigid rods with constraints at each joint to ensure continuity of the chain. The linear and rotational velocities of each segment of the polymer chain are described by the slender-body theory of Batchelor [J. Fluid Mech. 44, 419 (1970)]. To include hydrodynamic interactions between the segments of the chain, the line distribution of forces on each segment is approximated by making a Legendre polynomial expansion of the disturbance velocity on the segment, where the first two terms of the expansion are retained in the calculation. Thus, the resulting linear force distribution is specified by a center of mass force, couple, and stresslet on each segment. This method for calculating the hydrodynamic interactions has been successfully used to simulate the dynamics of noncolloidal suspensions of rigid fibers [O. G. Harlen, R. R. Sundararajakumar, and D. L. Koch, J. Fluid Mech. 388, 355 (1999); J. E. Butler and E. S. G. Shaqfeh, J. Fluid Mech. 468, 204 (2002)]. The longest relaxation time and center of mass diffusivity are among the quantities calculated with the simulation technique. Comparisons are made for different levels of approximation of the hydrodynamic interactions, including multibody interactions, two-body interactions, and the "freely draining" case with no interactions. For the short polymer chains studied in this paper, the results indicate a difference in the apparent scaling of diffusivity with polymer length for the multibody versus two-body level of approximation for the hydrodynamic interactions.
Characterizing N-dimensional anisotropic Brownian motion by the distribution of diffusivities
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...
Hoda, Nazish; Kumar, Satish
2007-12-21
The adsorption of single polyelectrolyte molecules in shear flow is studied using Brownian dynamics simulations with hydrodynamic interaction (HI). Simulations are performed with bead-rod and bead-spring chains, and electrostatic interactions are incorporated through a screened Coulombic potential with excluded volume accounted for by the repulsive part of a Lennard-Jones potential. A correction to the Rotne-Prager-Yamakawa tensor is derived that accounts for the presence of a planar wall. The simulations show that migration away from an uncharged wall, which is due to bead-wall HI, is enhanced by increases in the strength of flow and intrachain electrostatic repulsion, consistent with kinetic theory predictions. When the wall and polyelectrolyte are oppositely charged, chain behavior depends on the strength of electrostatic screening. For strong screening, chains get depleted from a region close to the wall and the thickness of this depletion layer scales as N(1/3)Wi(2/3) at high Wi, where N is the chain length and Wi is the Weissenberg number. At intermediate screening, bead-wall electrostatic attraction competes with bead-wall HI, and it is found that there is a critical Weissenberg number for desorption which scales as N(-1/2)kappa(-3)(l(B)|sigmaq|)(3/2), where kappa is the inverse screening length, l(B) is the Bjerrum length, sigma is the surface charge density, and q is the bead charge. When the screening is weak, adsorbed chains are observed to align in the vorticity direction at low shear rates due to the effects of repulsive intramolecular interactions. At higher shear rates, the chains align in the flow direction. The simulation method and results of this work are expected to be useful for a number of applications in biophysics and materials science in which polyelectrolyte adsorption plays a key role.
Reeves, Mark
2014-03-01
Entropy changes underlie the physics that dominates biological interactions. Indeed, introductory biology courses often begin with an exploration of the qualities of water that are important to living systems. However, one idea that is not explicitly addressed in most introductory physics or biology textbooks is dominant contribution of the entropy in driving important biological processes towards equilibrium. From diffusion to cell-membrane formation, to electrostatic binding in protein folding, to the functioning of nerve cells, entropic effects often act to counterbalance deterministic forces such as electrostatic attraction and in so doing, allow for effective molecular signaling. A small group of biology, biophysics and computer science faculty have worked together for the past five years to develop curricular modules (based on SCALEUP pedagogy) that enable students to create models of stochastic and deterministic processes. Our students are first-year engineering and science students in the calculus-based physics course and they are not expected to know biology beyond the high-school level. In our class, they learn to reduce seemingly complex biological processes and structures to be described by tractable models that include deterministic processes and simple probabilistic inference. The students test these models in simulations and in laboratory experiments that are biologically relevant. The students are challenged to bridge the gap between statistical parameterization of their data (mean and standard deviation) and simple model-building by inference. This allows the students to quantitatively describe realistic cellular processes such as diffusion, ionic transport, and ligand-receptor binding. Moreover, the students confront ``random'' forces and traditional forces in problems, simulations, and in laboratory exploration throughout the year-long course as they move from traditional kinematics through thermodynamics to electrostatic interactions. This talk
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.
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.
Archimedes' principle for Brownian liquid
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.
Archimedes' principle for Brownian liquid
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 ...
Perceptual interaction of local motion signals.
Nitzany, Eyal I; Loe, Maren E; Palmer, Stephanie E; Victor, Jonathan D
2016-11-01
Motion signals are a rich source of information used in many everyday tasks, such as segregation of objects from background and navigation. Motion analysis by biological systems is generally considered to consist of two stages: extraction of local motion signals followed by spatial integration. Studies using synthetic stimuli show that there are many kinds and subtypes of local motion signals. When presented in isolation, these stimuli elicit behavioral and neurophysiological responses in a wide range of species, from insects to mammals. However, these mathematically-distinct varieties of local motion signals typically co-exist in natural scenes. This study focuses on interactions between two kinds of local motion signals: Fourier and glider. Fourier signals are typically associated with translation, while glider signals occur when an object approaches or recedes. Here, using a novel class of synthetic stimuli, we ask how distinct kinds of local motion signals interact and whether context influences sensitivity to Fourier motion. We report that local motion signals of different types interact at the perceptual level, and that this interaction can include subthreshold summation and, in some subjects, subtle context-dependent changes in sensitivity. We discuss the implications of these observations, and the factors that may underlie them.
Motion Model Employment using interacting Motion Model Algorithm
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar
2006-01-01
The paper presents a simulation study to track a maneuvering target using a selective approach in choosing Interacting Multiple Models (IMM) algorithm to provide a wider coverage to track such targets. Initially, there are two motion models in the system to track a target. Probability of each...... model being correct is computed through a likelihood function for each model. The study presented a simple technique to introduce additional models into the system using deterministic acceleration which basically defines the dynamics of the system. Therefore, based on this value more motion models can...... be employed to increase the coverage. Finally, the combined estimate is obtained using posteriori probabilities from different filter models. The implemented approach provides an adaptive scheme for selecting various number of motion models. Motion model description is important as it defines the kind...
Switching of myosin-V motion between the lever-arm swing and brownian search-and-catch.
Fujita, Keisuke; Iwaki, Mitsuhiro; Iwane, Atsuko H; Marcucci, Lorenzo; Yanagida, Toshio
2012-07-17
Motor proteins are force-generating nanomachines that are highly adaptable to their ever-changing biological environments and have a high energy conversion efficiency. Here we constructed an imaging system that uses optical tweezers and a DNA handle to visualize elementary mechanical processes of a nanomachine under load. We apply our system to myosin-V, a well-known motor protein that takes 72 nm 'hand-over-hand' steps composed of a 'lever-arm swing' and a 'brownian search-and-catch'. We find that the lever-arm swing generates a large proportion of the force at low load (high load (1.9 pN), however, the contribution of the brownian search-and-catch increases to dominate, reaching 13 k(B)T of work. We believe the ability to switch between these two force-generation modes facilitates myosin-V function at high efficiency while operating in a dynamic intracellular environment.
Interactive inverse kinematics for human motion estimation
DEFF Research Database (Denmark)
Engell-Nørregård, Morten Pol; Hauberg, Søren; Lapuyade, Jerome
2009-01-01
We present an application of a fast interactive inverse kinematics method as a dimensionality reduction for monocular human motion estimation. The inverse kinematics solver deals efficiently and robustly with box constraints and does not suffer from shaking artifacts. The presented motion...... estimation system uses a single camera to estimate the motion of a human. The results show that inverse kinematics can significantly speed up the estimation process, while retaining a quality comparable to a full pose motion estimation system. Our novelty lies primarily in use of inverse kinematics...... to significantly speed up the particle filtering. It should be stressed that the observation part of the system has not been our focus, and as such is described only from a sense of completeness. With our approach it is possible to construct a robust and computationally efficient system for human motion estimation....
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...
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...
Brownian ratchets in physics and biology
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).
Energy Technology Data Exchange (ETDEWEB)
Mereghetti, Paolo; Wade, Rebecca C.
2012-07-26
High macromolecular concentrations are a distinguishing feature of living organisms. Understanding how the high concentration of solutes affects the dynamic properties of biological macromolecules is fundamental for the comprehension of biological processes in living systems. In this paper, we describe the implementation of mean field models of translational and rotational hydrodynamic interactions into an atomically detailed many-protein brownian dynamics simulation method. Concentrated solutions (30-40% volume fraction) of myoglobin, hemoglobin A, and sickle cell hemoglobin S were simulated, and static structure factors, oligomer formation, and translational and rotational self-diffusion coefficients were computed. Good agreement of computed properties with available experimental data was obtained. The results show the importance of both solvent mediated interactions and weak protein-protein interactions for accurately describing the dynamics and the association properties of concentrated protein solutions. Specifically, they show a qualitative difference in the translational and rotational dynamics of the systems studied. Although the translational diffusion coefficient is controlled by macromolecular shape and hydrodynamic interactions, the rotational diffusion coefficient is affected by macromolecular shape, direct intermolecular interactions, and both translational and rotational hydrodynamic interactions.
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 ...
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.
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.
How superdiffusion gets arrested: ecological encounters explain shift from Levy to Brownian movement
de Jager, M.; Bartumeus, F.; Kölzsch, A.; Weissing, F.J.; Hengeveld, G.M.; Nolet, B.A.; Herman, P.M.J.; de Koppel, J.
2014-01-01
Ecological theory uses Brownian motion as a default template for describing ecological movement, despite limited mechanistic underpinning. The generality of Brownian motion has recently been challenged by empirical studies that highlight alternative movement patterns of animals, especially when fora
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.
Financial Brownian Particle in the Layered Order-Book Fluid and Fluctuation-Dissipation Relations
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.
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。
Intelligent Motion and Interaction Within Virtual Environments
Ellis, Stephen R. (Editor); Slater, Mel (Editor); Alexander, Thomas (Editor)
2007-01-01
What makes virtual actors and objects in virtual environments seem real? How can the illusion of their reality be supported? What sorts of training or user-interface applications benefit from realistic user-environment interactions? These are some of the central questions that designers of virtual environments face. To be sure simulation realism is not necessarily the major, or even a required goal, of a virtual environment intended to communicate specific information. But for some applications in entertainment, marketing, or aspects of vehicle simulation training, realism is essential. The following chapters will examine how a sense of truly interacting with dynamic, intelligent agents may arise in users of virtual environments. These chapters are based on presentations at the London conference on Intelligent Motion and Interaction within a Virtual Environments which was held at University College, London, U.K., 15-17 September 2003.
Brownian movement and molecular reality
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
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.
Motion Model Employment using interacting Motion Model Algorithm
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar
2006-01-01
model being correct is computed through a likelihood function for each model. The study presented a simple technique to introduce additional models into the system using deterministic acceleration which basically defines the dynamics of the system. Therefore, based on this value more motion models can...... be employed to increase the coverage. Finally, the combined estimate is obtained using posteriori probabilities from different filter models. The implemented approach provides an adaptive scheme for selecting various number of motion models. Motion model description is important as it defines the kind...
Reactive Boundary Conditions as Limits of Interaction Potentials for Brownian and Langevin Dynamics
Chapman, S Jonathan; Isaacson, Samuel A
2015-01-01
A popular approach to modeling bimolecular reactions between diffusing molecules is through the use of reactive boundary conditions. One common model is the Smoluchowski partial absorption condition, which uses a Robin boundary condition in the separation coordinate between two possible reactants. This boundary condition can be interpreted as an idealization of a reactive interaction potential model, in which a potential barrier must be surmounted before reactions can occur. In this work we show how the reactive boundary condition arises as the limit of an interaction potential encoding a steep barrier within a shrinking region in the particle separation, where molecules react instantly upon reaching the peak of the barrier. The limiting boundary condition is derived by the method of matched asymptotic expansions, and shown to depend critically on the relative rate of increase of the barrier height as the width of the potential is decreased. Limiting boundary conditions for the same interaction potential in b...
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.
Interactive motion tracing for Rowing Training
DEFF Research Database (Denmark)
Dai, Zheng
2011-01-01
This paper studies motion tracking and team coordination for the training of rowers. The design research is drawn upon the division of contribution between the designers input and the user input in a design process. We built a training system that can record and show the action of a rower’s hand...... can correct the path immediately and save the corrected path for the rower to try to imitate and train. The members in a rowing team train with the same path from to coordinate and synchronize their actions for the best performance. The training system was developed through a user-centered design...... process with Danske Studenters Roklub. It was designed in iterations to provide a new experience for rowing sport training by coaching in real-time, training interactively, and perceiving directly....
Brownian dynamics simulations of lipid bilayer membrane with hydrodynamic interactions in LAMMPS
Fu, Szu-Pei; Young, Yuan-Nan; Peng, Zhangli; Yuan, Hongyan
2016-11-01
Lipid bilayer membranes have been extensively studied by coarse-grained molecular dynamics simulations. Numerical efficiencies have been reported in the cases of aggressive coarse-graining, where several lipids are coarse-grained into a particle of size 4 6 nm so that there is only one particle in the thickness direction. Yuan et al. proposed a pair-potential between these one-particle-thick coarse-grained lipid particles to capture the mechanical properties of a lipid bilayer membrane (such as gel-fluid-gas phase transitions of lipids, diffusion, and bending rigidity). In this work we implement such interaction potential in LAMMPS to simulate large-scale lipid systems such as vesicles and red blood cells (RBCs). We also consider the effect of cytoskeleton on the lipid membrane dynamics as a model for red blood cell (RBC) dynamics, and incorporate coarse-grained water molecules to account for hydrodynamic interactions. The interaction between the coarse-grained water molecules (explicit solvent molecules) is modeled as a Lennard-Jones (L-J) potential. We focus on two sets of LAMMPS simulations: 1. Vesicle shape transitions with varying enclosed volume; 2. RBC shape transitions with different enclosed volume. This work is funded by NSF under Grant DMS-1222550.
Lorteije, Jeannette A M; Kenemans, J Leon; Jellema, Tjeerd; van der Lubbe, Rob H J; Lommers, Marjolein W; van Wezel, Richard J A
2007-08-01
Viewing static pictures of running humans evokes neural activity in the dorsal motion-sensitive cortex. To establish whether this response arises from direction-selective neurons that are also involved in real motion processing, we measured the visually evoked potential to implied motion following adaptation to static or moving random dot patterns. The implied motion response was defined as the difference between evoked potentials to pictures with and without implied motion. Interaction between real and implied motion was found as a modulation of this difference response by the preceding motion adaptation. The amplitude of the implied motion response was significantly reduced after adaptation to motion in the same direction as the implied motion, compared to motion in the opposite direction. At 280 msec after stimulus onset, the average difference in amplitude reduction between opposite and same adapted direction was 0.5 muV on an average implied motion amplitude of 2.0 muV. These results indicate that the response to implied motion arises from direction-selective motion-sensitive neurons. This is consistent with interactions between real and implied motion processing at a neuronal level.
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 ...
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.
Impulse Control of Brownian Motion.
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
Brownian Motion in Planetary Migration
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...
Brownian particles in supramolecular polymer solutions
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
Brownian particles in supramolecular polymer solutions
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
Visual-vestibular interaction in motion perception
Hosman, R.J.A.W.; Cardullo, F.M.; Bos, J.E.
2011-01-01
Correct perception of self motion is of vital importance for both the control of our position and posture when moving around in our environment. With the development of human controlled vehicles as bicycles, cars and aircraft motion perception became of interest for the understanding of vehicle
Visual-vestibular interaction in motion perception
Hosman, R.J.A.W.; Cardullo, F.M.; Bos, J.E.
2011-01-01
Correct perception of self motion is of vital importance for both the control of our position and posture when moving around in our environment. With the development of human controlled vehicles as bicycles, cars and aircraft motion perception became of interest for the understanding of vehicle cont
Brownian relaxation of an inelastic sphere in air
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.
Brownian relaxation of an inelastic sphere in air
Energy Technology Data Exchange (ETDEWEB)
Bird, G. A., E-mail: gab@gab.com.au [University of Sydney, Sydney, NSW 2006 (Australia)
2016-06-15
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.
Thermal equilibrium of two quantum Brownian particles
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.
Zhao, Xujun; Hernandez-Ortiz, Juan; Karpeyev, Dmitry; de Pablo, Juan; Smith, Barry
In this work, we present an efficient parallel particle-in-mesh method for Brownian Dynamics simulations of many-particle systems confined in micro- and nano-fluidic devices. A general geometry Ewald-like method (GGEM) combined with finite element method is used to account for the hydrodynamic interaction. A fast parallel Krylov-type iterative solver with hybrid preconditioning techniques is developed for solving the large sparse systems of equations arising from finite element discretization of the Stokes equations. In addition, the current computer code is developed based on PETSc, a scalable library of numerical algorithms developed at Argonne, SLEPc - Scalable Library for Eigenvalue Problem Computations, and libMesh, a finite element library for numerical solution of PDEs built on top of PETSc, which allows for direct simulation of large scale systems with arbitrary confined geometries. This scheme is applied to Brownian dynamics simulations of flowing confined polymer solutions and colloidal dispersions in micro-fluid channels. The effects of hydrodynamics interactions and geometric confinement on the migration phenomena are illustrated.
Ratcheted electrophoresis of Brownian particles
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.
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.
Brownian Ratchets in Biophysics: from Diffusing Phospholipids to Polymerizing Actin Filaments
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).
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 .
Induced motion of domain walls in multiferroics with quadratic interaction
Energy Technology Data Exchange (ETDEWEB)
Gerasimchuk, Victor S., E-mail: viktor.gera@gmail.com [National Technical University of Ukraine “Kyiv Polytechnic Institute”, Peremohy Avenue 37, 03056 Kiev (Ukraine); Shitov, Anatoliy A., E-mail: shitov@mail.ru [Donbass National Academy of Civil Engineering, Derzhavina Street 2, 86123 Makeevka, Donetsk Region (Ukraine)
2013-10-15
We theoretically study the dynamics of 180-degree domain wall of the ab-type in magnetic materials with quadratic magnetoelectric interaction in external alternating magnetic and electric fields. The features of the oscillatory and translational motions of the domain walls and stripe structures depending on the parameters of external fields and characteristics of the multiferroics are discussed. The possibility of the domain walls drift in a purely electric field is established. - Highlights: • We study DW and stripe DS in multiferroics with quadratic magnetoelectric interaction. • We build up the theory of oscillatory and translational (drift) DW and DS motion. • DW motion can be caused by crossed alternating electric and magnetic fields. • DW motion can be caused by alternating “pure” electric field. • DW drift velocity is formed by the AFM and Dzyaloshinskii interaction terms.
Brownian coagulation at high particle concentrations
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
Magnen, Jacques; Unterberger, Jérémie
2012-03-01
{Let $B=(B_1(t),...,B_d(t))$ be a $d$-dimensional fractional Brownian motion with Hurst index $\\alphacalculus with respect to $B$, or to solving differential equations driven by $B$. We intend to show in a series of papers how to desingularize iterated integrals by a weak, singular non-Gaussian perturbation of the Gaussian measure defined by a limit in law procedure. Convergence is proved by using "standard" tools of constructive field theory, in particular cluster expansions and renormalization. These powerful tools allow optimal estimates, and call for an extension of Gaussian tools such as for instance the Malliavin calculus. After a first introductory paper \\cite{MagUnt1}, this one concentrates on the details of the constructive proof of convergence for second-order iterated integrals, also known as L\\'evy area.
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.
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.
Perception of social interactions for spatially scrambled biological motion.
Thurman, Steven M; Lu, Hongjing
2014-01-01
It is vitally important for humans to detect living creatures in the environment and to analyze their behavior to facilitate action understanding and high-level social inference. The current study employed naturalistic point-light animations to examine the ability of human observers to spontaneously identify and discriminate socially interactive behaviors between two human agents. Specifically, we investigated the importance of global body form, intrinsic joint movements, extrinsic whole-body movements, and critically, the congruency between intrinsic and extrinsic motions. Motion congruency is hypothesized to be particularly important because of the constraint it imposes on naturalistic action due to the inherent causal relationship between limb movements and whole body motion. Using a free response paradigm in Experiment 1, we discovered that many naïve observers (55%) spontaneously attributed animate and/or social traits to spatially-scrambled displays of interpersonal interaction. Total stimulus motion energy was strongly correlated with the likelihood that an observer would attribute animate/social traits, as opposed to physical/mechanical traits, to the scrambled dot stimuli. In Experiment 2, we found that participants could identify interactions between spatially-scrambled displays of human dance as long as congruency was maintained between intrinsic/extrinsic movements. Violating the motion congruency constraint resulted in chance discrimination performance for the spatially-scrambled displays. Finally, Experiment 3 showed that scrambled point-light dancing animations violating this constraint were also rated as significantly less interactive than animations with congruent intrinsic/extrinsic motion. These results demonstrate the importance of intrinsic/extrinsic motion congruency for biological motion analysis, and support a theoretical framework in which early visual filters help to detect animate agents in the environment based on several fundamental
Peruani, Fernando
2016-11-01
Bacteria, chemically-driven rods, and motility assays are examples of active (i.e. self-propelled) Brownian rods (ABR). The physics of ABR, despite their ubiquity in experimental systems, remains still poorly understood. Here, we review the large-scale properties of collections of ABR moving in a dissipative medium. We address the problem by presenting three different models, of decreasing complexity, which we refer to as model I, II, and III, respectively. Comparing model I, II, and III, we disentangle the role of activity and interactions. In particular, we learn that in two dimensions by ignoring steric or volume exclusion effects, large-scale nematic order seems to be possible, while steric interactions prevent the formation of orientational order at large scales. The macroscopic behavior of ABR results from the interplay between active stresses and local alignment. ABR exhibit, depending on where we locate ourselves in parameter space, a zoology of macroscopic patterns that ranges from polar and nematic bands to dynamic aggregates.
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.
Near-Field, On-Chip Optical Brownian Ratchets.
Wu, Shao-Hua; Huang, Ningfeng; Jaquay, Eric; Povinelli, Michelle L
2016-08-10
Nanoparticles in aqueous solution are subject to collisions with solvent molecules, resulting in random, Brownian motion. By breaking the spatiotemporal symmetry of the system, the motion can be rectified. In nature, Brownian ratchets leverage thermal fluctuations to provide directional motion of proteins and enzymes. In man-made systems, Brownian ratchets have been used for nanoparticle sorting and manipulation. Implementations based on optical traps provide a high degree of tunability along with precise spatiotemporal control. Here, we demonstrate an optical Brownian ratchet based on the near-field traps of an asymmetrically patterned photonic crystal. The system yields over 25 times greater trap stiffness than conventional optical tweezers. Our technique opens up new possibilities for particle manipulation in a microfluidic, lab-on-chip environment.
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.
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.
Arm Motion Recognition and Exercise Coaching System for Remote Interaction
Directory of Open Access Journals (Sweden)
Hong Zeng
2016-01-01
Full Text Available Arm motion recognition and its related applications have become a promising human computer interaction modal due to the rapid integration of numerical sensors in modern mobile-phones. We implement a mobile-phone-based arm motion recognition and exercise coaching system that can help people carrying mobile-phones to do body exercising anywhere at any time, especially for the persons that have very limited spare time and are constantly traveling across cities. We first design improved k-means algorithm to cluster the collecting 3-axis acceleration and gyroscope data of person actions into basic motions. A learning method based on Hidden Markov Model is then designed to classify and recognize continuous arm motions of both learners and coaches, which also measures the action similarities between the persons. We implement the system on MIUI 2S mobile-phone and evaluate the system performance and its accuracy of recognition.
How superdiffusion gets arrested: ecological encounters explain shift from Lévy to Brownian movement
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...
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.
Interfacial dislocation motion and interactions in single-crystal superalloys
Energy Technology Data Exchange (ETDEWEB)
Liu, B. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States); Raabe, D. [Max Planck Inst. fur Eisenforshung. Dusseldorf (Germany); Roters, F. [Max Planck Inst. fur Eisenforshung. Dusseldorf (Germany); Arsenlis, A. [Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
2014-10-01
The early stage of high-temperature low-stress creep in single-crystal superalloys is characterized by the rapid development of interfacial dislocation networks. Although interfacial motion and dynamic recovery of these dislocation networks have long been expected to control the subsequent creep behavior, direct observation and hence in-depth understanding of such processes has not been achieved. Incorporating recent developments of discrete dislocation dynamics models, we simulate interfacial dislocation motion in the channel structures of single-crystal superalloys, and investigate how interfacial dislocation motion and dynamic recovery are affected by interfacial dislocation interactions and lattice misfit. Different types of dislocation interactions are considered: self, collinear, coplanar, Lomer junction, glissile junction, and Hirth junction. The simulation results show that strong dynamic recovery occurs due to the short-range reactions of collinear annihilation and Lomer junction formation. The misfit stress is found to induce and accelerate dynamic recovery of interfacial dislocation networks involving self-interaction and Hirth junction formation, but slow down the steady interfacial motion of coplanar and glissile junction forming dislocation networks. The insights gained from these simulations on high-temperature low-stress creep of single-crystal superalloys are also discussed.
Inquiry style interactive virtual experiments: a case on circular motion
Energy Technology Data Exchange (ETDEWEB)
Zhou Shaona; Wang Xiaojun; Xiao Hua [School of Physics and Telecommunication Engineering, South China Normal University, Guangzhou 510006 (China); Han Jing; Pelz, Nathaniel; Peng Liangyu; Bao Lei, E-mail: xiaoh@scnu.edu.cn, E-mail: lbao@mps.ohio-state.edu [Department of Physics, Ohio State University, Columbus, OH 43210 (United States)
2011-11-15
Interest in computer-based learning, especially in the use of virtual reality simulations is increasing rapidly. While there are good reasons to believe that technologies have the potential to improve teaching and learning, how to utilize the technology effectively in teaching specific content difficulties is challenging. To help students develop robust understandings of correct physics concepts, we have developed interactive virtual experiment simulations that have the unique feature of enabling students to experience force and motion via an analogue joystick, allowing them to feel the applied force and simultaneously see its effects. The simulations provide students learning experiences that integrate both scientific representations and low-level sensory cues such as haptic cues under a single setting. In this paper, we introduce a virtual experiment module on circular motion. A controlled study has been conducted to evaluate the impact of using this virtual experiment on students' learning of force and motion in the context of circular motion. The results show that the interactive virtual experiment method is preferred by students and is more effective in helping students grasp the physics concepts than the traditional education method such as problem-solving practices. Our research suggests that well-developed interactive virtual experiments can be useful tools in teaching difficult concepts in science.
Animate Objects: How Physical Motion Encourages Public Interaction
Ju, Wendy; Sirkin, David
The primary challenge for information terminals, kiosks, and incidental use systems of all sorts, is that of getting the "first click" from busy passersby. This paper presents two studies that investigate the role of motion and physicality in drawing people to look and actively interact with generic information kiosks. The first study was designed as a 2x2 factorial design, physical v. on-screen gesturing and hand v. arrow motion, on a kiosk deployed in two locations, a bookstore and a computer science building lobby. The second study examined the effect of physical v. projected gesturing, and included a follow-up survey. Over twice as many passersby interacted in the physical v. on-screen condition in the first study and 60% more interacted in the second. These studies, in concert, indicate that physical gesturing does indeed significantly attract more looks and use for the information kiosk, and that form affects people's impression and interpretation of these gestures.
Katiyar, Ajay; Dhar, Purbarun; Das, Sarit K; Nandi, Tandra
2015-02-28
Magnetic nanocolloids consisting of synthesized superparamagnetic iron(II,III) oxide nanoparticles (SPION) (5-15 nm) dispersed in poly(ethylene glycol) (PEG) and a nano-silica complex have been synthesized. The PEG-nano-silica complex physically encapsulates the SPIONs, ensuring that there is no phase separation under high magnetic fields (∼1.2 T). Exhaustive magneto-rheological investigations have been performed to understand the structural behavior and response of the ferrocolloids. Remarkable stability and reversibility have been observed under magnetic field for concentrated systems. The results show the impact of particle concentration, size and encapsulation efficiency on parameters such as shear viscosity, yield stress, viscoelastic moduli, magneto-viscous hysteresis, and so on. Analytical models to reveal the system mechanism and mathematically predict the magneto-viscosity and magneto-yield stress have been developed. The mechanistic approach based on near-field magnetostatics and Néel-Brownian interactivities could predict the colloidal properties under the effect of the magnetic field accurately. The colloid exhibits amplified storage and loss moduli together with a highly augmented linear viscoelastic region under magnetic stimuli. The transition of the colloidal state from the fluidic phase to the soft condensed phase and its viscoelastic stimuli under the influence of a magnetic field has been explained based on the mathematical analysis. The remarkable stability, magnetic properties and accurate physical models reveal promise for the colloids in transient situations, namely, magneto-microelectromechanical/nanoelectromechanical devices, anti-seismic damping, biomedical invasive treatments, and so on.
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.
Radiation Reaction for a Charged Brownian Particle
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.
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.
Brownian molecular rotors: Theoretical design principles and predicted realizations
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.
Traffic and Driving Simulator Based on Architecture of Interactive Motion.
Paz, Alexander; Veeramisti, Naveen; Khaddar, Romesh; de la Fuente-Mella, Hanns; Modorcea, Luiza
2015-01-01
This study proposes an architecture for an interactive motion-based traffic simulation environment. In order to enhance modeling realism involving actual human beings, the proposed architecture integrates multiple types of simulation, including: (i) motion-based driving simulation, (ii) pedestrian simulation, (iii) motorcycling and bicycling simulation, and (iv) traffic flow simulation. The architecture has been designed to enable the simulation of the entire network; as a result, the actual driver, pedestrian, and bike rider can navigate anywhere in the system. In addition, the background traffic interacts with the actual human beings. This is accomplished by using a hybrid mesomicroscopic traffic flow simulation modeling approach. The mesoscopic traffic flow simulation model loads the results of a user equilibrium traffic assignment solution and propagates the corresponding traffic through the entire system. The microscopic traffic flow simulation model provides background traffic around the vicinities where actual human beings are navigating the system. The two traffic flow simulation models interact continuously to update system conditions based on the interactions between actual humans and the fully simulated entities. Implementation efforts are currently in progress and some preliminary tests of individual components have been conducted. The implementation of the proposed architecture faces significant challenges ranging from multiplatform and multilanguage integration to multievent communication and coordination.
Traffic and Driving Simulator Based on Architecture of Interactive Motion
Directory of Open Access Journals (Sweden)
Alexander Paz
2015-01-01
Full Text Available This study proposes an architecture for an interactive motion-based traffic simulation environment. In order to enhance modeling realism involving actual human beings, the proposed architecture integrates multiple types of simulation, including: (i motion-based driving simulation, (ii pedestrian simulation, (iii motorcycling and bicycling simulation, and (iv traffic flow simulation. The architecture has been designed to enable the simulation of the entire network; as a result, the actual driver, pedestrian, and bike rider can navigate anywhere in the system. In addition, the background traffic interacts with the actual human beings. This is accomplished by using a hybrid mesomicroscopic traffic flow simulation modeling approach. The mesoscopic traffic flow simulation model loads the results of a user equilibrium traffic assignment solution and propagates the corresponding traffic through the entire system. The microscopic traffic flow simulation model provides background traffic around the vicinities where actual human beings are navigating the system. The two traffic flow simulation models interact continuously to update system conditions based on the interactions between actual humans and the fully simulated entities. Implementation efforts are currently in progress and some preliminary tests of individual components have been conducted. The implementation of the proposed architecture faces significant challenges ranging from multiplatform and multilanguage integration to multievent communication and coordination.
Comparing Extended System Interactions with Motions in Softened Potentials
Barnes, Eric I
2015-01-01
Using an $N$-body evolution code that does not rely on softened potentials, I have created a suite of interacting binary cluster simulations. The motions of the centers-of-mass of the clusters have been tracked and compared to the trajectories of point masses interacting via one of four different softened potential prescriptions. There is a robust, nearly linear relationship between the impact parameter of the cluster interaction and the point-mass softening length that best approximates the cluster centers-of-mass motion. In an $N$-body simulation that adopts a fixed softening length, such a relationship leads to regimes where two-body effects, like dynamical friction, can be either larger or smaller than the corresponding cluster situation. Further consideration of more specific $N$-body simulations leads to an estimate that roughly 10 per cent of point-mass interactions in an $N$-body simulation will experience two-body effects larger than those for equivalent clusters.
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.
Cooperative rectification in confined Brownian ratchets.
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.
Human motion behavior while interacting with an industrial robot.
Bortot, Dino; Ding, Hao; Antonopolous, Alexandros; Bengler, Klaus
2012-01-01
Human workers and industrial robots both have specific strengths within industrial production. Advantageously they complement each other perfectly, which leads to the development of human-robot interaction (HRI) applications. Bringing humans and robots together in the same workspace may lead to potential collisions. The avoidance of such is a central safety requirement. It can be realized with sundry sensor systems, all of them decelerating the robot when the distance to the human decreases alarmingly and applying the emergency stop, when the distance becomes too small. As a consequence, the efficiency of the overall systems suffers, because the robot has high idle times. Optimized path planning algorithms have to be developed to avoid that. The following study investigates human motion behavior in the proximity of an industrial robot. Three different kinds of encounters between the two entities under three robot speed levels are prompted. A motion tracking system is used to capture the motions. Results show, that humans keep an average distance of about 0,5m to the robot, when the encounter occurs. Approximation of the workbenches is influenced by the robot in ten of 15 cases. Furthermore, an increase of participants' walking velocity with higher robot velocities is observed.
Anomalous Brownian Refrigerator
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 ...
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.
Meso, Andrew Isaac; Durant, Szonya; Zanker, Johannes M
2013-09-01
Transparency is perceived when two or more objects or surfaces can be separated by the visual system whilst they are presented in the same region of the visual field at the same time. This segmentation of distinct entities on the basis of overlapping local visual cues poses an interesting challenge for the understanding of cortical information processing. In psychophysical experiments, we studied stimuli that contained randomly positioned disc elements, moving at two different speeds in the same direction, to analyse the interaction of cues during the perception of motion transparency. The current work extends findings from previous experiments with sine wave luminance gratings which only vary in one spatial dimension. The reported experiments manipulate low-level cues, like differences in speed or luminance, and what are likely to be higher level cues such as the relative size of the elements or the superposition rules that govern overlapping regions. The mechanism responsible for separation appears to be mediated by combination of the relevant and available cues. Where perceived transparency is stronger, the neural representations of components are inferred to be more distinguishable from each other across what appear to be multiple cue dimensions. The disproportionally large effect on transparency strength of the type of superposition of disc suggests that with this manipulation, there may be enhanced separation above what might be expected from the linear combination of low-level cues in a process we term labelling. A mechanism for transparency perception consistent with the current results would require a minimum of three stages; in addition to the local motion detection and global pooling and separation of motion signals, findings suggest a powerful additional role of higher level separation cues.
Rijal, Bidur; Soto Puente, Jorge Arturo; Atawa, Bienvenu; Delbreilh, Laurent; Fatyeyeva, Kateryna; Saiter, Allisson; Dargent, Eric
2016-12-01
This work clarifies the notion of correlated and cooperative motions appearing during the α-relaxation process through the role of the molecular weight of the constitutive units and of the interchain dipolar interactions. By studying amorphous copolymers of poly(ethylene-co-vinyl acetate) with different vinyl acetate contents, we show that the correlated motions are not sensitive to the interchain dipolar interactions, in contrast to the cooperative motions, which increase with a strengthening of the intermolecular interactions for this sample family. Concerning the influence of the molecular weight m0, the notion of "correlated motions" seems to be equivalent to the notion of "cooperative motions" only for low m0 systems.
Glassy dynamics of Brownian particles with velocity-dependent friction
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.
Lorteije, J.A.M.; Kenemans, J.L.; Jellema, T.; Lubbe, R.H.J. van der; Lommers, M.W.; Wezel, R.J.A. van
2007-01-01
Viewing static pictures of running humans evokes neural activity in the dorsal motion-sensitive cortex. To establish whether this response arises from direction-selective neurons that are also involved in real motion processing, we measured the visually evoked potential to implied motion following a
Lorteije, Jeannette A.M.; Kenemans, Leon; Jellema, Tjeerd; Lubbe, van der Rob H.J.; Lommers, Marjolein W.; Wezel, van Richard J.A.
2007-01-01
Viewing static pictures of running humans evokes neural activity in the dorsal motion-sensitive cortex. To establish whether this response arises from direction-selective neurons that are also involved in real motion processing, we measured the visually evoked potential to implied motion following a
Ising model for a Brownian donkey
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.
Entropy production of a Brownian ellipsoid in the overdamped limit.
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.
Jasinschi, R; Rosenfeld, A; Araújo, H J
1993-01-01
The perception of luminance transparency for superimposed patterns depends on how luminance, figural, and topological conditions are simultaneously satisfied. Motion transparency or coherence for two superimposed patterns, which correspond to the perception of both patterns moving across one another or to the perception of compound motion of the regions of pattern intersection, depends on the relation between the local velocity, luminance, and shape information. This study analyzes how luminance, shape, and local velocity interact in the perception of motion transparency and coherence. Psychophysical experiments done with sinusoidally modulated bar patterns are presented which show that the perception of motion transparency or coherence can be described as the result of the interaction of two integration modules: the velocity-luminance and the velocity-shape processes. The velocity-luminance process describes the integration of the local velocity with luminance information. When the luminance transparency rules are satisfied this process always generates the perception of motion transparency independently of the shape or contour information. On the other hand, when the luminance transparency rules are violated one can either perceive motion coherence or non-rigid motion; one perceives motion coherence when the patterns have small or zero amplitude, and non-rigid motion when the patterns have large amplitude. The velocity-shape process describes the integration of local velocity with shape information, and this depends on the relation between the error in the extraction of the local velocity and the magnitude of the contour amplitude. As a result of these experiments it is conjectured that the velocity-luminance and the velocity-shape processes do interact constructively or destructively. The constructive interaction occurs when the luminance transparency rules are satisfied. The destructive interaction occurs when the luminance transparency rules are violated, and
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.
On Optimal Control of a Brownian Motion.
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
Directed transport of Brownian particles in a changing temperature field
Energy Technology Data Exchange (ETDEWEB)
Grillo, A [DMFCI, Facolta di Ingegneria, Universita di Catania. Viale Andrea Doria 6, 95125 Catania (Italy); Jinha, A [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Federico, S [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Ait-Haddou, R [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Herzog, W [HPL-Faculty of Kinesiology, University of Calgary, 2500 University Drive NW, Calgary, Alberta, T2N 1N4 (Canada); Giaquinta, G [DMFCI, Facolta di Ingegneria, Universita di Catania. Viale Andrea Doria 6, 95125 Catania (Italy)
2008-01-11
We study the interaction of Brownian particles with a changing temperature field in the presence of a one-dimensional periodic adiabatic potential. We show the existence of directed transport through the determination of the overall current of Brownian particles crossing the boundary of the system. With respect to the case of Brownian particles in a thermal bath, we determine a current which exhibits a contribution explicitly related to the presence of a thermal gradient. Beyond the self-consistent calculation of the temperature and probability density distribution of Brownian particles, we evaluate the energy consumption for directed transport to take place. Our description is based on Streater's model, and solutions are obtained by perturbing the system from its initial thermodynamic equilibrium state.
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.
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.
Stochastic description of quantum Brownian dynamics
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
Brownian rod scheme in microenvironment sensing
Directory of Open Access Journals (Sweden)
Ian Gralinski
2012-03-01
Full Text Available Fluctuations of freely translating spherical particles via Brownian motion should provide inexhaustible information about the micro-environment, but is beset by the problem of particles drifting away from the venue of measurement as well as colliding with other particles. We propose a scheme here to circumvent this in which a Brownian rod that lies in proximity to a cylindrical pillar is drawn in by a tuneable attractive force from the pillar. The force is assumed to act through the centre of each body and the motion exclusive to the x-y plane. Simulation studies show two distinct states, one in which the rod is moving freely (state I and the other in which the rod contacts the cylinder surface (state II. Information about the micro-environment could be obtained by tracking the rotational diffusion coefficient Dθ populating in either of these two states. However, the magnitude of the normalized charge product in excess of 6.3x104 was found necessary for a rod of 6.81 × 0.93 μm2 (length × diameter and 10μm diameter cylindrical pillar to minimize deviation errors. It was also found that the extent of spatial sensing coverage could be controlled by varying the charge level. The conditions needed to ascertain the rotational sampling for angle determination through the Hough transform were also discussed.
Brownian Dynamics of charged particles in a constant magnetic field
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.
Near-field optically driven Brownian motors (Conference Presentation)
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.
Brownian versus Newtonian devitrification of hard-sphere glasses
Montero de Hijes, Pablo; Rosales-Pelaez, Pablo; Valeriani, Chantal; Pusey, Peter N.; Sanz, Eduardo
2017-08-01
In a recent molecular dynamics simulation work it has been shown that glasses composed of hard spheres crystallize via cooperative, stochastic particle displacements called avalanches [E. Sanz et al., Proc. Natl. Acad. Sci. USA 111, 75 (2014), 10.1073/pnas.1308338110]. In this Rapid Communication we investigate if such a devitrification mechanism is also present when the dynamics is Brownian rather than Newtonian. The research is motivated in part by the fact that colloidal suspensions, an experimental realization of hard-sphere systems, undergo Brownian motion. We find that Brownian hard-sphere glasses do crystallize via avalanches with very similar characteristics to those found in the Newtonian case. We briefly discuss the implications of these findings for experiments on colloids.
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
Brownian transport controlled by dichotomic and thermal fluctuations
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).
The double-temperature ratchet model and current reversal of coupled Brownian motors
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.
Institute of Scientific and Technical Information of China (English)
Yasuyuki Nagami; Takayuki Saito
2013-01-01
In multiphase flows,dynamical gas-liquid interactions are essential for in-depth understanding of their multi-scale phenomena and complicated structures.The purpose of the present study is to clearly extract the modulation in bubble motion and liquid motion induced by bubble-liquid interaction and to discuss the relations between bubble motion and liquid-phase motion.For this particular purpose,the decaying turbulence formed in a cylindrical acrylic pipe (diameter 149 mm,height 600 mm) by using an oscillatinggrid was employed.Uniform single bubbles were launched from an in-house bubble launching device into the decaying turbulence.By comparing the bubble motion in the stagnant water with that in the oscillating-grid decaying turbulence,the transition of the 2D bubble motion (i.e.,zigzagging motion)to 3D motion was enhanced in the latter.In addition,the initial conditions of the bubble motion that was not influenced by the ambient turbulence were carefully confirmed.In the area where the bubble motion started to translate from 2D motion into 3D motion,the modulation of ambient liquid-phase motion was obtained by PIV/LIF measurement.By combining these results,we quantitatively discussed the modulation of the bubble motion and ambient liquid-phase motion and considered the dominant factor for the enhancement to be the bubble-liquid interaction.
Anomalous Brownian refrigerator
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.
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.
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.
CFD Study on Wall/Nanoparticle Interaction in Nanofluids Convective Heat Transfer
Directory of Open Access Journals (Sweden)
Mohammad Reza Tarybakhsh
2013-01-01
Full Text Available The Brownian motion of the nanoparticles in nanofluid is one of the potential contributors to enhance effective thermal conductivity and the mechanisms that might contribute to this enhancement are the subject of considerable discussion and debate. In this paper, the mixing effect of the base fluid in the immediate vicinity of the nanoparticles caused by the Brownian motion was analyzed, modeled, and compared with existing experimental data available in the literature. CFD was developed to study the effect of wall/nanoparticle interaction on forced convective heat transfer in a tube under constant wall temperature condition. The results showed that the motion of the particle near the wall which can decrease boundary layer and the hydrodynamics effects associated with the Brownian motion have a significant effect on the convection heat transfer of nanofluid.
Interactive Simulation of Diaphragm Motion Through Muscle and Rib Kinematics
Villard, Pierre-Frédéric; Bourne, Wesley; Bello, Fernando
Modeling of diaphragm behaviour is of relevance to a number of clinical procedures such as lung cancer radiotherapy and liver access interventions. The heterogeneity in tissue composition of the diaphragm, as well as the various physiological phenomena influencing its behaviour, requires a complex model in order to accurately capture its motion. In this chapter we present a novel methodology based on a heterogenous model composed of mass-spring and tensegrity elements. The physiological boundary conditions have been carefully taken into account and applied to our model. Thus, it incorporates the influence of the rib kinematics, the muscle natural contraction/relaxation and the motion of the sternum. Initial validation results show that the behaviour of the model closely follows that of a real diaphragm.
KINECTWheels: wheelchair-accessible motion-based game interaction
Gerling, Kathrin M; Kalyn, Michael R.; Mandryk, Regan L.
2013-01-01
The increasing popularity of full-body motion-based video games creates new challenges for game accessibility research. Many games strongly focus on able-bodied persons and require players to move around freely. To address this problem, we introduce KINECTWheels, a toolkit that facilitates the integration of wheelchair-based game input. Our library can help game designers to integrate wheelchair input at the development stage, and it can be configured to trigger keystroke events to make off-t...
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.
Energy Technology Data Exchange (ETDEWEB)
Dubina, Sean Hyun, E-mail: sdubin2@uic.edu; Wedgewood, Lewis Edward, E-mail: wedge@uic.edu [Department of Chemical Engineering, University of Illinois at Chicago, 810 S. Clinton St. (MC 110), Chicago, Illinois 60607-4408 (United States)
2016-07-15
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.
Continuous state branching processes in random environment: The Brownian case
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...
Molecular Motors: Power Strokes Outperform Brownian Ratchets.
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.
Brownian Ratchets: Transport Controlled by Thermal Noise
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.
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．
P3-23: Center/Surround Motion Interactions Measured Using a Nulling Procedure
Directory of Open Access Journals (Sweden)
Soo Hyun Park
2012-10-01
Full Text Available Many direction-selective neurons have a receptive field structure that promotes suppressive interactions between center and surround regions. These interactions sculpt the overall pattern of activity among those neurons and, therefore, presumably impact perceived direction of motion. To test this conjecture, we have assessed the effect of motion signals produced by a moving stimulus on perceived motion within a neighboring region. On each trial a vertical bar (inducer appeared at 8 eccentricity in the upper visual field, moving either leftward or rightward, and a circular shaped random dot kinematogram (test appeared at 4 eccentricity. The test dots moved randomly except when the inducer passed nearby the test, at which time a pulse of coherent motion occurred in one of the two directions within the test. Coherence strength was adjusted by QUEST to maintain equal likelihood (point of subjective equality: PSE of leftward and rightward reports of perceived direction during this motion pulse. The inducer caused a substantial shift in PSE: it was necessary for the test to contain 50% coherent motion in the same direction as that of the inducer to nullify the illusory motion within the test caused by the inducer. The effect of the inducer could also be offset by simultaneously presenting a second inducer moving in the opposite direction. This pattern of results implies substantial suppressive interactions between neighboring moving stimuli, interactions whose strength and direction can be assessed psychophysically using nulling procedures.
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.
Zhuo, Fengjun; Sun, Z. Z.
2016-01-01
Field-driven domain wall (DW) motion in ferromagnetic nanowires with easy- and hard-axis anisotropies was studied theoretically and numerically in the presence of the bulk Dzyaloshinskii-Moriya interaction (DMI) based on the Landau-Lifshitz-Gilbert equation. We propose a new trial function and offer an exact solution for DW motion along a uniaxial nanowire driven by an external magnetic field. A new strategy was suggested to speed up DW motion in a uniaxial magnetic nanowire with large DMI parameters. In the presence of hard-axis anisotropy, we find that the breakdown field and velocity of DW motion was strongly affected by the strength and sign of the DMI parameter under external fields. This work may be useful for future magnetic information storage devices based on DW motion. PMID:27118064
A Three-Dimensional Spatiotemporal Template for Interactive Human Motion Analysis
Directory of Open Access Journals (Sweden)
Alexandra Branzan Albu
2007-08-01
Full Text Available This paper describes a new three-dimensional spatiotemporal template, namely the Volumetric Motion History Image (VMHI, for the purpose of human motion analysis. Irregularities in human actions typically occur either in speed or orientation; they carry information about the balance and the confidence level of the human subject performing the activity. The proposed VMHI template handles successfully shortcomings of existing spatiotemporal templates related to motion self -occlusion and speed. Therefore, VMHI allows for interactive visualization, as well as quantification of motion performance. This study focuses on the analysis of sway and speed-related abnormalities, which are among the most common motion irregularities in the studied set of human actions.
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.
Brownian nanoimaging of interface dynamics and ligand-receptor binding at cell surfaces in 3-D.
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.
Motional Quantum State Engineering Via a Single Laser-ion Interaction
Institute of Scientific and Technical Information of China (English)
ZHENG Shibiao
2001-01-01
We propose a scheme to prepare superpositions of several Fock states for the one-dimensional motion of a trapped ion. In the scheme the ion is simultaneously excited by N+1 laser beams, with the nth laser tuned to the nth upper vibrational sideband. After a short interaction time, a measurement of the internal state may project the vibrational motion onto a superposition of the first N+1 Fock states. The scheme can be easily generalized to synthesize entangled states for the two-dimensional ion motion.
Optimal estimates of the diffusion coefficient of a single Brownian trajectory.
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.
Territory Covered by N Self-Propelled Brownian Agents in 2 dimensions
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.
Motion Coordination and Adaptation Using Deception and Human Interactions
2016-11-18
differential equation solvers, while only arithmetic calculations are needed in discrete time GT-DDP. Therefore, the time cost per iteration is faster...Using Control Lyapunov Functions and Optimal Control. Networks and Heterogeneous Media , Vol. 10, No. 3, pp. 609-630, Sept. 2015. 2. T. Setter, A...Swarm Interactions Using Control Lyapunov Functions and Optimal Control. Networks and Heterogeneous Media , Vol. 10, No. 3, pp. 609-630, Sept. 2015. T
Communication: Green-Kubo approach to the average swim speed in active Brownian systems
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.
Efficiency of Brownian heat engines.
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.
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...
Directory of Open Access Journals (Sweden)
Jennifer L Gaudio
Full Text Available To interpret visual scenes, visual systems need to segment or integrate multiple moving features into distinct objects or surfaces. Previous studies have found that the perceived direction separation between two transparently moving random-dot stimuli is wider than the actual direction separation. This perceptual "direction repulsion" is useful for segmenting overlapping motion vectors. Here we investigate the effects of motion noise on the directional interaction between overlapping moving stimuli. Human subjects viewed two overlapping random-dot patches moving in different directions and judged the direction separation between the two motion vectors. We found that the perceived direction separation progressively changed from wide to narrow as the level of motion noise in the stimuli was increased, showing a switch from direction repulsion to attraction (i.e. smaller than the veridical direction separation. We also found that direction attraction occurred at a wider range of direction separations than direction repulsion. The normalized effects of both direction repulsion and attraction were the strongest near the direction separation of ∼25° and declined as the direction separation further increased. These results support the idea that motion noise prompts motion integration to overcome stimulus ambiguity. Our findings provide new constraints on neural models of motion transparency and segmentation.
Thermodynamic and Quantum Thermodynamic Analyses of Brownian Movement
Gyftopoulos, Elias P.
2006-01-01
Thermodynamic and quantum thermodynamic analyses of Brownian movement of a solvent and a colloid passing through neutral thermodynamic equilibrium states only. It is shown that Brownian motors and E. coli do not represent Brownian movement.
Sandlund, Marlene
2011-01-01
As motion interactive games have become more widespread the interest in using these games in rehabilitation of children with motor disorders has increased among both clinical professionals and the families of these children. The general aim of this thesis was to evaluate the feasibility of using interactive games in rehabilitation of children to promote motivation for practice, physical activity, and motor control. A systematic review of published intervention studies was conducted to obtain ...
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.
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.
Hydrophobic Interactions Modulate Self-Assembly of Nanoparticles
Sánchez-Iglesias, Ana; Grzelczak, Marek; Altantzis, Thomas; Goris, Bart; Pérez-Juste, Jorge; Bals, Sara; Van Tendeloo, Gustaaf; Donaldson, Stephen H.; Chmelka, Bradley F.; Israelachvili, Jacob N.; Liz-Marzán, Luis M.
2012-01-01
Abstract: Hydrophobic interactions constitute one of the most important types of nonspecific interactions in biological systems, which emerge when water molecules rearrange as two hydrophobic species come close to each other. The prediction of hydrophobic interactions at the level of nanoparticles (Brownian objects) remains challenging because of uncontrolled diffusive motion of the particles. We describe here a general methodology for solvent-induced, reversible self-assembly of gold nanopar...
Microstructure from simulated Brownian suspension flows at large shear rate
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
Non-conservative optical forces and Brownian vortexes
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.
Commercial Motion Sensor Based Low-Cost and Convenient Interactive Treadmill
Directory of Open Access Journals (Sweden)
Jonghyun Kim
2015-09-01
Full Text Available Interactive treadmills were developed to improve the simulation of overground walking when compared to conventional treadmills. However, currently available interactive treadmills are expensive and inconvenient, which limits their use. We propose a low-cost and convenient version of the interactive treadmill that does not require expensive equipment and a complicated setup. As a substitute for high-cost sensors, such as motion capture systems, a low-cost motion sensor was used to recognize the subject’s intention for speed changing. Moreover, the sensor enables the subject to make a convenient and safe stop using gesture recognition. For further cost reduction, the novel interactive treadmill was based on an inexpensive treadmill platform and a novel high-level speed control scheme was applied to maximize performance for simulating overground walking. Pilot tests with ten healthy subjects were conducted and results demonstrated that the proposed treadmill achieves similar performance to a typical, costly, interactive treadmill that contains a motion capture system and an instrumented treadmill, while providing a convenient and safe method for stopping.
Hast, Michael; Howe, Christine
2013-07-01
Events involving motion in fall are differentiated psychologically from events involving horizontal motion. Do children associate motion down inclines more with motion along horizontals or more with motion in fall, or do they even treat it as an integration of the two? The question was raised over 20 years ago but never satisfactorily answered, so the principal aim of the reported research was to take matters forward. Children (n = 144) aged 5-11 years were assessed while predicting natural dynamic events along a horizontal, in fall and down an incline. They were required to make predictions of speed with heavy and light balls and under changes in incline heights. The results show that, consistent with previous work, faster horizontal motion was associated with the light ball across all ages, whereas faster fall was associated with the heavy ball. However, while the younger children predicted faster incline motion for the lighter ball, there was a shift in this conception towards older children predicting faster motion for the heavier ball. Understanding of how changes in incline height affect speed was generally good, with this aspect of the study helping to establish how children perceive diagonal dimensions. How supported horizontal motion and unsupported fall motion may affect children's changing understanding of incline motion is discussed, thus providing more complete insight into children's understanding of natural object motion than has been established so far.
Mechanical radiation detection via sub-Brownian lever deflections
Hammig, Mark David
2005-07-01
A micromechanical lever that deflects in response to the impacts of charged particles is proposed as a means of improving upon the capabilities of existing radiation detection technology. When a particle strikes an object, momentum is transferred to the impacted body. The resulting body motion can be correlated to the energy of the incident particle. The momentum detector offers promise as a highly discriminating, high-resolution tool for ion sensing. Advances required to successfully realize a spectroscopic capability have been completed; specifically, techniques for reproducibly fabricating micromechanical structures have been optimized, and an instrument that measures miniscule deflections has been developed. Even absent substantial refinement efforts, the novel coupled-cavity optical detector can resolve lever motions on the order of 1--10 picometers. A method by which the Brownian motion of the lever can be stilled has been proven which elicits reductions sufficient to measure heavy-ion impact, the deflections from which may be several orders of magnitude below the thermal vibration amplitude. Using active forcing techniques, the Brownian vibration of the microlevers has been reduced from room temperature (288 K) to sub-Kelvin temperatures, for levers vibrating in air. The mechanical factors that limit the noise reduction magnitude are discussed and methods of surmounting those limitations are identified.
Master equation with quantized atomic motion including dipole-dipole interactions
Damanet, François; Braun, Daniel; Martin, John
2016-05-01
We derive a markovian master equation for the internal dynamics of an ensemble of two-level atoms including all effects related to the quantization of their motion. Our equation provides a unifying picture of the consequences of recoil and indistinguishability of atoms beyond the Lamb-Dicke regime on both their dissipative and conservative dynamics, and is relevant for experiments with ultracold trapped atoms. We give general expressions for the decay rates and the dipole-dipole shifts for any motional states, and we find analytical formulas for a number of relevant states (Gaussian states, Fock states and thermal states). In particular, we show that the dipole-dipole interactions and cooperative photon emission can be modulated through the external state of motion. The effects predicted should be experimentally observable with Rydberg atoms. FD would like to thank the F.R.S.-FNRS for financial support. FD is a FRIA Grant holder of the Fonds de la Recherche Scientifique-FNRS.
Trajectories of Brownian particles with space-correlated noise
Indian Academy of Sciences (India)
EDOARDO MILOTTI
2017-07-01
The Langevin equation used to model Brownian motion includes a stochastic process that is routinely assumed to be a Gaussian white noise. Spatial correlations of the noise are usually ruled out, and the paths traced by the random walkers are statistically independent. In this study, I consider instead noise which is white in time and has a Gaussian correlation in space, and by means of numerical simulation, I show how the spatial correlation determines the time evolution of the spatial separation of random walkers.
Minimal Cost of a Brownian Risk without Ruin
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).
Detecting Biological Motion for Human–Robot Interaction: A Link between Perception and Action
Directory of Open Access Journals (Sweden)
Alessia Vignolo
2017-06-01
Full Text Available One of the fundamental skills supporting safe and comfortable interaction between humans is their capability to understand intuitively each other’s actions and intentions. At the basis of this ability is a special-purpose visual processing that human brain has developed to comprehend human motion. Among the first “building blocks” enabling the bootstrapping of such visual processing is the ability to detect movements performed by biological agents in the scene, a skill mastered by human babies in the first days of their life. In this paper, we present a computational model based on the assumption that such visual ability must be based on local low-level visual motion features, which are independent of shape, such as the configuration of the body and perspective. Moreover, we implement it on the humanoid robot iCub, embedding it into a software architecture that leverages the regularities of biological motion also to control robot attention and oculomotor behaviors. In essence, we put forth a model in which the regularities of biological motion link perception and action enabling a robotic agent to follow a human-inspired sensory-motor behavior. We posit that this choice facilitates mutual understanding and goal prediction during collaboration, increasing the pleasantness and safety of the interaction.
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
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
Modeling the Interaction between Quasi-Geostrophic Vertical Motion and Convection in a Single Column
Nie, J.
2015-12-01
A single-column modeling approach is proposed to study interaction between convection and large-scale dynamics using the quasi-geostrophic (QG) framework. Vertical motion is represented by the QG omega equation with the diabatic heating term included. This approach extends the notion of ``parameterization of large scale dynamics", previously applied in the tropics using the weak temperature gradient approximation and other comparable methods, to the extratropics, where balanced adiabatic dynamics plays a larger role in inducing large-scale vertical motion. The diabatic heating term in the QG-omega equation represents the feedback from convection, coupling the convection and large-scale vertical motion. The strength of the coupling depends on the characteristic wavelength of the large-scale disturbances, a free parameter in the system. This approach is demonstrated using two representations of convection: a single- column model with a convective parameterization, and linear response functions derived by Z. Kuang from a large set of cloud-resolving simulations. The results are qualitatively similar in both cases, though the linear response functions allow for a more thorough analysis of the system dynamics. The behavior of convection that is strongly coupled to large-scale vertical motion is significantly different from that in the uncoupled case in which large-scale dynamics is not present. The positive feedback of the diabatic heating on the large-scale vertical motion reduces the stability of the system, extends the decay time scale after initial perturbations, and increases the amplitude of the convective response to transient large-scale perturbations or imposed forcings. The diabatic feedback of convection on vertical motion is strongest for horizontal wavelengths roughly between 2000 km and 1000 km.
FuryExplorer: visual-interactive exploration of horse motion capture data
Wilhelm, Nils; Vögele, Anna; Zsoldos, Rebeka; Licka, Theresia; Krüger, Björn; Bernard, Jürgen
2015-01-01
The analysis of equine motion has a long tradition in the past of mankind. Equine biomechanics aims at detecting characteristics of horses indicative of good performance. Especially, veterinary medicine gait analysis plays an important role in diagnostics and in the emerging research of long-term effects of athletic exercises. More recently, the incorporation of motion capture technology contributed to an easier and faster analysis, with a trend from mere observation of horses towards the analysis of multivariate time-oriented data. However, due to the novelty of this topic being raised within an interdisciplinary context, there is yet a lack of visual-interactive interfaces to facilitate time series data analysis and information discourse for the veterinary and biomechanics communities. In this design study, we bring visual analytics technology into the respective domains, which, to our best knowledge, was never approached before. Based on requirements developed in the domain characterization phase, we present a visual-interactive system for the exploration of horse motion data. The system provides multiple views which enable domain experts to explore frequent poses and motions, but also to drill down to interesting subsets, possibly containing unexpected patterns. We show the applicability of the system in two exploratory use cases, one on the comparison of different gait motions, and one on the analysis of lameness recovery. Finally, we present the results of a summative user study conducted in the environment of the domain experts. The overall outcome was a significant improvement in effectiveness and efficiency in the analytical workflow of the domain experts.
Nuclear electric quadrupole interactions in liquids entrapped in cavities
Energy Technology Data Exchange (ETDEWEB)
Furman, Gregory B., E-mail: gregoryf@bgu.ac.il; Meerovich, Victor M.; Sokolovsky, Vladimir L. [Ben Gurion University of the Negev, Physics Department (Israel)
2016-12-15
Liquids entrapped in cavities and containing quadrupole nuclei are considered. The interaction of the quadrupole moment of a nucleus with the electric field gradient is studied. In such a system, molecules are in both rotational and translational Brownian motions which are described by the diffusion equation. Solving this equation, we show that the intra- and intermolecular nuclear quadrupole interactions are averaged to zero in cavities with the size larger than several angstroms.
Cross-sensory facilitation reveals neural interactions between visual and tactile motion in humans
Directory of Open Access Journals (Sweden)
Monica eGori
2011-04-01
Full Text Available Many recent studies show that the human brain integrates information across the different senses and that stimuli of one sensory modality can enhance the perception of other modalities. Here we study the processes that mediate cross-modal facilitation and summation between visual and tactile motion. We find that while summation produced a generic, non-specific improvement of thresholds, probably reflecting higher-order interaction of decision signals, facilitation reveals a strong, direction-specific interaction, which we believe reflects sensory interactions. We measured visual and tactile velocity discrimination thresholds over a wide range of base velocities and conditions. Thresholds for both visual and tactile stimuli showed the characteristic dipper function, with the minimum thresholds occurring at a given pedestal speed. When visual and tactile coherent stimuli were combined (summation condition the thresholds for these multi-sensory stimuli also showed a dipper function with the minimum thresholds occurring in a similar range to that for unisensory signals. However, the improvement of multisensory thresholds was weak and not directionally specific, well predicted by the maximum likelihood estimation model (agreeing with previous research. A different technique (facilitation did, however, reveal direction-specific enhancement. Adding a non-informative pedestal motion stimulus in one sensory modality (vision or touch selectively lowered thresholds in the other, by the same amount as pedestals in the same modality. Facilitation did not occur for neutral stimuli like sounds (that would also have reduced temporal uncertainty, nor for motion in opposite direction, even in blocked trials where the subjects knew that the motion was in the opposite direction showing that the facilitation was not under subject control. Cross-sensory facilitation is strong evidence for functionally relevant cross-sensory integration at early levels of sensory
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.
Intermittency and multifractional Brownian character of geomagnetic time series
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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.
Steady nanofluid flow between parallel plates considering thermophoresis and Brownian effects
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M. Sheikholeslami
2016-10-01
Full Text Available In this article, heat and mass transfer behavior of steady nanofluid flow between parallel plates in the presence of uniform magnetic field is studied. The important effect of Brownian motion and thermophoresis has been included in the model of nanofluid. The governing equations are solved via the Differential Transformation Method. The validity of this method was verified by comparison of previous work which is done for viscous fluid. The analysis is carried out for different parameters namely: viscosity parameter, Magnetic parameter, thermophoretic parameter and Brownian parameter. Results reveal that skin friction coefficient enhances with rise of viscosity and Magnetic parameters. Also it can be found that Nusselt number augments with an increase of viscosity parameters but it decreases with augment of Magnetic parameter, thermophoretic parameter and Brownian parameter.
Probing Brownian relaxation in water-glycerol mixtures using magnetic hyperthermia
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.
Amoeba-inspired nanoarchitectonic computing implemented using electrical Brownian ratchets.
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.
Coevolutionary motion and swarming in a niche space model of ecological species interactions
Dommar, C. J.; Ryabov, A.; Blasius, B.
2008-04-01
Organisms are involved in coevolutionary relationships with their competitors, predators, preys and parasites. In this context, we present a simple model for the co-evolution of species in a common niche space, where the fitness of each species is defined via the network of interactions with all other species. In our model, the sign and type of the pairwise interactions (being either beneficial, harmful or neutral) is given by a pre-determined community matrix, while the interaction strength depends on the niche-overlap, i.e. the pairwise distances between species in niche space. The evolutionary process drives the species toward the places with the higher local fitness along the fitness gradient. This gives rise to a dynamic fitness landscape, since the evolutionary motion of a single species can change the landscape of the others (known as the Red Queen Principle). In the simplest case of only two-species we observe either a convergence/divergence equilibrium or a coevolutionary arms race. For a larger number of species our analysis concentrates on an antisymmetric interaction matrix, where we observe a large range of dynamic behaviour, from oscillations, quasiperiodic to chaotic dynamics. In dependence of the value of a first integral of motion we observe either quasiperiodic motion around a central region in niche space or unbounded movement, characterised by chaotic scattering of species pairs. Finally, in a linear food-chain we observe complex swarming behaviour in which the swarm moves as a whole only if the chain consists of an even number of species. Our results could be an important contribution to evolutionary niche theory.
The Asymmetric Exclusion Process and Brownian Excursions
Derrida, B.; Enaud, C.; Lebowitz, J. L.
2004-04-01
We consider the totally asymmetric exclusion process (TASEP) in one dimension in its maximal current phase. We show, by an exact calculation, that the non-Gaussian part of the fluctuations of density can be described in terms of the statistical properties of a Brownian excursion. Numerical simulations indicate that the description in terms of a Brownian excursion remains valid for more general one dimensional driven systems in their maximal current phase.
Fluctuation relations for a driven Brownian particle
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.
Depth interval estimates from motion parallax and binocular disparity beyond interaction space.
Gillam, Barbara; Palmisano, Stephen A; Govan, Donovan G
2011-01-01
Static and dynamic observers provided binocular and monocular estimates of the depths between real objects lying well beyond interaction space. On each trial, pairs of LEDs were presented inside a dark railway tunnel. The nearest LED was always 40 m from the observer, with the depth separation between LED pairs ranging from 0 up to 248 m. Dynamic binocular viewing was found to produce the greatest (ie most veridical) estimates of depth magnitude, followed next by static binocular viewing, and then by dynamic monocular viewing. (No significant depth was seen with static monocular viewing.) We found evidence that both binocular and monocular dynamic estimates of depth were scaled for the observation distance when the ground plane and walls of the tunnel were visible up to the nearest LED. We conclude that both motion parallax and stereopsis provide useful long-distance depth information and that motion-parallax information can enhance the degree of stereoscopic depth seen.
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Kakigi Ryusuke
2009-04-01
Full Text Available Abstract Background A recent behavioral study demonstrated that the meaningful interaction of two agents enhances the detection sensitivity of biological motion (BM, however, it remains unclear when and how the 'interaction' information of two agents is represented in our neural system. To clarify this point, we used magnetoencephalography and introduced a novel experimental technique to extract a neuromagnetic response relating to two-agent BM perception. We then investigated how this response was modulated by the interaction of two agents. In the present experiment, we presented two kinds of visual stimuli (interacting and non-interacting BM with two orientations (upright and inverted. Results We found a neuromagnetic response in the bilateral occipitotemporal region, on average 300 – 400 ms after the onset of a two-agent BM stimulus. This result showed that interhemispheric differences were apparent for the peak amplitudes. For the left hemisphere, the orientation effect was manifest when the two agents were made to interact, and the interaction effect was manifest when the stimulus was inverted. In the right hemisphere, the main effects of both orientation and interaction were significant, suggesting that the peak amplitude was attenuated when the visual stimulus was inverted or made to interact. Conclusion These results demonstrate that the 'interaction' information of two agents can affect the neural activities in the bilateral occipitotemporal region, on average 300 – 400 ms after the onset of a two-agent BM stimulus, however, the modulation was different between hemispheres: the left hemisphere is more concerned with dynamics, whereas the right hemisphere is more concerned with form information.
Bending-Twisting Motions and Main Interactions in Nucleoplasmin Nuclear Import.
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Marcos Tadeu Geraldo
Full Text Available Alpha solenoid proteins play a key role in regulating the classical nuclear import pathway, recognizing a target protein and transporting it into the nucleus. Importin-α (Impα is the solenoid responsible for cargo protein recognition, and it has been extensively studied by X-ray crystallography to understand the binding specificity. To comprehend the main motions of Impα and to extend the information about the critical interactions during carrier-cargo recognition, we surveyed different conformational states based on molecular dynamics (MD and normal mode (NM analyses. Our model of study was a crystallographic structure of Impα complexed with the classical nuclear localization sequence (cNLS from nucleoplasmin (Npl, which was submitted to multiple 100 ns of MD simulations. Representative conformations were selected for calculating the 87 lowest frequencies NMs of vibration, and a displacement approach was applied along each NM. Based on geometric criteria, using the radius of curvature and inter-repeat angles as the reference metrics, the main motions of Impα were described. Moreover, we determined the salt bridges, hydrogen bonds and hydrophobic interactions in the Impα-NplNLS interface. Our results show the bending and twisting motions participating in the recognition of nuclear proteins, allowing the accommodation and adjustment of a classical bipartite NLS sequence. The essential contacts for the nuclear import were also described and were mostly in agreement with previous studies, suggesting that the residues in the cNLS linker region establish important contacts with Impα adjusting the cNLS backbone. The MD simulations combined with NM analysis can be applied to the Impα-NLS system to help understand interactions between Impα and cNLSs and the analysis of non-classic NLSs.
Bending-Twisting Motions and Main Interactions in Nucleoplasmin Nuclear Import.
Geraldo, Marcos Tadeu; Takeda, Agnes Alessandra Sekijima; Braz, Antônio Sérgio Kimus; Lemke, Ney
2016-01-01
Alpha solenoid proteins play a key role in regulating the classical nuclear import pathway, recognizing a target protein and transporting it into the nucleus. Importin-α (Impα) is the solenoid responsible for cargo protein recognition, and it has been extensively studied by X-ray crystallography to understand the binding specificity. To comprehend the main motions of Impα and to extend the information about the critical interactions during carrier-cargo recognition, we surveyed different conformational states based on molecular dynamics (MD) and normal mode (NM) analyses. Our model of study was a crystallographic structure of Impα complexed with the classical nuclear localization sequence (cNLS) from nucleoplasmin (Npl), which was submitted to multiple 100 ns of MD simulations. Representative conformations were selected for calculating the 87 lowest frequencies NMs of vibration, and a displacement approach was applied along each NM. Based on geometric criteria, using the radius of curvature and inter-repeat angles as the reference metrics, the main motions of Impα were described. Moreover, we determined the salt bridges, hydrogen bonds and hydrophobic interactions in the Impα-NplNLS interface. Our results show the bending and twisting motions participating in the recognition of nuclear proteins, allowing the accommodation and adjustment of a classical bipartite NLS sequence. The essential contacts for the nuclear import were also described and were mostly in agreement with previous studies, suggesting that the residues in the cNLS linker region establish important contacts with Impα adjusting the cNLS backbone. The MD simulations combined with NM analysis can be applied to the Impα-NLS system to help understand interactions between Impα and cNLSs and the analysis of non-classic NLSs.
Gravitational interaction for light-like motion in classical and quantum theory
Mitskievich, Nikolai V
2010-01-01
On the basis of an exact vacuum solution of Einstein's equations, {\\it vis}. the pencil-of-light field, we study the light-like motion of test and non-test objects. We also consider the quantum theoretical interaction of massless scalar particles through virtual gravitons. The dragging phenomenon is manifested and its agreement with astronomical observations established. This paper submitted to {\\bf arXiv} is a somewhat reedited copy of my article dedicated to Dr. Ivar Piir in a volume published on the occasion of his 60th birthday in 1989 in Tartu by the Estonian Academy of Sciences.
Intermediate scattering function of an anisotropic active Brownian particle
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.
Design of a compact low-power human-computer interaction equipment for hand motion
Wu, Xianwei; Jin, Wenguang
2017-01-01
Human-Computer Interaction (HCI) raises demand of convenience, endurance, responsiveness and naturalness. This paper describes a design of a compact wearable low-power HCI equipment applied to gesture recognition. System combines multi-mode sense signals: the vision sense signal and the motion sense signal, and the equipment is equipped with the depth camera and the motion sensor. The dimension (40 mm × 30 mm) and structure is compact and portable after tight integration. System is built on a module layered framework, which contributes to real-time collection (60 fps), process and transmission via synchronous confusion with asynchronous concurrent collection and wireless Blue 4.0 transmission. To minimize equipment's energy consumption, system makes use of low-power components, managing peripheral state dynamically, switching into idle mode intelligently, pulse-width modulation (PWM) of the NIR LEDs of the depth camera and algorithm optimization by the motion sensor. To test this equipment's function and performance, a gesture recognition algorithm is applied to system. As the result presents, general energy consumption could be as low as 0.5 W.
Wu, D. J.; Chao, J. K.; Lepping, R. P.
2000-06-01
An interplanetary magnetic cloud (IMC) is an important solar-terrestrial connection event. It is an ideal object for the study of solar-terrestrial relations and space weather because the Earth's space environment can be affected considerably during an IMC passage. An IMC was observed to pass the Earth during October 18-20, 1995. Wind recorded its interplanetary characteristics at ~175RE upstream of the Earth's bow shock, and ~45 min later, Geotail, being near the nominal location of the dawn bow shock, detected IMC-related multiple bow shock crossings. Using simultaneous measurements from Wind and Geotail, we analyzed, with a semiempirical bow shock model with two parameters, the bow shock motion caused by the interaction of the IMC with the magnetosphere during the passage. We also compared the bow shock motion predicted by the model, and hence the predicted Geotail bow shock crossings, with Geotail observations of the actual crossings. The results showed that the observed multiple bow shock crossings, which were obviously due to temporal variations of the upstream solar wind, can be well explained by the model-predicted bow shock motion.
Good Grains Gone Bad: How Grain to Grain Interactions Complicate the Onset of Motion
Yager, E.; Schmeeckle, M. W.
2015-12-01
Predictions of the onset of sediment motion are integral components of bed stability and bedload flux estimates. Mechanistic equations for initial motion employ a balance between driving and resisting forces. Driving forces are modeled as functions of the magnitude and duration of turbulence events whereas resisting forces are simply approximated by the grain weight and a static friction angle. Such resistance approximations do not include the effects of grain packing and dynamic interactions with surrounding sediment. To better understand and quantify grain resistance, we used a Discrete Element Method (DEM) model for a single test grain surrounded by a bed of smaller grains. We applied a constant external force on the test grain in each run and progressively increased the force between runs until the test grain moved out of its resting pocket. The DEM model calculated the test grain velocity, position and net force (sum of applied external force and forces from other grains) at time steps of 1×10-7 s. Despite applying a constant external force, the net force on the test grain fluctuated by three to six orders of magnitude, depending on the run. These fluctuations were driven by the creation and destruction of force chains, and the rearrangement of the positions of surrounding bed sediment. Stick-slip behavior, which has been observed in shear tests of granular material, occurred during test-grain motion. The frequency of stick-slip behavior generally declined with higher applied external forces. Therefore, the onset of grain motion was not continuous, as is often assumed even in the presence of fluctuating applied fluid forces. The duration and magnitude of turbulence fluctuations have received considerable attention but our results suggest that grain resistance oscillations are also important. Whether turbulence and resistance fluctuations are synchronous will likely dictate if grain movement occurs, and we are currently conducting model runs to better
Lin, Chern-Sheng; Chen, Chia-Tse; Shei, Hung-Jung; Lay, Yun-Long; Chiu, Chuang-Chien
2012-09-01
This study develops a body motion interactive system with computer vision technology. This application combines interactive games, art performing, and exercise training system. Multiple image processing and computer vision technologies are used in this study. The system can calculate the characteristics of an object color, and then perform color segmentation. When there is a wrong action judgment, the system will avoid the error with a weight voting mechanism, which can set the condition score and weight value for the action judgment, and choose the best action judgment from the weight voting mechanism. Finally, this study estimated the reliability of the system in order to make improvements. The results showed that, this method has good effect on accuracy and stability during operations of the human-machine interface of the sports training system.
Genre, technology and embodied interaction: The evolution of digital game genres and motion gaming
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Andreas Gregersen
2011-11-01
Full Text Available Technology has been given relatively little attention in genre theory, but this article argues that material technologies can be important components in genre development. The argument is based on a historically informed analysis of digital games, with special attention paid to home console video games and recent genre developments within this domain commonly referred to as motion gaming. The main point is that digital game genres imply structured embodied activity. A constitutive element of digital game mediation is a control interface geared to player embodiment, and I propose the concept of ‘interaction modes’ to describe the coupling of technology and player embodiment and show how this can be integrated with genre theory. The resulting framework allows for increased attention to continuity and change in game and communication genres, material and digital technologies, and the related interaction modes.
Magnon–magnon interactions in O(3) ferromagnets and equations of motion for spin operators
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Radošević, Slobodan M., E-mail: slobodan@df.uns.ac.rs
2015-11-15
The method of equations of motion for spin operators in the case of O(3) Heisenberg ferromagnet is systematically analyzed starting from the effective Lagrangian. It is shown that the random phase approximation and the Callen approximation can be understood in terms of perturbation theory for type B magnons. Also, the second order approximation of Kondo and Yamaji for one dimensional ferromagnet is reduced to the perturbation theory for type A magnons. An emphasis is put on the physical picture, i.e. on magnon–magnon interactions and symmetries of the Heisenberg model. Calculations demonstrate that all three approximations differ in manner in which the magnon–magnon interactions arising from the Wess–Zumino term are treated, from where specific features and limitations of each of them can be deduced.
Interactive Motion Planning for Steerable Needles in 3D Environments with Obstacles
Patil, Sachin; Alterovitz, Ron
2011-01-01
Bevel-tip steerable needles for minimally invasive medical procedures can be used to reach clinical targets that are behind sensitive or impenetrable areas and are inaccessible to straight, rigid needles. We present a fast algorithm that can compute motion plans for steerable needles to reach targets in complex, 3D environments with obstacles at interactive rates. The fast computation makes this method suitable for online control of the steerable needle based on 3D imaging feedback and allows physicians to interactively edit the planning environment in real-time by adding obstacle definitions as they are discovered or become relevant. We achieve this fast performance by using a Rapidly Exploring Random Tree (RRT) combined with a reachability-guided sampling heuristic to alleviate the sensitivity of the RRT planner to the choice of the distance metric. We also relax the constraint of constant-curvature needle trajectories by relying on duty-cycling to realize bounded-curvature needle trajectories. These characteristics enable us to achieve orders of magnitude speed-up compared to previous approaches; we compute steerable needle motion plans in under 1 second for challenging environments containing complex, polyhedral obstacles and narrow passages. PMID:22294214
Interaction response of maglev masses moving on a suspended beam shaken by horizontal ground motion
Yau, J. D.
2010-01-01
As a maglev transport route has to cross a region with occasional earthquakes, the train/guideway interaction is an issue of great concern in dominating safety of the maglev system. This paper intends to present a computational framework of interaction analysis for a maglev train traveling over a suspension bridge shaken by horizontal earthquakes. The suspended guideway girder is modeled as a single-span suspended beam and the maglev train traveling over it as a series of maglev masses. Due to motion- dependent nature of magnetic forces in a maglev suspension system, appropriate adjustments of the magnetic forces between magnets and guide-rail require the air gaps be continuously monitored. Thus an on-board hybrid LQR+PID controller with constraint rule base is designed to control the dynamic response of a running maglev mass. Then the governing equations of motion for the suspended beam associated with all the controlled maglev masses are transformed into a set of generalized equations by Galerkin's method, and solved using an incremental-iterative procedure. Numerical investigations demonstrate that when a controlled maglev train travels over a suspended guideway shaken by horizontal earthquakes, the proposed hybrid controller has the ability to adjust the levitation gaps in a prescribed stable region for safety reasons and to reduce the vehicle's acceleration response for ride quality.
Thermal motion in proteins: Large effects on the time-averaged interaction energies
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Martin Goethe
2016-03-01
Full Text Available As a consequence of thermal motion, inter-atomic distances in proteins fluctuate strongly around their average values, and hence, also interaction energies (i.e. the pair-potentials evaluated at the fluctuating distances are not constant in time but exhibit pronounced fluctuations. These fluctuations cause that time-averaged interaction energies do generally not coincide with the energy values obtained by evaluating the pair-potentials at the average distances. More precisely, time-averaged interaction energies behave typically smoother in terms of the average distance than the corresponding pair-potentials. This averaging effect is referred to as the thermal smoothing effect. Here, we estimate the strength of the thermal smoothing effect on the Lennard-Jones pair-potential for globular proteins at ambient conditions using x-ray diffraction and simulation data of a representative set of proteins. For specific atom species, we find a significant smoothing effect where the time-averaged interaction energy of a single atom pair can differ by various tens of cal/mol from the Lennard-Jones potential at the average distance. Importantly, we observe a dependency of the effect on the local environment of the involved atoms. The effect is typically weaker for bulky backbone atoms in beta sheets than for side-chain atoms belonging to other secondary structure on the surface of the protein. The results of this work have important practical implications for protein software relying on free energy expressions. We show that the accuracy of free energy expressions can largely be increased by introducing environment specific Lennard-Jones parameters accounting for the fact that the typical thermal motion of protein atoms depends strongly on their local environment.
Thermal motion in proteins: Large effects on the time-averaged interaction energies
Goethe, Martin; Fita, Ignacio; Rubi, J. Miguel
2016-03-01
As a consequence of thermal motion, inter-atomic distances in proteins fluctuate strongly around their average values, and hence, also interaction energies (i.e. the pair-potentials evaluated at the fluctuating distances) are not constant in time but exhibit pronounced fluctuations. These fluctuations cause that time-averaged interaction energies do generally not coincide with the energy values obtained by evaluating the pair-potentials at the average distances. More precisely, time-averaged interaction energies behave typically smoother in terms of the average distance than the corresponding pair-potentials. This averaging effect is referred to as the thermal smoothing effect. Here, we estimate the strength of the thermal smoothing effect on the Lennard-Jones pair-potential for globular proteins at ambient conditions using x-ray diffraction and simulation data of a representative set of proteins. For specific atom species, we find a significant smoothing effect where the time-averaged interaction energy of a single atom pair can differ by various tens of cal/mol from the Lennard-Jones potential at the average distance. Importantly, we observe a dependency of the effect on the local environment of the involved atoms. The effect is typically weaker for bulky backbone atoms in beta sheets than for side-chain atoms belonging to other secondary structure on the surface of the protein. The results of this work have important practical implications for protein software relying on free energy expressions. We show that the accuracy of free energy expressions can largely be increased by introducing environment specific Lennard-Jones parameters accounting for the fact that the typical thermal motion of protein atoms depends strongly on their local environment.
Thermal motion in proteins: Large effects on the time-averaged interaction energies
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Goethe, Martin, E-mail: martingoethe@ub.edu; Rubi, J. Miguel [Departament de Física Fonamental, Universitat de Barcelona, Martí i Franquès 1, 08028 Barcelona (Spain); Fita, Ignacio [Institut de Biologia Molecular de Barcelona, Baldiri Reixac 10, 08028 Barcelona (Spain)
2016-03-15
As a consequence of thermal motion, inter-atomic distances in proteins fluctuate strongly around their average values, and hence, also interaction energies (i.e. the pair-potentials evaluated at the fluctuating distances) are not constant in time but exhibit pronounced fluctuations. These fluctuations cause that time-averaged interaction energies do generally not coincide with the energy values obtained by evaluating the pair-potentials at the average distances. More precisely, time-averaged interaction energies behave typically smoother in terms of the average distance than the corresponding pair-potentials. This averaging effect is referred to as the thermal smoothing effect. Here, we estimate the strength of the thermal smoothing effect on the Lennard-Jones pair-potential for globular proteins at ambient conditions using x-ray diffraction and simulation data of a representative set of proteins. For specific atom species, we find a significant smoothing effect where the time-averaged interaction energy of a single atom pair can differ by various tens of cal/mol from the Lennard-Jones potential at the average distance. Importantly, we observe a dependency of the effect on the local environment of the involved atoms. The effect is typically weaker for bulky backbone atoms in beta sheets than for side-chain atoms belonging to other secondary structure on the surface of the protein. The results of this work have important practical implications for protein software relying on free energy expressions. We show that the accuracy of free energy expressions can largely be increased by introducing environment specific Lennard-Jones parameters accounting for the fact that the typical thermal motion of protein atoms depends strongly on their local environment.
Thermal equilibrium of a Brownian particle in a fluctuating fluid: a numerical study
Liu, Yi; Nie, Deming
2017-07-01
In this work the fluctuating lattice Boltzmann method was adopted to simulate the motion of a Brownian particle in a fluid in two dimensions. The temperatures characterizing the translation motion and rotational motion of the particle were calculated to evaluate the thermal equilibrium between the particle and the fluid. Furthermore, the effects of the fluid temperature and viscosity on the fluid pressure fluctuation were investigated. The linear relationships were observed in a log-log coordinate. Besides, the slopes of the linear relation were obtained, which keeps constant for all cases studied.
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.
CNT based thermal Brownian motor to pump water in nanodevices
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.
A model of motion transparency processing with local center-surround interactions and feedback.
Raudies, Florian; Mingolla, Ennio; Neumann, Heiko
2011-11-01
Motion transparency occurs when multiple coherent motions are perceived in one spatial location. Imagine, for instance, looking out of the window of a bus on a bright day, where the world outside the window is passing by and movements of passengers inside the bus are reflected in the window. The overlay of both motions at the window leads to motion transparency, which is challenging to process. Noisy and ambiguous motion signals can be reduced using a competition mechanism for all encoded motions in one spatial location. Such a competition, however, leads to the suppression of multiple peak responses that encode different motions, as only the strongest response tends to survive. As a solution, we suggest a local center-surround competition for population-encoded motion directions and speeds. Similar motions are supported, and dissimilar ones are separated, by representing them as multiple activations, which occurs in the case of motion transparency. Psychophysical findings, such as motion attraction and repulsion for motion transparency displays, can be explained by this local competition. Besides this local competition mechanism, we show that feedback signals improve the processing of motion transparency. A discrimination task for transparent versus opaque motion is simulated, where motion transparency is generated by superimposing large field motion patterns of either varying size or varying coherence of motion. The model's perceptual thresholds with and without feedback are calculated. We demonstrate that initially weak peak responses can be enhanced and stabilized through modulatory feedback signals from higher stages of processing.
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.
Directory of Open Access Journals (Sweden)
Vamsi Kiran Adhikarla
2015-04-01
Full Text Available This paper reports on the design and evaluation of direct 3D gesture interaction with a full horizontal parallax light field display. A light field display defines a visual scene using directional light beams emitted from multiple light sources as if they are emitted from scene points. Each scene point is rendered individually resulting in more realistic and accurate 3D visualization compared to other 3D displaying technologies. We propose an interaction setup combining the visualization of objects within the Field Of View (FOV of a light field display and their selection through freehand gesture tracked by the Leap Motion Controller. The accuracy and usefulness of the proposed interaction setup was also evaluated in a user study with test subjects. The results of the study revealed high user preference for free hand interaction with light field display as well as relatively low cognitive demand of this technique. Further, our results also revealed some limitations and adjustments of the proposed setup to be addressed in future work.
Pan, Wen Fu
2017-01-01
The objective of this study was to test whether the Kinect motion-sensing interactive system (KMIS) enhanced students' English vocabulary learning, while also comparing the system's effectiveness against a traditional computer-mouse interface. Both interfaces utilized an interactive game with a questioning strategy. One-hundred and twenty…
Bayesian Decision Tree for the Classification of the Mode of Motion in Single-Molecule Trajectories
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...
A surface-bound molecule that undergoes optically biased Brownian rotation
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.
Brownian semistationary processes and conditional full support
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.
Diffusion of torqued active Brownian particles
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
Sule, N; Rice, S A; Gray, S K; Scherer, N F
2015-11-16
Understanding the formation of electrodynamically interacting assemblies of metal nanoparticles requires accurate computational methods for determining the forces and propagating trajectories. However, since computation of electromagnetic forces occurs on attosecond to femtosecond timescales, simulating the motion of colloidal nanoparticles on milliseconds to seconds timescales is a challenging multi-scale computational problem. Here, we present a computational technique for performing accurate simulations of laser-illuminated metal nanoparticles. In the simulation, we self-consistently combine the finite-difference time-domain method for electrodynamics (ED) with Langevin dynamics (LD) for the particle motions. We demonstrate the ED-LD method by calculating the 3D trajectories of a single 100-nm-diameter Ag nanoparticle and optical trapping and optical binding of two and three 150-nm-diameter Ag nanoparticles in simulated optical tweezers. We show that surface charge on the colloidal metal nanoparticles plays an important role in their optically driven self-organization. In fact, these simulations provide a more complete understanding of the assembly of different structures of two and three Ag nanoparticles that have been observed experimentally, demonstrating that the ED-LD method will be a very useful tool for understanding the self-organization of optical matter.
Motion Intention Analysis-Based Coordinated Control for Amputee-Prosthesis Interaction
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Fei Wang
2010-01-01
Full Text Available To study amputee-prosthesis (AP interaction, a novel reconfigurable biped robot was designed and fabricated. In homogeneous configuration, two identical artificial legs (ALs were used to simulate the symmetrical lower limbs of a healthy person. Linear inverted pendulum model combining with ZMP stability criterion was used to generate the gait trajectories of ALs. To acquire interjoint coordination for healthy gait, rate gyroscopes were mounted on CoGs of thigh and shank of both legs. By employing principal component analysis, the measured angular velocities were processed and the motion synergy was obtained in the final. Then, one of two ALs was replaced by a bionic leg (BL, and the biped robot was changed into heterogeneous configuration to simulate the AP coupling system. To realize symmetrical stable walking, master/slave coordinated control strategy is proposed. According to information acquired by gyroscopes, BL recognized the motion intention of AL and reconstructed its kinematic variables based on interjoint coordination. By employing iterative learning control, gait tracking of BL to AL was archived. Real environment robot walking experiments validated the correctness and effectiveness of the proposed scheme.
Collective motion of groups of self-propelled particles following interacting leaders
Ferdinandy, B.; Ozogány, K.; Vicsek, T.
2017-08-01
In order to keep their cohesiveness during locomotion gregarious animals must make collective decisions. Many species boast complex societies with multiple levels of communities. A common case is when two dominant levels exist, one corresponding to leaders and the other consisting of followers. In this paper we study the collective motion of such two-level assemblies of self-propelled particles. We present a model adapted from one originally proposed to describe the movement of cells resulting in a smoothly varying coherent motion. We shall use the terminology corresponding to large groups of some mammals where leaders and followers form a group called a harem. We study the emergence (self-organization) of sub-groups within a herd during locomotion by computer simulations. The resulting processes are compared with our prior observations of a Przewalski horse herd (Hortobágy, Hungary) which we use as results from a published case study. We find that the model reproduces key features of a herd composed of harems moving on open ground, including fights for followers between leaders and bachelor groups (group of leaders without followers). One of our findings, however, does not agree with the observations. While in our model the emerging group size distribution is normal, the group size distribution of the observed herd based on historical data have been found to follow lognormal distribution. We argue that this indicates that the formation (and the size) of the harems must involve a more complex social topology than simple spatial-distance based interactions.
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.
Temporal Correlations of the Running Maximum of a Brownian Trajectory
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.
Blowup and Conditionings of $\\psi$-super Brownian Exit Measures
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.
Momentum conserving Brownian dynamics propagator for complex soft matter fluids.
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.
BROWNIAN HEAT TRANSFER ENHANCEMENT IN THE TURBULENT REGIME
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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.
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.
Interaction of electromagnetic and plasma waves in warm motional plasma: Density and thermal effects
Rashed-Mohassel, P.; Hasanbeigi, A.; Hajisharifi, K.
2017-08-01
In this paper, the electromagnetic-electrostatic coupling instability excited in the two-dimensional planar-layered plasma medium with median temperature (warm motional plasma beam) is investigated by applying the initial fluctuation propagating along the planar surfaces. The dielectric tensor, obtained by the Maxwell-fluid model, is used to find the dispersion relation (DR) and different excited modes in the system. Interacting modes are investigated, in detail, by focusing on the effect of temperature on the plasma beam instability aroused by coupling the thermal excited modes (thermal-extraordinary and electron plasma modes) in the systems with various amounts of beam density. The numerical analysis of the obtained DR shows that even though the temperature effect of the plasma beam has an important role on the suppression of streaming instabilities, it does not have a considerable effect on the behavior of the coupling instability in the fluid limitation.
The interaction of grammatical aspect and temporal distance in motion descriptions
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Sarah eAnderson
2013-07-01
Full Text Available Grammatical aspect is known to shape event understanding. However, little is known about how it interacts with other important temporal information, such as recent and distant past. The current work uses computer-mouse tracking (Spivey, Grosjean, & Knoblich, 2005 to explore the interaction of aspect and temporal context. Participants in our experiment listened to past motion event descriptions that varied according to aspect (simple past, past progressive and temporal distance (recent past, distant past while viewing scenes with paths and implied destinations. Participants used a computer mouse to place characters into the scene to match event descriptions. Our results indicated that aspect and temporal context interact in interesting ways. When aspect placed emphasis on the ongoing details of the event and the temporal context was recent (thus, making fine details available in memory, this match between conditions elicited smoother and faster computer mouse movements than when conditions mismatched. Likewise, when aspect placed emphasis on the less-detailed end state of the event and temporal context was in the distant past (thus making fine details less available, this match between conditions also elicited smoother and faster computer mouse movements.
Interacting with target tracking algorithms in a gaze-enhanced motion video analysis system
Hild, Jutta; Krüger, Wolfgang; Heinze, Norbert; Peinsipp-Byma, Elisabeth; Beyerer, Jürgen
2016-05-01
Motion video analysis is a challenging task, particularly if real-time analysis is required. It is therefore an important issue how to provide suitable assistance for the human operator. Given that the use of customized video analysis systems is more and more established, one supporting measure is to provide system functions which perform subtasks of the analysis. Recent progress in the development of automated image exploitation algorithms allow, e.g., real-time moving target tracking. Another supporting measure is to provide a user interface which strives to reduce the perceptual, cognitive and motor load of the human operator for example by incorporating the operator's visual focus of attention. A gaze-enhanced user interface is able to help here. This work extends prior work on automated target recognition, segmentation, and tracking algorithms as well as about the benefits of a gaze-enhanced user interface for interaction with moving targets. We also propose a prototypical system design aiming to combine both the qualities of the human observer's perception and the automated algorithms in order to improve the overall performance of a real-time video analysis system. In this contribution, we address two novel issues analyzing gaze-based interaction with target tracking algorithms. The first issue extends the gaze-based triggering of a target tracking process, e.g., investigating how to best relaunch in the case of track loss. The second issue addresses the initialization of tracking algorithms without motion segmentation where the operator has to provide the system with the object's image region in order to start the tracking algorithm.
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...
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...
Semicircular canals circumvent brownian motion overload of mechanoreceptor hair cells
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
Semicircular Canals Circumvent Brownian Motion Overload of Mechanoreceptor Hair Cells
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