Brownian semistationary processes and volatility/intermittency
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen
A new class of stochastic processes, termed Brownian semistationary processes (BSS), is introduced and discussed. This class has similarities to that of Brownian semimartingales (BSM), but is mainly directed towards the study of stationary processes, and BSS processes are not in general of the...... turbulent velocity fields and is the purely temporal version of the general tempo-spatial framework of ambit processes. The latter, which may have applications also to the finance of energy markets, is briefly considered at the end of the paper, again with reference to the question of inference on the...
Hybrid scheme for Brownian semistationary processes
DEFF Research Database (Denmark)
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain. We assume that the kernel function of the process is regularly varying at zero. The novel feature of the scheme is to...... approximate the kernel function by a power function near zero and by a step function elsewhere. The resulting approximation of the process is a combination of Wiener integrals of the power function and a Riemann sum, which is why we call this method a hybrid scheme. Our main theoretical result describes the...... asymptotics of the mean square error of the hybrid scheme and we observe that the scheme leads to a substantial improvement of accuracy compared to the ordinary forward Riemann-sum scheme, while having the same computational complexity. We exemplify the use of the hybrid scheme by two numerical experiments...
Brownian semi-stationary processes, turbulence and smooth processes
DEFF Research Database (Denmark)
Urbina, José Ulises Márquez
This thesis analysis the use of Brownian semi-stationary (BSS) processes to model the main statistical features present in turbulent time series, and some asymptotic properties of certain classes of smooth processes. Turbulence is a complex phenomena governed by the Navier-Stokes equations. These...... equations do not represent a fully functional model and, consequently, it has been necessary to develop phenomenological models capturing main aspects of turbulent dynamics. The BSS processes were proposed as an option to model turbulent time series. In this thesis we proved, through a simulation....... We also studied the distributional properties of the increments of BSS processes with the intent to better understand why the BSS processes seem to accurately reproduce the temporal turbulent dynamics. BSS processes in general are not semimartingales. However, there are conditions which make a BSS...
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
DEFF Research Database (Denmark)
Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S.;
2013-01-01
This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of the BSS model. We review the limit theory discussed in...... [Barndorff-Nielsen, O.E., J.M. Corcuera and M. Podolskij (2011): Multipower variation for Brownian semistationary processes. Bernoulli 17(4), 1159-1194; Barndorff-Nielsen, O.E., J.M. Corcuera and M. Podolskij (2012): Limit theorems for functionals of higher order differences of Brownian semi......-stationary processes. In "Prokhorov and Contemporary Probability Theory", Springer.] and present some new connections to fractional diffusion models. We apply our probabilistic results to construct a family of estimators for the smoothness parameter of the BSS process. In this context we develop estimates with gaps...
A weak limit theorem for numerical approximation of Brownian semi-stationary processes
DEFF Research Database (Denmark)
Podolskij, Mark; Thamrongrat, Nopporn
In this paper we present a weak limit theorem for a numerical approximation of Brownian semi-stationary processes studied in [14]. In the original work of [14] the authors propose to use Fourier transformation to embed a given one dimensional (Levy) Brownian semi-stationary process into a two-par....../drift process needs to be numerically simulated. In particular, weak approximation errors for smooth test functions can be obtained from our asymptotic theory.......In this paper we present a weak limit theorem for a numerical approximation of Brownian semi-stationary processes studied in [14]. In the original work of [14] the authors propose to use Fourier transformation to embed a given one dimensional (Levy) Brownian semi-stationary process into a two......-parameter stochastic field. For the latter they use a simple iteration procedure and study the strong approximation error of the resulting numerical scheme given that the volatility process is fully observed. In this work we present the corresponding weak limit theorem for the setting, where the volatility...
Discretization of Lévy semistationary processes with application to estimation
DEFF Research Database (Denmark)
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko
Motivated by the construction of the Ito stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. Moreover, we assess the accuracy of the method with a particular focus on integrating kernels with a singularity at the...... origin. Using the simulation method, we study the finite sample properties of some recently developed estimators of realized volatility and associated parametric estimators for Brownian semistationary processes. Although the theoretical properties of these estimators have been established under high...
Assessing Gamma kernels and BSS/LSS processes
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.
This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.......This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out....
Random Brownian scaling identities and splicing of Bessel processes
Pitman, Jim; Yor, Marc
1998-01-01
An identity in distribution due to Knight for Brownian motion is extended in two different ways: first by replacing the supremum of a reflecting Brownian motion by the range of an unreflected Brownian motion and second by replacing the reflecting Brownian motion by a recurrent Bessel process. Both extensions are explained in terms of random Brownian scaling transformations and Brownian excursions. The first extension is related to two different constructions of Itô’s law of ...
Brownian motion an introduction to stochastic processes
Schilling, René L; Böttcher, Björn
2014-01-01
Stochastic processes occur everywhere in sciences and engineering, and need to be understood by applied mathematicians, engineers and scientists alike. This is a first course introducing the reader gently to the subject. Brownian motions are a stochastic process, central to many applications and easy to treat.
Noncolliding Brownian Motion and Determinantal Processes
Katori, Makoto; Tanemura, Hideki
2007-12-01
A system of one-dimensional Brownian motions (BMs) conditioned never to collide with each other is realized as (i) Dyson's BM model, which is a process of eigenvalues of hermitian matrix-valued diffusion process in the Gaussian unitary ensemble (GUE), and as (ii) the h-transform of absorbing BM in a Weyl chamber, where the harmonic function h is the product of differences of variables (the Vandermonde determinant). The Karlin-McGregor formula gives determinantal expression to the transition probability density of absorbing BM. We show from the Karlin-McGregor formula, if the initial state is in the eigenvalue distribution of GUE, the noncolliding BM is a determinantal process, in the sense that any multitime correlation function is given by a determinant specified by a matrix-kernel. By taking appropriate scaling limits, spatially homogeneous and inhomogeneous infinite determinantal processes are derived. We note that the determinantal processes related with noncolliding particle systems have a feature in common such that the matrix-kernels are expressed using spectral projections of appropriate effective Hamiltonians. On the common structure of matrix-kernels, continuity of processes in time is proved and general property of the determinantal processes is discussed.
Monitoring autocorrelated process: A geometric Brownian motion process approach
Li, Lee Siaw; Djauhari, Maman A.
2013-09-01
Autocorrelated process control is common in today's modern industrial process control practice. The current practice of autocorrelated process control is to eliminate the autocorrelation by using an appropriate model such as Box-Jenkins models or other models and then to conduct process control operation based on the residuals. In this paper we show that many time series are governed by a geometric Brownian motion (GBM) process. Therefore, in this case, by using the properties of a GBM process, we only need an appropriate transformation and model the transformed data to come up with the condition needs in traditional process control. An industrial example of cocoa powder production process in a Malaysian company will be presented and discussed to illustrate the advantages of the GBM approach.
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
Brownian motion vs. pure-jump processes for individual stocks
Benoît Sévi; César Baena
2011-01-01
Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump process hypothesis proposed in numerous contributions. This result improves our understanding of the fine structure of asset prices and has implications for derivatives pricing.
Feller Processes: The Next Generation in Modeling. Brownian Motion, L\\'evy Processes and Beyond
Böttcher, Björn
2010-01-01
We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of L\\'evy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in applications. In recent years also L\\'evy processes, of which Brownian Motion is a special case, have become increasingly popular. L\\'evy processes are spatially homogeneous, but empirical data ofte...
Brownian Motion as a Limit to Physical Measuring Processes
DEFF Research Database (Denmark)
Niss, Martin
2016-01-01
In this paper, we examine the history of the idea that noise presents a fundamental limit to physical measuring processes. This idea had its origins in research aimed at improving the accuracy of instruments for electrical measurements. Out of these endeavors, the Swedish physicist Gustaf A. Ising...... formulated a general conclusion concerning the nature of physical measurements, namely that there is a definite limit to the ultimate sensitivity of measuring instruments beyond which we cannot advance, and that this limit is determined by Brownian motion. Ising’s conclusion agreed with experiments and...... received widespread recognition, but his way of modeling the system was contested by his contemporaries. With the more embracing notion of noise that developed during and after World War II, Ising’s conclusion was reinterpreted as showing that noise puts a limit on physical measurement processes. Hence...
International Nuclear Information System (INIS)
The purpose of this work was to construct a Brownian motion with values in simplicial complexes with piecewise differential structure. After a martingale theory attempt, we constructed a family of continuous Markov processes with values in an admissible complex; we named every process of this family, isotropic transport process. We showed that the family of the isotropic processes contains a subsequence, which converged weakly to a measure; we named it the Wiener measure. Then, we constructed, thanks to the finite dimensional distributions of the Wiener measure a new continuous Markov process with values in an admissible complex: the Brownian motion. We finished with a geometric analysis of this Brownian motion, to determinate, under hypothesis on the complex, the recurrent or transient behavior of such process. (author)
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.
Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes
Wyłomańska, Agnieszka
2012-01-01
In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called arithmetic Brownian motion). The first one, so called normal tempered stable, is related to the tempered stable subordinator, while the second one - to the inverse tempered stable process. We compare the main properties (such as probability density functions, Laplace transforms, ensemble averaged mean squared displacements) of such two subordinated processes and propose the parameters' estimation procedures. Moreover we calibrate the analyzed systems to real data related to indoor air quality.
(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...
DEFF Research Database (Denmark)
E. Barndorff-Nielsen, Ole; Benth, Fred Espen; Szozda, Benedykt
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given, regularity results and properties of the integral are discussed...
The oscillation of the occupation time process of super- Brownian motion on Sierpinski gasket
Institute of Scientific and Technical Information of China (English)
郭军义
2000-01-01
The occupation time process of super-Brownian motion on the Sierpinski gasket is studied. It is shown that this process does not possess stable property in the long run, but oscillates periodically in some sense. Other convergence properties are also studied.
The oscillation of the occupation time process of super-Brownian motion on Sierpinski gasket
Institute of Scientific and Technical Information of China (English)
无
2000-01-01
The occupation time process of super-Brownian motion on the Sierpinski gasket is studied. It is shown that this process does not possess stable property in the long run, but oscillates periodically in some sense. Other convergence properties are also studied.
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...
Optimal control of a stochastic processing system driven by a fractional Brownian motion input
Ghosh, Arka P.; Roitershtein, Alexander; Weerasinghe, Ananda
2010-01-01
We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON-OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite-horizon discounted cost, and the finite-horizon cost. In addition, we find a solution to a constrained minimization problem as an application of our solution to the long-run average cost problem. We also establish Abel...
Harnack Inequality and Regularity for a Product of Symmetric Stable Process and Brownian Motion
Karli, Deniz
2010-01-01
In this paper, we consider a product of a symmetric stable process in $\\mathbb{R}^d$ and a one-dimensional Brownian motion in $\\mathbb{R}^+$. Then we define a class of harmonic functions with respect to this product process. We show that bounded non-negative harmonic functions in the upper-half space satisfy Harnack inequality and prove that they are locally H\\"older continuous. We also argue a result on Littlewood-Paley functions which are obtained by the $\\alpha$-harmonic extension of an $L...
Chernov, N.; Dolgopyat, D.
2008-01-01
A classical model of Brownian motion consists of a heavy molecule submerged into a gas of light atoms in a closed container. In this work we study a 2D version of this model, where the molecule is a heavy disk of mass M and the gas is represented by just one point particle of mass m = 1, which interacts with the disk and the walls of the container via elastic collisions. Chaotic behavior of the particles is ensured by convex (scattering) walls of the container. We prove that the position and ...
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...
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...
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...
Van den Broeck, C; Kawai, R
2006-06-01
Onsager symmetry implies that a Brownian motor, driven by a temperature gradient, will also perform a refrigerator function upon loading. We analytically calculate the corresponding heat flow for an exactly solvable microscopic model and compare it with molecular dynamics simulations. PMID:16803223
Archimedes’ principle for Brownian liquid
Burdzy, Krzysztof; Chen, Zhen-Qing; Pal, Soumik
2011-01-01
We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many interesting implications, including an illustration of the Archimedes' principle. The analysis rests on constructing reflecting Brownian motion with drift in a general open connected domain and studying its stationary distribution. In dimension two we utilize known ...
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.
Trefan, Gyorgy
1993-01-01
The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscopic derivation of the Fokker-Planck equation. Since the Brownian motion of a particle is the result of the competing processes of diffusion and dissipation, we create a model where both diffusion and dissipation originate from the same deterministic mechanism--the deterministic interaction of that particle with its environment. We show that standard diffusion which is the basis of the Fokker-Planck equation rests on the Central Limit Theorem, and, consequently, on the possibility of deriving it from a deterministic process with a quickly decaying correlation function. The sensitive dependence on initial conditions, one of the defining properties of chaos insures this rapid decay. We carefully address the problem of deriving dissipation from the interaction of a particle with a fully deterministic nonlinear bath, that we term the booster. We show that the solution of this problem essentially rests on the linear response of a booster to an external perturbation. This raises a long-standing problem concerned with Kubo's Linear Response Theory and the strong criticism against it by van Kampen. Kubo's theory is based on a perturbation treatment of the Liouville equation, which, in turn, is expected to be totally equivalent to a first-order perturbation treatment of single trajectories. Since the boosters are chaotic, and chaos is essential to generate diffusion, the single trajectories are highly unstable and do not respond linearly to weak external perturbation. We adopt chaotic maps as boosters of a Brownian particle, and therefore address the problem of the response of a chaotic booster to an external perturbation. We notice that a fully chaotic map is characterized by an invariant measure which is a continuous function of the control parameters of the map
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.
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.
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.
Entropic forces in Brownian motion
Roos, Nico
2014-12-01
Interest in the concept of entropic forces has risen considerably since Verlinde proposed in 2011 to interpret the force in Newton's second law and gravity as entropic forces. Brownian motion—the motion of a small particle (pollen) driven by random impulses from the surrounding molecules—may be the first example of a stochastic process in which such forces are expected to emerge. In this article, it is shown that at least two types of entropic force can be identified in three-dimensional Brownian motion. This analysis yields simple derivations of known results of Brownian motion, Hooke's law, and—applying an external (non-radial) force—Curie's law and the Langevin-Debye equation.
Feynman Rules For Brownian Motion
Hatamian, S T
2003-01-01
We present a perturbation theory extending a prescription due to Feynman for computing the probability density function in Brownian-motion. The method used, can be applied to a wide variety of otherwise difficult circumstances in Brownian-motion. The exact moments and kurtosis, if not the distribution itself, for many important cases can be summed for arbitrary times. As expected, the behavior at early time regime, for the sample processes considered, deviate significantly from the usual diffusion theory; a fact with important consequences in various applications such as financial physics. A new class of functions dubbed "Damped-exponential-integrals" are also identified.
Kaj, Ingemar; Taqqu, M. S.
2008-01-01
It has become common practice to use heavy-tailed distributions in order to describe the variations in time and space of network traffic workloads. The asymptotic behavior of these workloads is complex; different limit processes emerge depending on the specifies of the work arrival structure and the nature of the asymptotic scaling. We focus on two variants of the infinite source Poisson model and provide a coherent and unified presentation of the scaling theory by using integral representati...
A multiscale guide to Brownian motion
Grebenkov, Denis S.; Belyaev, Dmitry; Jones, Peter W.
2016-01-01
We revise the Lévy construction of Brownian motion as a simple though rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based ‘geometrical features’ at multiple length scales with random weights. Such a wavelet representation gives a closed formula mapping of the unit interval onto the functional space of Brownian paths. This formula elucidates many classical results about Brownian motion (e.g., non-differentiability of its path), providing an intuitive feeling for non-mathematicians. The illustrative character of the wavelet representation, along with the simple structure of the underlying probability space, is different from the usual presentation of most classical textbooks. Similar concepts are discussed for the Brownian bridge, fractional Brownian motion, the Ornstein-Uhlenbeck process, Gaussian free fields, and fractional Gaussian fields. Wavelet representations and dyadic decompositions form the basis of many highly efficient numerical methods to simulate Gaussian processes and fields, including Brownian motion and other diffusive processes in confining domains.
Canonical active Brownian motion
Gluck, Alexander; Huffel, Helmuth; Ilijic, Sasa
2008-01-01
Active Brownian motion is the complex motion of active Brownian particles. They are active in the sense that they can transform their internal energy into energy of motion and thus create complex motion patterns. Theories of active Brownian motion so far imposed couplings between the internal energy and the kinetic energy of the system. We investigate how this idea can be naturally taken further to include also couplings to the potential energy, which finally leads to a general theory of cano...
Cubero, David; Renzoni, Ferruccio
2016-01-01
Part I. Historical Overview and Early Developments: 1. Limitations imposed by the second law of thermodynamics; 2. Fundamental models of ratchet devices; 3. General relevance of the concept of ratchet; Part II. Theoretical Foundations: 4. Classical ratchets; 5. Quantum ratchets; 6. Energetics and characterization; Part III. Experimental Realizations of Ratchet Devices: 7. Ratchets for colloidal particles; 8. Cold atom ratchets; 9. Solid state ratchets; 10. Bio-inspired molecular motors; Appendix A. Stochastic processes techniques; Appendix B. Symmetries in a 1D overdamped system; Appendix C. Floquet theory; References; Index.
Lawler, Gregory F.; Werner, Wendelin
2003-01-01
We define a natural conformally invariant measure on unrooted Brownian loops in the plane and study some of its properties. We relate this measure to a measure on loops rooted at a boundary point of a domain and show how this relation gives a way to ``chronologically add Brownian loops'' to simple curves in the plane.
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...
Continuum limits of random matrices and the Brownian carousel
Valko, Benedek; Virag, Balint
2007-01-01
We show that at any location away from the spectral edge, the eigenvalues of the Gaussian unitary ensemble and its general beta siblings converge to Sine_beta, a translation invariant point process. This process has a geometric description in term of the Brownian carousel, a deterministic function of Brownian motion in the hyperbolic plane. The Brownian carousel, a description of the a continuum limit of random matrices, provides a convenient way to analyze the limiting point processes. We sh...
Dynamical 3-Space: Anisotropic Brownian Motion Experiment
Cahill R. T.
2015-01-01
In 2014 Jiapei Dai reported evidence of anisotropic Brownian motion of a toluidine blue colloid solution in water. In 2015 Felix Scholkmann analysed the Dai data and detected a sidereal time dependence, indicative of a process driving the preferred Brownian mo- tion diffusion direction to a star-based preferred direction. Here we further analyse the Dai data and extract the RA and Dec of that preferred direction, and relate the data to previous determinations from NASA Spacecr...
Brownian Motion in Minkowski Space
Directory of Open Access Journals (Sweden)
Paul O'Hara
2015-06-01
Full Text Available We construct a model of Brownian motion in Minkowski space. There are two aspects of the problem. The first is to define a sequence of stopping times associated with the Brownian “kicks” or impulses. The second is to define the dynamics of the particle along geodesics in between the Brownian kicks. When these two aspects are taken together, the Central Limit Theorem (CLT leads to temperature dependent four dimensional distributions defined on Minkowski space, for distances and 4-velocities. In particular, our processes are characterized by two independent time variables defined with respect to the laboratory frame: a discrete one corresponding to the stopping times when the impulses take place and a continuous one corresponding to the geodesic motion in-between impulses. The subsequent distributions are solutions of a (covariant pseudo-diffusion equation which involves derivatives with respect to both time variables, rather than solutions of the telegraph equation which has a single time variable. This approach simplifies some of the known problems in this context.
Brownian ratchets and Parrondo's games
Harmer, Gregory P.; Abbott, Derek; Taylor, Peter G.; Parrondo, Juan M. R.
2001-09-01
Parrondo's games present an apparently paradoxical situation where individually losing games can be combined to win. In this article we analyze the case of two coin tossing games. Game B is played with two biased coins and has state-dependent rules based on the player's current capital. Game B can exhibit detailed balance or even negative drift (i.e., loss), depending on the chosen parameters. Game A is played with a single biased coin that produces a loss or negative drift in capital. However, a winning expectation is achieved by randomly mixing A and B. One possible interpretation pictures game A as a source of "noise" that is rectified by game B to produce overall positive drift—as in a Brownian ratchet. Game B has a state-dependent rule that favors a losing coin, but when this state dependence is broken up by the noise introduced by game A, a winning coin is favored. In this article we find the parameter space in which the paradoxical effect occurs and carry out a winning rate analysis. The significance of Parrondo's games is that they are physically motivated and were originally derived by considering a Brownian ratchet—the combination of the games can be therefore considered as a discrete-time Brownian ratchet. We postulate the use of games of this type as a toy model for a number of physical and biological processes and raise a number of open questions for future research.
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.
Meurs, P.; Broeck, C. Van Den
2005-01-01
Recently, a thermal Brownian motor was introduced [Van den Broeck, Kawai and Meurs, Phys. Rev. Lett. (2004)], for which an exact microscopic analysis is possible. The purpose of this paper is to review some further properties of this construction, and to discuss in particular specific issues including the relation with macroscopic response and the efficiency at maximum power.
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
Gomez-Marin, A.; Sancho, J. M.
2004-01-01
In this paper we present a model of a symmetric Brownian motor (SBM) which changes the sign of its velocity when the temperature gradient is inverted. The velocity, external work and efficiency are studied as a function of the temperatures of the baths and other relevant parameters. The motor shows a current reversal when another parameter (a phase shift) is varied. Analytical predictions and results from numerical simulations are performed and agree very well. Generic properties of this type...
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.
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.
The Local Fractional Bootstrap
DEFF Research Database (Denmark)
Bennedsen, Mikkel; Hounyo, Ulrich; Lunde, Asger;
new resampling method, the local fractional bootstrap, relies on simulating an auxiliary fractional Brownian motion that mimics the fine properties of high frequency differences of the Brownian semistationary process under the null hypothesis. We prove the first order validity of the bootstrap method...
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.
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, emulsions, flocculation, air pollution, soot formation, materials manufacture and growth of interstellar dust, to name a few of its applications. With continuous progress in particulate matter processing...
Convergence rates of posterior distributions for Brownian semimartingale models
F.H. van der Meulen; A.W. van der Vaart; J.H. van Zanten
2006-01-01
Key words and Phrases: Bayesian estimation, Continuous semimartingale, Dirichlet process, Hellinger distance, Infinite dimensional model, Rate of convergence, Wavelets. We consider the asymptotic behavior of posterior distributions based on continuous observations from a Brownian semimartingale mode
The open quantum Brownian motions
International Nuclear Information System (INIS)
Using quantum parallelism on random walks as the original seed, we introduce new quantum stochastic processes, the open quantum Brownian motions. They describe the behaviors of quantum walkers—with internal degrees of freedom which serve as random gyroscopes—interacting with a series of probes which serve as quantum coins. These processes may also be viewed as the scaling limit of open quantum random walks and we develop this approach along three different lines: the quantum trajectory, the quantum dynamical map and the quantum stochastic differential equation. We also present a study of the simplest case, with a two level system as an internal gyroscope, illustrating the interplay between the ballistic and diffusive behaviors at work in these processes. Notation Hz: orbital (walker) Hilbert space, CZ in the discrete, L2(R) in the continuum Hc: internal spin (or gyroscope) Hilbert space Hsys=Hz⊗Hc: system Hilbert space Hp: probe (or quantum coin) Hilbert space, Hp=C2 ρttot: density matrix for the total system (walker + internal spin + quantum coins) ρ-bar t: reduced density matrix on Hsys: ρ-bar t=∫dxdy ρ-bar t(x,y)⊗|x〉z〈y| ρ-hat t: system density matrix in a quantum trajectory: ρ-hat t=∫dxdy ρ-hat t(x,y)⊗|x〉z〈y|. If diagonal and localized in position: ρ-hat t=ρt⊗|Xt〉z〈Xt| ρt: internal density matrix in a simple quantum trajectory Xt: walker position in a simple quantum trajectory Bt: normalized Brownian motion ξt, ξt†: quantum noises (paper)
Oscillatory Fractional Brownian Motion and Hierarchical Random Walks
Bojdecki, Tomasz; Gorostiza, Luis G.; Talarczyk, Anna
2012-01-01
We introduce oscillatory analogues of fractional Brownian motion, sub-fractional Brownian motion and other related long range dependent Gaussian processes, we discuss their properties, and we show how they arise from particle systems with or without branching and with different types of initial conditions, where the individual particle motion is the so-called c-random walk on a hierarchical group. The oscillations are caused by the discrete and ultrametric structure of the hierarchical group,...
Conformal invariance, universality, and the dimension of the Brownian frontier
Lawler, Gregory
2003-01-01
This paper describes joint work with Oded Schramm and Wendelin Werner establishing the values of the planar Brownian intersection exponents from which one derives the Hausdorff dimension of certain exceptional sets of planar Brownian motion. In particular, we proof a conjecture of Mandelbrot that the dimension of the frontier is 4/3. The proof uses a universality principle for conformally invariant measures and a new process, the stochastic Loewner evolution ($SLE$), introduced by Schramm. Th...
Speckle Patterns and 2-Dimensional Brownian Motion
International Nuclear Information System (INIS)
We present the results of a Monte Carlo simulation of Brownian Motion on a 2-dimensional lattice with nearest-neighbor interactions described by a linear model. These nearest-neighbor interactions lead to a spatial variance structure on the lattice. The resulting Brownian pattern fluctuates in value from point to point in a manner characteristic of a stationary stochastic process. The value at a lattice point is interpreted as an intensity level. The difference in values in neighboring cells produces a fluctuating intensity pattern on the lattice. Changing the size of the mesh changes the relative size of the speckles. Increasing the mesh size tends to average out the intensity in the direction of the mean of the stationary process. (Author)
A group action on increasing sequences of set-indexed Brownian motions
Yosef, Arthur
2015-01-01
We prove that a square-integrable set-indexed stochastic process is a set-indexed Brownian motion if and only if its projection on all the strictly increasing continuous sequences are one-parameter $G$-time-changed Brownian motions. In addition, we study the "sequence-independent variation" property for group stationary-increment stochastic processes in general and for a set-indexed Brownian motion in particular. We present some applications.
Assessing Relative Volatility/Intermittency/Energy Dissipation
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko; Schmiegel, Jürgen
process in particular. While this estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, we apply it also to energy price data. Moreover, we develop a probabilistic asymptotic theory for relative power variations of Brownian semistationary......We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...... processes and Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency....
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.
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...
On collisions of Brownian particles
Ichiba, Tomoyuki; Karatzas, Ioannis
2010-01-01
We examine the behavior of $n$ Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient conditions are established for the absence and for the presence of triple collisions among the particles. As an application to the Atlas model for equity markets, we study a special construction of such systems of diffusing particles using Brownian motions with refl...
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 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.
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…
Metastable states in Brownian energy landscape
Cheliotis, Dimitris
2015-01-01
Random walks and diffusions in symmetric random environment are known to exhibit metastable behavior: they tend to stay for long times in wells of the environment. For the case that the environment is a one-dimensional two-sided standard Brownian motion, we study the process of depths of the consecutive wells of increasing depth that the motion visits. When these depths are looked in logarithmic scale, they form a stationary renewal cluster process. We give a description of the structure of t...
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
Some Brownian functionals and their laws
Donati-Martin, C.; Yor, M.
1997-01-01
We develop some topics about Brownian motion with a particular emphasis on the study of principal values of Brownian local times. We show some links between principal values and Doob’s $h$-transforms of Brownian motion, for nonpositive harmonic functions $h$. We also give a survey and complement some martingale approaches to Ray–Knight theorems for local times.
A Brownian model for recurrent earthquakes
Matthews, M.V.; Ellsworth, W.L.; Reasenberg, P.A.
2002-01-01
We construct a probability model for rupture times on a recurrent earthquake source. Adding Brownian perturbations to steady tectonic loading produces a stochastic load-state process. Rupture is assumed to occur when this process reaches a critical-failure threshold. An earthquake relaxes the load state to a characteristic ground level and begins a new failure cycle. The load-state process is a Brownian relaxation oscillator. Intervals between events have a Brownian passage-time distribution that may serve as a temporal model for time-dependent, long-term seismic forecasting. This distribution has the following noteworthy properties: (1) the probability of immediate rerupture is zero; (2) the hazard rate increases steadily from zero at t = 0 to a finite maximum near the mean recurrence time and then decreases asymptotically to a quasi-stationary level, in which the conditional probability of an event becomes time independent; and (3) the quasi-stationary failure rate is greater than, equal to, or less than the mean failure rate because the coefficient of variation is less than, equal to, or greater than 1/???2 ??? 0.707. In addition, the model provides expressions for the hazard rate and probability of rupture on faults for which only a bound can be placed on the time of the last rupture. The Brownian relaxation oscillator provides a connection between observable event times and a formal state variable that reflects the macromechanics of stress and strain accumulation. Analysis of this process reveals that the quasi-stationary distance to failure has a gamma distribution, and residual life has a related exponential distribution. It also enables calculation of "interaction" effects due to external perturbations to the state, such as stress-transfer effects from earthquakes outside the target source. The influence of interaction effects on recurrence times is transient and strongly dependent on when in the loading cycle step pertubations occur. Transient effects may
The relativistic Brownian motion: Interdisciplinary applications
International Nuclear Information System (INIS)
Relativistic Brownian motion theory will be applied to the study of analogies between physical and economic systems, emphasizing limiting cases in which Gaussian distributions are no longer valid. The characteristic temperatures of the particles will be associated with the concept of variance, and this will allow us to choose whether the pertinent distribution is classical or relativistic, while working specific situations. The properties of particles can be interpreted as economic variables, in order to study the behavior of markets in terms of Levy financial processes, since markets behave as stochastic systems. As far as we know, the application of the Juettner distribution to the study of economic systems is a new idea.
Brownian shape dynamics in fission
Randrup Jørgen; Möller Peter
2013-01-01
It was recently shown that remarkably accurate fission-fragment mass distributions are obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potentialenergy surfaces; the current status of this novel method is described here.
Brownian shape dynamics in fission
Directory of Open Access Journals (Sweden)
Randrup Jørgen
2013-12-01
Full Text Available It was recently shown that remarkably accurate fission-fragment mass distributions are obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potentialenergy surfaces; the current status of this novel method is described here.
Perturbative theory for Brownian vortexes.
Moyses, Henrique W; Bauer, Ross O; Grosberg, Alexander Y; Grier, David G
2015-06-01
Brownian vortexes are stochastic machines that use static nonconservative force fields to bias random thermal fluctuations into steadily circulating currents. The archetype for this class of systems is a colloidal sphere in an optical tweezer. Trapped near the focus of a strongly converging beam of light, the particle is displaced by random thermal kicks into the nonconservative part of the optical force field arising from radiation pressure, which then biases its diffusion. Assuming the particle remains localized within the trap, its time-averaged trajectory traces out a toroidal vortex. Unlike trivial Brownian vortexes, such as the biased Brownian pendulum, which circulate preferentially in the direction of the bias, the general Brownian vortex can change direction and even topology in response to temperature changes. Here we introduce a theory based on a perturbative expansion of the Fokker-Planck equation for weak nonconservative driving. The first-order solution takes the form of a modified Boltzmann relation and accounts for the rich phenomenology observed in experiments on micrometer-scale colloidal spheres in optical tweezers. PMID:26172698
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.
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.
Stochastic flows in the Brownian web and net
Czech Academy of Sciences Publication Activity Database
Schertzer, E.; Sun, R.; Swart, Jan M.
2014-01-01
Roč. 227, č. 1065 (2014), s. 1-160. ISSN 0065-9266 R&D Projects: GA ČR GA201/07/0237; GA ČR GA201/09/1931 Institutional support: RVO:67985556 Keywords : Brownian web * Brownian net * stochastic flow of kernels * measure-valued process * Howitt-Warren flow * linear system * random walk in random environment * finite graph representation Subject RIV: BA - General Mathematics Impact factor: 1.727, year: 2014 http://library.utia.cas.cz/separaty/2013/SI/swart-0396636.pdf
Jakubowski, Jacek
2011-01-01
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of special functional of geometric Brownian motion using the squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of the above we obtain computable formulas for certain expectations of the concerned functional. As an example we find the moments of processes representing an asset price in the lognormal volatility ans Stein models. We also present links among the geometric Brownian motion, the Markov processes studied by Matsumoto and Yor and the hyperbolic Bessel processes.
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. PMID:11969723
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.
The maximum of Brownian motion with parabolic drift
Janson, Svante; Louchard, Guy; Martin-Löf, Anders
2010-01-01
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. We give new series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.
Hänggi, Peter; Marchesoni, Fabio
2005-01-01
In the year 1905 Albert Einstein published four papers that raised him to a giant in the history of science of all times. These works encompass the photon hypothesis (for which he obtained the Nobel prize in 1921), his first two papers on (special) relativity theory and, of course, his first paper on Brownian motion, entitled "\\"Uber die von der molekularkinetischen Theorie der W\\"arme geforderte Bewegung von in ruhenden Fl\\"ussigkeiten suspendierten Teilchen'' (submitted on May 11, 1905). Th...
Cooperative Transport of Brownian Particles
Derenyi, Imre; Vicsek, Tamas
1998-01-01
We consider the collective motion of finite-sized, overdamped Brownian particles (e.g., motor proteins) in a periodic potential. Simulations of our model have revealed a number of novel cooperative transport phenomena, including (i) the reversal of direction of the net current as the particle density is increased and (ii) a very strong and complex dependence of the average velocity on both the size and the average distance of the particles.
Kingman's coalescent and Brownian motion
Berestycki, J.; Berestycki, N
2009-01-01
We describe a simple construction of Kingman's coalescent in terms of a Brownian excursion. This construction is closely related to, and sheds some new light on, earlier work by Aldous and Warren. Our approach also yields some new results: for instance, we obtain the full multifractal spectrum of Kingman's coalescent. This complements earlier work on Beta-coalescents by the authors and Schweinsberg. Surprisingly, the thick part of the spectrum is not obtained by taking the limit as $\\alpha \\t...
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.
G- Brownian motion and Its Applications
EBRAHIMBEYGI, Atena; DASTRANJ, Elham
2015-01-01
Abstract. The concept of G-Brownian motion and G-Ito integral has been introduced by Peng. Also Ito isometry lemma is proved for Ito integral and Brownian motion. In this paper we first investigate the Ito isometry lemma for G-Brownian motion and G-Ito Integral. Then after studying of MG2,0-class functions [4], we introduce Stratonovich integral for G-Brownian motion,say G- Stratonovich integral. Then we present a special construction for G- Stratonovich integral.
Maximum of a Fractional Brownian Motion: Analytic Results from Perturbation Theory.
Delorme, Mathieu; Wiese, Kay Jörg
2015-11-20
Fractional Brownian motion is a non-Markovian Gaussian process X_{t}, indexed by the Hurst exponent H. It generalizes standard Brownian motion (corresponding to H=1/2). We study the probability distribution of the maximum m of the process and the time t_{max} at which the maximum is reached. They are encoded in a path integral, which we evaluate perturbatively around a Brownian, setting H=1/2+ϵ. This allows us to derive analytic results beyond the scaling exponents. Extensive numerical simulations for different values of H test these analytical predictions and show excellent agreement, even for large ϵ. PMID:26636835
Pricing European option under the time-changed mixed Brownian-fractional Brownian model
Guo, Zhidong; Yuan, Hongjun
2014-07-01
This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
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. PMID:16997210
Quantum trajectories for Brownian motion
Strunz, W T; Gisin, Nicolas; Yu, T; Strunz, Walter T.; Diosi, Lajos; Gisin, Nicolas
1999-01-01
We present the stochastic Schroedinger equation for the dynamics of a quantum particle coupled to a high temperature environment and apply it the dynamics of a driven, damped, nonlinear quantum oscillator. Apart from an initial slip on the environmental memory time scale, in the mean, our result recovers the solution of the known non-Lindblad quantum Brownian motion master equation. A remarkable feature of our approach is its localization property: individual quantum trajectories remain localized wave packets for all times, even for the classically chaotic system considered here, the localization being stronger the smaller $\\hbar$.
Intersection Exponents for Planar Brownian Motion
Lawler, Gregory F.; Werner, Wendelin
1999-01-01
We derive properties concerning all intersection exponents for planar Brownian motion and we define generalized exponents that, loosely speaking, correspond to noninteger numbers of Brownian paths. Some of these properties lead to general conjectures concerning the exact value of these exponents.
Nonlinear Brownian motion - mean square displacement
Directory of Open Access Journals (Sweden)
W.Ebeling
2004-01-01
Full Text Available The stochastic dynamics of self-propelled Brownian particles is studied by means of the Langevin and the Fokker-Planck approach. We model the driving by a nonlinear friction function which has a negative part at small velocities, leading to active Brownian motion of the particles. The mean square displacement is estimated analytically and compared with numerical simulations.
Dimensional Properties of Fractional Brownian Motion
Institute of Scientific and Technical Information of China (English)
Dong Sheng WU; Yi Min XIAO
2007-01-01
Let Bα = {Bα(t),t ∈ RN} be an (N,d)-fractional Brownian motion with Hurst index α∈ (0, 1). By applying the strong local nondeterminism of Bα, we prove certain forms of uniform Hausdorff dimension results for the images of Bα when N > αd. Our results extend those of Kaufman for one-dimensional Brownian motion.
Communication: Memory effects and active Brownian diffusion
International Nuclear Information System (INIS)
A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer’s diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer’s propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer’s axis. The corresponding swimmer’s diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed
From Molecular Dynamics to Brownian Dynamics
Erban, Radek
2014-01-01
Three coarse-grained molecular dynamics (MD) models are investigated with the aim of developing and analyzing multiscale methods which use MD simulations in parts of the computational domain and (less detailed) Brownian dynamics (BD) simulations in the remainder of the domain. The first MD model is formulated in one spatial dimension. It is based on elastic collisions of heavy molecules (e.g. proteins) with light point particles (e.g. water molecules). Two three-dimensional MD models are then investigated. The obtained results are applied to a simplified model of protein binding to receptors on the cellular membrane. It is shown that modern BD simulators of intracellular processes can be used in the bulk and accurately coupled with a (more detailed) MD model of protein binding which is used close to the membrane.
Communication: Memory effects and active Brownian diffusion.
Ghosh, Pulak K; Li, Yunyun; Marchegiani, Giampiero; Marchesoni, Fabio
2015-12-01
A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer's diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer's propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer's axis. The corresponding swimmer's diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed. PMID:26646861
Communication: Memory effects and active Brownian diffusion
Energy Technology Data Exchange (ETDEWEB)
Ghosh, Pulak K. [Department of Chemistry, Presidency University, Kolkata 700073 (India); Li, Yunyun, E-mail: yunyunli@tongji.edu.cn [Center for Phononics and Thermal Energy Science, Tongji University, Shanghai 200092 (China); Marchegiani, Giampiero [Dipartimento di Fisica, Università di Camerino, I-62032 Camerino (Italy); Marchesoni, Fabio [Center for Phononics and Thermal Energy Science, Tongji University, Shanghai 200092 (China); Dipartimento di Fisica, Università di Camerino, I-62032 Camerino (Italy)
2015-12-07
A self-propelled artificial microswimmer is often modeled as a ballistic Brownian particle moving with constant speed aligned along one of its axis, but changing direction due to random collisions with the environment. Similarly to thermal noise, its angular randomization is described as a memoryless stochastic process. Here, we speculate that finite-time correlations in the orientational dynamics can affect the swimmer’s diffusivity. To this purpose, we propose and solve two alternative models. In the first one, we simply assume that the environmental fluctuations governing the swimmer’s propulsion are exponentially correlated in time, whereas in the second one, we account for possible damped fluctuations of the propulsion velocity around the swimmer’s axis. The corresponding swimmer’s diffusion constants are predicted to get, respectively, enhanced or suppressed upon increasing the model memory time. Possible consequences of this effect on the interpretation of the experimental data are discussed.
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.
Brownian motion meets Riemann curvature
International Nuclear Information System (INIS)
The general covariance of the diffusion equation is exploited in order to explore the curvature effects appearing in Brownian motion over a d-dimensional curved manifold. We use the local frame defined by the so-called Riemann normal coordinates to derive a general formula for the mean-square geodesic distance (MSD) at the short-time regime. This formula is written in terms of O(d) invariants that depend on the Riemann curvature tensor. We study the n-dimensional sphere case to validate these results. We also show that the diffusion for positive constant curvature is slower than the diffusion in a plane space, while the diffusion for negative constant curvature turns out to be faster. Finally the two-dimensional case is emphasized, as it is relevant for single-particle diffusion on biomembranes
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.
Renewal Structure of the Brownian Taut String
Schertzer, Emmanuel
2015-01-01
In a recent paper, M. Lifshits and E. Setterqvist introduced the taut string of a Brownian motion $w$, defined as the function of minimal quadratic energy on $[0,T]$ staying in a tube of fixed width $h>0$ around $w$. The authors showed a Law of Large Number (L.L.N.) for the quadratic energy spent by the string for a large time $T$. In this note, we exhibit a natural renewal structure for the Brownian taut string, which is directly related to the time decomposition of the Brownian motion in te...
The maximum of Brownian motion with parabolic drift (Extended abstract)
Janson, Svante; Louchard, Guy; Martin-Löf, Anders
2010-01-01
We study the maximum of a Brownian motion with a parabolic drift; this is a random variable that often occurs as a limit of the maximum of discrete processes whose expectations have a maximum at an interior point. This has some applications in algorithmic and data structures analysis. We give series expansions and integral formulas for the distribution and the first two moments, together with numerical values to high precision.
Onsager coefficients of a Brownian Carnot cycle
Izumida, Yuki; Okuda, Koji
2010-01-01
We study a Brownian Carnot cycle introduced by T. Schmiedl and U. Seifert [Europhys. Lett. \\textbf{81}, 20003 (2008)] from a viewpoint of the linear irreversible thermodynamics. By considering the entropy production rate of this cycle, we can determine thermodynamic forces and fluxes of the cycle and calculate the Onsager coefficients for general protocols, that is, arbitrary schedules to change the potential confining the Brownian particle. We show that these Onsager coefficients contain the...
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...
Coulomb Friction Driving Brownian Motors
International Nuclear Information System (INIS)
We review a family of models recently introduced to describe Brownian motors under the influence of Coulomb friction, or more general non-linear friction laws. It is known that, if the heat bath is modeled as the usual Langevin equation (linear viscosity plus white noise), additional non-linear friction forces are not sufficient to break detailed balance, i.e. cannot produce a motor effect. We discuss two possibile mechanisms to elude this problem. A first possibility, exploited in several models inspired to recent experiments, is to replace the heat bath's white noise by a “collisional noise”, that is the effect of random collisions with an external equilibrium gas of particles. A second possibility is enlarging the phase space, e.g. by adding an external potential which couples velocity to position, as in a Klein—Kramers equation. In both cases, non-linear friction becomes sufficient to achieve a non-equilibrium steady state and, in the presence of an even small spatial asymmetry, a motor effect is produced. (general)
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.
Lectures from Markov processes to Brownian motion
Chung, Kai Lai
1982-01-01
This book evolved from several stacks of lecture notes written over a decade and given in classes at slightly varying levels. In transforming the over lapping material into a book, I aimed at presenting some of the best features of the subject with a minimum of prerequisities and technicalities. (Needless to say, one man's technicality is another's professionalism. ) But a text frozen in print does not allow for the latitude of the classroom; and the tendency to expand becomes harder to curb without the constraints of time and audience. The result is that this volume contains more topics and details than I had intended, but I hope the forest is still visible with the trees. The book begins at the beginning with the Markov property, followed quickly by the introduction of option al times and martingales. These three topics in the discrete parameter setting are fully discussed in my book A Course In Probability Theory (second edition, Academic Press, 1974). The latter will be referred to throughout this book ...
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).
Conditional limit theorems for regulated fractional Brownian motion
Awad, Hernan; 10.1214/09-AAP605
2009-01-01
We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value $b$, we provide the limiting distribution for the amount of time that the workload process spends above level $b$ over the busy cycle straddling the origin, as $b\\to\\infty$. Our results can be interpreted as showing that long delays occur in large clumps of size of order $b^{2-1/H}$. The conditional limit result involves a finer scaling of the queueing process than fluid analysis, thereby departing from previous related literature.
Quantum Brownian motion in a bath of parametric oscillators a model for system-field interactions
Hu, B L; Andrew Matacz
1993-01-01
The quantum Brownian motion paradigm provides a unified framework where one can see the interconnection of some basic quantum statistical processes like decoherence, dissipation, particle creation, noise and fluctuation. We treat the case where the Brownian particle is coupled linearly to a bath of time dependent quadratic oscillators. While the bath mimics a scalar field, the motion of the Brownian particle modeled by a single oscillator could be used to depict the behavior of a particle detector, a quantum field mode or the scale factor of the universe. An important result of this paper is the derivation of the influence functional encompassing the noise and dissipation kernels in terms of the Bogolubov coefficients. This method enables one to trace the source of statistical processes like decoherence and dissipation to vacuum fluctuations and particle creation, and in turn impart a statistical mechanical interpretation of quantum field processes. With this result we discuss the statistical mechanical origi...
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
A Brownian model for recurrent volcanic eruptions: an application to Miyakejima volcano (Japan)
Garcia-Aristizabal, Alexander; Marzocchi, Warner; Fujita, Eisuke
2012-03-01
The definition of probabilistic models as mathematical structures to describe the response of a volcanic system is a plausible approach to characterize the temporal behavior of volcanic eruptions and constitutes a tool for long-term eruption forecasting. This kind of approach is motivated by the fact that volcanoes are complex systems in which a completely deterministic description of the processes preceding eruptions is practically impossible. To describe recurrent eruptive activity, we apply a physically motivated probabilistic model based on the characteristics of the Brownian passage-time (BPT) distribution; the physical process defining this model can be described by the steady rise of a state variable from a ground state to a failure threshold; adding Brownian perturbations to the steady loading produces a stochastic load-state process (a Brownian relaxation oscillator) in which an eruption relaxes the load state to begin a new eruptive cycle. The Brownian relaxation oscillator and Brownian passage-time distribution connect together physical notions of unobservable loading and failure processes of a point process with observable response statistics. The Brownian passage-time model is parameterized by the mean rate of event occurrence, μ, and the aperiodicity about the mean, α. We apply this model to analyze the eruptive history of Miyakejima volcano, Japan, finding a value of 44.2 (±6.5 years) for the μ parameter and 0.51 (±0.01) for the (dimensionless) α parameter. The comparison with other models often used in volcanological literature shows that this physically motivated model may be a good descriptor of volcanic systems that produce eruptions with a characteristic size. BPT is clearly superior to the Exponential distribution, and the fit to the data is comparable to other two-parameters models. Nonetheless, being a physically motivated model, it provides an insight into the macro-mechanical processes driving the system.
Generalized Einstein Relation for Brownian Motion in Tilted Periodic Potential
Sakaguchi, Hidetsugu
2006-01-01
A generalized Einstein relation is studied for Brownian motion in a tilted potential. The exact form of the diffusion constant of the Brownian motion is compared with the generalized Einstein relation. The generalized Einstein relation is a good approximation in a parameter range where the Brownian motion exhibits stepwise motion.
Kolmogorov complexity and the geometry of Brownian motion
Fouche, Willem L.
2014-01-01
In this paper, we continue the study of the geometry of Brownian motions which are encoded by Kolmogorov-Chaitin random reals (complex oscillations). We unfold Kolmogorov-Chaitin complexity in the context of Brownian motion and specifically to phenomena emerging from the random geometric patterns generated by a Brownian motion.
Magnetization direction in the Heisenberg model exhibiting fractional Brownian motion
DEFF Research Database (Denmark)
Zhang, Zhengping; Mouritsen, Ole G.; Zuckermann, Martin J.
1993-01-01
ferromagnetic phase characterizing fractional Brownian motion, whereas a value H congruent-to 0. 5, reflecting ordinary Brownian motion, applies in the paramagnetic phase. A field-induced crossover from fractional to ordinary Brownian motion has been observed in the ferromagnetic phase....
International Nuclear Information System (INIS)
Single-file diffusion behaves as normal diffusion at small time and as subdiffusion at large time. These properties can be described in terms of fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We introduce a new stochastic process called Riemann–Liouville step fractional Brownian motion which can be regarded as a special case of multifractional Brownian motion with a step function type of Hurst exponent tailored for single-file diffusion. Such a step fractional Brownian motion can be obtained as a solution of the fractional Langevin equation with zero damping. Various kinds of fractional Langevin equations and their generalizations are then considered in order to decide whether their solutions provide the correct description of the long and short time behaviors of single-file diffusion. The cases where the dissipative memory kernel is a Dirac delta function, a power-law function and a combination of these functions are studied in detail. In addition to the case where the short time behavior of single-file diffusion behaves as normal diffusion, we also consider the possibility of a process that begins as ballistic motion
Altintas, Ersin; Böhringer, Karl F.; Fujita, Hiroyuki
2008-11-01
Nanosystems operating in liquid media may suffer from random Brownian motion due to thermal fluctuations. Biomolecular motors exploit these random fluctuations to generate a controllable directed movement. Inspired by nature, we proposed and realized a nano-system based on Brownian motion of nanobeads for linear transport in microfluidic channels. The channels limit the degree-of-freedom of the random motion of beads into one dimension, which was rectified by a three-phase dielectrophoretic ratchet biasing the spatial probability distribution of the nanobead towards the transportation direction. We micromachined the proposed device and experimentally traced the rectified motion of nanobeads and observed the shift in the bead distribution as a function of applied voltage. We identified three regions of operation; (1) a random motion region, (2) a Brownian motor region, and (3) a pure electric actuation region. Transportation in the Brownian motor region required less applied voltage compared to the pure electric transport.
Permutation entropy of fractional Brownian motion and fractional Gaussian noise
International Nuclear Information System (INIS)
We have worked out theoretical curves for the permutation entropy of the fractional Brownian motion and fractional Gaussian noise by using the Bandt and Shiha [C. Bandt, F. Shiha, J. Time Ser. Anal. 28 (2007) 646] theoretical predictions for their corresponding relative frequencies. Comparisons with numerical simulations show an excellent agreement. Furthermore, the entropy-gap in the transition between these processes, observed previously via numerical results, has been here theoretically validated. Also, we have analyzed the behaviour of the permutation entropy of the fractional Gaussian noise for different time delays
Theory of Brownian motion with the Alder-Wainwright effect
International Nuclear Information System (INIS)
The Stokes-Boussinesq-Langevin equation, which describes the time evolution of Brownian motion with the Alder-Wainwright effect, can be treated in the framework of the theory of KMO-Langevin equations which describe the time evolution of a real, stationary Gaussian process with T-positivity (reflection positivity) originating in axiomatic quantum field theory. After proving the fluctuation-dissipation theorems for KMO-Langevin equations, the authors obtain an explicit formula for the deviation from the classical Einstein relation that occurs in the Stokes-Boussinesq-Langevin equation with a white noise as its random force. The authors interested in whether or not it can be measured experimentally
Planar aggregation and the coalescing Brownian flow
Norris, James; Turner, Amanda
2008-01-01
We study a scaling limit associated to a model of planar aggregation. The model is obtained by composing certain independent random conformal maps. The evolution of harmonic measure on the boundary of the cluster is shown to converge to the coalescing Brownian flow.
Brownian shape motion: Fission fragment mass distributions
Sierk Arnold J.; Randrup Jørgen; Möller Peter
2012-01-01
It was recently shown that remarkably accurate fission-fragment mass distributions can be obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potential-energy surfaces; the current status of this novel method is described here.
Brownian shape motion: Fission fragment mass distributions
Directory of Open Access Journals (Sweden)
Sierk Arnold J.
2012-02-01
Full Text Available It was recently shown that remarkably accurate fission-fragment mass distributions can be obtained by treating the nuclear shape evolution as a Brownian walk on previously calculated five-dimensional potential-energy surfaces; the current status of this novel method is described here.
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
Chaos, Dissipation and Quantal Brownian Motion
Cohen, Doron
1999-01-01
Energy absorption by driven chaotic systems, the theory of energy spreading and quantal Brownian motion are considered. In particular we discuss the theory of a classical particle that interacts with quantal chaotic degrees of freedom, and try to relate it to the problem of quantal particle that interacts with an effective harmonic bath.
Engineering Autonomous Chemomechanical Nanomachines Using Brownian Ratchets
Lavella, Gabriel
Nanoscale machines which directly convert chemical energy into mechanical work are ubiquitous in nature and are employed to perform a diverse set of tasks such as transporting molecules, maintaining molecular gradients, and providing motion to organisms. Their widespread use in nature suggests that large technological rewards can be obtained by designing synthetic machines that use similar mechanisms. This thesis addresses the technological adaptation of a specific mechanism known as the Brownian ratchet for the design of synthetic autonomous nanomachines. My efforts were focused more specifically on synthetic chemomechanical ratchets which I deem will be broadly applicable in the life sciences. In my work I have theoretically explored the biophysical mechanisms and energy landscapes that give rise to the ratcheting phenomena and devised devices that operate off these principles. I demonstrate two generations of devices that produce mechanical force/deformation in response to a user specified ligand. The first generation devices, fabricatied using a combination nanoscale lithographic processes and bioconjugation techniques, were used to provide evidence that the proposed ratcheting phenomena can be exploited in synthetic architectures. Second generation devices fabricated using self-assembled DNA/hapten motifs were constructed to gain a precise understanding of ratcheting dynamics and design constraints. In addition, the self-assembled devices enabled fabrication en masse, which I feel will alleviate future experimental hurdles in analysis and facilitate its adaptation to technologies. The product of these efforts is an architecture that has the potential to enable numerous technologies in biosensing and drug delivery. For example, the coupling of molecule-specific actuation to the release of drugs or signaling molecules from nanocapsules or porous materials could be transformative. Such architectures could provide possible avenues to pressing issues in biology and
Assessing relative volatility/intermittency/energy dissipation
DEFF Research Database (Denmark)
Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; Schmiegel, Jürgen
2014-01-01
process in particular. This estimation method is motivated by the assessment of relative energy dissipation in empirical data of turbulence, but it is also applicable in other areas. We develop a probabilistic asymptotic theory for realised relative power variations of Brownian semistationary processes......, and introduce inference methods based on the theory. We also discuss how to extend the asymptotic theory to other classes of processes exhibiting stochastic volatility/intermittency. As an empirical application, we study relative energy dissipation in data of atmospheric turbulence.......We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated by a non-semimartingale, or a Brownian semistationary...
Millen, J; Deesuwan, T; Barker, P; Anders, J
2014-06-01
Einstein realized that the fluctuations of a Brownian particle can be used to ascertain the properties of its environment. A large number of experiments have since exploited the Brownian motion of colloidal particles for studies of dissipative processes, providing insight into soft matter physics and leading to applications from energy harvesting to medical imaging. Here, we use heated optically levitated nanospheres to investigate the non-equilibrium properties of the gas surrounding them. Analysing the sphere's Brownian motion allows us to determine the temperature of the centre-of-mass motion of the sphere, its surface temperature and the heated gas temperature in two spatial dimensions. We observe asymmetric heating of the sphere and gas, with temperatures reaching the melting point of the material. This method offers opportunities for accurate temperature measurements with spatial resolution on the nanoscale, and provides a means for testing non-equilibrium thermodynamics. PMID:24793558
The inviscid Burgers equation with initial data of Brownian type
She, Zhen-Su; Aurell, Erik; Frisch, Uriel
1992-09-01
The solutions to Burgers equation, in the limit of vanishing viscosity, are investigated when the initial velocity is a Brownian motion (or fractional Brownian motion) function, i.e. a Gaussian process with scaling exponent 0< h<1 (type A) or the derivative thereof, with scaling exponent -1< h<0 (type B). Largesize numerical experiments are performed, helped by the fact that the solution is essentially obtained by performing a Legendre transform. The main result is obtained for type A and concerns the Lagrangian function x(a) which gives the location at time t=1 of the fluid particle which started at the location a. It is found to be a complete Devil's staircase. The cumulative probability of Lagrangian shock intervals Δ a (also the distribution of shock amplitudes) follows a ( Δa)- h law for small Δ a. The remaining (regular) Lagrangian locations form a Cantor set of dimension h. In Eulerian coordinates, the shock locations are everywhere dense. The scaling properties of various statistical quantities are also found. Heuristic interpretations are provided for some of these results. Rigorous results for the case of Brownian motion are established in a companion paper by Ya. Sinai. For type B initial velocities (e.g. white noise), there are very few small shocks and shock locations appear to be isolated. Finally, it is shown that there are universality classes of random but smooth (non-scaling) initial velocities such that the long-time large-scale behavior is, after rescaling, the same as for type A or B.
Pitman, Jim
1999-01-01
For a random process $X$ consider the random vector defined by the values of $X$ at times $0 \\lt U_{n,1} \\lt ... \\lt U_{n,n} \\lt 1$ and the minimal values of $X$ on each of the intervals between consecutive pairs of these times, where the $U_{n,i}$ are the order statistics of $n$ independent uniform $(0,1)$ variables, independent of $X$. The joint law of this random vector is explicitly described when $X$ is a Brownian motion. Corresponding results for Brownian bridge, excursion, and meander ...
Anomalous diffusion as modeled by a nonstationary extension of Brownian motion
Cushman, John H.; O'Malley, Daniel; Park, Moongyu
2009-03-01
If the mean-square displacement of a stochastic process is proportional to tβ , β≠1 , then it is said to be anomalous. We construct a family of Markovian stochastic processes with independent nonstationary increments and arbitrary but a priori specified mean-square displacement. We label the family as an extended Brownian motion and show that they satisfy a Langevin equation with time-dependent diffusion coefficient. If the time derivative of the variance of the process is homogeneous, then by computing the fractal dimension it can be shown that the complexity of the family is the same as that of the Brownian motion. For two particles initially separated by a distance x , the finite-size Lyapunov exponent (FSLE) measures the average rate of exponential separation to a distance ax . An analytical expression is developed for the FSLEs of the extended Brownian processes and numerical examples presented. The explicit construction of these processes illustrates that contrary to what has been stated in the literature, a power-law mean-square displacement is not necessarily related to a breakdown in the classical central limit theorem (CLT) caused by, for example, correlation (fractional Brownian motion or correlated continuous-time random-walk schemes) or infinite variance (Levy motion). The classical CLT, coupled with nonstationary increments, can and often does give rise to power-law moments such as the mean-square displacement.
Narrow escape for a stochastically gated Brownian ligand.
Reingruber, Jürgen; Holcman, David
2010-02-17
Molecular activation in cellular microdomains is usually characterized by a forward binding rate, which is the reciprocal of the arrival time of a ligand to a key target. Upon chemical interactions or conformational changes, a Brownian ligand may randomly switch between different states, and when target activation is possible in a specific state only, switching can significantly alter the activation process. The main goal of this paper is to study the mean time for a switching ligand to activate a small substrate, modelled as the time to exit a microdomain through a small absorbing window on the surface. We present the equations for the mean sojourn times the ligand spends in each state, and study the escape process with switching between two states in dimension one and three. When the ligand can exit in only one of the two states, we find that switching always decreases its sojourn time in the state where it can exit. Moreover, the fastest exit is obtained when the ligand diffuses most of the time in the state with the maximal diffusion coefficient, although this may imply that it spends most of the time 'hidden' in the state where it cannot exit. We discuss the physical mechanisms responsible for this apparent paradox. In dimension three we confirm our results with Brownian simulations. Finally, we suggest possible applications in cellular biology. PMID:21389363
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 Thermal Noise in Multilayer Coated Mirrors
Hong, Ting; Gustafson, Eric K; Adhikari, Rana X; Chen, Yanbei
2012-01-01
We analyze the Brownian thermal noise of a multi-layer dielectric coating, used in high-precision optical measurements including interferometric gravitational-wave detectors. We assume the coating material to be isotropic, and therefore study thermal noises arising from shear and bulk losses of the coating materials. We show that coating noise arises not only from layer thickness fluctuations, but also from fluctuations of the interface between the coating and substrate, driven by internal fluctuating stresses of the coating. In addition, the non-zero photoeleastic coefficients of the thin films modifies the influence of the thermal noise on the laser field. The thickness fluctuations of different layers are statistically independent, however, there exists a finite coherence between layers and the substrate-coating interface. Taking into account uncertainties in material parameters, we show that significant uncertainties still exist in estimating coating Brownian noise.
Modeling an efficient Brownian heat engine
Asfaw, Mesfin
2008-09-01
We discuss the effect of subdividing the ratchet potential on the performance of a tiny Brownian heat engine that is modeled as a Brownian particle hopping in a viscous medium in a sawtooth potential (with or without load) assisted by alternately placed hot and cold heat baths along its path. We show that the velocity, the efficiency and the coefficient of performance of the refrigerator maximize when the sawtooth potential is subdivided into series of smaller connected barrier series. When the engine operates quasistatically, we analytically show that the efficiency of the engine can not approach the Carnot efficiency and, the coefficient of performance of the refrigerator is always less than the Carnot refrigerator due to the irreversible heat flow via the kinetic energy.
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.
Brownian thermal noise in multilayer coated mirrors
Hong, Ting; Yang, Huan; Gustafson, Eric K.; Adhikari, Rana X.; Chen, Yanbei
2013-04-01
We analyze the Brownian thermal noise of a multilayer dielectric coating used in high-precision optical measurements, including interferometric gravitational-wave detectors. We assume the coating material to be isotropic, and therefore study thermal noises arising from shear and bulk losses of the coating materials. We show that coating noise arises not only from layer thickness fluctuations, but also from fluctuations of the interface between the coating and substrate, driven by fluctuating shear stresses of the coating. Although thickness fluctuations of different layers are statistically independent, there exists a finite coherence between the layers and the substrate-coating interface. In addition, photoelastic coefficients of the thin layers (so far not accurately measured) further influence the thermal noise, although at a relatively low level. Taking into account uncertainties in material parameters, we show that significant uncertainties still exist in estimating coating Brownian noise.
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.
Holographic Brownian Motion at Finite Density
Banerjee, Pinaki
2015-01-01
We study holographic Brownian motion of a heavy charged particle at zero and small (but finite) temperature in presence of finite density. We are primarily interested in the dynamics at (near) zero temperature which is holographically described by motion of a fundamental string in an (near-) extremal RN black hole. We compute analytically the functional form of retarded Green's function and also compare that numerically at leading order in small frequency.
Frustrated Brownian Motion of Nonlocal Solitary Waves
International Nuclear Information System (INIS)
We investigate the evolution of solitary waves in a nonlocal medium in the presence of disorder. By using a perturbational approach, we show that an increasing degree of nonlocality may largely hamper the Brownian motion of self-trapped wave packets. The result is valid for any kind of nonlocality and in the presence of nonparaxial effects. Analytical predictions are compared with numerical simulations based on stochastic partial differential equations.
The quantum brownian particle and memory effects
International Nuclear Information System (INIS)
The Quantum Brownian particle, immersed in a heat bath, is described by a statistical operator whose evolution is ruled by a Generalized Master Equation (GME). The heat bath degrees of freedom are considered to be either white noise or coloured noise correlated,while the GME is considered under either the Markov or Non-Markov approaches. The comparison between these considerations are fully developed and their physical meaning is discussed. (author)
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 scales the particles are slowed down as a result of trapping in elastic cages formed by the polymer chains, while at longer times the motion is diffusive again, but with a much smaller diffusion c...
Intrinsic and extrinsic measurement for Brownian motion
International Nuclear Information System (INIS)
Based upon the Smoluchowski equation on curved manifolds, three physical observables are considered for Brownian displacement, namely geodesic displacement s, Euclidean displacement δR, and projected displacement δR⊥. The Weingarten–Gauss equations are used to calculate the mean-square Euclidean displacements in the short-time regime. Our findings show that from an extrinsic point of view the geometry of the space affects the Brownian motion in such a way that the particle’s diffusion is decelerated, contrasting with the intrinsic point of view where dynamics is controlled by the sign of the Gaussian curvature (Castro-Villarreal, 2010 J. Stat. Mech. P08006). Furthermore, it is possible to give exact formulas for 〈δR〉 and 〈δR2〉 on spheres and minimal surfaces, which are valid for all values of time. In the latter case, surprisingly, Brownian motion corresponds to the usual diffusion in flat geometries, albeit minimal surfaces have non-zero Gaussian curvature. Finally, the two-dimensional case is emphasized due to its close relation to surface self-diffusion in fluid membranes. (paper)
Optimum analysis of a Brownian refrigerator.
Luo, X G; Liu, N; He, J Z
2013-02-01
A Brownian refrigerator with the cold and hot reservoirs alternating along a space coordinate is established. The heat flux couples with the movement of the Brownian particles due to an external force in the spatially asymmetric but periodic potential. After using the Arrhenius factor to describe the behaviors of the forward and backward jumps of the particles, the expressions for coefficient of performance (COP) and cooling rate are derived analytically. Then, through maximizing the product of conversion efficiency and heat flux flowing out, a new upper bound only depending on the temperature ratio of the cold and hot reservoirs is found numerically in the reversible situation, and it is a little larger than the so-called Curzon and Ahlborn COP ε(CA)=(1/√[1-τ])-1. After considering the irreversible factor owing to the kinetic energy change of the moving particles, we find the optimized COP is smaller than ε(CA) and the external force even does negative work on the Brownian particles when they jump from a cold to hot reservoir. PMID:23496491
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.
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．
Energy Technology Data Exchange (ETDEWEB)
Plyukhin, A.V., E-mail: aplyukhin@anselm.edu [Department of Mathematics, Saint Anselm College, Manchester, NH 03102 (United States)
2013-06-03
A model of an autonomous isothermal Brownian motor with an internal propulsion mechanism is considered. The motor is a Brownian particle which is semi-transparent for molecules of surrounding ideal gas. Molecular passage through the particle is controlled by a potential similar to that in the transition rate theory, i.e. characterized by two stationary states with a finite energy difference separated by a potential barrier. The internal potential drop maintains the diode-like asymmetry of molecular fluxes through the particle, which results in the particle's stationary drift.
From Lagrangian to Brownian motion
International Nuclear Information System (INIS)
We present a Lagrangian describing an idealized liquid interacting with a particle immersed in it. We show that the equation describing the motion of the particle as a functional of the initial conditions of the liquid incorporates noise and friction, which are attributed to specific dynamical processes. The equation is approximated to yield a Langevin equation with parameters depending on the Lagrangian and the temperature of the liquid. The origin of irreversibility and dissipation is discussed
On a non-linear transformation between Brownian martingales
Shkolnikov, Mykhaylo
2012-01-01
The paper studies a non-linear transformation between Brownian martingales, which is given by the inverse of the pricing operator in the mathematical finance terminology. Subsequently, the solvability of systems of equations corresponding to such transformations is investigated. The latter give rise to novel monotone pathwise couplings of an arbitrary number of certain diffusion processes with varying diffusion coefficients. In the case that there is an uncountable number of these diffusion processes and that the index set is an interval such couplings can be viewed as models for the growth of one-dimensional random surfaces. With this motivation in mind, we derive the appropriate stochastic partial differential equations for the growth of such surfaces.
Langevin theory of anomalous Brownian motion made simple
International Nuclear Information System (INIS)
During the century from the publication of the work by Einstein (1905 Ann. Phys. 17 549) Brownian motion has become an important paradigm in many fields of modern science. An essential impulse for the development of Brownian motion theory was given by the work of Langevin (1908 C. R. Acad. Sci., Paris 146 530), in which he proposed an 'infinitely more simple' description of Brownian motion than that by Einstein. The original Langevin approach has however strong limitations, which were rigorously stated after the creation of the hydrodynamic theory of Brownian motion (1945). Hydrodynamic Brownian motion is a special case of 'anomalous Brownian motion', now intensively studied both theoretically and in experiments. We show how some general properties of anomalous Brownian motion can be easily derived using an effective method that allows one to convert the stochastic generalized Langevin equation into a deterministic Volterra-type integro-differential equation for the mean square displacement of the particle. Within the Gibbs statistics, the method is applicable to linear equations of motion with any kind of memory during the evolution of the system. We apply it to memoryless Brownian motion in a harmonic potential well and to Brownian motion in fluids, taking into account the effects of hydrodynamic memory. Exploring the mathematical analogy between Brownian motion and electric circuits, which are at nanoscales also described by the generalized Langevin equation, we calculate the fluctuations of charge and current in RLC circuits that are in contact with the thermal bath. Due to the simplicity of our approach it could be incorporated into graduate courses of statistical physics. Once the method is established, it allows bringing to the attention of students and effectively solving a number of attractive problems related to Brownian motion.
Quantum Brownian motion in a Landau level
Cobanera, E.; Kristel, P.; Morais Smith, C.
2016-06-01
Motivated by questions about the open-system dynamics of topological quantum matter, we investigated the quantum Brownian motion of an electron in a homogeneous magnetic field. When the Fermi length lF=ℏ /(vFmeff) becomes much longer than the magnetic length lB=(ℏc /e B ) 1 /2 , then the spatial coordinates X ,Y of the electron cease to commute, [X ,Y ] =i lB2 . As a consequence, localization of the electron becomes limited by Heisenberg uncertainty, and the linear bath-electron coupling becomes unconventional. Moreover, because the kinetic energy of the electron is quenched by the strong magnetic field, the electron has no energy to give to or take from the bath, and so the usual connection between frictional forces and dissipation no longer holds. These two features make quantum Brownian motion topological, in the regime lF≫lB , which is at the verge of current experimental capabilities. We model topological quantum Brownian motion in terms of an unconventional operator Langevin equation derived from first principles, and solve this equation with the aim of characterizing diffusion. While diffusion in the noncommutative plane turns out to be conventional, with the mean displacement squared being proportional to tα and α =1 , there is an exotic regime for the proportionality constant in which it is directly proportional to the friction coefficient and inversely proportional to the square of the magnetic field: in this regime, friction helps diffusion and the magnetic field suppresses all fluctuations. We also show that quantum tunneling can be completely suppressed in the noncommutative plane for suitably designed metastable potential wells, a feature that might be worth exploiting for storage and protection of quantum information.
Polar Functions of Multiparameter Bifractional Brownian Sheets
Institute of Scientific and Technical Information of China (English)
Zhen-long Chen
2009-01-01
Let BH,K={BH,K(t), t ∈RN+} be an (N,d)-bifractional Brownian sheet with Hurst indices for BH,Kare investigated. The relationship between the class of continuous functions satisfying the Lipschitz condition and the class of polar-functions of BH,Kis presented. The Hausdorff dimension of the fixed points and an inequality concerning the Kolmogorov's entropy index for BH,Kare obtained. A question proposed by LeGall about the existence of no-polar, continuous functions statisfying the Holder condition is also solved.
Brownian motion of particles in nematic fluids
Yao, Xuxia; Nayani, Karthik; Park, Jung; Srinivasarao, Mohan
2011-03-01
We studied the brownian motion of both charged and neutral polystyrene particles in two nematic fluids, a thermotropic liquid crystal, E7, and a lyotropic chromonic liquid crystal, Sunset Yellow FCF (SSY). Homogeneous planar alignment of E7 was easliy achieved by using rubbed polyimide film coated on the glass. For SSY planar mondomain, we used the capillary method recently developed in our lab. By tracking a single particle, the direction dependent diffussion coefficients and Stokes drag were measured in the nematic phase and isotropic phase for both systems.
Brownian transport in corrugated channels with inertia
Ghosh, P. K.; Hänggi, P.; Marchesoni, F.; Nori, F.; Schmid, G.
2012-08-01
Transport of suspended Brownian particles dc driven along corrugated narrow channels is numerically investigated in the regime of finite damping. We show that inertial corrections cannot be neglected as long as the width of the channel bottlenecks is smaller than an appropriate particle diffusion length, which depends on the the channel corrugation and the drive intensity. With such a diffusion length being inversely proportional to the damping constant, transport through sufficiently narrow obstructions turns out to be always sensitive to the viscosity of the suspension fluid. The inertia corrections to the transport quantifiers, mobility, and diffusivity markedly differ for smoothly and sharply corrugated channels.
Brownian transport in corrugated channels with inertia
Ghosh, P K; Marchesoni, F; Nori, F; Schmid, G; 10.1103/PhysRevE.86.021112
2012-01-01
The transport of suspended Brownian particles dc-driven along corrugated narrow channels is numerically investigated in the regime of finite damping. We show that inertial corrections cannot be neglected as long as the width of the channel bottlenecks is smaller than an appropriate particle diffusion length, which depends on the the channel corrugation and the drive intensity. Being such a diffusion length inversely proportional to the damping constant, transport through sufficiently narrow obstructions turns out to be always sensitive to the viscosity of the suspension fluid. The inertia corrections to the transport quantifiers, mobility and diffusivity, markedly differ for smoothly and sharply corrugated channels.
Arithmetic area for m planar Brownian paths
Desbois, Jean
2012-01-01
We pursue the analysis made in [1] on the arithmetic area enclosed by m closed Brownian paths. We pay a particular attention to the random variable S{n1,n2, ...,n} (m) which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2, ...,nm times by path m. Various results are obtained in the asymptotic limit m->infinity. A key observation is that, since the paths are independent, one can use in the m paths case the SLE information, valid in the 1-path case, on the 0-winding sectors arithmetic area.
Arithmetic area for m planar Brownian paths
Desbois, Jean; Ouvry, Stephane
2012-01-01
We pursue the analysis made in [1] on the arithmetic area enclosed by m closed Brownian paths. We pay a particular attention to the random variable S{n1,n2, ...,n} (m) which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2, ...,nm times by path m. Various results are obtained in the asymptotic limit m->infinity. A key observation is that, since the paths are independent, one can use in the m paths case the SLE informatio...
Langevin Theory of Anomalous Brownian Motion Made Simple
Tothova, Jana; Vasziova, Gabriela; Glod, Lukas; Lisy, Vladimir
2011-01-01
During the century from the publication of the work by Einstein (1905 "Ann. Phys." 17 549) Brownian motion has become an important paradigm in many fields of modern science. An essential impulse for the development of Brownian motion theory was given by the work of Langevin (1908 "C. R. Acad. Sci.", Paris 146 530), in which he proposed an…
The Stepping Motion of Brownian Particle Derived by Nonequilibrium Fluctuation
Institute of Scientific and Technical Information of China (English)
ZHAN Yong; ZHAO Tong-Jun; YU Hui; SONG Yan-Li; AN Hai-Long
2003-01-01
The direct motion of Brownian particle is considered as a result of system derived by external nonequilibriumfluctuating. The cooperative effects caused by asymmetric ratchet potential, external rocking force and additive colorednoise drive a Brownian particle in the directed stepping motion. This provides this kind of motion of kinesin along amicrotubule observed in experiments with a reasonable explanation.
Holographic Brownian motion and time scales in strongly coupled plasmas
A. Nata Atmaja; J. de Boer; M. Shigemori
2010-01-01
We study Brownian motion of a heavy quark in field theory plasma in the AdS/CFT setup and discuss the time scales characterizing the interaction between the Brownian particle and plasma constituents. In particular, the mean-free-path time is related to the connected 4-point function of the random fo
Magnetic fields and Brownian motion on the 2-sphere
International Nuclear Information System (INIS)
Using constrained path integrals, we study some statistical properties of Brownian paths on the two dimensional sphere. A generalized Levy's law for the probability P(A) that a closed Brownian path encloses an algebraic area A is obtained. Distributions of scaled variables related to the winding of paths around some fixed point are recovered in the asymptotic regime t → ∞
Tested Demonstrations. Brownian Motion: A Classroom Demonstration and Student Experiment.
Kirksey, H. Graden; Jones, Richard F.
1988-01-01
Shows how video recordings of the Brownian motion of tiny particles may be made. Describes a classroom demonstration and cites a reported experiment designed to show the random nature of Brownian motion. Suggests a student experiment to discover the distance a tiny particle travels as a function of time. (MVL)
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.
Transient cluster formation in sheared non-Brownian suspensions.
Thøgersen, Kjetil; Dabrowski, Marcin; Malthe-Sørenssen, Anders
2016-02-01
We perform numerical simulations of non-Brownian suspensions in the laminar flow regime to study the scaling behavior of particle clusters and collisions under shear. As the particle fraction approaches the maximum packing fraction, large transient clusters appear in the system. We use methods from percolation theory to discuss the cluster size distribution. We also give a scaling relation for the percolation threshold as well as system size effects through time-dependent fluctuations of this threshold and relate them to system size. System size effects are important close to the maximum packing fraction due to the divergence of the cluster length scale. We then investigate the transient nature of the clusters through characterization of particle collisions and show that collision times exhibit scale-invariant properties. Finally, we show that particle collision times can be modeled as first-passage processes. PMID:26986381
Differential dynamic microscopy to characterize Brownian motion and bacteria motility
Germain, David; Leocmach, Mathieu; Gibaud, Thomas
2016-03-01
We have developed a lab module for undergraduate students, which involves the process of quantifying the dynamics of a suspension of microscopic particles using Differential Dynamic Microscopy (DDM). DDM is a relatively new technique that constitutes an alternative method to more classical techniques such as dynamic light scattering (DLS) or video particle tracking (VPT). The technique consists of imaging a particle dispersion with a standard light microscope and a camera and analyzing the images using a digital Fourier transform to obtain the intermediate scattering function, an autocorrelation function that characterizes the dynamics of the dispersion. We first illustrate DDM in the textbook case of colloids under Brownian motion, where we measure the diffusion coefficient. Then we show that DDM is a pertinent tool to characterize biological systems such as motile bacteria.
Properties of Brownian Image Models in Scale-Space
DEFF Research Database (Denmark)
Pedersen, Kim Steenstrup
2003-01-01
law that apparently governs natural images. Furthermore, the distribution of Brownian images mapped into jet space is Gaussian and an analytical expression can be derived for the covariance matrix of Brownian images in jet space. This matrix is also a good approximation of the covariance matrix...... Brownian images) will be discussed in relation to linear scale-space theory, and it will be shown empirically that the second order statistics of natural images mapped into jet space may, within some scale interval, be modeled by the Brownian image model. This is consistent with the 1/f 2 power spectrum...... of natural images in jet space. The consequence of these results is that the Brownian image model can be used as a least committed model of the covariance structure of the distribution of natural images....
Brownian Warps for Non-Rigid Registration
DEFF Research Database (Denmark)
Nielsen, Mads; Johansen, Peter; Jackson, Andrew D.;
2008-01-01
A Brownian motion model in the group of diffeomorphisms has been introduced as inducing a least committed prior on warps. This prior is source-destination symmetric, fulfills a natural semi-group property for warps, and with probability 1 creates invertible warps. Using this as a least committed ...... images, and show that the obtained warps are also in practice source-destination symmetric and in an example on X-ray spine registration provides extrapolations from landmark point superior to those of spline solutions. Udgivelsesdato: July......A Brownian motion model in the group of diffeomorphisms has been introduced as inducing a least committed prior on warps. This prior is source-destination symmetric, fulfills a natural semi-group property for warps, and with probability 1 creates invertible warps. Using this as a least committed...... prior, we formulate a Partial Differential Equation for obtaining the maximally likely warp given matching constraints derived from the images. We solve for the free boundary conditions, and the bias toward smaller areas in the finite domain setting. Furthermore, we demonstrate the technique on 2D...
Dynamics and Efficiency of Brownian Rotors
Bauer, Wolfgang R
2008-01-01
Brownian rotors play an important role in biological systems and in future nano-technological applications. However the mechanisms determining their dynamics, efficiency and performance remain to be characterized. Here the F0 portion of the F-ATP synthase is considered as a paradigm of a Brownian rotor. In a generic analytical model we analyze the stochastic rotation of F0-like motors as a function of the driving free energy difference and of the free energy profile the rotor is subjected to. The latter is composed of the rotor interaction with its surroundings, of the free energy of chemical transitions, and of the workload. The dynamics and mechanical efficiency of the rotor depends on the magnitude of its stochastic motion driven by the free energy energy difference and its rectification on the reaction-diffusion path. We analyze which free energy profiles provide maximum flow and how their arrangement on the underlying reaction-diffusion path affects rectification and -- by this -- the efficiency.
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...
Beyond multifractional Brownian motion: new stochastic models for geophysical modelling
Lévy Véhel, J.
2013-09-01
Multifractional Brownian motion (mBm) has proved to be a useful tool in various areas of geophysical modelling. Although a versatile model, mBm is of course not always an adequate one. We present in this work several other stochastic processes which could potentially be useful in geophysics. The first alternative type is that of self-regulating processes: these are models where the local regularity is a function of the amplitude, in contrast to mBm where it is tuned exogenously. We demonstrate the relevance of such models for digital elevation maps and for temperature records. We also briefly describe two other types of alternative processes, which are the counterparts of mBm and of self-regulating processes when the intensity of local jumps is considered in lieu of local regularity: multistable processes allow one to prescribe the local intensity of jumps in space/time, while this intensity is governed by the amplitude for self-stabilizing processes.
Dynamical objectivity in quantum Brownian motion
Tuziemski, J.; Korbicz, J. K.
2015-11-01
Classical objectivity as a property of quantum states —a view proposed to explain the observer-independent character of our world from quantum theory, is an important step in bridging the quantum-classical gap. It was recently derived in terms of spectrum broadcast structures for small objects embedded in noisy photon-like environments. However, two fundamental problems have arisen: a description of objective motion and applicability to other types of environments. Here we derive an example of objective states of motion in quantum mechanics by showing the formation of dynamical spectrum broadcast structures in the celebrated, realistic model of decoherence —Quantum Brownian Motion. We do it for realistic, thermal environments and show their noise-robustness. This opens a potentially new method of studying the quantum-to-classical transition.
Arithmetic area for m planar Brownian paths
International Nuclear Information System (INIS)
We pursue the analysis made in Desbois and Ouvry (2011 J. Stat. Mech. P05024) on the arithmetic area enclosed by m closed Brownian paths. We pay particular attention to the random variable Sn1,n2,...,nm(m), which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2,..., and nm times by path m. Various results are obtained in the asymptotic limit m→∞. A key observation is that, since the paths are independent, one can use in the m-path case the SLE information, valid in the one-path case, on the zero-winding sectors arithmetic area
Arithmetic area for m planar Brownian paths
Desbois, Jean; Ouvry, Stéphane
2012-05-01
We pursue the analysis made in Desbois and Ouvry (2011 J. Stat. Mech. P05024) on the arithmetic area enclosed by m closed Brownian paths. We pay particular attention to the random variable Sn1, n2,..., nm(m), which is the arithmetic area of the set of points, also called winding sectors, enclosed n1 times by path 1, n2 times by path 2,..., and nm times by path m. Various results are obtained in the asymptotic limit m\\to \\infty . A key observation is that, since the paths are independent, one can use in the m-path case the SLE information, valid in the one-path case, on the zero-winding sectors arithmetic area.
Extreme fluctuations of active Brownian motion
Pietzonka, Patrick; Kleinbeck, Kevin; Seifert, Udo
2016-05-01
In active Brownian motion, an internal propulsion mechanism interacts with translational and rotational thermal noise and other internal fluctuations to produce directed motion. We derive the distribution of its extreme fluctuations and identify its universal properties using large deviation theory. The limits of slow and fast internal dynamics give rise to a kink-like and parabolic behavior of the corresponding rate functions, respectively. For dipolar Janus particles in two- and three-dimensions interacting with a field, we predict a novel symmetry akin to, but different from, the one related to entropy production. Measurements of these extreme fluctuations could thus be used to infer properties of the underlying, often hidden, network of states.
Hausdorff Dimension of Cut Points for Brownian Motion
Lawler, Gregory
1996-01-01
Let $B$ be a Brownian motion in $R^d$, $d=2,3$. A time $t\\in [0,1]$ is called a cut time for $B[0,1]$ if $B[0,t) \\cap B(t,1] = \\emptyset$. We show that the Hausdorff dimension of the set of cut times equals $1 - \\zeta$, where $\\zeta = \\zeta_d$ is the intersection exponent. The theorem, combined with known estimates on $\\zeta_3$, shows that the percolation dimension of Brownian motion (the minimal Hausdorff dimension of a subpath of a Brownian path) is strictly greater than one in $R^3$.
The Brownian Cactus I. Scaling limits of discrete cactuses
Curien, Nicolas; Miermont, Grégory
2011-01-01
The cactus of a pointed graph is a discrete tree associated with this graph. Similarly, with every pointed geodesic metric space $E$, one can associate an $\\R$-tree called the continuous cactus of $E$. We prove under general assumptions that the cactus of random planar maps distributed according to Boltzmann weights and conditioned to have a fixed large number of vertices converges in distribution to a limiting space called the Brownian cactus, in the Gromov-Hausdorff sense. Moreover, the Brownian cactus can be interpreted as the continuous cactus of the so-called Brownian map.
An excursion approach to maxima of the Brownian bridge
Perman, Mihael; Wellner, Jon A.
2016-01-01
Distributions of functionals of Brownian bridge arise as limiting distributions in non-parametric statistics. In this paper we will give a derivation of distributions of extrema of the Brownian bridge based on excursion theory for Brownian motion. The idea of rescaling and conditioning on the local time has been used widely in the literature. In this paper it is used to give a unified derivation of a number of known distributions, and a few new ones. Particular cases of calculations include the distribution of the Kolmogorov-Smirnov statistic and the Kuiper statistic.
The exit distribution for iterated Brownian motion in cones
Banuelos, Rodrigo; DeBlassie, Dante
2004-01-01
We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previousl...
Two-sided estimates on the density of Brownian motion with singular drift
Kim, Panki; Song, Renming
2006-01-01
Let μ = μ 1 ⋯ μ d be such that each μ i is a signed measure on \\R d belonging to the Kato class \\K d , 1 . The existence and uniqueness of a continuous Markov process X on \\R d , called a Brownian motion with drift μ , was recently established by Bass and Chen. In this paper we study the potential theory of X ...
Hybrid finite element and Brownian dynamics method for diffusion-controlled reactions
Bauler, Patricia; Huber, Gary A.; McCammon, J. Andrew
2012-01-01
Diffusion is often the rate determining step in many biological processes. Currently, the two main computational methods for studying diffusion are stochastic methods, such as Brownian dynamics, and continuum methods, such as the finite element method. This paper proposes a new hybrid diffusion method that couples the strengths of each of these two methods. The method is derived for a general multidimensional system, and is presented using a basic test case for 1D linear and radially symmetri...
Quantum Brownian motion in a bath of parametric oscillators: A model for system-field interactions
International Nuclear Information System (INIS)
The quantum Brownian motion paradigm provides a unified framework where one can see the interconnection of some basic quantum statistical processes such as decoherence, dissipation, particle creation, noise, and fluctuation. The present paper continues the investigation begun in earlier papers on the quantum Brownian motion in a general environment via the influence functional formalism. Here, the Brownian particle is coupled linearly to a bath of the most general time-dependent quadratic oscillators. This bath of parametric oscillators minics a scalar field, while the motion of the Brownian particle modeled by a single oscillator could be used to depict the behavior of a particle detector, a quantum field mode, or the scale factor of the Universe. An important result of this paper is the derivation of the influence functional encompassing the noise and dissipation kernels in terms of the Bogolubov coefficients, thus setting the stage for the influence functional formalism treatment of problems in quantum field theory in curved spacetime. This method enables one to trace the source of statistical processes such as decoherence and dissipation to vacuum fluctuations and particle creation, and in turn impart a statistical mechanical interpretation of quantum field processes. With this result we discuss the statistical mechanical origin of quantum noise and thermal radiance from black holes and from uniformly accelerated observers in Minkowski space as well as from the de Sitter universe discovered by Hawking, Unruh, and Gibbons and Hawking. We also derive the exact evolution operator and master equation for the reduced density matrix of the system interacting with a parametric oscillator bath in an initial squeezed thermal state. These results are useful for decoherence and back reaction studies for systems and processes of interest in semiclassical cosmology and gravity. Our model and results are also expected to be useful for related problems in quantum optics
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 ...
Random times and enlargements of filtrations in a Brownian setting
Mansuy, Roger
2006-01-01
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma-Emery martingales and chaos representation; the filtration of truncated Brownian motion; attempts to characterize the Brownian filtration. The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion.
Holographic Brownian Motion in Two Dimensional Rotating Fluid
Atmaja, Ardian Nata
2012-01-01
The Brownian motion of a heavy quark under a rotating plasma corresponds to BTZ black hole is studied using holographic method from string theory. The heavy quark represented as the end of string at the boundary of BTZ black hole and the corresponding rotating plasma is two dimensional spacetime. The string fluctuation requires the angular velocity to be equal to the ratio between inner horizon and outer horizon, known as terminal velocity and also related to the zero total force condition. With this angular velocity, the string fluctuation solution has oscillatory modes in time and radial coordinates. We show the displacement square of this solution behaves as a Brownian particle in non-relativistic limit. For relativistic case, we argue that it is more appropriate to compute just the the leading order of low frequency limit of random-random force correlator. The Brownian motion relates this correlator with physical observables: mass of Brownian particle, friction coefficient and temperature of the plasma.
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.
Directed transport of Brownian particles in a changing temperature field
International Nuclear Information System (INIS)
We study the interaction of Brownian particles with a changing temperature field in the presence of a one-dimensional periodic adiabatic potential. We show the existence of directed transport through the determination of the overall current of Brownian particles crossing the boundary of the system. With respect to the case of Brownian particles in a thermal bath, we determine a current which exhibits a contribution explicitly related to the presence of a thermal gradient. Beyond the self-consistent calculation of the temperature and probability density distribution of Brownian particles, we evaluate the energy consumption for directed transport to take place. Our description is based on Streater's model, and solutions are obtained by perturbing the system from its initial thermodynamic equilibrium state
Rotational Brownian Dynamics simulations of clathrin cage formation
International Nuclear Information System (INIS)
The self-assembly of nearly rigid proteins into ordered aggregates is well suited for modeling by the patchy particle approach. Patchy particles are traditionally simulated using Monte Carlo methods, to study the phase diagram, while Brownian Dynamics simulations would reveal insights into the assembly dynamics. However, Brownian Dynamics of rotating anisotropic particles gives rise to a number of complications not encountered in translational Brownian Dynamics. We thoroughly test the Rotational Brownian Dynamics scheme proposed by Naess and Elsgaeter [Macromol. Theory Simul. 13, 419 (2004); Naess and Elsgaeter Macromol. Theory Simul. 14, 300 (2005)], confirming its validity. We then apply the algorithm to simulate a patchy particle model of clathrin, a three-legged protein involved in vesicle production from lipid membranes during endocytosis. Using this algorithm we recover time scales for cage assembly comparable to those from experiments. We also briefly discuss the undulatory dynamics of the polyhedral cage
Symmetry Relations for Trajectories of a Brownian Motor
Astumian, R. Dean
2007-01-01
A Brownian Motor is a nanoscale or molecular device that combines the effects of thermal noise, spatial or temporal asymmetry, and directionless input energy to drive directed motion. Because of the input energy, Brownian motors function away from thermodynamic equilibrium and concepts such as linear response theory, fluctuation dissipation relations, and detailed balance do not apply. The {\\em generalized} fluctuation-dissipation relation, however, states that even under strongly thermodynam...
Fast simulation of Brownian dynamics in a crowded environment
Smith, Stephen; Grima, Ramon
2016-01-01
Brownian dynamics simulations are an increasingly popular tool for understanding spatially-distributed biochemical reaction systems. Recent improvements in our understanding of the cellular environment show that volume exclusion effects are fundamental to reaction networks inside cells. These systems are frequently studied by incorporating inert hard spheres (crowders) into three-dimensional Brownian dynamics simulations, however these methods are extremely slow owing to the sheer number of p...
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.
On drift parameter estimation in models with fractional Brownian motion
Kozachenko, Yuriy; Mishura, Yuliya
2011-01-01
We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein-Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behavior of the fractional derivative of the fractional Brownian motion is established.
Brownian Motion on a Sphere: Distribution of Solid Angles
Krishna, M. M. G.; Samuel, Joseph; Sinha, Supurna
2000-01-01
We study the diffusion of Brownian particles on the surface of a sphere and compute the distribution of solid angles enclosed by the diffusing particles. This function describes the distribution of geometric phases in two state quantum systems (or polarised light) undergoing random evolution. Our results are also relevant to recent experiments which observe the Brownian motion of molecules on curved surfaces like micelles and biological membranes. Our theoretical analysis agrees well with the...
Bertoin, Jean; Yor, Marc
2012-01-01
We present a two-dimensional extension of an identity in distribution due to Bougerol \\cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.
Byczkowski, Tomasz; Chorowski, Jakub; Graczyk, Piotr; Malecki, Jacek
2011-01-01
The purpose of the paper is to provide integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method of proof is based on Girsanov's theorem and yields more complete results as those based on Feynmann-Kac technique.
On two-dimensional fractional Brownian motion and fractional Brownian random field
Qian, Hong; Raymond, Gary M.; Bassingthwaighte, James B.
1998-01-01
As a generalization of one-dimensional fractional Brownian motion (1dfBm), we introduce a class of two-dimensional, self-similar, strongly correlated random walks whose variance scales with power law N2H (0 < H < 1). We report analytical results on the statistical size and shape, and segment distribution of its trajectory in the limit of large N. The relevance of these results to polymer theory is discussed. We also study the basic properties of a second generalization of 1dfBm, the two-dimen...
Ideal bulk pressure of active Brownian particles
Speck, Thomas; Jack, Robert L.
2016-06-01
The extent to which active matter might be described by effective equilibrium concepts like temperature and pressure is currently being discussed intensely. Here, we study the simplest model, an ideal gas of noninteracting active Brownian particles. While the mechanical pressure exerted onto confining walls has been linked to correlations between particles' positions and their orientations, we show that these correlations are entirely controlled by boundary effects. We also consider a definition of local pressure, which describes interparticle forces in terms of momentum exchange between different regions of the system. We present three pieces of analytical evidence which indicate that such a local pressure exists, and we show that its bulk value differs from the mechanical pressure exerted on the walls of the system. We attribute this difference to the fact that the local pressure in the bulk does not depend on boundary effects, contrary to the mechanical pressure. We carefully examine these boundary effects using a channel geometry, and we show a virial formula for the pressure correctly predicts the mechanical pressure even in finite channels. However, this result no longer holds in more complex geometries, as exemplified for a channel that includes circular obstacles.
Brownian dipole rotator in alternating electric field
Rozenbaum, V. M.; Vovchenko, O. Ye.; Korochkova, T. Ye.
2008-06-01
The study addresses the azimuthal jumping motion of an adsorbed polar molecule in a periodic n -well potential under the action of an external alternating electric field. Starting from the perturbation theory of the Pauli equation with respect to the weak field intensity, explicit analytical expressions have been derived for the time dependence of the average dipole moment as well as the frequency dependences of polarizability and the average angular velocity, the three quantities exhibiting conspicuous stochastic resonance. As shown, unidirectional rotation can arise only provided simultaneous modulation of the minima and maxima of the potential by an external alternating field. For a symmetric potential of hindered rotation, the average angular velocity, if calculated by the second-order perturbation theory with respect to the field intensity, has a nonzero value only at n=2 , i.e., when two azimuthal wells specify a selected axis in the system. Particular consideration is given to the effect caused by the asymmetry of the two-well potential on the dielectric loss spectrum and other Brownian motion parameters. When the asymmetric potential in a system of dipole rotators arises from the average local fields induced by an orientational phase transition, the characteristics concerned show certain peculiarities which enable detection of the phase transition and determination of its parameters.
Brownian dipole rotator in alternating electric field.
Rozenbaum, V M; Vovchenko, O Ye; Korochkova, T Ye
2008-06-01
The study addresses the azimuthal jumping motion of an adsorbed polar molecule in a periodic n -well potential under the action of an external alternating electric field. Starting from the perturbation theory of the Pauli equation with respect to the weak field intensity, explicit analytical expressions have been derived for the time dependence of the average dipole moment as well as the frequency dependences of polarizability and the average angular velocity, the three quantities exhibiting conspicuous stochastic resonance. As shown, unidirectional rotation can arise only provided simultaneous modulation of the minima and maxima of the potential by an external alternating field. For a symmetric potential of hindered rotation, the average angular velocity, if calculated by the second-order perturbation theory with respect to the field intensity, has a nonzero value only at n=2 , i.e., when two azimuthal wells specify a selected axis in the system. Particular consideration is given to the effect caused by the asymmetry of the two-well potential on the dielectric loss spectrum and other Brownian motion parameters. When the asymmetric potential in a system of dipole rotators arises from the average local fields induced by an orientational phase transition, the characteristics concerned show certain peculiarities which enable detection of the phase transition and determination of its parameters. PMID:18643221
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.
From Brownian Dynamics to Markov Chain: An Ion Channel Example
Chen, Wan
2014-02-27
A discrete rate theory for multi-ion channels is presented, in which the continuous dynamics of ion diffusion is reduced to transitions between Markovian discrete states. In an open channel, the ion permeation process involves three types of events: an ion entering the channel, an ion escaping from the channel, or an ion hopping between different energy minima in the channel. The continuous dynamics leads to a hierarchy of Fokker-Planck equations, indexed by channel occupancy. From these the mean escape times and splitting probabilities (denoting from which side an ion has escaped) can be calculated. By equating these with the corresponding expressions from the Markov model, one can determine the Markovian transition rates. The theory is illustrated with a two-ion one-well channel. The stationary probability of states is compared with that from both Brownian dynamics simulation and the hierarchical Fokker-Planck equations. The conductivity of the channel is also studied, and the optimal geometry maximizing ion flux is computed. © 2014 Society for Industrial and Applied Mathematics.
Studying protein assembly with reversible Brownian dynamics of patchy particles
International Nuclear Information System (INIS)
Assembly of protein complexes like virus shells, the centriole, the nuclear pore complex, or the actin cytoskeleton is strongly determined by their spatial structure. Moreover, it is becoming increasingly clear that the reversible nature of protein assembly is also an essential element for their biological function. Here we introduce a computational approach for the Brownian dynamics of patchy particles with anisotropic assemblies and fully reversible reactions. Different particles stochastically associate and dissociate with microscopic reaction rates depending on their relative spatial positions. The translational and rotational diffusive properties of all protein complexes are evaluated on-the-fly. Because we focus on reversible assembly, we introduce a scheme which ensures detailed balance for patchy particles. We then show how the macroscopic rates follow from the microscopic ones. As an instructive example, we study the assembly of a pentameric ring structure, for which we find excellent agreement between simulation results and a macroscopic kinetic description without any adjustable parameters. This demonstrates that our approach correctly accounts for both the diffusive and reactive processes involved in protein assembly
Modelling Collective Opinion Formation by Means of Active Brownian Particles
Schweitzer, F; Schweitzer, Frank; Holyst, Janusz
1999-01-01
The concept of active Brownian particles is used to model a collective opinion formation process. It is assumed that individuals in community create a two-component communication field that influences the change of opinions of other persons and/or can induce their migration. The communication field is described by a reaction-diffusion equation, meaning that it has a certain lifetime, which models memory effects, further it can spread out in the community. Within our stochastic approach, the opinion change of the individuals is described by a master equation, while the migration is described by a set of Langevin equations, coupled by the communication field. In the mean-field limit which holds for fast communication, we derive a critical population size, above which the community separates into a majority and a minority with opposite opinions. The existence of external support (e.g. from mass media) can change the ratio between minority and majority, until above a critical external support the supported subpop...
Nanofluidic Brownian Ratchet via atomically-stepped surfaces
Rahmani, Amir; Colosqui, Carlos
2015-11-01
Theoretical analysis and fully atomistic molecular dynamics simulations reveal a Brownian ratchet mechanism by which thermal motion can drive the directional displacement of liquids confined in micro- or nanoscale channels and pores. The particular systems discussed in this talk consist of two immiscible liquids confined in a slit-like nanochannel with atomically-stepped surfaces. Mean displacement rates reported in molecular dynamics simulations are in close agreement with theoretical predictions via analytical solution of a Smoluchowski equation for the probability density of the position of the liquid-liquid interface. The direction of the thermally-driven displacement of liquid is determined by the nanostructure surface geometry and thus imbibition or drainage can occur against the direction of action of capillary forces. The studied surface nanostructure with directional asymmetry can control the dynamics of wetting processes such as capillary filling, wicking, and imbibition in porous materials. The proposed physical mechanisms and derived analytical expressions can be applied to design nanofluidic and microfluidic devices for passive handling and separation.
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 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.
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...
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.
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
Direct observation of ballistic Brownian motion on a single particle
Huang, Rongxin; Lukic, Branimir; Jeney, Sylvia; Florin, Ernst-Ludwig
2010-01-01
At fast timescales, the self-similarity of random Brownian motion is expected to break down and be replaced by ballistic motion. So far, an experimental verification of this prediction has been out of reach due to a lack of instrumentation fast and precise enough to capture this motion. With a newly developed detector, we have been able to observe the Brownian motion of a single particle in an optical trap with 75 MHz bandwidth and sub-{AA}ngstrom spatial precision. We report the first measur...
Energy and efficiency optimization of a Brownian heat engine
Bekele, Mulugeta; Yalew, Yeneneh
2007-03-01
A simple Brownian heat engine is modeled as a Brownian particle moving in an external sawtooth potential (with or without) load assisted by the thermal kick it gets from alternately placed hot and cold heat reservoirs along its path. We get closed form expression for its current in terms of the parameters characterizing the model. After analyzing the way it consumes energy to do useful work, we also get closed form expressions for its efficiency as well as for its coefficient of performance when the engine performs as a refrigerator. Recently suggested optimization criteria enables us to exhaustively explore and compare the different operating conditions of the engine.
The dimension of the Brownian frontier is greater than 1
Bishop, Christopher J.; Jones, Peter; Pemantle, Robin; Peres, Yuval
1995-01-01
Consider a planar Brownian motion run for finite time. The frontier or ``outer boundary'' of the path is the boundary of the unbounded component of the complement. Burdzy (1989) showed that the frontier has infinite length. We improve this by showing that the Hausdorff dimension of the frontier is strictly greater than 1. (It has been conjectured that the Brownian frontier has dimension $4/3$, but this is still open.) The proof uses Jones's Traveling Salesman Theorem and a self-similar tiling...
The Dimension of the Frontier of Planar Brownian Motion
Lawler, Gregory
1996-01-01
Let $B$ be a two dimensional Brownian motion and let the frontier of $B[0,1]$ be defined as the set of all points in $B[0,1]$ that are in the closure of the unbounded connected component of its complement. We prove that the Hausdorff dimension of the frontier equals $2(1 - \\alpha)$ where $\\alpha$ is an exponent for Brownian motion called the two-sided disconnection exponent. In particular, using an estimate on $\\alpha$ due to Werner, the Hausdorff dimension is greater than $1.015$.
Winding statistics of a Brownian particle on a ring
International Nuclear Information System (INIS)
We consider a Brownian particle moving on a ring. We study the probability distributions of the total number of turns and the net number of counter-clockwise turns the particle makes until time t. Using a method based on the renewal properties of a Brownian walker, we find exact analytical expressions of these distributions. This method serves as an alternative to the standard path integral techniques which are not always easily adaptable for certain observables. For large t, we show that these distributions have Gaussian scaling forms. We also compute large deviation functions associated to these distributions characterizing atypically large fluctuations. We provide numerical simulations in support of our analytical results. (paper)
Fractional Brownian Motion and Sheet as White Noise Functionals
Institute of Scientific and Technical Information of China (English)
Zhi Yuan HUANG; Chu Jin LI; Jian Ping WAN; Ying WU
2006-01-01
In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and (φ)ksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed.
DNA transport by a micromachined Brownian ratchet device
Bader, J S; Henck, S A; Deem, M W; McDermott, G A; Bustillo, J M; Simpson, J W; Mulhern, G T; Rothberg, J M; Bader, Joel S; Hammond, Richard W.; Henck, Steven A.; Deem, Michael W.; Dermott, Gregory A. Mc; Bustillo, James M.; Simpson, John W.; Mulhern, Gregory T.; Rothberg, Jonathan M.
1999-01-01
We have micromachined a silicon-chip device that transports DNA with aBrownian ratchet that rectifies the Brownian motion of microscopic particles.Transport properties for a DNA 50mer agree with theoretical predictions, andthe DNA diffusion constant agrees with previous experiments. This type ofmicromachine could provide a generic pump or separation component for DNA orother charged species as part of a microscale lab-on-a-chip. A device withreduced feature size could produce a size-based separation of DNA molecules,with applications including the detection of single nucleotide polymorphisms.
Stability theorems for stochastic differential equations driven by G-Brownian motion
Zhang, Defei
2011-01-01
In this paper, stability theorems for stochastic differential equations and backward stochastic differential equations driven by G-Brownian motion are obtained. We show the existence and uniqueness of solutions to forward-backward stochastic differential equations driven by G-Brownian motion. Stability theorem for forward-backward stochastic differential equations driven by G-Brownian motion is also presented.
Noise-to-signal transition of a Brownian particle in the cubic potential: I. general theory
Filip, Radim; Zemánek, Pavel
2016-06-01
The noise-to-signal transitions are very interesting processes in physics, as they might transform environmental noise to useful mechanical effects. We theoretically analyze stochastic noise-to-signal transition of overdamped Brownian motion of a particle in the cubic potential. The particle reaches thermal equilibrium with its environment in the quadratic potential which is suddenly swapped to the cubic potential. We predict a simultaneous increase of both the displacement and signal-to-noise ratio in the cubic potential for the position linearly powered by the temperature of the particle environment. The short-time analysis and numerical simulations fully confirm different dynamical regimes of this noise-to-signal transition.
The Statistics of Burgers Turbulence Initialized with Fractional Brownian Noise Data
Ryan, Reade
The statistics of the solution to the inviscid Burgers equation are investigated when the initial velocity potential is fractional Brownian motion. Using the theory of large deviations for Gaussian processes, we characterize the tails of the probability distribution functions (PDFs) of the velocity, the distance between shocks, and the shock strength. These PDFs are shown to decay like ``stretched'' exponentials of the form . Our method of proof can also be used to extend these results to a much larger class of Gaussian potentials. This work generalizes the results of Avellaneda and E [2, 3] on the inviscid Burgers equation with white-noise initial data.
On the theory of Brownian motion with the Alder-Wainwright effect
Okabe, Yasunori
1986-12-01
The Stokes-Boussinesq-Langevin equation, which describes the time evolution of Brownian motion with the Alder-Wainwright effect, can be treated in the framework of the theory of KMO-Langevin equations which describe the time evolution of a real, stationary Gaussian process with T-positivity (reflection positivity) originating in axiomatic quantum field theory. After proving the fluctuation-dissipation theorems for KMO-Langevin equations, we obtain an explicit formula for the deviation from the classical Einstein relation that occurs in the Stokes-Boussinesq-Langevin equation with a white noise as its random force. We are interested in whether or not it can be measured experimentally.
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.
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
T. R. Hurd; Zhuowei Zhou
2011-01-01
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent increasing process. Following the approach of Black and Cox, one defines the time of default to be the first passage time for the log-leverage ratio to cross the level zero. Rather than adopt the classical notion of first passage, with its associated numerical challenges, we accept an alternative ...
Integration formula for Brownian motion on classical compact Lie groups
Dahlqvist, Antoine
2012-01-01
We give new formulas for the moments of the entries of a random matrix whose law is a Brownian motion on a classical compact Lie group. As we let the time go to infinity, these formulas imply the one B. Collins and P. Sniady obtained for Haar measure.
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.
Option Pricing in a Fractional Brownian Motion Environment
Cipian Necula
2008-01-01
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian motion BH (t), 1/2
The Inviscid Burgers Equation with Brownian Initial Velocity
Bertoin, Jean
The law of the (Hopf-Cole) solution of the inviscid Burgers equation with Brownian initial velocity is made explicit. As examples of applications, we investigate the smoothness of the solution, the statistical distribution of the shocks, we determine the exact Hausdorff function of the Lagrangian regular points and investigate the existence of Lagrangian regular points in a fixed Borel set.
Brownian molecular rotors: Theoretical design principles and predicted realizations
Schönborn, Jan Boyke; Herges, Rainer; Hartke, Bernd
2009-01-01
We propose simple design concepts for molecular rotors driven by Brownian motion and external photochemical switching. Unidirectionality and efﬁciency of the motion is measured by explicit simulations. Two different molecular scaffolds are shown to yield viable molecular rotors when decorated with suitable substituents.
Asset pricing puzzles explained by incomplete Brownian equilibria
DEFF Research Database (Denmark)
Christensen, Peter Ove; Larsen, Kasper
We examine a class of Brownian based models which produce tractable incomplete equilibria. The models are based on finitely many investors with heterogeneous exponential utilities over intermediate consumption who receive partially unspanned income. The investors can trade continuously on a finit...... markets. Consequently, our model can simultaneously help explaining the risk-free rate and equity premium puzzles....
Brownian motion, geometry, and generalizations of Picard's little theorem
Goldberg, S. I.; Mueller, C.
1982-01-01
Brownian motion is introduced as a tool in Riemannian geometry to show how useful it is in the function theory of manifolds, as well as the study of maps between manifolds. As applications, a generalization of Picard's little theorem, and a version of it for Riemann surfaces of large genus are given.
Brownian colloidal particles: Ito, Stratonovich, or a different stochastic interpretation
Sancho, J. M.
2011-12-01
Recent experiments on Brownian colloidal particles have been studied theoretically in terms of overdamped Langevin equations with multiplicative white noise using an unconventional stochastic interpretation. Complementary numerical simulations of the same system are well described using the conventional Stratonovich interpretation. Here we address this dichotomy from a more generic starting point: the underdamped Langevin equation and its corresponding Fokker-Planck equation.
On the Generalized Brownian Motion and its Applications in Finance
DEFF Research Database (Denmark)
Høg, Esben; Frederiksen, Per; Schiemert, Daniel
This paper deals with dynamic term structure models (DTSMs) and proposes a new way to handle the limitation of the classical affine models. In particular, the paper expands the exibility of the DTSMs by applying generalized Brownian motions with dependent increments as the governing force of the ...
Fuzzy Itand#244; Integral Driven by a Fuzzy Brownian Motion
Didier Kumwimba Seya; Rostin Mabela Makengo; Marcel Rémon; Walo Omana Rebecca
2015-01-01
In this paper we take into account the fuzzy stochastic integral driven by fuzzy Brownian motion. To define the metric between two fuzzy numbers and to take into account the limit of a sequence of fuzzy numbers, we invoke the Hausdorff metric. First this fuzzy stochastic integral is constructed for fuzzy simple stochastic functions, then the construction is done for fuzzy stochastic integrable functions.
Diffusion of Particle in Hyaluronan Solution, a Brownian Dynamics Simulation
Takasu, Masako; Tomita, Jungo
2004-04-01
Diffusion of a particle in hyaluronan solution is investigated using Brownian dynamics simulation. The slowing down of diffusion is observed, in accordance with the experimental results. The temperature dependence of the diffusion is calculated, and a turnover is obtained when the temperature is increased.
ABSOLUTE CONTINUITY FOR INTERACTING MEASURE-VALUED BRANCHING BROWNIAN MOTIONS
Institute of Scientific and Technical Information of China (English)
ZHAOXUELEI
1997-01-01
The moments and absohite continuity of measure-valued branching Brownian motions with bounded interacting intensity are hivestigated. An estimate of higher order moments is obtained. The ahsolute continuity is verified in the one dimension case. This therehy verifies the conjecture of Méléard and Roelly in [5].
Finite time extinction of super-Brownian motions with catalysts
Dawson, Donald A.; Fleischmann, Klaus; Mueller, Carl
1998-01-01
Consider a catalytic super-Brownian motion $X=X^\\Gamma$ with finite variance branching. Here `catalytic' means that branching of the reactant $X$ is only possible in the presence of some catalyst. Our intrinsic example of a catalyst is a stable random measure $\\Gamma $ on $R$ of index $0< gamma
The valuation of currency options by fractional Brownian motion.
Shokrollahi, Foad; Kılıçman, Adem
2016-01-01
This research aims to investigate a model for pricing of currency options in which value governed by the fractional Brownian motion model (FBM). The fractional partial differential equation and some Greeks are also obtained. In addition, some properties of our pricing formula and simulation studies are presented, which demonstrate that the FBM model is easy to use. PMID:27504243
SOME GEOMETRIC PROPERTIES OF BROWNIAN MOTION ON SIERPINSKI GASKET
Institute of Scientific and Technical Information of China (English)
WUJUN; XIAOYIMIN
1995-01-01
Let {X(t),t≥0} be Brownian motion on Sierpinski gasket,The Hausdorff and packing dimensions of the image of a ompact set are studied,The uniform Hausdorff and packing dimensions of the inverse image are also discussed.
Rotational Brownian Motion on Sphere Surface and Rotational Relaxation
Institute of Scientific and Technical Information of China (English)
Ekrem Aydner
2006-01-01
The spatial components of the autocorrelation function of noninteracting dipoles are analytically obtained in terms of rotational Brownian motion on the surface of a unit sphere using multi-level jumping formalism based on Debye's rotational relaxation model, and the rotational relaxation functions are evaluated.
Occupation times distribution for Brownian motion on graphs
Desbois, J
2002-01-01
Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)
Occupation times distribution for Brownian motion on graphs
International Nuclear Information System (INIS)
Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)
Occupation times distribution for Brownian motion on graphs
Energy Technology Data Exchange (ETDEWEB)
Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques, Universite Paris-Sud, Bat. 100, F-91405 Orsay (France)
2002-11-22
Considering a Brownian motion on a general graph, we study the joint law for the occupation times on all the bonds. In particular, we show that the Laplace transform of this distribution can be expressed as the ratio of two determinants. We give two formulations, with arc or vertex matrices, for this result and discuss a simple example. (letter to the editor)
Brownian motion and the parabolicity of minimal graphs
Neel, Robert W.
2008-01-01
We prove that minimal graphs (other than planes) are parabolic in the sense that any bounded harmonic function is determined by its boundary values. The proof relies on using the coupling introduced in the author's earlier paper "A martingale approach to minimal surfaces" to show that Brownian motion on such a minimal graph almost surely strikes the boundary in finite time.
A generalized Brownian motion model for turbulent relative particle dispersion
Shivamoggi, B. K.
2016-08-01
There is speculation that the difficulty in obtaining an extended range with Richardson-Obukhov scaling in both laboratory experiments and numerical simulations is due to the finiteness of the flow Reynolds number Re in these situations. In this paper, a generalized Brownian motion model has been applied to describe the relative particle dispersion problem in more realistic turbulent flows and to shed some light on this issue. The fluctuating pressure forces acting on a fluid particle are taken to be a colored noise and follow a stationary process and are described by the Uhlenbeck-Ornstein model while it appears plausible to take their correlation time to have a power-law dependence on Re, thus introducing a bridge between the Lagrangian quantities and the Eulerian parameters for this problem. This ansatz is in qualitative agreement with the possibility of a connection speculated earlier by Corrsin [26] between the white-noise representation for the fluctuating pressure forces and the large-Re assumption in the Kolmogorov [4] theory for the 3D fully developed turbulence (FDT) as well as a similar argument of Monin and Yaglom [23] and a similar result of Sawford [13] and Borgas and Sawford [24]. It also provides an insight into the result that the Richardson-Obukhov scaling holds only in the infinite-Re limit and disappears otherwise. This ansatz further provides a determination of the Richardson-Obukhov constant g as a function of Re, with an asymptotic constant value in the infinite-Re limit. It is shown to lead to full agreement, in the small-Re limit as well, with the Batchelor-Townsend [27] scaling for the rate of change of the mean square interparticle separation in 3D FDT, hence validating its soundness further.
International Nuclear Information System (INIS)
Simultaneous orthokinetic and perikinetic coagulations (SOPCs) are studied for small and large Peclet numbers (Pe) using Brownian dynamics simulation. The results demonstrate that the contributions of the Brownian motion and the shear flow to the overall coagulation rate are basically not additive. At the early stages of coagulation with small Peclet numbers, the ratio of overall coagulation rate to the rate of pure perikinetic coagulation is proportional to Pe1/2, while with high Peclet numbers, the ratio of overall coagulation rate to the rate of pure orthokinetic coagulation is proportional to Pe−1/2. Moreover, our results show that the aggregation rate generally changes with time for the SOPC, which is different from that for pure perikinetic and pure orthokinetic coagulations. By comparing the SOPC with pure perikinetic and pure orthokinetic coagulations, we show that the redistribution of particles due to Brownian motion can play a very important role in the SOPC. In addition, the effects of redistribution in the directions perpendicular and parallel to the shear flow direction are different. This perspective explains the behavior of coagulation due to the joint effects of the Brownian motion (perikinetic) and the fluid motion (orthokinetic). (electromagnetism, optics, acoustics, heat transfer, classical mechanics, and fluid dynamics)
双分数布朗运动下再装期权定价模型%Reload option pricing model in bi-fractional Brownian motion environment
Institute of Scientific and Technical Information of China (English)
薛红; 吴江增
2015-01-01
Underlying asset process follows the stochastic differential equation driven by bi-fractional Brownian motion.The financial market mathematical model is built by the stochas-tic analysis for bi-fractional Brownian motion.Using the actuarial approach, the pricingfor-mula of reload option in bi-fractional Brownian motion environment is obtained.%在标的资产服从双分数布朗运动驱动的随机微分方程,借助双分数布朗运动随机分析理论,建立双分数布朗运动环境下金融市场数学模型,运用保险精算方法,得到了双分数布朗运动环境下再装期权定价公式.
Application of GPU processing for Brownian particle simulation
Cheng, Way Lee; Sheharyar, Ali; Sadr, Reza; Bouhali, Othmane
2015-01-01
Reports on the anomalous thermal-fluid properties of nanofluids (dilute suspension of nano-particles in a base fluid) have been the subject of attention for 15 years. The underlying physics that govern nanofluid behavior, however, is not fully understood and is a subject of much dispute. The interactions between the suspended particles and the base fluid have been cited as a major contributor to the improvement in heat transfer reported in the literature. Numerical simulations are instrumental in studying the behavior of nanofluids. However, such simulations can be computationally intensive due to the small dimensions and complexity of these problems. In this study, a simplified computational approach for isothermal nanofluid simulations was applied, and simulations were conducted using both conventional CPU and parallel GPU implementations. The GPU implementations significantly improved the computational performance, in terms of the simulation time, by a factor of 1000-2500. The results of this investigation show that, as the computational load increases, the simulation efficiency approaches a constant. At a very high computational load, the amount of improvement may even decrease due to limited system memory.
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.
Human behavioral regularity, fractional Brownian motion, and exotic phase transition
Li, Xiaohui; Yang, Guang; An, Kenan; Huang, Jiping
2016-08-01
The mix of competition and cooperation (C&C) is ubiquitous in human society, which, however, remains poorly explored due to the lack of a fundamental method. Here, by developing a Janus game for treating C&C between two sides (suppliers and consumers), we show, for the first time, experimental and simulation evidences for human behavioral regularity. This property is proved to be characterized by fractional Brownian motion associated with an exotic transition between periodic and nonperiodic phases. Furthermore, the periodic phase echoes with business cycles, which are well-known in reality but still far from being well understood. Our results imply that the Janus game could be a fundamental method for studying C&C among humans in society, and it provides guidance for predicting human behavioral activity from the perspective of fractional Brownian motion.
Anomalous Brownian motion and viscoelasticity of the ear's mechanoelectrical transducer
Andor-Ardó, Daniel; Kozlov, Andrei; Hudspeth, A. J.
2009-03-01
The Brownian motion of a particle in a complex environment is known to display anomalous power-law scaling in which the mean squared displacement is proportional to a fractional power of time. Using laser interferometry and analytical methods of microrheology, we examine nanometer-scale thermal motions of hair bundles in the internal ear and show that these cellular organelles undergo fractional Brownian motion. This anomalous scaling is caused by viscoelasticity of the gating springs, elements that transmit energy in a sound to the mechanosensitive ion channels. These results demonstrate a connection between rheology and auditory physiology, and indicate that statistical properties of the thermal noise in the ear can be determined by dynamics of a small number of key molecules.
Hidden Symmetries, Instabilities, and Current Suppression in Brownian Ratchets
Cubero, David; Renzoni, Ferruccio
2016-01-01
The operation of Brownian motors is usually described in terms of out-of-equilibrium and symmetry-breaking settings, with the relevant spatiotemporal symmetries identified from the analysis of the equations of motion for the system at hand. When the appropriate conditions are satisfied, symmetry-related trajectories with opposite current are thought to balance each other, yielding suppression of transport. The direction of the current can be precisely controlled around these symmetry points by finely tuning the driving parameters. Here we demonstrate, by studying a prototypical Brownian ratchet system, the existence of hidden symmetries, which escape identification by the standard symmetry analysis, and which require different theoretical tools for their revelation. Furthermore, we show that system instabilities may lead to spontaneous symmetry breaking with unexpected generation of directed transport.
Fast simulation of Brownian dynamics in a crowded environment
Smith, Stephen
2016-01-01
Brownian dynamics simulations are an increasingly popular tool for understanding spatially-distributed biochemical reaction systems. Recent improvements in our understanding of the cellular environment show that volume exclusion effects are fundamental to reaction networks inside cells. These systems are frequently studied by incorporating inert hard spheres (crowders) into three-dimensional Brownian dynamics simulations, however these methods are extremely slow owing to the sheer number of possible collisions between particles. Here we propose a rigorous "crowder-free" method to dramatically increase simulation speed for crowded biochemical reaction systems by eliminating the need to explicitly simulate the crowders. We consider both the case where the reactive particles are point particles, and where they themselves occupy a volume. We use simulations of simple chemical reaction networks to confirm that our simplification is just as accurate as the original algorithm, and that it corresponds to a large spee...
Multiscale Reaction-Diffusion Algorithms: PDE-Assisted Brownian Dynamics
Franz, Benjamin
2013-06-19
Two algorithms that combine Brownian dynami cs (BD) simulations with mean-field partial differential equations (PDEs) are presented. This PDE-assisted Brownian dynamics (PBD) methodology provides exact particle tracking data in parts of the domain, whilst making use of a mean-field reaction-diffusion PDE description elsewhere. The first PBD algorithm couples BD simulations with PDEs by randomly creating new particles close to the interface, which partitions the domain, and by reincorporating particles into the continuum PDE-description when they cross the interface. The second PBD algorithm introduces an overlap region, where both descriptions exist in parallel. It is shown that the overlap region is required to accurately compute variances using PBD simulations. Advantages of both PBD approaches are discussed and illustrative numerical examples are presented. © 2013 Society for Industrial and Applied Mathematics.
Brownian motion in the treasury bill futures market
Dale, Charles
1981-01-01
This paper analyzes prices and volumes in the T-bill futures market using a physical analogy called Brownian Motion. The results are similar to those obtained in previous studies of stock markets. For prices, the T-bill futures market failed to exhibit the presence of resistance and support levels, indicating that chartists could not profit by looking for such levels. For low volumes, T-bill futures exhibited lognormal behavior patterns, meaning that new investors are attracted to markets ...
Unusual Brownian motion of photons in open absorbing media
Zhao, Li-Yi; Tian, Chu-Shun; Zhang, Zhao-Qing; Zhang, Xiang-Dong
2013-01-01
Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption strength and sample length. We show analytically that photons in localized open absorbing media exhibit unusual Brownian motion. Specifically, wave transport follows the diffusion equation with the diffusion coefficient exhibiting spatial resolution. Most striking...
From ballistic to Brownian vortex motion in complex oscillatory media
Davidsen, Jörn; Erichsen, Ronaldo; Kapral, Raymond; Chaté, Hugues
2004-01-01
We show that the breaking of the rotation symmetry of spiral waves in two-dimensional complex (period-doubled or chaotic) oscillatory media by synchronization defect lines (SDL) is accompanied by an intrinsic drift of the pattern. Single vortex motion changes from ballistic flights at a well-defined angle from the SDL to Brownian-like diffusion when the turbulent character of the medium increases. It gives rise, in non-turbulent multi-spiral regimes, to a novel ``vortex liquid''.
Brownian colloids in underdamped and overdamped regimes with nonhomogeneous temperature
Sancho, J. M.
2015-12-01
The motion of Brownian particles when temperature is spatially dependent is studied by stochastic simulations and theoretical analysis. Nonequilibrium steady probability distributions Ps t(z ,v ) for both underdamped and overdamped regimes are analyzed. The existence of local kinetic energy equipartition theorem is also discussed. The transition between both regimes is characterized by a dimensionless friction parameter. This study is applied to three physical systems of colloidal particles.
Hidden symmetries, instabilities, and current suppression in Brownian ratchets
Cubero, David; Renzoni, Ferruccio
2015-01-01
The operation of Brownian motors is usually described in terms of out-of-equilibrium and symmetrybreaking settings, with the relevant spatiotemporal symmetries identified from the analysis of the equations of motion for the system at hand. When the appropriate conditions are satisfied,symmetry related trajectories with opposite current are thought to balance each other, yielding suppression of transport. The direction of the current can be precisely controlled around these symmetry points by...
Hydrogen Bond in Liquid Water as a Brownian Oscillator
Woutersen, Sander; Bakker, Huib J.
1999-09-01
We present the first experimental observation of a vibrational dynamic Stokes shift. This dynamic Stokes shift is observed in a femtosecond pump-probe study on the OH-stretch vibration of HDO dissolved in D2O. We find that the Stokes shift has a value of approximately 70 cm-1 and occurs with a time constant of approximately 500 femtoseconds. The measurements can be accurately described by modeling the hydrogen bond in liquid water as a Brownian oscillator.
Rapid morphological characterization of isolated mitochondria using Brownian motion†
Palanisami, Akilan; Fang, Jie; Lowder, Thomas W.; Kunz, Hawley; John H Miller
2012-01-01
Mitochondrial morphology has been associated with numerous pathologies including cancer, diabetes, obesity and heart disease. However, the connection is poorly understood—in part due to the difficulty of characterizing the morphology. This impedes the use of morphology as a tool for disease detection/monitoring. Here, we use the Brownian motion of isolated mitochondria to characterize their size and shape in a high throughput fashion. By using treadmill exercise training, mitochondria from he...
Anyonic partition functions and windings of planar Brownian motion
International Nuclear Information System (INIS)
The computation of the N-cycle Brownian paths contribution FN(α) to the N-anyon partition function is addressed. A detailed numerical analysis based on a random walk on a lattice indicates that FN0(α)=product k=1N-1[1-(N/k)α]. In the paramount three-anyon case, one can show that F3(α) is built by linear states belonging to the bosonic, fermionic, and mixed representations of S3
GENERALIZED BROWNIAN SHEET IMAGES AND BESSEL-RIESZ CAPACITY
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
Let (W) be a two-parameter Rd-valued generalized Brownian sheet. The author obtains an explicit Bessel-Riesz capacity estimate for the images of a two-dimensional set under (W). He also presents the connections between the Lebesgue measure of the image of (W) and Bessel-Riesz capacity. His conclusions also solve a problem proposed by J.P.Kahane.
Non-Markovian weak coupling limit of quantum Brownian motion
Maniscalco, Sabrina; Piilo, Jyrki; Suominen, Kalle-Antti
2008-01-01
We derive and solve analytically the non-Markovian master equation for harmonic quantum Brownian motion proving that, for weak system-reservoir couplings and high temperatures, it can be recast in the form of the master equation for a harmonic oscillator interacting with a squeezed thermal bath. This equivalence guarantees preservation of positivity of the density operator during the time evolution and allows one to establish a connection between the dynamics of Schr\\"odinger cat states in sq...
Stochastic oscillator with random mass: New type of Brownian motion
Gitterman, M.
2014-02-01
The model of a stochastic oscillator subject to additive random force, which includes the Brownian motion, is widely used for analysis of different phenomena in physics, chemistry, biology, economics and social science. As a rule, by the appropriate choice of units one assumes that the particle’s mass is equal to unity. However, for the case of an additional multiplicative random force, the situation is more complicated. As we show in this review article, for the cases of random frequency or random damping, the mass cannot be excluded from the equations of motion, and, for example, besides the restriction of the size of Brownian particle, some restrictions exist also of its mass. In addition to these two types of multiplicative forces, we consider the random mass, which describes, among others, the Brownian motion with adhesion. The fluctuations of mass are modeled as a dichotomous noise, and the first two moments of coordinates show non-monotonic dependence on the parameters of oscillator and noise. In the presence of an additional periodic force an oscillator with random mass is characterized by the stochastic resonance phenomenon, when the appearance of noise increases the input signal.
Solano, Carlos J F; Pothula, Karunakar R; Prajapati, Jigneshkumar D; De Biase, Pablo M; Noskov, Sergei Yu; Kleinekathöfer, Ulrich
2016-05-10
All-atom molecular dynamics simulations have a long history of applications studying ion and substrate permeation across biological and artificial pores. While offering unprecedented insights into the underpinning transport processes, MD simulations are limited in time-scales and ability to simulate physiological membrane potentials or asymmetric salt solutions and require substantial computational power. While several approaches to circumvent all of these limitations were developed, Brownian dynamics simulations remain an attractive option to the field. The main limitation, however, is an apparent lack of protein flexibility important for the accurate description of permeation events. In the present contribution, we report an extension of the Brownian dynamics scheme which includes conformational dynamics. To achieve this goal, the dynamics of amino-acid residues was incorporated into the many-body potential of mean force and into the Langevin equations of motion. The developed software solution, called BROMOCEA, was applied to ion transport through OmpC as a test case. Compared to fully atomistic simulations, the results show a clear improvement in the ratio of permeating anions and cations. The present tests strongly indicate that pore flexibility can enhance permeation properties which will become even more important in future applications to substrate translocation. PMID:27088446
Brownian motion at fast time scales and thermal noise imaging
Huang, Rongxin
This dissertation presents experimental studies on Brownian motion at fast time scales, as well as our recent developments in Thermal Noise Imaging which uses thermal motions of microscopic particles for spatial imaging. As thermal motions become increasingly important in the studies of soft condensed matters, the study of Brownian motion is not only of fundamental scientific interest but also has practical applications. Optical tweezers with a fast position-sensitive detector provide high spatial and temporal resolution to study Brownian motion at fast time scales. A novel high bandwidth detector was developed with a temporal resolution of 30 ns and a spatial resolution of 1 A. With this high bandwidth detector, Brownian motion of a single particle confined in an optical trap was observed at the time scale of the ballistic regime. The hydrodynamic memory effect was fully studied with polystyrene particles of different sizes. We found that the mean square displacements of different sized polystyrene particles collapse into one master curve which is determined by the characteristic time scale of the fluid inertia effect. The particle's inertia effect was shown for particles of the same size but different densities. For the first time the velocity autocorrelation function for a single particle was shown. We found excellent agreement between our experiments and the hydrodynamic theories that take into account the fluid inertia effect. Brownian motion of a colloidal particle can be used to probe three-dimensional nano structures. This so-called thermal noise imaging (TNI) has been very successful in imaging polymer networks with a resolution of 10 nm. However, TNI is not efficient at micrometer scale scanning since a great portion of image acquisition time is wasted on large vacant volume within polymer networks. Therefore, we invented a method to improve the efficiency of large scale scanning by combining traditional point-to-point scanning to explore large vacant
International Nuclear Information System (INIS)
The extinction coefficient of atmospheric aerosol particles influences the earth’s radiation balance directly or indirectly, and it can be determined by the scattering and absorption characteristics of aerosol particles. The problem of estimating the change of extinction coefficient due to time evolution of bimodal particle size distribution is studied, and two improved methods for calculating the Brownian coagulation coefficient and the condensation growth rate are proposed, respectively. Through the improved method based on Otto kernel, the Brownian coagulation coefficient can be expressed simply in powers of particle volume for the entire particle size regime based on the fitted polynomials of the mean enhancement function. Meanwhile, the improved method based on Fuchs–Sutugin kernel is developed to obtain the condensation growth rate for the entire particle size regime. And then, the change of the overall extinction coefficient of bimodal distributions undergoing Brownian coagulation and condensation can be estimated comprehensively for the entire particle size regime. Simulation experiments indicate that the extinction coefficients obtained with the improved methods coincide fairly well with the true values, which provide a simple, reliable, and general method to estimate the change of extinction coefficient for the entire particle size regime during the bimodal particle dynamic processes.
Strict Concavity of the Half Plane Intersection Exponent for Planar Brownian Motion
Lawler, Gregory
2000-01-01
The intersection exponents for planar Brownian motion measure the exponential decay of probabilities of nonintersection of paths. We study the intersection exponent $\\xi(\\lambda_1,\\lambda_2)$ for Brownian motion restricted to a half plane which by conformal invariance is the same as Brownian motion restricted to an infinite strip. We show that $\\xi$ is a strictly concave function. This result is used in another paper to establish a universality result for conformally invariant intersection ex...
When does fractional Brownian motion not behave as a continuous function with bounded variation?
Azmoodeh, Ehsan; Tikanmäki, Heikki; Valkeila, Esko
2010-01-01
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form as if fractional Brownian motion would be a continuous function with bounded variation. In this note we prove a new integral representation formula for the running maximum of a continuous function with bounded variation. Moreover we show that the analogue to fractional Brownian motion fails.
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.
Anomalous velocity distributions in active Brownian suspensions
Fiege, Andrea; Vollmayr-Lee, Benjamin; Zippelius, Annette
2013-01-01
Large scale simulations and analytical theory have been combined to obtain the non-equilibrium velocity distribution, $f(v)$, of randomly accelerated particles in suspension. The simulations are based on an event-driven algorithm, generalised to include friction. They reveal strongly anomalous but largely universal distributions which are independent of volume fraction and collision processes, which suggests a one-particle model should capture all the essential features. We have formulated th...
The cut-tree of large Galton-Watson trees and the Brownian CRT
Bertoin, Jean
2012-01-01
Consider the edge-deletion process in which the edges of some finite tree $T$ are removed one after the other in the uniform random order. Roughly speaking, the cut-tree then describes the genealogy of connected components appearing in this edge-deletion process. Our main result shows that after a proper rescaling, the cut-tree of a critical Galton-Watson tree with finite variance and conditioned to have size $n$, converges as $n\\to \\infty$ to a Brownian CRT in the weak sense induced by the Gromov-Prokhorov topology. This yields a multi-dimensional extension of a limit theorem due to Janson \\cite{Janson} for the number of random cuts needed to isolate the root in Galton-Watson trees conditioned by their sizes, and generalizes also a recent result \\cite{Be} obtained in the special case of Cayley trees.
Maximum distance between the Leader and the Laggard for three Brownian walkers
International Nuclear Information System (INIS)
We consider three independent Brownian walkers moving on a line. The process terminates when the leftmost walker (the 'Leader') meets either of the other two walkers. For arbitrary values of the diffusion constants D1 (the Leader), D2 and D3 of the three walkers, we compute the probability distribution P(m|y2, y3) of the maximum distance m between the Leader and the current rightmost particle (the 'Laggard') during the process, where y2 and y3 are the initial distances between the Leader and the other two walkers. The result has, for large m, the form P(m|y2, y3) ∼ A(y2, y3)m−δ, where δ = (2π − θ)/(π − θ) and θ= cos -1(D1/√((D1+D2)(D1+D3))). The amplitude A(y2, y3) is also determined exactly
GPU accelerated Monte Carlo simulation of Brownian motors dynamics with CUDA
Spiechowicz, J; Machura, L
2014-01-01
This work presents an updated and extended guide on methods of a proper acceleration of the Monte Carlo integration of stochastic differential equations with the commonly available NVIDIA Graphics Processing Units using the CUDA programming environment. We outline the general aspects of the scientific computing on graphics cards and demonstrate them with two models of a well known phenomenon of the noise induced transport of Brownian motors in periodic structures. As a source of fluctuations in the considered systems we selected the three most commonly occurring noises: the Gaussian white noise, the white Poissonian noise and the dichotomous process also known as a random telegraph signal. The detailed discussion on various aspects of the applied numerical schemes is also presented. The measured speedup can be of the astonishing order of 2000 when compared to a typical CPU. This number significantly expands the range of problems solvable by use of stochastic simulations, allowing even an interactive research ...
Numerical Methods for Computing Effective Transport Properties of Flashing Brownian Motors
Latorre, Juan C; Pavliotis, Grigorios A
2013-01-01
We develop a numerical algorithm for computing the effective drift and diffusivity of the steady-state behavior of an overdamped particle driven by a periodic potential whose amplitude is modulated in time by multiplicative noise and forced by additive Gaussian noise (the mathematical structure of a flashing Brownian motor). The numerical algorithm is based on a spectral decomposition of the solution to the Fokker-Planck equation with periodic boundary conditions and the cell problem which result from homogenization theory. We also show that the numerical method of Wang, Peskin, Elston (WPE, 2003) for computing said quantities is equivalent to that resulting from homogenization theory. We show how to adapt the WPE numerical method to this problem by means of discretizing the multiplicative noise via a finite-volume method into a discrete-state Markov jump process which preserves many important properties of the original continuous-state process, such as its invariant distribution and detailed balance. Our num...
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...
Anomalous velocity distributions in active Brownian suspensions.
Fiege, Andrea; Vollmayr-Lee, Benjamin; Zippelius, Annette
2013-08-01
Large-scale simulations and analytical theory have been combined to obtain the nonequilibrium velocity distribution, f(v), of randomly accelerated particles in suspension. The simulations are based on an event-driven algorithm, generalized to include friction. They reveal strongly anomalous but largely universal distributions, which are independent of volume fraction and collision processes, which suggests a one-particle model should capture all the essential features. We have formulated this one-particle model and solved it analytically in the limit of strong damping, where we find that f(v) decays as 1/v for multiple decades, eventually crossing over to a Gaussian decay for the largest velocities. Many particle simulations and numerical solution of the one-particle model agree for all values of the damping. PMID:24032806
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.
Analysis of Brownian Dynamics Simulations of Reversible Bimolecular Reactions
Lipková, Jana
2011-01-01
A class of Brownian dynamics algorithms for stochastic reaction-diffusion models which include reversible bimolecular reactions is presented and analyzed. The method is a generalization of the λ-bcȳ model for irreversible bimolecular reactions which was introduced in [R. Erban and S. J. Chapman, Phys. Biol., 6(2009), 046001]. The formulae relating the experimentally measurable quantities (reaction rate constants and diffusion constants) with the algorithm parameters are derived. The probability of geminate recombination is also investigated. © 2011 Society for Industrial and Applied Mathematics.
Transport and diffusion of overdamped Brownian particles in random potentials
Simon, Marc Suñé; Sancho, J. M.; Lindenberg, Katja
2013-12-01
We present a numerical study of the anomalies in transport and diffusion of overdamped Brownian particles in totally disordered potential landscapes in one and in two dimensions. We characterize and analyze the effects of three different disordered potentials. The anomalous regimes are characterized by the time exponents that exhibit the statistical moments of the ensemble of particle trajectories. The anomaly in the transport is always of the subtransport type, but diffusion presents a greater variety of anomalies: Both subdiffusion and superdiffusion are possible. In two dimensions we present a mixed anomaly: subdiffusion in the direction perpendicular to the force and superdiffusion in the parallel direction.
Transport and diffusion of underdamped Brownian particles in random potentials
Suñé Simon, Marc; Sancho, J. M.; Lindenberg, Katja
2014-09-01
We present numerical results for the transport and diffusion of underdamped Brownian particles in one-dimensional disordered potentials. We compare the anomalies observed with those found in the overdamped regime and with results for a periodic potential. We relate these anomalies to the time dependent probability distributions for the position and velocity of the particles. The anomalies are caused by the random character of the barrier crossing events between locked and running states which is manifested in the spatial distributions. The role of the velocities is small because the particles quickly thermalize into locked or running states.
Reversed radial SLE and the Brownian loop measure
Field, Laurence S.; Lawler, Gregory F.
2012-01-01
The Brownian loop measure is a conformally invariant measure on loops in the plane that arises when studying the Schramm-Loewner evolution (SLE). When an SLE curve in a domain evolves from an interior point, it is natural to consider the loops that hit the curve and leave the domain, but their measure is infinite. We show that there is a related normalized quantity that is finite and invariant under M\\"obius transformations of the plane. We estimate this quantity when the curve is small and t...
Slowdown in branching Brownian motion with inhomogeneous variance
Maillard, Pascal; Zeitouni, Ofer
2013-01-01
We consider a model of Branching Brownian Motion with time-inhomogeneous variance of the form \\sigma(t/T), where \\sigma is a strictly decreasing function. Fang and Zeitouni (2012) showed that the maximal particle's position M_T is such that M_T-v_\\sigma T is negative of order T^{-1/3}, where v_\\sigma is the integral of the function \\sigma over the interval [0,1]. In this paper, we refine we refine this result and show the existence of a function m_T, such that M_T-m_T converges in law, as T\\t...
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.
Brownian dynamics simulation for modeling ion permeation across bionanotubes.
Krishnamurthy, Vikram; Chung, Shin-Ho
2005-03-01
The principles underlying Brownian dynamics (BD), its statistical consistency, and algorithms for practical implementation are outlined here. The ability to compute current flow across ion channels confers a distinct advantage to BD simulations compared to other simulation techniques. Thus, two obvious applications of BD ion channels are in calculation of the current-voltage and current-concentration curves, which can be directly compared to the physiological measurements to assess the reliability of the model and predictive power of the method. We illustrate how BD simulations are used to unravel the permeation dynamics in two biological ion channels-the KcsA K+ channel and CIC Cl- channel. PMID:15816176
Additivity, density fluctuations, and nonequilibrium thermodynamics for active Brownian particles
Chakraborti, Subhadip; Mishra, Shradha; Pradhan, Punyabrata
2016-05-01
Using an additivity property, we study particle-number fluctuations in a system of interacting self-propelled particles, called active Brownian particles (ABPs), which consists of repulsive disks with random self-propulsion velocities. From a fluctuation-response relation, a direct consequence of additivity, we formulate a thermodynamic theory which captures the previously observed features of nonequilibrium phase transition in the ABPs from a homogeneous fluid phase to an inhomogeneous phase of coexisting gas and liquid. We substantiate the predictions of additivity by analytically calculating the subsystem particle-number distributions in the homogeneous fluid phase away from criticality where analytically obtained distributions are compatible with simulations in the ABPs.
Quantum correlations from Brownian diffusion of chaotic level-spacings
Evangelou, S N
2004-01-01
Quantum chaos is linked to Brownian diffusion of the underlying quantum energy level-spacing sequences. The level-spacings viewed as functions of their order execute random walks which imply uncorrelated random increments of the level-spacings while the integrability to chaos transition becomes a change from Poisson to Gauss statistics for the level-spacing increments. This universal nature of quantum chaotic spectral correlations is numerically demonstrated for eigenvalues from random tight binding lattices and for zeros of the Riemann zeta function.
Phenomenon of Repeated Current Reversals in the Brownian Ratchet
Institute of Scientific and Technical Information of China (English)
杨明; 曹力; 吴大进; 李湘莲
2002-01-01
We study the probability current of the Brownian particles in a tilted periodic piecewise linear "saw-tooth"potential. It is found that the stationary probability current takes on a maximum value at a given additive noise if the intensity of the multiplicative noise is appropriate and at the same time both noises are correlated;and the direction of the stationary probability current is reversed more than once upon some certain correlation intensities between both noises. It is proven that the occurrence of current reversal is only dependent on the relative intensity of the multiplicative and additive noises, but has nothing to do with the absolute intensities of the two noises.
Occupation times for planar and higher dimensional Brownian motion
International Nuclear Information System (INIS)
We consider a planar Brownian motion starting from O at time t = 0 and stopped at t. Denoting by T the time spent in a wedge of apex O and angle Θ, we develop a method to compute systematically the moments of T for general Θ values. We apply it to obtain analytically the second and third moments for a general wedge angle and, also, the fourth moment for the quadrant (Θ = π/2). We compare our results with numerical simulations. Finally, with standard perturbation theory, we establish a general formula for the second moment of an orthant occupation time
Moments of inertia and the shapes of Brownian paths
International Nuclear Information System (INIS)
The joint probability law of the principal moments of inertia of Brownian paths (open or closed) is computed, using constrained path integrals and Random Matrix Theory. The case of two-dimensional paths is discussed in detail. In particular, it is shown that the ratio of the average values of the largest and smallest moments is equal to 4.99 (open paths) and 3.07 (closed paths). Results of numerical simulations are also presented, which include investigation of the relationships between the moments of inertia and the arithmetic area enclosed by a path. (authors) 28 refs., 2 figs
Algebraic and arithmetic area for $m$ planar Brownian paths
Desbois, Jean; Ouvry, Stephane
2011-01-01
The leading and next to leading terms of the average arithmetic area $$ enclosed by $m\\to\\infty$ independent closed Brownian planar paths, with a given length $t$ and starting from and ending at the same point, is calculated. The leading term is found to be $ \\sim {\\pi t\\over 2}\\ln m$ and the $0$-winding sector arithmetic area inside the $m$ paths is subleading in the asymptotic regime. A closed form expression for the algebraic area distribution is also obtained and discussed.
Occupation times for planar and higher dimensional Brownian motion
Energy Technology Data Exchange (ETDEWEB)
Desbois, Jean [CNRS, University Paris Sud, UMR8626, LPTMS, ORSAY CEDEX, F-91405 (France)
2007-03-09
We consider a planar Brownian motion starting from O at time t = 0 and stopped at t. Denoting by T the time spent in a wedge of apex O and angle {theta}, we develop a method to compute systematically the moments of T for general {theta} values. We apply it to obtain analytically the second and third moments for a general wedge angle and, also, the fourth moment for the quadrant ({theta} = {pi}/2). We compare our results with numerical simulations. Finally, with standard perturbation theory, we establish a general formula for the second moment of an orthant occupation time.
Anyonic Partition Functions and Windings of Planar Brownian Motion
Desbois, Jean; Heinemann, Christine; Ouvry, Stéphane
1994-01-01
The computation of the $N$-cycle brownian paths contribution $F_N(\\alpha)$ to the $N$-anyon partition function is adressed. A detailed numerical analysis based on random walk on a lattice indicates that $F_N^{(0)}(\\alpha)= \\prod_{k=1}^{N-1}(1-{N\\over k}\\alpha)$. In the paramount $3$-anyon case, one can show that $F_3(\\alpha)$ is built by linear states belonging to the bosonic, fermionic, and mixed representations of $S_3$.
Moments of inertia and the shapes of Brownian paths
Energy Technology Data Exchange (ETDEWEB)
Fougere, F.; Desbois, J.
1993-12-31
The joint probability law of the principal moments of inertia of Brownian paths (open or closed) is computed, using constrained path integrals and Random Matrix Theory. The case of two-dimensional paths is discussed in detail. In particular, it is shown that the ratio of the average values of the largest and smallest moments is equal to 4.99 (open paths) and 3.07 (closed paths). Results of numerical simulations are also presented, which include investigation of the relationships between the moments of inertia and the arithmetic area enclosed by a path. (authors) 28 refs., 2 figs.
Algebraic and arithmetic area for m planar Brownian paths
International Nuclear Information System (INIS)
The leading and next to leading terms of the average arithmetic area (S(m)) enclosed by m→∞ independent closed Brownian planar paths, with a given length t and starting from and ending at the same point, are calculated. The leading term is found to be (S(m)) ∼ (πt/2)lnm and the 0-winding sector arithmetic area inside the m paths is subleading in the asymptotic regime. A closed form expression for the algebraic area distribution is also obtained and discussed
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.
Brownian dynamics in a confined geometry. Experiments and numerical simulations
Garnier, Nicolas; Ostrowsky, N.
1991-01-01
The Brownian dynamics of a colloidal suspension is measured in the immediate vicinity of a rigid surface by the Evanescent Quasielastic Light Scattering Technique. A net decrease of the measured diffusion coefficient is observed, due to the hydrodynamic slowing down of the particles very close to the wall. This effect is all the more important when the particles are allowed to get closer to the wall, i.e. when the range of the static wall/particle repulsive interaction decreases. It thus prov...
GUE minors, maximal Brownian functionals and longest increasing subsequences
Benaych-Georges, Florent; Houdré, Christian
2015-01-01
We present equalities in law between the spectra of the minors of a GUE matrix and some maximal functionals of independent Brownian motions. In turn, these results allow to recover the limiting shape (properly centered and scaled) of the RSK Young diagrams associated with a random word as a function of the spectra of these minors. Since the length of the top row of the diagrams is the length of the longest increasing subsequence of the random word, the corresponding limiting law also follows.
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.
Brownian motion and Harmonic functions on Sol(p,q)
Brofferio, Sara; Salvatori, Maura; Woess, Wolfgang
2012-01-01
The Lie group Sol(p,q) is the semidirect product induced by the action of the real numbers R on the plane R^2 which is given by (x,y) --> (exp{p z} x, exp{-q z} y), where z is in R. Viewing Sol(p,q) as a 3-dimensional manifold, it carries a natural Riemannian metric and Laplace-Beltrami operator. We add a linear drift term in the z-variable to the latter, and study the associated Brownian motion with drift. We derive a central limit theorem and compute the rate of escape. Also, we introduce t...
Brownian Motion and Harmonic Functions on Rotationally Symmetric Manifolds
March, Peter
1986-01-01
We consider Brownian motion $X$ on a rotationally symmetric manifold $M_g = (\\mathbb{R}^n, ds^2), ds^2 = dr^2 + g(r)^2 d\\theta^2$. An integral test is presented which gives a necessary and sufficient condition for the nontriviality of the invariant $\\sigma$-field of $X$, hence for the existence of nonconstant bounded harmonic functions on $M_g$. Conditions on the sectional curvatures are given which imply the convergence or the divergence of the test integral.
Thermodynamic characteristics of a Brownian heat pump in a spatially periodic temperature field
Institute of Scientific and Technical Information of China (English)
无
2010-01-01
This paper has studied the thermodynamic performance of a thermal Brownian heat pump,which consists of Brownian particles moving at a periodic sawtooth potential with external forces and contacting with the alternating hot and cold reservoirs along the space coordinate.The heat flows driven by both potential and kinetic energies are taken into account.The analytical expressions for the heating load,coefficient of performance(COP) and power input of the Brownian heat pump are derived and the performance characteristics are obtained by numerical calculations.It is shown that due to the heat flow via the change of kinetic energy of the particles,the Brownian heat pump is always irreversible and the COP can never attain the Carnot COP.The study has also investigated the influences of the operating parameters,i.e.the external force,barrier height of the potential,asymmetry of the sawtooth potential and temperature ratio of the heat reservoirs,on the performance of the Brownian heat pump.The effective regions of external force and barrier height of the potential in which the Brownian motor can operates as a heat pump are determined.The results show that the performance of the Brownian heat pump greatly depends on the parameters;if the parameters are properly chosen,the Brownian heat pump may be controlled to operate in the optimal regimes.
On the expectation of normalized Brownian functionals up to first hitting times
Elie, Romuald; Rosenbaum, Mathieu; Yor, Marc
2013-01-01
Let B be a Brownian motion and T its first hitting time of the level 1. For U a uniform random variable independent of B, we study in depth the distribution of T^{-1/2}B_{UT}, that is the rescaled Brownian motion sampled at uniform time. In particular, we show that this variable is centered.
Long, Hai; Chang, Christopher H; King, Paul W; Ghirardi, Maria L; Kim, Kwiseon
2008-10-01
The [FeFe] hydrogenase from the green alga Chlamydomonas reinhardtii can catalyze the reduction of protons to hydrogen gas using electrons supplied from photosystem I and transferred via ferredoxin. To better understand the association of the hydrogenase and the ferredoxin, we have simulated the process over multiple timescales. A Brownian dynamics simulation method gave an initial thorough sampling of the rigid-body translational and rotational phase spaces, and the resulting trajectories were used to compute the occupancy and free-energy landscapes. Several important hydrogenase-ferredoxin encounter complexes were identified from this analysis, which were then individually simulated using atomistic molecular dynamics to provide more details of the hydrogenase and ferredoxin interaction. The ferredoxin appeared to form reasonable complexes with the hydrogenase in multiple orientations, some of which were good candidates for inclusion in a transition state ensemble of configurations for electron transfer. PMID:18621810
A Brownian motion technique to simulate gasification and its application to C/C composite ablation
International Nuclear Information System (INIS)
Ablation of carbon-carbon composites (C/C) results in a heterogeneous surface recession mainly due to some gasification processes (oxidation, sublimation) possibly coupled to bulk mass transfer. In order to simulate and analyse the material/environment interactions during ablation, a Brownian motion simulation method featuring special Random Walk rules close to the wall has been implemented to efficiently simulate mass transfer in the low Peclet number regime. A sticking probability law adapted to this kind of Random Walk has been obtained for first-order heterogeneous reactions. In order to simulate the onset of surface roughness, the interface recession is simultaneously handled in 3D using a Simplified Marching Cube discretization. This tool is validated by comparison to analytical models. Then, its ability to provide reliable and accurate solutions of ablation phenomena in 3D is illustrated. (authors)
Effect of solvent on directional drift in Brownian motion of particle/molecule with broken symmetry
Kong, FanDong; Sheng, Nan; Wan, RongZheng; Hu, GuoHui; Fang, HaiPing
2016-08-01
The directional drifting of particles/molecules with broken symmetry has received increasing attention. Through molecular dynamics simulations, we investigate the effects of various solvents on the time-dependent directional drifting of a particle with broken symmetry. Our simulations show that the distance of directional drift of the asymmetrical particle is reduced while the ratio of the drift to the mean displacement of the particle is enhanced with increasing mass, size, and interaction strength of the solvent atoms in a short time range. Among the parameters considered, solvent atom size is a particularly influential factor for enhancing the directional drift of asymmetrical particles, while the effects of the interaction strength and the mass of the solvent atoms are relatively weaker. These findings are of great importance to the understanding and control of the Brownian motion of particles in various physical, chemical, and biological processes within finite time spans.
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...
Stochastic shell models driven by a multiplicative fractional Brownian-motion
Bessaih, Hakima; Garrido-Atienza, María J.; Schmalfuss, Björn
2016-04-01
We prove existence and uniqueness of the solution of a stochastic shell-model. The equation is driven by an infinite dimensional fractional Brownian-motion with Hurst-parameter H ∈(1 / 2 , 1) , and contains a non-trivial coefficient in front of the noise which satisfies special regularity conditions. The appearing stochastic integrals are defined in a fractional sense. First, we prove the existence and uniqueness of variational solutions to approximating equations driven by piecewise linear continuous noise, for which we are able to derive important uniform estimates in some functional spaces. Then, thanks to a compactness argument and these estimates, we prove that these variational solutions converge to a limit solution, which turns out to be the unique pathwise mild solution associated to the shell-model with fractional noise as driving process.
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...
Functionals of Brownian motion, localization and metric graphs
Energy Technology Data Exchange (ETDEWEB)
Comtet, Alain [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Institut Henri Poincare, 11 rue Pierre et Marie Curie, F-75005 Paris (France); Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Texier, Christophe [Laboratoire de Physique Theorique et Modeles Statistiques, UMR 8626 du CNRS, Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Laboratoire de Physique des Solides, UMR 8502 du CNRS, Universite Paris-Sud, Bat. 510, F-91405 Orsay Cedex (France)
2005-09-16
We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of Brownian motion arise in the study of electronic transport in weakly disordered metals (weak localization). Two aspects of the physics of the one-dimensional strong localization are reviewed: some properties of the scattering by a random potential (time delay distribution) and a study of the spectrum of a random potential on a bounded domain (the extreme value statistics of the eigenvalues). Then we mention several results concerning the diffusion on graphs, and more generally the spectral properties of the Schroedinger operator on graphs. The interest of spectral determinants as generating functions characterizing the diffusion on graphs is illustrated. Finally, we consider a two-dimensional model of a charged particle coupled to the random magnetic field due to magnetic vortices. We recall the connection between spectral properties of this model and winding functionals of planar Brownian motion. (topical review)
Functionals of Brownian motion, localization and metric graphs
International Nuclear Information System (INIS)
We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of Brownian motion arise in the study of electronic transport in weakly disordered metals (weak localization). Two aspects of the physics of the one-dimensional strong localization are reviewed: some properties of the scattering by a random potential (time delay distribution) and a study of the spectrum of a random potential on a bounded domain (the extreme value statistics of the eigenvalues). Then we mention several results concerning the diffusion on graphs, and more generally the spectral properties of the Schroedinger operator on graphs. The interest of spectral determinants as generating functions characterizing the diffusion on graphs is illustrated. Finally, we consider a two-dimensional model of a charged particle coupled to the random magnetic field due to magnetic vortices. We recall the connection between spectral properties of this model and winding functionals of planar Brownian motion. (topical review)
Intermittency and multifractional Brownian character of geomagnetic time series
Directory of Open Access Journals (Sweden)
G. Consolini
2013-07-01
Full Text Available The Earth's magnetosphere exhibits a complex behavior in response to the solar wind conditions. This behavior, which is described in terms of mutifractional Brownian motions, could be the consequence of the occurrence of dynamical phase transitions. On the other hand, it has been shown that the dynamics of the geomagnetic signals is also characterized by intermittency at the smallest temporal scales. Here, we focus on the existence of a possible relationship in the geomagnetic time series between the multifractional Brownian motion character and the occurrence of intermittency. In detail, we investigate the multifractional nature of two long time series of the horizontal intensity of the Earth's magnetic field as measured at L'Aquila Geomagnetic Observatory during two years (2001 and 2008, which correspond to different conditions of solar activity. We propose a possible double origin of the intermittent character of the small-scale magnetic field fluctuations, which is related to both the multifractional nature of the geomagnetic field and the intermittent character of the disturbance level. Our results suggest a more complex nature of the geomagnetic response to solar wind changes than previously thought.
Ergodic Properties of Fractional Brownian-Langevin Motion
Deng, Weihua
2008-01-01
We investigate the time average mean square displacement $\\overline{\\delta^2}(x(t))=\\int_0^{t-\\Delta}[x(t^\\prime+\\Delta)-x(t^\\prime)]^2 dt^\\prime/(t-\\Delta)$ for fractional Brownian and Langevin motion. Unlike the previously investigated continuous time random walk model $\\overline{\\delta^2}$ converges to the ensemble average $ \\sim t^{2 H}$ in the long measurement time limit. The convergence to ergodic behavior is however slow, and surprisingly the Hurst exponent $H=3/4$ marks the critical point of the speed of convergence. When $H^2\\sim k(H) \\cdot\\Delta\\cdot t^{-1}$, when $H=3/4$, ${EB} \\sim (9/16)(\\ln t) \\cdot\\Delta \\cdot t^{-1}$, and when $3/4
Immigration process in catalytic medium
Institute of Scientific and Technical Information of China (English)
无
2000-01-01
The longtime behavior of the immigration process associated with a catalytic super-Brownian motion is studied. A large number law is proved in dimension d≤3 and a central limit theorem is proved for dimension d=3.
Padding, J. T.; Louis, A. A.
2006-09-01
We describe in detail how to implement a coarse-grained hybrid molecular dynamics and stochastic rotation dynamics simulation technique that captures the combined effects of Brownian and hydrodynamic forces in colloidal suspensions. The importance of carefully tuning the simulation parameters to correctly resolve the multiple time and length scales of this problem is emphasized. We systematically analyze how our coarse-graining scheme resolves dimensionless hydrodynamic numbers such as the Reynolds number Re, which indicates the importance of inertial effects, the Schmidt number Sc, which indicates whether momentum transport is liquidlike or gaslike, the Mach number, which measures compressibility effects, the Knudsen number, which describes the importance of noncontinuum molecular effects, and the Peclet number, which describes the relative effects of convective and diffusive transport. With these dimensionless numbers in the correct regime the many Brownian and hydrodynamic time scales can be telescoped together to maximize computational efficiency while still correctly resolving the physically relevant processes. We also show how to control a number of numerical artifacts, such as finite-size effects and solvent-induced attractive depletion interactions. When all these considerations are properly taken into account, the measured colloidal velocity autocorrelation functions and related self-diffusion and friction coefficients compare quantitatively with theoretical calculations. By contrast, these calculations demonstrate that, notwithstanding its seductive simplicity, the basic Langevin equation does a remarkably poor job of capturing the decay rate of the velocity autocorrelation function in the colloidal regime, strongly underestimating it at short times and strongly overestimating it at long times. Finally, we discuss in detail how to map the parameters of our method onto physical systems and from this extract more general lessons—keeping in mind that there
International Nuclear Information System (INIS)
An understanding of particle transport is necessary to reduce contamination of semiconductor wafers during low-pressure processing. The trajectories of particles in these reactors are determined by external forces (the most important being neutral fluid drag, thermophoresis, electrostatic, viscous ion drag, and gravitational), by Brownian motion (due to neutral and charged gas molecule collisions), and by particle inertia. Gas velocity and temperature fields are also needed for particle transport calculations, but conventional continuum fluid approximations break down at low pressures when the gas mean free path becomes comparable to chamber dimensions. Thus, in this work we use a massively parallel direct simulation Monte Carlo method to calculate low-pressure internal gas flow fields which show temperature jump and velocity slip at the reactor boundaries. Because particle residence times can be short compared to particle response times in these low-pressure systems (for which continuum diffusion theory fails), we solve the Langevin equation using a numerical Lagrangian particle tracking model which includes a fluctuating Brownian force. Because of the need for large numbers of particle trajectories to ensure statistical accuracy, the particle tracking model is also implemented on a massively parallel computer. The particle transport model is validated by comparison to the Ornstein endash Furth theoretical result for the mean square displacement of a cloud of particles. For long times, the particles tend toward a Maxwellian spatial distribution, while at short times, particle spread is controlled by their initial (Maxwellian) velocity distribution. Several simulations using these techniques are presented for particle transport and deposition in a low pressure, parallel-plate reactor geometry. The corresponding particle collection efficiencies on a wafer for different particle sizes, gas temperature gradients, and gas pressures are evaluated
Effect of particle size on salt-induced diffusiophoresis compared to Brownian mobility.
McAfee, Michele S; Annunziata, Onofrio
2014-05-01
For ternary polymer-salt-water systems at low polymer concentration (0.5%, w/w), we have experimentally investigated the effect of polymer size on polymer diffusiophoresis (i.e., polymer migration induced by a salt concentration gradient) and salt osmotic diffusion (i.e., salt migration induced by a polymer concentration gradient). Specifically, Rayleigh interferometry was employed to measure ternary diffusion coefficients for aqueous solutions of poly(ethylene glycol) (PEG) and KCl at 25 °C. Our investigation focused on four polymer molecular masses (from 10 to 100 kg mol(-1)) and two salt concentrations (0.25 and 0.50 M). To describe and examine our experimental results, we introduced a normalized diffusiophoresis coefficient as the ratio of polymer diffusiophoresis to polymer Brownian mobility. This coefficient was found to increase with polymer molecular mass, thereby demonstrating that the relative importance of polymer diffusiophoresis compared to its intrinsic Brownian mobility increases with particle size. The observed behavior was linked to preferential hydration (water thermodynamic excess) and hydration (bound water) of the macromolecule. The ratio of salt osmotic diffusion to binary salt-water diffusion approximately describes the nonuniform spatial distribution of salt along a static polymer concentration gradient at equilibrium. The significance of polymer diffusiophoresis, especially at high PEG molecular mass, was examined by considering a steady-state diffusion problem showing that salt concentration gradients can produce large enhancements and depletions of polymer concentration. This work is valuable for understanding and modeling the effect of salt concentration gradients on diffusion-based transport of polymers with applications to interfacial processes. PMID:24758490
International Nuclear Information System (INIS)
The moment method can be used to determine the time evolution of particle size distribution due to Brownian coagulation based on the general dynamic equation (GDE). But the function form of the initial particle size distribution must be determined beforehand for the moment method. If the assumed function type of the initial particle size distribution has an obvious deviation from the true particle population, the evolution of particle size distribution may be different from the real evolution tendency. Thus, a simple and general method is proposed based on the moment method. In this method, the Johnson's SB function is chosen as a general distribution function to fit the initial distributions including the log normal (L-N), Rosin–Rammler (R-R), normal (N-N) and gamma distribution functions, respectively. Meanwhile, using the modified beta function to fit the L-N, R-R, N-N and gamma functions is also conducted as a comparison in order to present the advantage of the Johnson's SB function as the general distribution function. And then, the time evolution of particle size distributions using the Johnson's SB function as the initial distribution can be obtained by several lower order moment equations of the Johnson's SB function in conjunction with the GDE during the Brownian coagulation process. Simulation experiments indicate that fairly reasonable results of the time evolution of particle size distribution can be obtained with this proposed method in the free molecule regime, transition regime and continuum plus near continuum regime, respectively, at the early time stage of evolution. The Johnson's SB function has the ability of describing the early time evolution of different initial particle size distributions. (paper)
Active microrheology of Brownian suspensions via Accelerated Stokesian Dynamics simulations
Chu, Henry; Su, Yu; Gu, Kevin; Hoh, Nicholas; Zia, Roseanna
2015-11-01
The non-equilibrium rheological response of colloidal suspensions is studied via active microrheology utilizing Accelerated Stokesian Dynamics simulations. In our recent work, we derived the theory for micro-diffusivity and suspension stress in dilute suspensions of hydrodynamically interacting colloids. This work revealed that force-induced diffusion is anisotropic, with qualitative differences between diffusion along the line of the external force and that transverse to it, and connected these effects to the role of hydrodynamic, interparticle, and Brownian forces. This work also revealed that these forces play a similar qualitative role in the anisotropy of the stress and in the evolution of the non-equilibrium osmotic pressure. Here, we show that theoretical predictions hold for suspensions ranging from dilute to near maximum packing, and for a range of flow strengths from near-equilibrium to the pure-hydrodynamic limit.
Unusual Brownian motion of photons in open absorbing media
Zhao, Li-Yi; Zhang, Zhao-Qing; Zhang, Xiang-Dong
2013-01-01
Very recent experiments have discovered that localized light in strongly absorbing media displays intriguing diffusive phenomena. Here we develop a first-principles theory of light propagation in open media with arbitrary absorption strength and sample length. We show analytically that photons in localized open absorbing media exhibit unusual Brownian motion. Specifically, wave transport follows the diffusion equation with the diffusion coefficient exhibiting spatial resolution. Most strikingly, despite that the system is controlled by two parameters -- the ratio of the localization (absorption) length to the sample length -- the spatially resolved diffusion coefficient displays novel single parameter scaling: it depends on the space via the returning probability. Our analytic predictions for this diffusion coefficient are confirmed by numerical simulations. In the strong absorption limit they agree well with the experimental results.
Brownian Dynamics of Colloidal Particles in Lyotropic Chromonic Liquid Crystals
Martinez, Angel; Collings, Peter J.; Yodh, Arjun G.
We employ video microscopy to study the Brownian dynamics of colloidal particles in the nematic phase of lyotropic chromonic liquid crystals (LCLCs). These LCLCs (in this case, DSCG) are water soluble, and their nematic phases are characterized by an unusually large elastic anisotropy. Our preliminary measurements of particle mean-square displacement for polystyrene colloidal particles (~5 micron-diameter) show diffusive and sub-diffusive behaviors moving parallel and perpendicular to the nematic director, respectively. In order to understand these motions, we are developing models that incorporate the relaxation of elastic distortions of the surrounding nematic field. Further experiments to confirm these preliminary results and to determine the origin of these deviations compared to simple diffusion theory are ongoing; our results will also be compared to previous diffusion experiments in nematic liquid crystals. We gratefully acknowledge financial support through NSF DMR12-05463, MRSEC DMR11-20901, and NASA NNX08AO0G.
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.
Normal and anomalous diffusion of Brownian particles on disordered potentials
Salgado-García, R.
2016-07-01
In this work we study the transition from normal to anomalous diffusion of Brownian particles on disordered potentials. The potential model consists of a series of "potential hills" (defined on a unit cell of constant length) whose heights are chosen randomly from a given distribution. We calculate the exact expression for the diffusion coefficient in the case of uncorrelated potentials for arbitrary distributions. We show that when the potential heights have a Gaussian distribution (with zero mean and a finite variance) the diffusion of the particles is always normal. In contrast, when the distribution of the potential heights is exponentially distributed the diffusion coefficient vanishes when the system is placed below a critical temperature. We calculate analytically the diffusion exponent for the anomalous (subdiffusive) phase by using the so-called "random trap model". Our predictions are tested by means of Langevin simulations obtaining good agreement within the accuracy of our numerical calculations.
Micro rectennas: Brownian ratchets for thermal-energy harvesting
International Nuclear Information System (INIS)
We experimentally demonstrated the operation of a rectenna for harvesting thermal (blackbody) radiation and converting it into dc electric power. The device integrates an ultrafast rectifier, the self-switching nanodiode, with a wideband log-periodic spiral microantenna. The radiation from the thermal source drives the rectenna out of thermal equilibrium, permitting the rectification of the excess thermal fluctuations from the antenna. The power conversion efficiency increases with the source temperatures up to 0.02% at 973 K. The low efficiency is attributed mainly to the impedance mismatch between antenna and rectifier, and partially to the large field of view of the antenna. Our device not only opens a potential solution for harvesting thermal energy but also provides a platform for experimenting with Brownian ratchets
An Efficient Method to Study Nondiffusive Motion of Brownian Particles
Directory of Open Access Journals (Sweden)
Lisý Vladimír
2016-01-01
Full Text Available The experimental access to short timescales has pointed to the inadequacy of the standard Langevin theory of the Brownian motion (BM in fluids. The hydrodynamic theory of the BM describes well the observed motion of the particles; however, the published approach should be improved in several points. In particular, it leads to incorrect correlation properties of the thermal noise driving the particles. In our contribution we present an efficient method, which is applicable to linear generalized Langevin equations describing the BM of particles with any kind of memory and apply it to interpret the experiments where nondiffusive BM of particles was observed. It is shown that the applicability of the method is much broader, allowing, among all, to obtain efficient solutions of various problems of anomalous BM.
Modeling collective emotions: a stochastic approach based on Brownian agents
International Nuclear Information System (INIS)
We develop a agent-based framework to model the emergence of collective emotions, which is applied to online communities. Agents individual emotions are described by their valence and arousal. Using the concept of Brownian agents, these variables change according to a stochastic dynamics, which also considers the feedback from online communication. Agents generate emotional information, which is stored and distributed in a field modeling the online medium. This field affects the emotional states of agents in a non-linear manner. We derive conditions for the emergence of collective emotions, observable in a bimodal valence distribution. Dependent on a saturated or a super linear feedback between the information field and the agent's arousal, we further identify scenarios where collective emotions only appear once or in a repeated manner. The analytical results are illustrated by agent-based computer simulations. Our framework provides testable hypotheses about the emergence of collective emotions, which can be verified by data from online communities. (author)
Micro rectennas: Brownian ratchets for thermal-energy harvesting
Energy Technology Data Exchange (ETDEWEB)
Pan, Y.; Powell, C. V.; Balocco, C., E-mail: claudio.balocco@durham.ac.uk [School of Engineering and Computing Sciences, Durham University, Durham DH1 3LE (United Kingdom); Song, A. M. [School of Electrical and Electronic Engineering, University of Manchester, Manchester M13 9PL (United Kingdom)
2014-12-22
We experimentally demonstrated the operation of a rectenna for harvesting thermal (blackbody) radiation and converting it into dc electric power. The device integrates an ultrafast rectifier, the self-switching nanodiode, with a wideband log-periodic spiral microantenna. The radiation from the thermal source drives the rectenna out of thermal equilibrium, permitting the rectification of the excess thermal fluctuations from the antenna. The power conversion efficiency increases with the source temperatures up to 0.02% at 973 K. The low efficiency is attributed mainly to the impedance mismatch between antenna and rectifier, and partially to the large field of view of the antenna. Our device not only opens a potential solution for harvesting thermal energy but also provides a platform for experimenting with Brownian ratchets.
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. PMID:25554134
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 on the thermal conductivity enhancement of nanofluids
Gupta, Amit; Kumar, Ranganathan
2007-11-01
This study involves Brownian dynamics simulations of a real nanofluid system in which the interparticle potential is determined based on Debye length and surface interaction of the fluid and the solid. This paper shows that Brownian motion can increase the thermal conductivity of the nanofluid by 6% primarily due to "random walk" motion and not only through diffusion. This increase is limited by the maximum concentration for each particle size and is below that predicted by the effective medium theory. Beyond the maximum limit, particle aggregates begin to form. Brownian motion contribution stays as a constant beyond a certain particle diameter.
Oscillation of harmonic functions for subordinate Brownian motion and its applications
Kim, Panki; Lee, Yunju
2012-01-01
In this paper, we establish an oscillation estimate of nonnegative harmonic functions for a pure-jump subordinate Brownian motion. The infinitesimal generator of such subordinate Brownian motion is an integro-differential operator. As an application, we give a probabilistic proof of the following form of relative Fatou theorem for such subordinate Brownian motion X in bounded kappa-fat open set; if u is a positive harmonic function with respect to X in a bounded kappa-fat open set D and h is ...
Elamin, Khalid; Swenson, Jan
2015-03-01
Aqueous solutions of glycerol are investigated by dynamic light scattering (DLS) over the whole concentration range (10-98 wt.% water) and in the temperature range 283-303 K. The measurements reveal one slow relaxation process in the geometry of polarized light scattering. This process is present in the whole concentration range, although it is very weak at the highest and lowest water concentrations and is considerably slower than the structural α relaxation, which is too fast to be observed on the experimental time scale in the measured temperature range. The relaxation time of the observed process exhibits a 1/q2 dependence, proving that it is due to long-range translational diffusion. The Stokes-Einstein relation is used to estimate the hydrodynamic radius of the diffusing particles and from these calculations it is evident that the observed relaxation process is due to the Brownian motion of single or a few glycerol molecules. The fact that it is possible to study the self-diffusion of such small molecules may stimulate a broadening of the research field used to be covered by the DLS technique. PMID:25871109
Kearney, Michael J.; Martin, Richard J.
2016-05-01
A study is made of the normalized functionals { M }\\equiv M/{T}{1/2} and { A }\\equiv A/{T}{3/2} associated with one-dimensional first passage Brownian motion with positive initial condition, where M is the maximum value attained and A is the area swept out up to the random time T at which the process first reaches zero. Both { M } and { A } involve two strongly correlated random variables associated with a given Brownian path. Through their study, fresh insights are provided into the fundamental nature of such first passage processes and the underlying correlations. The probability density and the moments of { M } and { A } are calculated exactly and the theoretical results are shown to be in good agreement with those derived from simulations. Intriguingly, there is a precise equivalence in law between the variable { A } and the maximal relative height of the fluctuating interface in the one-dimensional Edwards–Wilkinson model with free boundary conditions. This observation leads to some interesting and still partially unresolved questions.
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).
Directory of Open Access Journals (Sweden)
Aimé Lachal
2011-01-01
Full Text Available Let ((∈[0,1] be the linear Brownian motion and ((∈[0,1] the (−1-fold integral of Brownian motion, with being a positive integer: ∫(=0((−−1/(−1!d( for any ∈[0,1]. In this paper we construct several bridges between times 0 and 1 of the process ((∈[0,1] involving conditions on the successive derivatives of at times 0 and 1. For this family of bridges, we make a correspondence with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical problem of prediction. Our results involve various Hermite interpolation polynomials.
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.
The probability of an encounter of two Brownian particles before escape
holcman, D
2009-01-01
We study the probability of two Brownian particles to meet before one of them exits a finite interval. We obtain an explicit expression for the probability as a function of the initial distance of the two particles using the Weierstrass elliptic function. We also find the law of the meeting location. Brownian simulations show the accuracy of our analysis. Finally, we discuss some applications to the probability that a double strand DNA break repairs in confined environments.
100 years of Einstein's theory of Brownian motion: from pollen grains to protein trains
Chowdhury, Debashish
2005-01-01
Experimental verification of the theoretical predictions made by Albert Einstein in his paper, published in 1905, on the molecular mechanisms of Brownian motion established the existence of atoms. In the last 100 years discoveries of many facets of the ubiquitous Brownian motion has revolutionized our fundamental understanding of the role of {\\it thermal fluctuations} in the exotic structures and complex dynamics exhibited by soft matter like, for example, colloids, gels, etc. The domain of B...
An exact solution to Brownian dynamics of a reversible bimolecular reaction in one dimension
Smith, Stephen; Grima, Ramon
2016-01-01
Brownian dynamics is a popular fine-grained method for simulating systems of interacting particles, such as chemical reactions. Though the method is simple to simulate, it is generally assumed that the dynamics is impossible to solve exactly and analytically, aside from some trivial systems. We here give the first exact analytical solution to a non-trivial Brownian dynamics system: the reaction $A+B\\xrightleftharpoons[]{}C$ in equilibrium in one-dimensional periodic space. The solution is a f...
Recurrence and transience for normally reflected Brownian motion in warped product manifolds
de Lima, Levi Lopes
2016-01-01
We establish an integral test describing the exact cut-off between recurrence and transience for normally reflected Brownian motion in certain unbounded domains in a class of warped product manifolds. Besides extending a previous result by Pinsky \\cite{P1}, who treated the case in which the ambient space is flat, our result recovers the classical test for the standard Brownian motion in model spaces. Moreover, it allows us to discuss the recurrence/transience dichotomy for certain generalized...
On exponential stability for stochastic differential equations disturbed by G-Brownian motion
Fei, Weiyin; Fei, Chen
2013-01-01
We first introduce the calculus of Peng's G-Brownian motion on a sublinear expectation space $(\\Omega, {\\cal H}, \\hat{\\mathbb{E}})$. Then we investigate the exponential stability of paths for a class of stochastic differential equations disturbed by a G-Brownian motion in the sense of quasi surely (q.s.). The analyses consist in G-Lyapunov function and some special inequalities. Various sufficient conditions are obtained to ensure the stability of strong solutions. In particular, by means of ...
Weak solutions to stochastic differential equations driven by fractional Brownian motion
Czech Academy of Sciences Publication Activity Database
Šnupárková, Jana
2009-01-01
Roč. 59, č. 4 (2009), s. 879-907. ISSN 0011-4642 R&D Projects: GA ČR GA201/07/0237 Institutional research plan: CEZ:AV0Z10750506 Keywords : fractional Brownian motion * weak solutions Subject RIV: BA - General Mathematics Impact factor: 0.306, year: 2009 http://library.utia.cas.cz/separaty/2009/SI/snuparkova-weak solutions to stochastic differential equations driven by fractional brownian motion. pdf
On Brownian motion of asymmetric particles - An application as molecular motor
Reichelsdorfer, Martin
2010-01-01
Asymmetric Brownian particles are able to conduct directed average motion under non-equilibrium conditions. This can be used for the construction of molecular motors. The present paper is concerned with the extension and analysis of a biologically inspired model. Due to the often quite abstract formulation, the considerations are also relevant in the broader context of general Brownian motion of asymmetric objects. The model consists of an asymmetric two-dimensional body, which moves along a ...
International Nuclear Information System (INIS)
Using the analogy between brownian motion and Quantum Mechanics, we study the winding angle θ of planar brownian curves around a given point, say the origin O. In particular, we compute the characteristic function for the probability distribution of θ and recover Spitzer's law in the limit of infinitely large times. Finally, we study the (large) change in the winding angle distribution when we add a repulsive potential at the origin
Volpe, Giorgio; Volpe, Giovanni; Gigan, Sylvain
2014-01-01
The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical potential associated to a speckle, i.e., a complex interference pattern generated by the scattering of coherent light by a random medium, provides an ideal mesoscopic model system to study such phenomena. Here, we derive a theory for the motion of a Brownian ...
Spectral characterization for the quadratic variation of mixed Brownian fractional Brownian motion
Azmoodeh, Ehsan
2010-01-01
Dzhaparidze and Spreij in \\cite{ds} showed that the quadratic variation of a semimartingale can be approximated using the periodogram. We show that the same approximation is valid for a special class of stochastic processes containing both semimartingales and non-semimartingales. This class is the main example in the recent work by Bender et. al. \\cite{bsv}, where it is shown that a big class of options can be hedged as if the model was the classical Black \\& Scholes pricing model.
Brownian Dynamics Simulation of two-dimensional nanosheets under extensional flow
Xu, Yueyi; Green, Micah
2014-11-01
We investigated the morphology change of two-dimensional nanosheets under extensional flow using a coarse-grained model. Nanosheets such as graphene are promising materials for a variety of materials and electronics applications; extensional flow fields are used to cast or process liquid nanosheet dispersions in several processing techniques, including spin coating and compression molding. Process parameters, including bending stiffness and Weissenberg numbers can have a significant impact on the nanosheet morphology and the physical properties of the finished products. We use Brownian Dynamics simulations to study the impact of external flow field on a two-dimensional bead-rod lattice model. Our model was previously demonstrated for steady shear flow. Here we studied the change of morphology of graphene over time and varied the sheet size, bending stiffness and Weissenberg number. Our results showed a flattening behavior that increases with Weissenberg number. Our results also showed significant differences between nanosheets as a function of bending stiffness, with contrasting ``plate'' and ``washrag'' results under extension. The intrinsic viscosity first experiences a drop with Weissenberg number followed by a plateau associated with maximum extension.
Khan, Siddique J.
in the nucleation process the clusters display a crystalline structure that is a random mix of fcc and hcp lattices and indistinguishable from a randomized icosahedra structure. Next, we present results from detailed three-dimensional Brownian dynamics simulations of the self-assembly process in quenched short-range attractive colloids. Clusters obtained in the simulations range from dense faceted crystals to fractal aggregates which show ramified morphology on large length scales but close-packed crystalline morphology on short length scales. For low volume fractions of the colloids, the morphology and crystal structure of a nucleating cluster are studied at various times after the quench. As the volume fraction of the colloids is increased, growth of clusters is controlled by cluster diffusion and cluster-cluster interactions. For shallower quenches and low volume fractions, clusters are compact and the growth-law exponent agrees well with Binder-Stauffer predictions and with recent experimental results. As the volume fraction is increased, clusters do not completely coalesce when they meet each other and the kinetics crosses over to diffusion-limited cluster-cluster aggregation (DLCA) limit. For deeper quenches, clusters are fractals even at low volume fractions and the growth kinetics asymptotically reaches the irreversible DLCA case.
Brownian dynamics simulations of ellipsoidal magnetizable particle suspensions
Torres-Díaz, I.; Rinaldi, C.
2014-06-01
The rotational motion of soft magnetic tri-axial ellipsoidal particles suspended in a Newtonian fluid has been studied using rotational Brownian dynamics simulations by solving numerically the stochastic angular momentum equation in an orientational space described by the quaternion parameters. The model is applicable to particles where the effect of shape anisotropy is dominant. The algorithm quantifies the magnetization of a monodisperse suspension of tri-axial ellipsoids in dilute limit conditions under applied constant and time-varying magnetic fields. The variation of the relative permeability with the applied magnetic field of the particle's bulk material was included in the simulations. The results show that the equilibrium magnetization of a suspension of magnetizable tri-axial ellipsoids saturates at high magnetic field amplitudes. Additionally, the dynamic susceptibility at low magnetic field intensity presents a peak in the out-of-phase component, which is significantly smaller than the in-phase component and depends on the Langevin parameter. The dynamic magnetization of the particle suspension is in phase with the magnetic field at low and high frequencies far from the peak of the out-of-phase component.
Magnetoviscosity in dilute ferrofluids from rotational brownian dynamics simulations.
Soto-Aquino, D; Rinaldi, C
2010-10-01
Ferrofluids are suspensions of magnetic nanoparticles which respond to imposed magnetic fields by changing their viscosity without losing their fluidity. Prior work on modeling the behavior of ferrofluids has focused on using phenomenological suspension-scale continuum equations. A disadvantage of this approach is the controversy surrounding the equation describing the rate of change of the ferrofluid magnetization, the so-called magnetization relaxation equation. In this contribution the viscosity of dilute suspensions of spherical magnetic nanoparticles suspended in a Newtonian fluid and under applied shear and constant magnetic fields is studied through rotational brownian dynamics simulations. Simulation results are compared with the predictions of suspension-scale models based on three magnetization relaxation equations. Excellent agreement is observed between simulation results and the predictions of an equation due to Martsenyuk, Raikher, and Shliomis. Good qualitative agreement is observed with predictions of other equations, although these models fail to accurately predict the magnitude and shear rate dependence of the magnetic-field-dependent effective viscosity. Finally, simulation results over a wide range of conditions are collapsed into master curves using a Mason number defined based on the balance of hydrodynamic and magnetic torques. PMID:21230393
Transport properties of elastically coupled fractional Brownian motors
Lv, Wangyong; Wang, Huiqi; Lin, Lifeng; Wang, Fei; Zhong, Suchuan
2015-11-01
Under the background of anomalous diffusion, which is characterized by the sub-linear or super-linear mean-square displacement in time, we proposed the coupled fractional Brownian motors, in which the asymmetrical periodic potential as ratchet is coupled mutually with elastic springs, and the driving source is the external harmonic force and internal thermal fluctuations. The transport mechanism of coupled particles in the overdamped limit is investigated as the function of the temperature of baths, coupling constant and natural length of the spring, the amplitude and frequency of driving force, and the asymmetry of ratchet potential by numerical stimulations. The results indicate that the damping force involving the information of historical velocity leads to the nonlocal memory property and blocks the traditional dissipative motion behaviors, and it even plays a cooperative role of driving force in drift motion of the coupled particles. Thus, we observe various non-monotonic resonance-like behaviors of collective directed transport in the mediums with different diffusion exponents.
Brownian aggregation rate of colloid particles with several active sites
International Nuclear Information System (INIS)
We theoretically analyze the aggregation kinetics of colloid particles with several active sites. Such particles (so-called “patchy particles”) are well known as chemically anisotropic reactants, but the corresponding rate constant of their aggregation has not yet been established in a convenient analytical form. Using kinematic approximation for the diffusion problem, we derived an analytical formula for the diffusion-controlled reaction rate constant between two colloid particles (or clusters) with several small active sites under the following assumptions: the relative translational motion is Brownian diffusion, and the isotropic stochastic reorientation of each particle is Markovian and arbitrarily correlated. This formula was shown to produce accurate results in comparison with more sophisticated approaches. Also, to account for the case of a low number of active sites per particle we used Monte Carlo stochastic algorithm based on Gillespie method. Simulations showed that such discrete model is required when this number is less than 10. Finally, we applied the developed approach to the simulation of immunoagglutination, assuming that the formed clusters have fractal structure
Persistence of fractional Brownian motion with moving boundaries and applications
International Nuclear Information System (INIS)
We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM X stays below a certain level until time T. Recently, Oshanin et al (2012, arXiv:1209.3313v2) have studied a physical model, where persistence properties of FBM are shown to be related to scaling properties of a quantity JN, called the steady-state current. It turns out that for this analysis, it is important to determine persistence probabilities of FBM with a moving boundary. We show that one can add a boundary of logarithmic order to an FBM without changing the polynomial rate of decay of the corresponding persistence probability, which proves a result needed in Oshanin et al (2013 Phys. Rev. Lett. at press (arXiv:1209.3313v2)). Moreover, we complement their findings by considering the continuous-time version of JT. Finally, we use the results for moving boundaries in order to improve estimates by Molchan (1999 Commun. Math. Phys. 205 97–111) concerning the persistence properties of other quantities of interest, such as the time when an FBM reaches its maximum on the time interval (0, 1) or the last zero in the interval (0, 1). (paper)
Virial pressure in systems of spherical active Brownian particles.
Winkler, Roland G; Wysocki, Adam; Gompper, Gerhard
2015-09-01
The pressure of suspensions of self-propelled objects is studied theoretically and by simulation of spherical active Brownian particles (ABPs). We show that for certain geometries, the mechanical pressure as force/area of confined systems can be equally expressed by bulk properties, which implies the existence of a nonequilibrium equation of state. Exploiting the virial theorem, we derive expressions for the pressure of ABPs confined by solid walls or exposed to periodic boundary conditions. In both cases, the pressure comprises three contributions: the ideal-gas pressure due to white-noise random forces, an activity-induced pressure ("swim pressure"), which can be expressed in terms of a product of the bare and a mean effective particle velocity, and the contribution by interparticle forces. We find that the pressure of spherical ABPs in confined systems explicitly depends on the presence of the confining walls and the particle-wall interactions, which has no correspondence in systems with periodic boundary conditions. Our simulations of three-dimensional ABPs in systems with periodic boundary conditions reveal a pressure-concentration dependence that becomes increasingly nonmonotonic with increasing activity. Above a critical activity and ABP concentration, a phase transition occurs, which is reflected in a rapid and steep change of the pressure. We present and discuss the pressure for various activities and analyse the contributions of the individual pressure components. PMID:26221908
Maldonado-Camargo, L.; Torres-Díaz, I.; Chiu-Lam, A.; Hernández, M.; Rinaldi, C.
2016-08-01
We demonstrate how dynamic magnetic susceptibility measurements (DMS) can be used to estimate the relative contributions of Brownian and Néel relaxation to the dynamic magnetic response of a magnetic fluid, a suspension of magnetic nanoparticles. The method applies to suspensions with particles that respond through Brownian or Néel relaxation and for which the characteristic Brownian and Néel relaxation times are widely separated. First, we illustrate this using magnetic fluids consisting of mixtures of particles that relax solely by the Brownian or Néel mechanisms. Then, it is shown how the same approach can be applied to estimate the relative contributions of Brownian and Néel relaxation in a suspension consisting of particles obtained from a single synthesis and whose size distribution straddles the transition from Néel to Brownian relaxation.
Kinetics of self-induced aggregation of Brownian particles: non-Markovian and non-Gaussian features
Ghosh, Pulak Kumar; Bag, Bidhan Chandra
2012-01-01
In this paper we have studied a model for self-induced aggregation in Brownian particle incorporating the non-Markovian and non-Gaussian character of the associated random noise process. In this model the time evolution of each individual is guided by an over-damped Langevin equation of motion with a non-local drift resulting from the local unbalance distributions of the other individuals. Our simulation result shows that colored nose can induce the cluster formation even at large noise strength. Another observation is that critical noise strength grows very rapidly with increase of noise correlation time for Gaussian noise than non Gaussian one. However, at long time limit the cluster number in aggregation process decreases with time following a power law. The exponent in the power law increases remarkable for switching from Markovian to non Markovian noise process.
Xie, Wen-Jie
2010-01-01
Nonlinear time series analysis aims at understanding the dynamics of stochastic or chaotic processes. In recent years, quite a few methods have been proposed to transform a single time series to a complex network so that the dynamics of the process can be understood by investigating the topological properties of the network. We study the topological properties of horizontal visibility graphs constructed from fractional Brownian motions with different Hurst index $H\\in(0,1)$. Special attention has been paid to the impact of Hurst index on the topological properties. It is found that the clustering coefficient $C$ decreases when $H$ increases. We also found that the mean length $L$ of the shortest paths increases exponentially with $H$ for fixed length $N$ of the original time series. In addition, $L$ increases linearly with respect to $N$ when $H$ is close to 1 and in a logarithmic form when $H$ is close to 0. Although the occurrence of different motifs changes with $H$, the motif rank pattern remains unchange...
Directory of Open Access Journals (Sweden)
Satoshi Ota
2016-09-01
Full Text Available The dependence of magnetic relaxation on particle parameters, such as the size and anisotropy, has been conventionally discussed. In addition, the influences of external conditions, such as the intensity and frequency of the applied field, the surrounding viscosity, and the temperature on the magnetic relaxation have been researched. According to one of the basic theories regarding magnetic relaxation, the faster type of relaxation dominates the process. However, in this study, we reveal that Brownian and Néel relaxations coexist and that Brownian relaxation can occur after Néel relaxation despite having a longer relaxation time. To understand the mechanisms of Brownian rotation, alternating current (AC hysteresis loops were measured in magnetic fluids of different viscosities. These loops conveyed the amplitude and phase delay of the magnetization. In addition, the intrinsic loss power (ILP was calculated using the area of the AC hysteresis loops. The ILP also showed the magnetization response regarding the magnetic relaxation over a wide frequency range. To develop biomedical applications of magnetic nanoparticles, such as hyperthermia and magnetic particle imaging, it is necessary to understand the mechanisms of magnetic relaxation.
From mechanical motion to Brownian motion, thermodynamics and particle transport theory
International Nuclear Information System (INIS)
The motion of a particle in a medium is dealt with either as a problem of mechanics or as a transport process in non-equilibrium statistical physics. The two kinds of approach are often unrelated as they are taught in different textbooks. The aim of this paper is to highlight the link between the mechanical and statistical treatments of particle motion in a medium, starting from the well-studied case of Brownian motion. First, deterministic dynamics is supplemented with stochastic elements accounting for the thermal agitation of the host medium: it is the approach of Langevin, which has been rephrased and extended by Kramers. It handles time-independent and time-dependent stochastic motions as well. In that approach, the host medium is not affected by the guest particles and the latter do not interact with each other. Both limitations are shown to be overcome in thermodynamics, which however is restricted to equilibrium situations, i.e. stochastic motions with no net current. When equilibrium is slightly perturbed, we show how thermodynamic and kinetic concepts supersede mechanical concepts to describe particle transport. The description includes multicomponent transport. The discussions of stochastic dynamics and of thermodynamics are led at the undergraduate level; the treatment of multicomponent transport introduces graduate-level concepts
Diffusive limit for self-repelling Brownian polymers in three and more dimensions
Horvath, Illes; Veto, Balint
2009-01-01
The self-repelling Brownian polymer model (SRBP) initiated by Durrett and Rogers in [Durrett-Rogers (1992)] is the continuous space-time counterpart of the myopic (or 'true') self-avoiding walk model (MSAW) introduced in the physics literature by Amit, Parisi and Peliti in [Amit-Parisi-Peliti (1983)]. In both cases, a random motion in space is pushed towards domains less visited in the past by a kind of negative gradient of the occupation time measure. We investigate the asymptotic behaviour of SRBP in the non-recurrent dimensions. First, extending 1-dimensional results from [Tarres-Toth-Valko (2009)], we identify a natural stationary (in time) and ergodic distribution of the environment (essentially, smeared-out occupation time measure of the process), as seen from the moving particle. As main result we prove that in three and more dimensions, in this stationary (and ergodic) regime, the displacement of the moving particle scales diffusively and its finite dimensional distributions converge to those of a Wie...
Dynamics of non-Brownian fiber suspensions under periodic shear.
Franceschini, Alexandre; Filippidi, Emmanouela; Guazzelli, Elisabeth; Pine, David J
2014-09-21
We report experiments studying the dynamics of dense non-Brownian fiber suspensions subjected to periodic oscillatory shear. We find that periodic shear initially causes fibers to collide and to undergo irreversible diffusion. As time progresses, the fibers tend to orient in the vorticity direction while the number of collisions decreases. Ultimately, the system goes to one of two steady states: an absorbing steady state, where collisions cease and the fibers undergo reversible trajectories; an active state, where fibers continue to collide causing them to diffuse and undergo irreversible trajectories. Collisions between fibers can be characterized by an effective volume fraction Φ with a critical volume fraction Φc that separates absorbing from active (diffusing) steady states. The effective volume fraction Φ depends on the mean fiber orientation and thus decreases in time as fibers progressively orient under periodic shear. In the limit that the temporal evolution of Φ is slow compared to the activity relaxation time τ, all the data for all strain amplitudes and all concentrations can be scaled onto a single master curve with a functional dependence well-described by t(-β/ν)R(e(-t)R), where tR is the rescaled time. As Φ → Φc, τ diverges. Therefore, for experiments in which Φ(t) starts above Φc but goes to a steady state below Φc, departures from scaling are observed for Φ very near Φc. The critical exponents are measured to be β = 0.84 ± 0.04 and ν = 1.1 ± 0.1, which is consistent with the Manna universality class for directed percolation. PMID:25068577
Directory of Open Access Journals (Sweden)
Zemin Ding, Lingen Chen, Yanlin Ge, Fengrui Sun
2015-01-01
Full Text Available On the basis of a generalized model of irreversible thermal Brownian refrigerator, the Onsager coefficients and the analytical expressions for maximum coefficient of performance (COP and the COP at maximum cooling load are derived by using the theory of linear irreversible thermodynamics (LIT. The influences of heat leakage and the heat flow via the kinetic energy change of the particles on the LIT performance of the refrigerator are analyzed. It is shown that when the two kinds of irreversible heat flows are ignored, the Brownian refrigerator is built with the condition of tight coupling between fluxes and forces and it will operate in a reversible regime with zero entropy generation. Moreover, the results obtained by using the LIT theory are compared with those obtained by using the theory of finite time thermodynamics (FTT. It is found that connection between the LIT and FTT performances of the refrigerator can be interpreted by the coupling strength, and the theory of LIT and FTT can be used in a complementary way to analyze in detail the performance of the irreversible thermal Brownian refrigerators. Due to the consideration of several irreversibilities in the model, the results obtained about the Brownian refrigerator are of general significance and can be used to analyze the performance of several different kinds of Brownian refrigerators.
Itô's formula with respect to fractional Brownian motion and its application
Directory of Open Access Journals (Sweden)
W. Dai
1996-01-01
Full Text Available Fractional Brownian motion (FBM with Hurst index 1/2
Brownian Motion After Einstein and Smoluchowski: Some New Applications and New Experiments
International Nuclear Information System (INIS)
The first half of this review describes the development in mathematical models of Brownian motion after Einstein's and Smoluchowski's seminal papers and current applications to optical tweezers. This instrument of choice among single-molecule biophysicists is also an instrument of such precision that it requires an understanding of Brownian motion beyond Einstein's and Smoluchowski's for its calibration, and can measure effects not present in their theories. This is illustrated with some applications, current and potential. It is also shown how addition of a controlled forced motion on the nano-scale of the thermal motion of the tweezed object can improve the calibration of the instrument in general, and make calibration possible also in complex surroundings. The second half of the present re- view, starting with Sect. 9, describes the co-evolution of biological motility models with models of Brownian motion, including recent results for how to derive cell-type-specific motility models from experimental cell trajectories. (author)
Holographic Brownian Motion in Three-Dimensional Gödel Black Hole
International Nuclear Information System (INIS)
By using the AdS/CFT correspondence and Gödel black hole background, we study the dynamics of heavy quark under a rotating plasma. In that case we follow Atmaja (2013) about Brownian motion in BTZ black hole. In this paper we receive some new results for the case of α2l2≠1. In this case, we must redefine the angular velocity of string fluctuation. We obtain the time evolution of displacement square and angular velocity and show that it behaves as a Brownian particle in non relativistic limit. In this plasma, it seems that relating the Brownian motion to physical observables is rather a difficult work. But our results match with Atmaja work in the limit α2l2→1
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.
Volpe, Giorgio; Volpe, Giovanni; Gigan, Sylvain
2014-01-01
The motion of particles in random potentials occurs in several natural phenomena ranging from the mobility of organelles within a biological cell to the diffusion of stars within a galaxy. A Brownian particle moving in the random optical potential associated to a speckle pattern, i.e., a complex interference pattern generated by the scattering of coherent light by a random medium, provides an ideal model system to study such phenomena. Here, we derive a theory for the motion of a Brownian particle in a speckle field and, in particular, we identify its universal characteristic timescale. Based on this theoretical insight, we show how speckle light fields can be used to control the anomalous diffusion of a Brownian particle and to perform some basic optical manipulation tasks such as guiding and sorting. Our results might broaden the perspectives of optical manipulation for real-life applications. PMID:24496461
Brownian ratchets from statistical physics to bio and nano-motors
Cubero, David
2016-01-01
Illustrating the development of Brownian ratchets, from their foundations, to their role in the description of life at the molecular scale and in the design of artificial nano-machinery, this text will appeal to both advanced graduates and researchers entering the field. Providing a self-contained introduction to Brownian ratchets, devices which rectify microscopic fluctuations, Part I avoids technicalities and sets out the broad range of physical systems where the concept of ratchets is relevant. Part II supplies a single source for a complete and modern theoretical analysis of ratchets in regimes such as classical vs quantum and stochastic vs deterministic, and in Part III readers are guided through experimental developments in different physical systems, each highlighting a specific unique feature of ratchets. The thorough and systematic approach to the topic ensures that this book provides a complete guide to Brownian ratchets for newcomers and established researchers in physics, biology and biochemistry.
An exactly solvable model for Brownian motion : III. Motion of a heavy mass in a linear chain
Ullersma, P.
1966-01-01
The theory on Brownian motion, developed in previous papers1) 2) is applied to a linear chain with harmonic coupling between nearest neighbours. All masses are equal except for one which is heavy compared to the others. This heavy particle behaves as a Brownian particle, which is not subject to an e
Li, Minghai; Bansil, Rama
2010-01-01
The kinetics of the transformation from the hexagonal packed cylinder (HEX) phase to the face-centered-cubic (FCC) phase was simulated using Brownian Dynamics for an ABA triblock copolymer in a selective solvent for the A block. The kinetics was obtained by instantaneously changing either the temperature of the system or the well-depth of the Lennard-Jones potential. Detailed analysis showed that the transformation occurred via a rippling mechanism. The simulation results indicated that the order-order transformation (OOT) was a nucleation and growth process when the temperature of the system instantly jumped from 0.8 to 0.5. The time evolution of the structure factor obtained by Fourier Transformation showed that the peak intensities of the HEX and FCC phases could be fit well by an Avrami equation.
Brownian motion of a matter-wave bright soliton moving through a thermal cloud of distinct atoms
McDonald, R. G.; Bradley, A. S.
2016-06-01
Taking an open quantum system approach, we derive a collective equation of motion for the dynamics of a matter-wave bright soliton moving through a thermal cloud of a distinct atomic species. The reservoir interaction involves energy transfer without particle transfer between the soliton and thermal cloud, thus damping the soliton motion without altering its stability against collapse. We derive a Langevin equation for the soliton center-of-mass velocity in the form of an Ornstein-Uhlenbeck process with analytical drift and diffusion coefficients. This collective motion is confirmed by simulations of the full stochastic projected Gross-Pitaevskii equation for the matter-wave field. The system offers a pathway for experimentally observing the elusive energy-damping reservoir interaction and a clear realization of collective Brownian motion for a mesoscopic superfluid droplet.
Non-Brownian diffusion in lipid membranes: Experiments and simulations.
Metzler, R; Jeon, J-H; Cherstvy, A G
2016-10-01
The dynamics of constituents and the surface response of cellular membranes-also in connection to the binding of various particles and macromolecules to the membrane-are still a matter of controversy in the membrane biophysics community, particularly with respect to crowded membranes of living biological cells. We here put into perspective recent single particle tracking experiments in the plasma membranes of living cells and supercomputing studies of lipid bilayer model membranes with and without protein crowding. Special emphasis is put on the observation of anomalous, non-Brownian diffusion of both lipid molecules and proteins embedded in the lipid bilayer. While single component, pure lipid bilayers in simulations exhibit only transient anomalous diffusion of lipid molecules on nanosecond time scales, the persistence of anomalous diffusion becomes significantly longer ranged on the addition of disorder-through the addition of cholesterol or proteins-and on passing of the membrane lipids to the gel phase. Concurrently, experiments demonstrate the anomalous diffusion of membrane embedded proteins up to macroscopic time scales in the minute time range. Particular emphasis will be put on the physical character of the anomalous diffusion, in particular, the occurrence of ageing observed in the experiments-the effective diffusivity of the measured particles is a decreasing function of time. Moreover, we present results for the time dependent local scaling exponent of the mean squared displacement of the monitored particles. Recent results finding deviations from the commonly assumed Gaussian diffusion patterns in protein crowded membranes are reported. The properties of the displacement autocorrelation function of the lipid molecules are discussed in the light of their appropriate physical anomalous diffusion models, both for non-crowded and crowded membranes. In the last part of this review we address the upcoming field of membrane distortion by elongated membrane
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 Agents and Active Particles: Collective Dynamics in the Natural and Social Sciences
International Nuclear Information System (INIS)
This is a book about the modelling of complex systems and, unlike many books on this subject, concentrates on the discussion of specific systems and gives practical methods for modelling and simulating them. This is not to say that the author does not devote space to the general philosophy and definition of complex systems and agent-based modelling, but the emphasis is definitely on the development of concrete methods for analysing them. This is, in my view, to be welcomed and I thoroughly recommend the book, especially to those with a theoretical physics background who will be very much at home with the language and techniques which are used. The author has developed a formalism for understanding complex systems which is based on the Langevin approach to the study of Brownian motion. This is a mesoscopic description; details of the interactions between the Brownian particle and the molecules of the surrounding fluid are replaced by a randomly fluctuating force. Thus all microscopic detail is replaced by a coarse-grained description which encapsulates the essence of the interactions at the finer level of description. In a similar way, the influences on Brownian agents in a multi-agent system are replaced by stochastic influences which sum up the effects of these interactions on a finer scale. Unlike Brownian particles, Brownian agents are not structureless particles, but instead have some internal states so that, for instance, they may react to changes in the environment or to the presence of other agents. Most of the book is concerned with developing the idea of Brownian agents using the techniques of statistical physics. This development parallels that for Brownian particles in physics, but the author then goes on to apply the technique to problems in biology, economics and the social sciences. This is a clear and well-written book which is a useful addition to the literature on complex systems. It will be interesting to see if the use of Brownian agents becomes
Brownian agents and active particles collective dynamics in the natural and social sciences
Schweitzer, Frank
2007-01-01
""This book lays out a vision for a coherent framework for understanding complex systems"" (from the foreword by J. Doyne Farmer). By developing the genuine idea of Brownian agents, the author combines concepts from informatics, such as multiagent systems, with approaches of statistical many-particle physics. This way, an efficient method for computer simulations of complex systems is developed which is also accessible to analytical investigations and quantitative predictions. The book demonstrates that Brownian agent models can be successfully applied in many different contexts, ranging from
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.
Brownian Motion in wedges, last passage time and the second arc-sine law
Comtet, Alain; Desbois, Jean
2003-01-01
We consider a planar Brownian motion starting from $O$ at time $t=0$ and stopped at $t=1$ and a set $F= \\{OI_i ; i=1,2,..., n\\}$ of $n$ semi-infinite straight lines emanating from $O$. Denoting by $g$ the last time when $F$ is reached by the Brownian motion, we compute the probability law of $g$. In particular, we show that, for a symmetric $F$ and even $n$ values, this law can be expressed as a sum of $\\arcsin $ or $(\\arcsin)^2 $ functions. The original result of Levy is recovered as the spe...
An elementary singularity-free Rotational Brownian Dynamics algorithm for anisotropic particles
International Nuclear Information System (INIS)
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
Sims, David W; Humphries, Nicolas E; Bradford, Russell W; Bruce, Barry D
2012-03-01
1. Search processes play an important role in physical, chemical and biological systems. In animal foraging, the search strategy predators should use to search optimally for prey is an enduring question. Some models demonstrate that when prey is sparsely distributed, an optimal search pattern is a specialised random walk known as a Lévy flight, whereas when prey is abundant, simple Brownian motion is sufficiently efficient. These predictions form part of what has been termed the Lévy flight foraging hypothesis (LFF) which states that as Lévy flights optimise random searches, movements approximated by optimal Lévy flights may have naturally evolved in organisms to enhance encounters with targets (e.g. prey) when knowledge of their locations is incomplete. 2. Whether free-ranging predators exhibit the movement patterns predicted in the LFF hypothesis in response to known prey types and distributions, however, has not been determined. We tested this using vertical and horizontal movement data from electronic tagging of an apex predator, the great white shark Carcharodon carcharias, across widely differing habitats reflecting different prey types. 3. Individual white sharks exhibited movement patterns that predicted well the prey types expected under the LFF hypothesis. Shark movements were best approximated by Brownian motion when hunting near abundant, predictable sources of prey (e.g. seal colonies, fish aggregations), whereas movements approximating truncated Lévy flights were present when searching for sparsely distributed or potentially difficult-to-detect prey in oceanic or shelf environments, respectively. 4. That movement patterns approximated by truncated Lévy flights and Brownian behaviour were present in the predicted prey fields indicates search strategies adopted by white sharks appear to be the most efficient ones for encountering prey in the habitats where such patterns are observed. This suggests that C. carcharias appears capable of exhibiting
Exact solution of a Brownian inchworm model for self-propulsion
International Nuclear Information System (INIS)
We present the exact solution of a Brownian inchworm model of a self-propelled elastic dimer which has recently been proposed, in Kumar et al 2008 Phys. Rev. E 77 020102(R), as a unifying model for the propulsion mechanisms of DNA helicase, polar rods on a vibrated surface, crawling keratocytes, and Myosin VI
The Onsager reciprocity relation and generalized efficiency of a thermal Brownian motor
International Nuclear Information System (INIS)
Based on a general model of Brownian motors, the Onsager coefficients and generalized efficiency of a thermal Brownian motor are calculated analytically. It is found that the Onsager reciprocity relation holds and the Onsager coefficients are not affected by the kinetic energy change due to the particle's motion. Only when the heat leak in the system is negligible can the determinant of the Onsager matrix vanish. Moreover, the influence of the main parameters characterizing the model on the generalized efficiency of the Brownian motor is discussed in detail. The characteristic curves of the generalized efficiency varying with these parameters are presented, and the maximum generalized efficiency and the corresponding optimum parameters are determined. The results obtained here are of general significance. They are used to analyze the performance characteristics of the Brownian motors operating in the three interesting cases with zero heat leak, zero average drift velocity or a linear response relation, so that some important conclusions in current references are directly included in some limit cases of the present paper. (general)
Wang, Jun; Liang, Jin-Rong; Lv, Long-Jin; Qiu, Wei-Yuan; Ren, Fu-Yao
2012-02-01
In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.
Time-changed geometric fractional Brownian motion and option pricing with transaction costs
Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu
2012-08-01
This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.
Directory of Open Access Journals (Sweden)
Paul H. Bezandry
2012-09-01
Full Text Available This article concerns the existence of almost periodic solutions to a class of abstract stochastic evolution equations driven by fractional Brownian motion in a separable real Hilbert space. Under some sufficient conditions, we establish the existence and uniqueness of a pth-mean almost periodic mild solution to those stochastic differential equations.
Directory of Open Access Journals (Sweden)
Toufik Guendouzi,
2014-03-01
Full Text Available In this paper we investigate the existence and stability of quadratic-mean almost periodic mild solutions to stochastic delay functional differential equations driven by fractional Brownian motion with Hurst parameter H > 1/2 , under some suitable assumptions, by means of semigroup of operators and fixed point method.
Aurell, E; Noullez, A; Blank, M
1996-01-01
It is shown that the inverse Lagrangian map for the solution of the Burgers equation (in the inviscid limit) with Brownian initial velocity presents a bifractality (phase transition) similar to that of the Devil's staircase for the standard triadic Cantor set. Both heuristic and rigorous derivations are given. It is explained why artifacts can easily mask this phenomenon in numerical simulations.
Comments on Application of the Fractional Brownian Motion in an Airlift Reactor
Czech Academy of Sciences Publication Activity Database
Drahoš, Jiří; Punčochář, Miroslav
2002-01-01
Roč. 57, č. 10 (2002), s. 1831-1832. ISSN 0009-2509 R&D Projects: GA ČR GA104/97/S002 Institutional research plan: CEZ:AV0Z4072921 Keywords : application * Brownian motion * airlift reactor Subject RIV: CF - Physical ; Theoretical Chemistry Impact factor: 1.224, year: 2002
Functional limit theorems for generalized variations of the fractional Brownian sheet
DEFF Research Database (Denmark)
Pakkanen, Mikko; Réveillac, Anthony
2016-01-01
We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and o...
Magnetic-field dependence of Brownian and Néel relaxation times
Dieckhoff, Jan; Eberbeck, Dietmar; Schilling, Meinhard; Ludwig, Frank
2016-01-01
The investigation of the rotational dynamics of magnetic nanoparticles in magnetic fields is of academic interest but also important for applications such as magnetic particle imaging where the particles are exposed to magnetic fields with amplitudes of up to 25 mT. We have experimentally studied the dependence of Brownian and Néel relaxation times on ac and dc magnetic field amplitude using ac susceptibility measurements in the frequency range between 2 Hz and 9 kHz for field amplitudes up to 9 mT. As samples, single-core iron oxide nanoparticles with core diameters between 20 nm and 30 nm were used either suspended in water-glycerol mixtures or immobilized by freeze-drying. The experimentally determined relaxation times are compared with theoretical models. It was found that the Néel relaxation time decays much faster with increasing field amplitude than the Brownian one. Whereas the dependence of the Brownian relaxation time on the ac and dc field amplitude can be well explained with existing theoretical models, a proper model for the dependence of the Néel relaxation time on ac field amplitude for particles with random distribution of easy axes is still lacking. The extrapolation of the measured relaxation times of the 25 nm core diameter particles to a 25 mT ac field with an empirical model predicts that the Brownian mechanism clearly co-determines the dynamics of magnetic nanoparticles in magnetic particle imaging applications, in agreement with magnetic particle spectroscopy data.
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
Hu, Mingshang; Wang, Falei
2016-01-01
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.
Defining SLE in multiply connected domains with the Brownian loop measure
Lawler, Gregory F
2011-01-01
We define the Schramm-Loewner evolution (SLE) in multiply connected domains for kappa \\leq 4 using the Brownian loop measure. We show that in the case of the annulus, this is the same measure obtained recently by Dapeng Zhan. We use the loop formulation to give a different derivation of the partial differential equation for the partition function for the annulus.
Fast convergence to an invariant measure for non-intersecting 3-dimensional Brownian paths
Lawler, Gregory F
2010-01-01
We consider pairs of 3-dimensional Brownian paths, started at the origin and conditioned to have no intersections after time zero. We show that there exists a unique measure on pairs of paths that is invariant under this conditioning, while improving the previously known rate of convergence to stationarity.
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.
International Nuclear Information System (INIS)
Graphical abstract: By invoking physically motivated coordinate transformation into quantum Smoluchowski equation, we have presented a transparent treatment for the determination of the effective diffusion coefficient and current of a quantum Brownian particle. Substantial enhancement in the efficiency of the diffusive transport is envisaged due to the quantum correction effects. Highlights:: ► Transport of a quantum Brownian particle in a periodic potential has been addressed. ► Governing quantum Smoluchowski equation (QSE) includes state dependent diffusion. ► A coordinate transformation is used to recast QSE with constant diffusion. ► Transport properties increases in comparison to the corresponding classical result. ► This enhancement is purely a quantum effect. - Abstract: The transport property of a quantum Brownian particle that interacts strongly with a bath (in which a typical damping constant by far exceeds a characteristic frequency of the isolated system) under the influence of a tilted periodic potential has been studied by solving quantum Smoluchowski equation (QSE). By invoking physically motivated coordinate transformation into QSE, we have presented a transparent treatment for the determination of the effective diffusion coefficient of a quantum Brownian particle and the current (the average stationary velocity). Substantial enhancement in the efficiency of the diffusive transport is envisaged due to the quantum correction effects only if the bath temperature hovers around an appropriate range of intermediate values. Our findings also confirm the results obtained in the classical cases.
Energy Technology Data Exchange (ETDEWEB)
Shit, Anindita [Department of Chemistry, Bengal Engineering and Science University, Shibpur, Howrah 711103 (India); Chattopadhyay, Sudip, E-mail: sudip_chattopadhyay@rediffmail.com [Department of Chemistry, Bengal Engineering and Science University, Shibpur, Howrah 711103 (India); Chaudhuri, Jyotipratim Ray, E-mail: jprc_8@yahoo.com [Department of Physics, Katwa College, Katwa, Burdwan 713130 (India)
2012-03-13
Graphical abstract: By invoking physically motivated coordinate transformation into quantum Smoluchowski equation, we have presented a transparent treatment for the determination of the effective diffusion coefficient and current of a quantum Brownian particle. Substantial enhancement in the efficiency of the diffusive transport is envisaged due to the quantum correction effects. Highlights:: Black-Right-Pointing-Pointer Transport of a quantum Brownian particle in a periodic potential has been addressed. Black-Right-Pointing-Pointer Governing quantum Smoluchowski equation (QSE) includes state dependent diffusion. Black-Right-Pointing-Pointer A coordinate transformation is used to recast QSE with constant diffusion. Black-Right-Pointing-Pointer Transport properties increases in comparison to the corresponding classical result. Black-Right-Pointing-Pointer This enhancement is purely a quantum effect. - Abstract: The transport property of a quantum Brownian particle that interacts strongly with a bath (in which a typical damping constant by far exceeds a characteristic frequency of the isolated system) under the influence of a tilted periodic potential has been studied by solving quantum Smoluchowski equation (QSE). By invoking physically motivated coordinate transformation into QSE, we have presented a transparent treatment for the determination of the effective diffusion coefficient of a quantum Brownian particle and the current (the average stationary velocity). Substantial enhancement in the efficiency of the diffusive transport is envisaged due to the quantum correction effects only if the bath temperature hovers around an appropriate range of intermediate values. Our findings also confirm the results obtained in the classical cases.
EFFECTIVE DIFFUSION AND EFFECTIVE DRAG COEFFICIENT OF A BROWNIAN PARTICLE IN A PERIODIC POTENTIAL
Institute of Scientific and Technical Information of China (English)
Hongyun Wang
2011-01-01
We study the stochastic motion of a Brownian particle driven by a constant force over a static periodic potential.We show that both the effective diffusion and the effective drag coefficient are mathematically well-defined and we derive analytic expressions for these two quantities.We then investigate the asymptotic behaviors of the effective diffusion and the effective drag coefficient,respectively,for small driving force and for large driving force.In the case of small driving force,the effective diffusion is reduced from its Brownian value by a factor that increases exponentially with the amplitude of the potential.The effective drag coefficient is increased by approximately the same factor.As a result,the Einstein relation between the diffusion coefficient and the drag coefficient is approximately valid when the driving force is small.For moderately large driving force,both the effective diffusion and the effective drag coefficient are increased from their Brownian values,and the Einstein relation breaks down. In the limit of very large driving force,both the effective diffusion and the effective drag coefficient converge to their Brownian values and the Einstein relation is once again valid.
SOME RESULTS ON LAG INCREMENTS OF PRINCIPAL VALUE OF BROWNIAN LOCAL TIME
Institute of Scientific and Technical Information of China (English)
WenJiwei
2002-01-01
Let W be a standard Brownian motion,and define Y(t) =∫ods/W(s) as Cauchy's principal value related to the local time of W. We study some limit results on lag increments of Y(t) and obtain various results all of which are related to earlier work by Hanson and Russo in 1983.
DEFF Research Database (Denmark)
Donolato, M.; Sogne, E.; Dalslet, Bjarke Thomas;
2011-01-01
We demonstrate the detection of the Brownian relaxation frequency of 250 nm diameter magnetic beads using a lab-on-chip platform based on current lines for exciting the beads with alternating magnetic fields and highly sensitive magnetic tunnel junction (MTJ) sensors with a superparamagnetic free...... for biomolecular recognition. (C) 2011 American Institute of Physics. [doi:10.1063/1.3554374]...
On-chip Brownian relaxation measurements of magnetic nanobeads in the time domain
DEFF Research Database (Denmark)
Østerberg, Frederik Westergaard; Rizzi, Giovanni; Hansen, Mikkel Fougt
2013-01-01
time and frequency domain methods on Brownian relaxation detection of clustering of streptavidin coated magnetic beads in the presence of different concentrations of biotin-conjugated bovine serum albumin and obtain comparable results. In the time domain, a measurement is carried out in less than 30 s...
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.
Charged Brownian particles: Kramers and Smoluchowski equations and the hydrothermodynamical picture
Lagos, R. E.; Simões, Tania P.
2011-05-01
We consider a charged Brownian gas under the influence of external and non-uniform electric, magnetic and mechanical fields, immersed in a non-uniform bath temperature. With the collision time as an expansion parameter, we study the solution to the associated Kramers equation, including a linear reactive term. To the first order we obtain the asymptotic (overdamped) regime, governed by transport equations, namely: for the particle density, a Smoluchowski-reactive like equation; for the particle’s momentum density, a generalized Ohm’s-like equation; and for the particle’s energy density, a Maxwell-Cattaneo-like equation. Defining a nonequilibrium temperature as the mean kinetic energy density, and introducing Boltzmann’s entropy density via the one particle distribution function, we present a complete thermohydrodynamical picture for a charged Brownian gas. We probe the validity of the local equilibrium approximation, Onsager relations, variational principles associated to the entropy production, and apply our results to: carrier transport in semiconductors, hot carriers and Brownian motors. Finally, we outline a method to incorporate non-linear reactive kinetics and a mean field approach to interacting Brownian particles.
Bertrand, Pierre R; Guillin, Arnaud
2010-01-01
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an original freezing of time strategy. A simulation study shows the goodness of fit of this estimator.
The Brownian gyrator: a minimal heat engine on the nano-scale
Filliger, Roger; Reimann, Peter
2007-01-01
A Brownian particle moving in the vicinity of a generic potential minimum under the influence of dissipation and thermal noise from two different heat baths is shown to act as a minimal heat engine, generating a systematic torque onto the physical object at the origin of the potential and an opposite torque onto the medium generating the dissipation.
Influence of Brownian Diffusion on Levitation of Bodies in Magnetic Fluid
Directory of Open Access Journals (Sweden)
V. Bashtovoi
2013-12-01
Full Text Available The present work deals with experimental investigation of the levitation of magnetic and non-magnetic bodies in a magnetic fluid when essentially influenced by Brownian diffusion of magnetic particles in it. It is established that the point of levitation of bodies in a magnetic fluid varies with time.
Influence of Brownian Diffusion on Levitation of Bodies in Magnetic Fluid
V. Bashtovoi; A. Reks; S. Klimovich; А. Motsar; P. Ryapolov; A. Storozhenko; I. Shabanova
2013-01-01
The present work deals with experimental investigation of the levitation of magnetic and non-magnetic bodies in a magnetic fluid when essentially influenced by Brownian diffusion of magnetic particles in it. It is established that the point of levitation of bodies in a magnetic fluid varies with time.
Non-intersecting Brownian walkers and Yang-Mills theory on the sphere
Forrester, Peter J.; Majumdar, Satya N.; Schehr, Grégory
2011-03-01
We study a system of N non-intersecting Brownian motions on a line segment [0,L] with periodic, absorbing and reflecting boundary conditions. We show that the normalized reunion probabilities of these Brownian motions in the three models can be mapped to the partition function of two-dimensional continuum Yang-Mills theory on a sphere respectively with gauge groups U(N), Sp(2N) and SO(2N). Consequently, we show that in each of these Brownian motion models, as one varies the system size L, a third order phase transition occurs at a critical value L=L(N)˜√{N} in the large N limit. Close to the critical point, the reunion probability, properly centered and scaled, is identical to the Tracy-Widom distribution describing the probability distribution of the largest eigenvalue of a random matrix. For the periodic case we obtain the Tracy-Widom distribution corresponding to the GUE random matrices, while for the absorbing and reflecting cases we get the Tracy-Widom distribution corresponding to GOE random matrices. In the absorbing case, the reunion probability is also identified as the maximal height of N non-intersecting Brownian excursions ("watermelons" with a wall) whose distribution in the asymptotic scaling limit is then described by GOE Tracy-Widom law. In addition, large deviation formulas for the maximum height are also computed.
Shit, Anindita; Ghosh, Pradipta; Chattopadhyay, Sudip; Chaudhuri, Jyotipratim Ray
2011-03-01
We explore the issue of a quantum-noise-induced directed transport of an overdamped Brownian particle that is allowed to move in a spatially periodic potential. The established system-reservoir model has been employed here to study the quantum-noise-induced transport of a Brownian particle in a periodic potential, where the reservoir is being modulated externally by a Gaussian-colored noise. The mobility of the Brownian particle in the linear response regime has been calculated. Then, using Einstein's relation, the analytical expression for the diffusion rate is evaluated for any arbitrary periodic potential for the high-temperature quantum regime. PMID:21517472
Stochastic Processes in Finance
Madan, Dilip B.
2010-01-01
Stochastic processes arising in the description of the risk-neutral evolution of equity prices are reviewed. Starting with Brownian motion, I review extensions to Lévy and Sato processes. These processes have independent increments; the former are homogeneous in time, whereas the latter are inhomogeneous. One-dimensional Markov processes such as local volatility and local Lévy are discussed next. Finally, I take up two forms of stochastic volatility that are due to either space scaling or tim...
Madan, D.; Roynette, Bernard; Yor, Marc
2008-01-01
The celebrated Black-Scholes formula which gives the price of a European option, may be expressed as the cumulative function of a last passage time of Brownian motion. A related result involving first passage times is also obtained.
Sudhanshu K Mishra
2014-01-01
The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property that when it is zero, it guarantees independence. This paper investigates into the effects and advantages, if any, of replacement of the Pearsonian coefficient of correlation (r) by the Brownian coefficient of correlation (say, ρ), other things remaining the same. Such a replacement and analysis of its effects have been made by the Host-Parasite Co-evolutionary algorithm of g...
Chavanis, Pierre-Henri; Sire, Clement
2005-01-01
We derive the Virial theorem appropriate to the generalized Smoluchowski-Poisson system describing self-gravitating Brownian particles and bacterial populations (chemotaxis). We extend previous works by considering the case of an unbounded domain and an arbitrary equation of state. We use the Virial theorem to study the diffusion (evaporation) of an isothermal Brownian gas above the critical temperature T_c in dimension d=2 and show how the effective diffusion coefficient and the Einstein rel...
Nieuwenhuizen, Th M; Allahverdyan, A E
2002-09-01
The Brownian motion of a quantum particle in a harmonic confining potential and coupled to harmonic quantum thermal bath is exactly solvable. Though this system presents at high temperatures a pedagogic example to explain the laws of thermodynamics, it is shown that at low enough temperatures the stationary state is non-Gibbsian due to an entanglement with the bath. In physical terms, this happens when the cloud of bath modes around the particle starts to play a nontrivial role, namely, when the bath temperature T is smaller than the coupling energy. Indeed, equilibrium thermodynamics of the total system, particle plus bath, does not imply standard equilibrium thermodynamics for the particle itself at low T. Various formulations of the second law are found to be invalid at low T. First, the Clausius inequality can be violated, because heat can be extracted from the zero point energy of the cloud of bath modes. Second, when the width of the confining potential is suddenly changed, there occurs a relaxation to equilibrium during which the entropy production is partly negative. In this process the energy put on the particle does not relax monotonically, but oscillates between particle and bath, even in the limit of strong damping. Third, for nonadiabatic changes of system parameters the rate of energy dissipation can be negative, and, out of equilibrium, cyclic processes are possible which extract work from the bath. Conditions are put forward under which perpetuum mobility of the second kind, having one or several work extraction cycles, enter the realm of condensed matter physics. Fourth, it follows that the equivalence between different formulations of the second law (e.g., those by Clausius and Thomson) can be violated at low temperatures. These effects are the consequence of quantum entanglement in the presence of the slightly off-equilibrium nature of the thermal bath, and become important when the characteristic quantum time scale variant Planck's over 2pi /k
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}).
On Nonlinear Quantum Mechanics, Brownian Motion, Weyl Geometry and Fisher Information
Directory of Open Access Journals (Sweden)
Castro C.
2006-01-01
Full Text Available A new nonlinear Schrödinger equation is obtained explicitly from the (fractal Brownian motion of a massive particle with a complex-valued diffusion constant. Real-valued energy plane-wave solutions and solitons exist in the free particle case. One remarkable feature of this nonlinear Schrödinger equation based on a (fractal Brownian motion model, over all the other nonlinear QM models, is that the quantummechanical energy functional coincides precisely with the field theory one. We finalize by showing why a complex momentum is essential to fully understand the physical implications of Weyl’s geometry in QM, along with the interplay between Bohm’s Quantum potential and Fisher Information which has been overlooked by several authors in the past.
Fleming, C H; Hu, B L
2010-01-01
We revisit the model of a quantum Brownian oscillator linearly coupled to an environment of quantum oscillators at finite temperature. By introducing a compact and particularly well-suited formulation, we give a rather quick and direct derivation of the master equation and its solutions for general spectral functions and arbitrary temperatures. The flexibility of our approach allows for an immediate generalization to cases with an external force and with an arbitrary number of Brownian oscillators. More importantly, we point out an important mathematical subtlety concerning boundary-value problems for integro-differential equations which led to incorrect master equation coefficients and impacts on the description of nonlocal dissipation effects in all earlier derivations. Furthermore, we provide explicit, exact analytical results for the master equation coefficients and its solutions in a wide variety of cases, including ohmic, sub-ohmic and supra-ohmic environments with a finite cut-off.
LETTER TO THE EDITOR: Algebraic areas enclosed by 2D Brownian curves in random media
Desbois, Jean
1999-05-01
We study closed Brownian trajectories when the Brownian particle is subjected to a random potential. For a Poissonian icons/Journals/Common/delta" ALT="delta" ALIGN="TOP"/> repulsive potential, the enclosed algebraic area, A, is a Gaussian variable that scales like t3/4 when t, the length of the curve, goes to infinity. This is intermediate between the situations where the particle is allowed to wander (i) everywhere on the plane (A~t) and (ii) only on a bounded domain (A~t1/2). For the Lloyd model, we show that the probability distribution, P(A), is the same as in the absence of disorder. This surprising result is related to some peculiarities of the Cauchy 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-scale of the thermal motion of the tweezed object can improve the calibration of the instrument in general, and make calibration possible also in complex surroundings. The second half of the present review, starting with Sect. 9, describes the co-evolution of biological motility models with models...
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.
General quantum Brownian motion with initially correlated and nonlinearly coupled environment
International Nuclear Information System (INIS)
The dynamics of an open quantum system exhibiting the quantum Brownian motion is analyzed when the coupling between the system and its environment is nonlinear, and the system and the reservoir are initially correlated. For couplings quadratic in the environment variables, the influence functional for the system is obtained perturbatively up to second order in the coupling constant, and then the propagator is explicitly evaluated when the particle is under the influence of a harmonic potential and an additional anharmonic potential, the so-called washboard potential. As an application of the propagator, the master equation and the Wigner equation are obtained for the quantum Brownian particle moving in a harmonic potential for the generalized correlated initial condition, and then for the specific case of the simplified 'thermal' initial condition. The system is shown to obey the corresponding fluctuation-dissipation theorem
The application of fractional derivatives in stochastic models driven by fractional Brownian motion
Longjin, Lv; Ren, Fu-Yao; Qiu, Wei-Yuan
2010-11-01
In this paper, in order to establish connection between fractional derivative and fractional Brownian motion (FBM), we first prove the validity of the fractional Taylor formula proposed by Guy Jumarie. Then, by using the properties of this Taylor formula, we derive a fractional Itô formula for H∈[1/2,1), which coincides in form with the one proposed by Duncan for some special cases, whose formula is based on the Wick Product. Lastly, we apply this fractional Itô formula to the option pricing problem when the underlying of the option contract is supposed to be driven by a geometric fractional Brownian motion. The case that the drift, volatility and risk-free interest rate are all dependent on t is also discussed.
Quantal Brownian Motion from RPA dynamics: The master and Fokker-Planck equations
International Nuclear Information System (INIS)
From the purely quantal RPA description of the damped harmonic oscillator and of the corresponding Brownian Motion within the full space (phonon subspace plus reservoir), a master equation (as well as a Fokker-Planck equation) for the reduced density matrix (for the reduced Wigner function, respectively) within the phonon subspace is extracted. The RPA master equation agrees with the master equation derived by the time-dependent perturbative approaches which utilize Tamm-Dancoff Hilbert spaces and invoke the rotating wave approximation. Since the RPA yields a full, as well as a contracted description, it can account for both the kinetic and the unperturbed oscillator momenta. The RPA description of the quantal Brownian Motion contrasts with the descriptions provided by the time perturbative approaches whether they invoke or not the rotating wave approximation. The RPA description also contrasts with the phenomenological phase space quantization. (orig.)
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.
International Nuclear Information System (INIS)
The collision efficiency in the Brownian coagulation is investigated. A new mechanical model of collision between two identical spherical particles is proposed, and a set of corresponding collision equations is established. The equations are solved numerically, thereby obtaining the collision efficiency for the monodisperse dioctyl phthalate spherical aerosols with diameters ranging from 100 to 760 nm in the presence of van der Waals force and the elastic deformation force. The calculated collision efficiency, in agreement with the experimental data qualitatively, decreases with the increase of particle diameter except a small peak appearing in the particles with a diameter of 510 nm. The results show that the interparticle elastic deformation force cannot be neglected in the computation of particle Brownian coagulation. Finally, a set of new expressions relating collision efficiency to particle diameter is established. (classical areas of phenomenology)
Brownian motion in wedges, last passage time and the second arc-sine law
Energy Technology Data Exchange (ETDEWEB)
Comtet, Alain [Laboratoire de Physique Theorique et Modeles Statistiques. Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France); Desbois, Jean [Laboratoire de Physique Theorique et Modeles Statistiques. Universite Paris-Sud, Bat. 100, F-91405 Orsay Cedex (France)
2003-05-02
We consider a planar Brownian motion starting from O at time t = 0 and stopped at t = 1 and a set F = OI{sub i}; i = 1, 2, ..., n of n semi-infinite straight lines emanating from O. Denoting by g the last time when F is reached by the Brownian motion, we compute the probability law of g. In particular, we show that, for a symmetric F and even n values, this law can be expressed as a sum of arcsin or (arcsin){sup 2} functions. The original result of Levy is recovered as the special case n = 2. A relation with the problem of reaction-diffusion of a set of three particles in one dimension is discussed. (letter to the editor)
Brownian motion in wedges, last passage time and the second arc-sine law
International Nuclear Information System (INIS)
We consider a planar Brownian motion starting from O at time t = 0 and stopped at t = 1 and a set F = OIi; i = 1, 2, ..., n of n semi-infinite straight lines emanating from O. Denoting by g the last time when F is reached by the Brownian motion, we compute the probability law of g. In particular, we show that, for a symmetric F and even n values, this law can be expressed as a sum of arcsin or (arcsin)2 functions. The original result of Levy is recovered as the special case n = 2. A relation with the problem of reaction-diffusion of a set of three particles in one dimension is discussed. (letter to the editor)
Exploiting the color of Brownian motion for high-frequency microrheology of Newtonian fluids
Domínguez-García, Pablo; Mor, Flavio M.; Forró, László; Jeney, Sylvia
2013-09-01
Einstein's stochastic description of the random movement of small objects in a fluid, i.e. Brownian motion, reveals to be quite different, when observed on short timescales. The limitations of Einstein's theory with respect to particle inertia and hydrodynamic memory yield to the apparition of a colored frequency-dependent component in the spectrum of the thermal forces, which is called "the color of Brownian motion". The knowledge of the characteristic timescales of the motion of a trapped microsphere motion in a Newtonian fluid allowed to develop a high-resolution calibration method for optical interferometry. Well-calibrated correlation quantities, such as the mean square displacement or the velocity autocorrelation function, permit to study the mechanical properties of fluids at high frequencies. These properties are estimated by microrheological calculations based on the theoretical relations between the complex mobility of the beads and the rheological properties of a complex fluid.
Nucleation pathway and kinetics of phase-separating active Brownian particles.
Richard, David; Löwen, Hartmut; Speck, Thomas
2016-06-28
Suspensions of purely repulsive but self-propelled Brownian particles might undergo phase separation, a phenomenon that strongly resembles the phase separation of passive particles with attractions. Here we employ computer simulations to study the nucleation kinetics and the microscopic pathway active Brownian disks take in two dimensions when quenched from the homogeneous suspension to propulsion speeds beyond the binodal. We find the same qualitative behavior for the nucleation rate as a function of density as for a passive suspension undergoing liquid-vapor separation, suggesting that the scenario of an effective free energy also extends to the kinetics of phase separation. We study the transition in more detail through a committor analysis and find that transition states are best described by a combination of cluster size and the radial polarization of particles in the cluster. PMID:27126952
Characterisation of a three-dimensional Brownian motor in optical lattices
Sjolund, P; Dion, C M; Hagman, H; Jonsell, S; Kastberg, A
2007-01-01
We present here a detailed study of the behaviour of a three dimensional Brownian motor based on cold atoms in a double optical lattice [P. Sjolund et al., Phys. Rev. Lett. 96, 190602 (2006)]. This includes both experiments and numerical simulations of a Brownian particle. The potentials used are spatially and temporally symmetric, but combined spatiotemporal symmetry is broken by phase shifts and asymmetric transfer rates between potentials. The diffusion of atoms in the optical lattices is rectified and controlled both in direction and speed along three dimensions. We explore a large range of experimental parameters, where irradiances and detunings of the optical lattice lights are varied within the dissipative regime. Induced drift velocities in the order of one atomic recoil velocity have been achieved.
An Approach to Enhance the Efficiency of a Brownian Heat Engine
International Nuclear Information System (INIS)
A Brownian microscopic heat engine, driven by temperature difference and consisting of a Brownian particle moving in a sawtooth potential with an external load, is investigated. The heat flows, driven by both potential and kinetic energies, are taken into account. Based on the master equation, the expressions for efficiency and power output are derived analytically, and performance characteristic curves are plotted. It is shown that the heat flow via the kinetic energy of the particle decreases. The efficiency of the engine is enhanced, but the power output reduces as the α shape parameter of the sawtooth potential increases. The influence of the α shape parameter on efficiency and power output is then analyzed in detail. (general)
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.
Boundary behavior of a constrained Brownian motion between reflecting-repellent walls
Lépingle, Dominique
2009-01-01
International audience Stochastic variational inequalities provide a unified treatment for stochastic differential equations living in a closed domain with normal reflection and (or) singular repellent drift. When the domain is a polyhedron, we prove that the reflected-repelled Brownian motion does not hit the non-smooth part of the boundary. A sufficient condition for non-hitting a face of the polyhedron is derived from the one-dimensional case. A complete answer to the question of attain...
Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion
Fei, Weiyin; Fei, Chen
2013-01-01
By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space $(\\Omega, {\\cal H}, \\hat{\\mathbb{E}})$, we first set up an optimality principle of stochastic control problem. Then we investigate an optimal consumption and portfolio decision with a volatility ambiguity by the derived verification theorem. Next the two-fund separation theorem is explicitly obtained. And an illustrative example is provided.
Dynamics of 2D Stochastic non-Newtonian fluids driven by fractional Brownian motion
Li, Jin; Huang, Jianhua
2011-01-01
A 2D Stochastic incompressible non-Newtonian fluids driven by fractional Bronwnian motion with Hurst parameter $H \\in (1/2,1)$ is studied. The Wiener-type stochastic integrals are introduced for infinite-dimensional fractional Brownian motion. Four groups of assumptions, including the requirement of Nuclear operator or Hilbert-Schmidt operator, are discussed. The existence and regularity of stochastic convolution for the corresponding additive linear stochastic equation are obtained under eac...
Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
Mishura, Yuliya
2015-01-01
We construct the maximum likelihood estimator (MLE) of the unknown drift parameter $\\theta\\in \\mathbb{R}$ in the linear model $X_t=\\theta t+\\sigma B^{H_1}(t)+B^{H_2}(t),\\;t\\in[0,T],$ where $B^{H_1}$ and $B^{H_2}$ are two independent fractional Brownian motions with Hurst indices $\\frac12
Brownian inventory models with convex holding cost, Part 2: Discount-optimal controls
Jim Dai; Dacheng Yao
2013-01-01
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed positive cost and a proportional cost. The challenge is to find an adjustment policy ...
Institute of Scientific and Technical Information of China (English)
无
2000-01-01
The solutions of the following bilinearstochastic differential equation are stud-ied (X) where Atk, Bt are (deterministic)continuous matrix-valued functions of t and w1(t),..., wm(t) are m independent standard Brownian motions. Conditions are given such thatthe solution is positive if the initial condition is positive.The equation the most probable path must satisfy is also derived and applied to a mathematicalfinance problem.
Generalized Scaling and the Master Variable for Brownian Magnetic Nanoparticle Dynamics
Reeves, Daniel B.; Yipeng Shi; Weaver, John B.
2016-01-01
Understanding the dynamics of magnetic particles can help to advance several biomedical nanotechnologies. Previously, scaling relationships have been used in magnetic spectroscopy of nanoparticle Brownian motion (MSB) to measure biologically relevant properties (e.g., temperature, viscosity, bound state) surrounding nanoparticles in vivo. Those scaling relationships can be generalized with the introduction of a master variable found from non-dimensionalizing the dynamical Langevin equation. T...
X-Ray photon correlation spectroscopy study of Brownian motion of gold colloids in glycerol
International Nuclear Information System (INIS)
We report x-ray photon correlation spectroscopy studies of the static structure factor and dynamic correlation function of a gold colloid dispersed in the viscous liquid glycerol. We find a diffusion coefficient for Brownian motion of the gold colloid which agrees well with that extrapolated from measurements made with visible light, but which was determined on an optically opaque sample and in a wave-vector range inaccessible to visible light
Shukla, Pragya
2004-01-01
We find that the statistics of levels undergoing metal-insulator transition in systems with multi-parametric Gaussian disorders and non-interacting electrons behaves in a way similar to that of the single parametric Brownian ensembles \\cite{dy}. The latter appear during a Poisson $\\to$ Wigner-Dyson transition, driven by a random perturbation. The analogy provides the analytical evidence for the single parameter scaling of the level-correlations in disordered systems as well as a tool to obtai...
Fractional Brownian Motion Approximation Based on Fractional Integration of a White Noise
Chechkin, A. V.; Gonchar, V. Yu.
1999-01-01
We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional integration/differentiation of a white Gaussian noise. We study correlation properties of the approximation to fractional Gaussian noise and point to the peculiarities of persistent and anti-persistent behaviors. We also investigate self-similar properties of the approximat...
Effect of the Photon's Brownian Doppler Shift on the Weak-Localization Coherent-Backscattering Cone
Lesaffre, Max; Atlan, Michael; Gross, Michel
2006-01-01
We report the first observation of the dependence of the coherent-backscattering (CBS) enhanced cone with the frequency of the backscattered photon. The experiment is performed on a diffusing liquid suspension and the Doppler broadening of light is induced by the Brownian motion of the scatterers. Heterodyne detection on a CCD camera is used to measure the complex field (i.e., the hologram) of the light that is backscattered at a given frequency. The analysis of the holograms yield the freque...
Stochastic interactions of two Brownian hard spheres in the presence of depletants
International Nuclear Information System (INIS)
A quantitative analysis is presented for the stochastic interactions of a pair of Brownian hard spheres in non-adsorbing polymer solutions. The hard spheres are hypothetically trapped by optical tweezers and allowed for random motion near the trapped positions. The investigation focuses on the long-time correlated Brownian motion. The mobility tensor altered by the polymer depletion effect is computed by the boundary integral method, and the corresponding random displacement is determined by the fluctuation-dissipation theorem. From our computations it follows that the presence of depletion layers around the hard spheres has a significant effect on the hydrodynamic interactions and particle dynamics as compared to pure solvent and uniform polymer solution cases. The probability distribution functions of random walks of the two interacting hard spheres that are trapped clearly shift due to the polymer depletion effect. The results show that the reduction of the viscosity in the depletion layers around the spheres and the entropic force due to the overlapping of depletion zones have a significant influence on the correlated Brownian interactions
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.
Gao, Tianfu; Chen, Jincan
Based on the general model of thermally-driven Brownian motors, an equivalent cycle system is established and the Onsager coefficients and efficiency at the maximum power output of the system are analytically calculated from non-equilibrium thermodynamics. It is found that the Onsager reciprocity relation holds and the Onsager coefficients are affected by the main irreversibilities existing in practical systems. Only when the heat leak and the kinetic energy change of the particle in the system are negligible, can the determinant of the Onsager matrix vanish. It is also found that in the frame of non-equilibrium thermodynamics, the power output and efficiency of an irreversible Brownian motor can be expressed to be the same form as those of an irreversible Carnot heat engine, so the results obtained here are of general significance. Moreover, these results are used to analyze the performance characteristics of a class of thermally-driven Brownian motors so that some important conclusions in literature may be directly derived from the present paper.
Performance characteristics of a micro-Brownian refrigerator in a one-dimensional lattice
Energy Technology Data Exchange (ETDEWEB)
Zhang Yanping; He Jizhou; Ouyang Hong; Qian Xiaoxia, E-mail: hjzhou@ncu.edu.c [Department of Physics, Nanchang University, Nanchang 330031 (China)
2010-11-15
Particle hopping on a one-dimensional lattice driven by an external force in a periodic sawtooth potential and temperature field may act as a micro-Brownian refrigerator. In order to clarify the underlying physical pictures of the refrigerator, heat flows via both the potential energy and the kinetic energy of the particle are considered simultaneously. Based on the master equation describing the jump of the particle among the three states, expressions for the cooling rate and the coefficient of performance of the refrigerator are derived analytically. The general performance characteristic curves are plotted by numerical calculation. It is found that the characteristic curve between the cooling rate and the coefficient of performance is a loop-shaped one; the Brownian refrigerator is irreversible and its coefficient of performance is always less than the Carnot value. The influence of the temperature ratio of the heat reservoirs and the height of the sawtooth potential on the optimal performance characteristic parameters is analyzed. When heat flow via the kinetic energy of the particle is neglected, the characteristic curve between the cooling rate and the coefficient of performance is an open-shaped one. In this case, the Brownian refrigerator is reversible and its coefficient of performance reaches the Carnot value in the quasistatic limit.
Nanoparticle Brownian motion and hydrodynamic interactions in the presence of flow fields.
Uma, B; Swaminathan, T N; Radhakrishnan, R; Eckmann, D M; Ayyaswamy, P S
2011-07-01
We consider the Brownian motion of a nanoparticle in an incompressible Newtonian fluid medium (quiescent or fully developed Poiseuille flow) with the fluctuating hydrodynamics approach. The formalism considers situations where both the Brownian motion and the hydrodynamic interactions are important. The flow results have been modified to account for compressibility effects. Different nanoparticle sizes and nearly neutrally buoyant particle densities are also considered. Tracked particles are initially located at various distances from the bounding wall to delineate wall effects. The results for thermal equilibrium are validated by comparing the predictions for the temperatures of the particle with those obtained from the equipartition theorem. The nature of the hydrodynamic interactions is verified by comparing the velocity autocorrelation functions and mean square displacements with analytical and experimental results where available. The equipartition theorem for a Brownian particle in Poiseuille flow is verified for a range of low Reynolds numbers. Numerical predictions of wall interactions with the particle in terms of particle diffusivities are consistent with results, where available. PMID:21918592
Yariv, Ehud; Schnitzer, Ory
2014-09-01
We consider the motion of self-propelling Brownian particles in two-dimensional periodically corrugated channels. The point-size swimmers propel themselves in a direction which fluctuates by Brownian rotation; in addition, they undergo Brownian motion. The impermeability of the channel boundaries in conjunction with an asymmetry of the unit-cell geometry enables ratcheting, where a nonzero particle current is animated along the channel. This effect is studied here in the continuum limit using a diffusion-advection description of the probability density in a four-dimensional position-orientation space. Specifically, the mean particle velocity is calculated using macrotransport (generalized Taylor-dispersion) theory. This description reveals that the ratcheting mechanism is indirect: swimming gives rise to a biased spatial particle distribution which in turn results in a purely diffusive net current. For a slowly varying channel geometry, the dependence of this current upon the channel geometry and fluid-particle parameters is studied via a long-wave approximation over a reduced two-dimensional space. This allows for a straightforward seminumerical solution. In the limit where both rotational diffusion and swimming are strong, we find an asymptotic approximation to the particle current, scaling inversely with the square of the swimming Péclet number. For a given swimmer-fluid system, this limit is physically realized with increasing unit-cell size.
Regular admissible wealth processes are necessarily of Black-Scholes type
Directory of Open Access Journals (Sweden)
David Grow
2014-10-01
Full Text Available We show that for a complete market where the stock price uncertainty is driven by a Brownian motion, there exists only one admissible wealth process which is a regular deterministic function of the time and the stock price. In particular, if the stock price is modeled by geometric Brownian motion then the Black-Scholes process is the only regular admissible wealth process.
Brownian ratchets driven by asymmetric nucleation of hydrolysis waves
Lakhanpal, Amit; Chou, Tom
2007-01-01
We propose a stochastic process wherein molecular transport is mediated by asymmetric nucleation of domains on a one-dimensional substrate. Track-driven mechanisms of molecular transport arise in biophysical applications such as Holliday junction positioning and collagenase processivity. In contrast to molecular motors that hydrolyze nucleotide triphosphates and undergo a local molecular conformational change, we show that asymmetric nucleation of hydrolysis waves on a track can also result i...
International Nuclear Information System (INIS)
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an adaptation-like current and reaching the threshold for the first time represents the condition for declaring a spike. Based on the backward Fokker–Planck formulation, we consider the survival probability of this process in a domain restricted by an absorbent boundary. The solution is given as an expansion in terms of the intensity of the time-dependent drift, which results in an infinite set of recurrence equations. We explicitly obtain the complete solution by solving each term in the expansion in a recursive scheme. From the survival probability, we evaluate the first-passage-time statistics, which itself preserves the series structure. We then compare theoretical results with data extracted from numerical simulations of the associated dynamical system, and show that the analytical description is appropriate whenever the series is truncated in an adequate order. (paper)
Dependence of Brownian and Néel relaxation times on magnetic field strength
Energy Technology Data Exchange (ETDEWEB)
Deissler, Robert J., E-mail: rjd42@case.edu; Wu, Yong; Martens, Michael A. [Department of Physics, Case Western Reserve University, 10900 Euclid Avenue, Cleveland, Ohio 44106 (United States)
2014-01-15
Purpose: In magnetic particle imaging (MPI) and magnetic particle spectroscopy (MPS) the relaxation time of the magnetization in response to externally applied magnetic fields is determined by the Brownian and Néel relaxation mechanisms. Here the authors investigate the dependence of the relaxation times on the magnetic field strength and the implications for MPI and MPS. Methods: The Fokker–Planck equation with Brownian relaxation and the Fokker–Planck equation with Néel relaxation are solved numerically for a time-varying externally applied magnetic field, including a step-function, a sinusoidally varying, and a linearly ramped magnetic field. For magnetic fields that are applied as a step function, an eigenvalue approach is used to directly calculate both the Brownian and Néel relaxation times for a range of magnetic field strengths. For Néel relaxation, the eigenvalue calculations are compared to Brown's high-barrier approximation formula. Results: The relaxation times due to the Brownian or Néel mechanisms depend on the magnitude of the applied magnetic field. In particular, the Néel relaxation time is sensitive to the magnetic field strength, and varies by many orders of magnitude for nanoparticle properties and magnetic field strengths relevant for MPI and MPS. Therefore, the well-known zero-field relaxation times underestimate the actual relaxation times and, in particular, can underestimate the Néel relaxation time by many orders of magnitude. When only Néel relaxation is present—if the particles are embedded in a solid for instance—the authors found that there can be a strong magnetization response to a sinusoidal driving field, even if the period is much less than the zero-field relaxation time. For a ferrofluid in which both Brownian and Néel relaxation are present, only one relaxation mechanism may dominate depending on the magnetic field strength, the driving frequency (or ramp time), and the phase of the magnetization relative
Parameter inference from hitting times for perturbed Brownian motion
DEFF Research Database (Denmark)
Tamborrino, Massimiliano; Ditlevsen, Susanne; Lansky, Peter
2015-01-01
? To answer this question we describe the effect of the intervention through parameter changes of the law governing the internal process. Then, the time interval between the start of the process and the final event is divided into two subintervals: the time from the start to the instant of intervention......, denoted by S, and the time between the intervention and the threshold crossing, denoted by R. The first question studied here is: What is the joint distribution of (S,R)? The theoretical expressions are provided and serve as a basis to answer the main question: Can we estimate the parameters of the model....... Also covariates and handling of censored observations are incorporated into the statistical model, and the method is illustrated on lung cancer data....
Jamming/flowing transition of a non Brownian suspension.
Burel, Maxym; Bonnefoy, Olivier
2015-01-01
Many industrial processes require the use of an hydraulic transport with macroscopic particles. Those methods are widely used in mining or food industries. However relatively few studies have been performed on the behavior on the transition between jamming and flowing states. Indeed, for that kind of flow, some intriguing effects are observable such as shear -thickenning or shear – thinning. It appears that fluid-particle interactions and hydrodynamic effects have an important impact on the s...
International Nuclear Information System (INIS)
For oil related investment appraisal, an accurate description of the evolving uncertainty in the oil price is essential. For example, when using real option theory to value an investment, a density function for the future price of oil is central to the option valuation. The literature on oil pricing offers two views. The arbitrage pricing theory literature for oil suggests geometric Brownian motion and mean reversion models. Empirically driven literature suggests ARMA-GARCH models. In addition to reflecting the volatility of the market, the density function of future prices should also incorporate the uncertainty due to price jumps, a common occurrence in the oil market. In this study, the accuracy of density forecasts for up to a year ahead is the major criterion for a comparison of a range of models of oil price behaviour, both those proposed in the literature and following from data analysis. The Kullbach Leibler information criterion is used to measure the accuracy of density forecasts. Using two crude oil price series, Brent and West Texas Intermediate (WTI) representing the US market, we demonstrate that accurate density forecasts are achievable for up to nearly two years ahead using a mixture of two Gaussians innovation processes with GARCH and no mean reversion. (author)
Horvath, Illes; Veto, Balint
2010-01-01
The problems considered in the present paper have their roots in two different cultures. The 'true' (or myopic) self-avoiding walk model (TSAW) was introduced in the physics literature by Amit, Parisi and Peliti. This is a nearest neighbor non-Markovian random walk in Z^d which prefers to jump to those neighbors which were less visited in the past. The self-repelling Brownian polymer model (SRBP), initiated in the probabilistic literature by Durrett and Rogers (independently of the physics community), is the continuous space-time counterpart: a diffusion in R^d pushed by the negative gradient of the (mollified) occupation time measure of the process. In both cases, similar long memory effects are caused by a pathwise self-repellency of the trajectories due to a push by the negative gradient of (softened) local time. We investigate the asymptotic behaviour of TSAW and SRBP in the non-recurrent dimensions. First, we identify a natural stationary (in time) and ergodic distribution of the environment (the local t...
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.
Urdapilleta, Eugenio
2015-12-01
In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven by an arbitrary potential with an exponential temporally decaying superimposed field up to a prescribed threshold. The general system analyzed here describes the sub-threshold signal integration of integrate-and-fire neuron models, of any kind, supplemented by an adaptation-like current, whereas the first-passage-time corresponds to the declaration of a spike. Following our previous studies, we base our analysis on the backward Fokker-Planck equation and study the survival probability and the first-passage-time density function in the space of the initial condition. By proposing a series solution we obtain a system of recurrence equations, which given the specific structure of the exponential time-dependent drift, easily admit a simpler Laplace representation. Naturally, the present general derivation agrees with the explicit solution we found previously for the Wiener process in (2012 J. Phys. A: Math. Theor. 45 185001). However, to demonstrate the generality of the approach, we further explicitly evaluate the first-passage-time statistics of the underlying Ornstein-Uhlenbeck process. To test the validity of the series solution, we extensively compare theoretical expressions with the data obtained from numerical simulations in different regimes. As shown, agreement is precise whenever the series is truncated at an appropriate order. Beyond the fact that both the Wiener and Ornstein-Uhlenbeck processes have a direct interpretation in the context of neuronal models, given their ubiquity in different fields, our present results will be of interest in other settings where an additive state-independent temporal relaxation process is being developed as the particle diffuses.
International Nuclear Information System (INIS)
In one-dimensional systems, the dynamics of a Brownian particle are governed by the force derived from a potential as well as by diffusion properties. In this work, we obtain the first-passage-time statistics of a Brownian particle driven by an arbitrary potential with an exponential temporally decaying superimposed field up to a prescribed threshold. The general system analyzed here describes the sub-threshold signal integration of integrate-and-fire neuron models, of any kind, supplemented by an adaptation-like current, whereas the first-passage-time corresponds to the declaration of a spike. Following our previous studies, we base our analysis on the backward Fokker–Planck equation and study the survival probability and the first-passage-time density function in the space of the initial condition. By proposing a series solution we obtain a system of recurrence equations, which given the specific structure of the exponential time-dependent drift, easily admit a simpler Laplace representation. Naturally, the present general derivation agrees with the explicit solution we found previously for the Wiener process in (2012 J. Phys. A: Math. Theor. 45 185001). However, to demonstrate the generality of the approach, we further explicitly evaluate the first-passage-time statistics of the underlying Ornstein–Uhlenbeck process. To test the validity of the series solution, we extensively compare theoretical expressions with the data obtained from numerical simulations in different regimes. As shown, agreement is precise whenever the series is truncated at an appropriate order. Beyond the fact that both the Wiener and Ornstein–Uhlenbeck processes have a direct interpretation in the context of neuronal models, given their ubiquity in different fields, our present results will be of interest in other settings where an additive state-independent temporal relaxation process is being developed as the particle diffuses. (paper)
Unbiased diffusion of Brownian particles on disordered correlated potentials
Salgado-Garcia, Raúl; Maldonado, Cesar
2015-06-01
In this work we study the diffusion of non-interacting overdamped particles, moving on unbiased disordered correlated potentials, subjected to Gaussian white noise. We obtain an exact expression for the diffusion coefficient which allows us to prove that the unbiased diffusion of overdamped particles on a random polymer does not depend on the correlations of the disordered potentials. This universal behavior of the unbiased diffusivity is a direct consequence of the validity of the Einstein relation and the decay of correlations of the random polymer. We test the independence on correlations of the diffusion coefficient for correlated polymers produced by two different stochastic processes, a one-step Markov chain and the expansion-modification system. Within the accuracy of our simulations, we found that the numerically obtained diffusion coefficient for these systems agree with the analytically calculated ones, confirming our predictions.
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.
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.
Quantum harmonic Brownian motion in a general environment: A modified phase-space approach
International Nuclear Information System (INIS)
After extensive investigations over three decades, the linear-coupling model and its equivalents have become the standard microscopic models for quantum harmonic Brownian motion, in which a harmonically bound Brownian particle is coupled to a quantum dissipative heat bath of general type modeled by infinitely many harmonic oscillators. The dynamics of these models have been studied by many authors using the quantum Langevin equation, the path-integral approach, quasi-probability distribution functions (e.g., the Wigner function), etc. However, the quantum Langevin equation is only applicable to some special problems, while other approaches all involve complicated calculations due to the inevitable reduction (i.e., contraction) operation for ignoring/eliminating the degrees of freedom of the heat bath. In this dissertation, the author proposes an improved methodology via a modified phase-space approach which employs the characteristic function (the symplectic Fourier transform of the Wigner function) as the representative of the density operator. This representative is claimed to be the most natural one for performing the reduction, not only because of its simplicity but also because of its manifestation of geometric meaning. Accordingly, it is particularly convenient for studying the time evolution of the Brownian particle with an arbitrary initial state. The power of this characteristic function is illuminated through a detailed study of several physically interesting problems, including the environment-induced damping of quantum interference, the exact quantum Fokker-Planck equations, and the relaxation of non-factorizable initial states. All derivations and calculations axe shown to be much simplified in comparison with other approaches. In addition to dynamical problems, a novel derivation of the fluctuation-dissipation theorem which is valid for all quantum linear systems is presented
Brownian motion of massive black hole binaries and the final parsec problem
Bortolas, E.; Gualandris, A.; Dotti, M.; Spera, M.; Mapelli, M.
2016-06-01
Massive black hole binaries (BHBs) are expected to be one of the most powerful sources of gravitational waves (GWs) in the frequency range of the pulsar timing array and of forthcoming space-borne detectors. They are believed to form in the final stages of galaxy mergers, and then harden by slingshot ejections of passing stars. However, evolution via the slingshot mechanism may be ineffective if the reservoir of interacting stars is not readily replenished, and the binary shrinking may come to a halt at roughly a parsec separation. Recent simulations suggest that the departure from spherical symmetry, naturally produced in merger remnants, leads to efficient loss cone refilling, preventing the binary from stalling. However, current N-body simulations able to accurately follow the evolution of BHBs are limited to very modest particle numbers. Brownian motion may artificially enhance the loss cone refilling rate in low-N simulations, where the binary encounters a larger population of stars due its random motion. Here we study the significance of Brownian motion of BHBs in merger remnants in the context of the final parsec problem. We simulate mergers with various particle numbers (from 8k to 1M) and with several density profiles. Moreover, we compare simulations where the BHB is fixed at the centre of the merger remnant with simulations where the BHB is free to random walk. We find that Brownian motion does not significantly affect the evolution of BHBs in simulations with particle numbers in excess of one million, and that the hardening measured in merger simulations is due to collisionless loss cone refilling.
Relationships involving spatial transitions for Brownian particles within a potential-well.
Brody, Ross
2007-03-01
Using an optical tweezer apparatus we have trapped single latex spheres and analyzed their Brownian motion within a potential well. By considering transitions from various initial and final positions within the well, we experimentally show that the ratio of conditional probabilities, P(xf,t+δt|xi,t)/P(xi,t+δt|xf,t), is independent of δt. We also show the instanton times corresponding to last-touch-first-touch (LTFT) trajectories obey the equality, LTFT(xi->xf)=LTFT(xf->xi), shown by Bier et al. [Phys. Rev. E 59,422 (1999)].
Tameshtit, Allan
2012-01-01
High temperature and white noise approximations are frequently invoked when deriving the quantum Brownian equation for an oscillator. Even if this white noise approximation is avoided, it is shown that if the zero point energies of the environment are neglected, as they often are, the resultant equation will violate not only the basic tenet of quantum mechanics that requires the density operator to be positive, but also the uncertainty principle. When the zero-point energies are included, asymptotic results describing the evolution of the oscillator are obtained that preserve positivity and, therefore, the uncertainty principle.
Berestycki, Julien; Harris, John W; Harris, Simon C; Roberts, Matthew I
2012-01-01
We consider a branching particle system where each particle moves as an independent Brownian motion and breeds at a rate proportional to its distance from the origin raised to the power $p$, for $p\\in[0,2)$. The asymptotic behaviour of the right-most particle for this system is already known; in this article we give large deviations probabilities for particles following "difficult" paths, growth rates along "easy" paths, the total population growth rate, and we derive the optimal paths which particles must follow to achieve this growth rate.
Statistics of a Flux in Burgers Turbulencewith One-Sided Brownian Initial Data
Bertoin, J.; Giraud, C.; Isozaki, Y.
We study the statistics of the flux of particles crossing the origin, which is induced by the dynamics of ballistic aggregation in dimension 1, under certain random initial conditions for the system. More precisely, we consider the cases when particles are uniformly distributed on at the initial time, and if u(x,t) denotes the velocity of the particle located at x at time t, then u(x,0)= 0 for x= 0) is either a white noise or a Brownian motion.
Optimal Policy for Brownian Inventory Models with General Convex Inventory Cost
Institute of Scientific and Technical Information of China (English)
Da-cheng YAO
2013-01-01
We study an inventory system in which products are ordered from outside to meet demands,and the cumulative demand is governed by a Brownian motion.Excessive demand is backlogged.We suppose that the shortage and holding costs associated with the inventory are given by a general convex function.The product ordering from outside incurs a linear ordering cost and a setup fee.There is a constant leadtime when placing an order.The optimal policy is established so as to minimize the discounted cost including the inventory cost and ordering cost.
Liouville quantum gravity and the Brownian map II: geodesics and continuity of the embedding
Miller, Jason; Sheffield, Scott
2016-01-01
We endow the $\\sqrt{8/3}$-Liouville quantum gravity sphere with a metric space structure and show that the resulting metric measure space agrees in law with the Brownian map. Recall that a Liouville quantum gravity sphere is a priori naturally parameterized by the Euclidean sphere ${\\mathbf S}^2$. Previous work in this series used quantum Loewner evolution (QLE) to construct a metric $d_{\\mathcal Q}$ on a countable dense subset of ${\\mathbf S}^2$. Here we show that $d_{\\mathcal Q}$ a.s. exten...
Nonintersection Exponents for Brownian Paths. II. Estimates and Applications to a Random Fractal
Burdzy, Krzysztof; Lawler, Gregory F.
1990-01-01
Let $X$ and $Y$ be independent two-dimensional Brownian motions, $X(0) = (0, 0), Y(0) = (\\varepsilon, 0)$, and let $p(\\varepsilon) = P(X\\lbrack 0, 1 \\rbrack \\cap Y\\lbrack 0, 1 \\rbrack = \\varnothing), q(\\varepsilon) = \\{Y\\lbrack 0, 1 \\rbrack \\text{does not contain a closed loop around} 0\\}$. Asymptotic estimates (when $\\varepsilon \\rightarrow 0$) of $p(\\varepsilon), q(\\varepsilon)$, and some related probabilities, are given. Let $F$ be the boundary of the unbounded connected component of $\\mat...
Joint distributions of partial and global maxima of a Brownian bridge
Bénichou, Olivier; Krapivsky, P. L.; Mejía-Monasterio, Carlos; Oshanin, Gleb
2016-08-01
We analyze the joint distributions and temporal correlations between the partial maximum m and the global maximum M achieved by a Brownian bridge on the subinterval [0,{t}1] and on the entire interval [0,t], respectively. We determine three probability distribution functions: the joint distribution P(m,M) of both maxima; the distribution P(m) of the partial maximum; and the distribution {{\\Pi }}(G) of the gap between the maxima, G=M-m. We present exact results for the moments of these distributions and quantify the temporal correlations between m and M by calculating the Pearson correlation coefficient.
Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case
Dai, Jim; Yao, Dacheng
2011-01-01
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed cost and a proportional cost. The challenge is to find an adjustment policy that balances the holding cost and adjustm...
Optimal Control of Brownian Inventory Models with Convex Inventory Cost: Discounted Cost Case
Dai, Jim; Yao, Dacheng
2011-01-01
We consider an inventory system in which inventory level fluctuates as a Brownian motion in the absence of control. The inventory continuously accumulates cost at a rate that is a general convex function of the inventory level, which can be negative when there is a backlog. At any time, the inventory level can be adjusted by a positive or negative amount, which incurs a fixed positive cost and a proportional cost. The challenge is to find an adjustment policy that balances the inventory cost ...
Brownian Ratchet Driven by a Rocking Forcing with Broken Temporal Symmetry
Institute of Scientific and Technical Information of China (English)
LIU Feng-Zhi; LI Xiao-Wen; ZHENG Zhi-Gang
2003-01-01
The ratchet motion of a Brownian particle in a symmetric periodic potential under a rocking force thatbreaks the temporal symmetry is studied. As long as the relaxation time in the thermal background is much shorter thanthe forcing period, the unidirectional transport can be analytically treated. By solving the Fokker-Planck equations, weget an analytical expression of the current. This result indicates that with an appropriate match between the potentialfield, the asymmetric ac force and the thermal noise, a net current can be achieved. The current versus thermal noiseexhibits a stochastic-resonance-like behavior.
A limit theorem for moments in space of the increments of Brownian local time
Campese, Simon
2015-01-01
We proof a limit theorem for moments in space of the increments of Brownian local time. As special cases for the second and third moments, previous results by Chen et al. (Ann. Prob. 38, 2010, no. 1) and Rosen (Stoch. Dyn. 11, 2011, no. 1), which were later reproven by Hu and Nualart (Electron. Commun. Probab. 14, 2009; Electron. Commun. Probab. 15, 2010) and Rosen (S\\'eminaire de Probabilit\\'es XLIII, Springer, 2011) are included. Furthermore, a conjecture of Rosen for the fourth moment is s...
Virial theorem for rotating self-gravitating Brownian particles and two-dimensional point vortices
Chavanis, Pierre-Henri
2009-01-01
We derive the proper form of Virial theorem for a system of rotating self-gravitating Brownian particles. We show that, in the two-dimensional case, it takes a very simple form that can be used to obtain general results about the dynamics of the system without being required to solve the Smoluchowski-Poisson system explicitly. We also develop the analogy between self-gravitating systems and two-dimensional point vortices and derive a Virial-like relation for the vortex system.
Brownian motion, random walks on trees, and harmonic measure on polynomial Julia sets
Emerson, Nathaniel D.
2006-01-01
We consider the harmonic measure on a disconnected polynomial Julia set in terms of Brownian motion. We show that the harmonic measure of any connected component of such a Julia set is zero. Associated to the polynomial is a combinatorial model, the tree with dynamics. We define a measure on the tree, which is a combinatorial version on harmonic measure. We show that this measure is isomorphic to the harmonic measure on the Julia set. The measure induces a random walk on the tree, which is is...
Variance gamma process simulation and it's parameters estimation
Kuzmina, A. V.
2010-01-01
Variance gamma process is a three parameter process. Variance gamma process is simulated as a gamma time-change Brownian motion and as a difference of two independent gamma processes. Estimations of simulated variance gamma process parameters are presented in this paper.
Stochastic processes from physics to finance
Paul, Wolfgang
2013-01-01
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.
Suppression of a Brownian noise in a hole-type sensor due to induced-charge electro-osmosis
Sugioka, Hideyuki
2016-03-01
Noise reduction is essential for a single molecular sensor. Thus, we propose a novel noise reduction mechanism using a hydrodynamic force due to induced-charge electro-osmosis (ICEO) in a hole-type sensor and numerically examine the performance. By the boundary element method that considers both a Brownian motion and an ICEO flow of a polarizable particle, we find that the Brownian noise in a current signal is suppressed significantly in a converging channel because of the ICEO flow around the particle in the presence of an electric field. Further, we propose a simple model that explains a numerically obtained threshold voltage of the suppression of the Brownian noise due to ICEO. We believe that our findings contribute greatly to developments of a single molecular sensor.
Bai, Zhan-Wu; Wang, Ping
2016-03-01
We investigate the escape rate of Brownian particles that move in a cubic metastable potential subjected to an internal time derivative Ornstein-Uhlenbeck noise (DOUN). This noise can induce the ballistic diffusion of force-free Brownian particles. Some new features are found. The escape rate for DOUN shows qualitative different dependence on potential well width compared with OUN which induces normal diffusion. As the potential barrier height decreases, the escape rate of DOUN deviates from Arrhenius law considerably earlier than that of Ornstein-Uhlenbeck noise (OUN). The Brownian particles escape faster under DOUN than that under OUN. A quasi-periodic oscillation occurs in transient state. A solvable case is presented to demonstrate the significant cancellation behavior in the barrier region that governs most of these phenomena. The physical mechanism of the findings can be clarified by the noise features. These characteristics should be common for internal noises that induce superdiffusion, especially the ballistic diffusion.
De Biase, Pablo M; Markosyan, Suren; Noskov, Sergei
2015-02-01
The transport of ions and solutes by biological pores is central for cellular processes and has a variety of applications in modern biotechnology. The time scale involved in the polymer transport across a nanopore is beyond the accessibility of conventional MD simulations. Moreover, experimental studies lack sufficient resolution to provide details on the molecular underpinning of the transport mechanisms. BROMOC, the code presented herein, performs Brownian dynamics simulations, both serial and parallel, up to several milliseconds long. BROMOC can be used to model large biological systems. IMC-MACRO software allows for the development of effective potentials for solute-ion interactions based on radial distribution function from all-atom MD. BROMOC Suite also provides a versatile set of tools to do a wide variety of preprocessing and postsimulation analysis. We illustrate a potential application with ion and ssDNA transport in MspA nanopore. PMID:25503688
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.
High-resolution detection of Brownian motion for quantitative optical tweezers experiments.
Grimm, Matthias; Franosch, Thomas; Jeney, Sylvia
2012-08-01
We have developed an in situ method to calibrate optical tweezers experiments and simultaneously measure the size of the trapped particle or the viscosity of the surrounding fluid. The positional fluctuations of the trapped particle are recorded with a high-bandwidth photodetector. We compute the mean-square displacement, as well as the velocity autocorrelation function of the sphere, and compare it to the theory of Brownian motion including hydrodynamic memory effects. A careful measurement and analysis of the time scales characterizing the dynamics of the harmonically bound sphere fluctuating in a viscous medium directly yields all relevant parameters. Finally, we test the method for different optical trap strengths, with different bead sizes and in different fluids, and we find excellent agreement with the values provided by the manufacturers. The proposed approach overcomes the most commonly encountered limitations in precision when analyzing the power spectrum of position fluctuations in the region around the corner frequency. These low frequencies are usually prone to errors due to drift, limitations in the detection, and trap linearity as well as short acquisition times resulting in poor statistics. Furthermore, the strategy can be generalized to Brownian motion in more complex environments, provided the adequate theories are available. PMID:23005790
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...
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...
Self-Propelling Nanomotors in the Presence of Strong Brownian Forces
2014-01-01
Motility in living systems is due to an array of complex molecular nanomotors that are essential for the function and survival of cells. These protein nanomotors operate not only despite of but also because of stochastic forces. Artificial means of realizing motility rely on local concentration or temperature gradients that are established across a particle, resulting in slip velocities at the particle surface and thus motion of the particle relative to the fluid. However, it remains unclear if these artificial motors can function at the smallest of scales, where Brownian motion dominates and no actively propelled living organisms can be found. Recently, the first reports have appeared suggesting that the swimming mechanisms of artificial structures may also apply to enzymes that are catalytically active. Here we report a scheme to realize artificial Janus nanoparticles (JNPs) with an overall size that is comparable to that of some enzymes ∼30 nm. Our JNPs can catalyze the decomposition of hydrogen peroxide to water and oxygen and thus actively move by self-electrophoresis. Geometric anisotropy of the Pt–Au Janus nanoparticles permits the simultaneous observation of their translational and rotational motion by dynamic light scattering. While their dynamics is strongly influenced by Brownian rotation, the artificial Janus nanomotors show bursts of linear ballistic motion resulting in enhanced diffusion. PMID:24707952
Realization of a Brownian engine to study transport phenomena: a semiclassical approach.
Ghosh, Pradipta; Shit, Anindita; Chattopadhyay, Sudip; Chaudhuri, Jyotipratim Ray
2010-06-01
Brownian particles moving in a periodic potential with or without external load are often used as good theoretical models for the phenomenological studies of microscopic heat engines. The model that we propose here, assumes the particle to be moving in a nonequilibrium medium and we have obtained the exact expression for the stationary current density. We have restricted our consideration to the overdamped motion of the Brownian particle. We present here a self-consistent theory based on the system-reservoir coupling model, within a microscopic approach, of fluctuation induced transport in the semiclassical limit for a general system coupled with two heat baths kept at different temperatures. This essentially puts forth an approach to semiclassical state-dependent diffusion. We also explore the possibility of observing a current when the temperature of the two baths are different, and also envisage that our system may act as a Carnot engine even when the bath temperatures are the same. The condition for such a construction has been elucidated. PMID:20866383
A comparison of lattice-Boltzmann and Brownian dynamics simulations of dilute polymer solutions
Ladd, Tony; Kekre, Rahul; Butler, Jason
2008-11-01
We have compared lattice-Boltzmann and Brownian dynamics simulations of a single flexible polymer, in isolation and in confined geometries. In the case of the isolated chain we find agreement to within 1% in the diffusion coefficient and the Rouse mode relaxation times. We have obtained good agreement for the concentration profiles in a bounded shear flow, but the Brownian dynamics simulations currently use a superposition of the hydrodynamic fields generated by the walls. We expect to know the effects of the inter-wall correction by the time of the meeting. We have gone to some lengths to match the conditions of both simulations as closely as possible. We use identical potential parameters and correct for the differences between the periodic boundaries used in the LB simulations and the unbounded domains used in the BD simulations. We use very long runs, of the order of 10000 times the longest relaxation time, to reduce the statistical uncertainties to less than 0.1%. We find excellent agreement in the relaxation times over a wide range of temperatures and fluid viscosity. The most quantitative agreement is achieved in the weak coupling limit, where the hydrodynamic radius of the monomers is less than one quarter of the lattice spacing.
Híjar, Humberto
2015-02-01
We study the Brownian motion of a particle bound by a harmonic potential and immersed in a fluid with a uniform shear flow. We describe this problem first in terms of a linear Fokker-Planck equation which is solved to obtain the probability distribution function for finding the particle in a volume element of its associated phase space. We find the explicit form of this distribution in the stationary limit and use this result to show that both the equipartition law and the equation of state of the trapped particle are modified from their equilibrium form by terms increasing as the square of the imposed shear rate. Subsequently, we propose an alternative description of this problem in terms of a generalized Langevin equation that takes into account the effects of hydrodynamic correlations and sound propagation on the dynamics of the trapped particle. We show that these effects produce significant changes, manifested as long-time tails and resonant peaks, in the equilibrium and nonequilibrium correlation functions for the velocity of the Brownian particle. We implement numerical simulations based on molecular dynamics and multiparticle collision dynamics, and observe a very good quantitative agreement between the predictions of the model and the numerical results, thus suggesting that this kind of numerical simulations could be used as complement of current experimental techniques. PMID:25768490
Matrix-free Brownian dynamics simulation technique for semidilute polymeric solutions
Saadat, Amir; Khomami, Bamin
2015-09-01
Evaluating the concentration dependence of static and dynamic properties of macromolecules in semidilute polymer solutions requires accurate calculation of long-range hydrodynamic interactions (HI) and short range excluded volume (EV) forces. In conventional Brownian dynamics simulations (BDS), computation of HI necessitates construction of a dense diffusion tensor commonly performed via Ewald summation. Krylov subspace techniques allow efficient decomposition of this tensor [computational cost scales as O (N2) , where N is the total number of beads in bead-spring representation of macromolecules in a simulation box] and computation of Brownian displacements in the box. In this paper, a matrix-free approach for calculation of HI is implemented which leads to O (N logN ) scaling of computational expense. The fidelity of the algorithm is demonstrated by evaluating the asymptotic value of center-of-mass diffusivity of polymer molecules at very low concentrations and their radius of gyration scaling as a function of number of beads for dilute and semidilute solutions (with concentrations up to 5 times the overlap concentration). In turn, a favorable comparison between our results and the blob theory is shown.
Mériguet, G; Jardat, M; Turq, P
2004-09-22
We present Brownian dynamics simulations of real charge-stabilized ferrofluids, which are stable colloidal dispersions of magnetic nanoparticles, with and without the presence of an external magnetic field. The colloidal suspensions are treated as collections of monodisperse spherical particles, bearing point dipoles at their centers and undergoing translational and rotational Brownian motions. The overall repulsive isotropic interactions between particles, governed by electrostatic repulsions, are taken into account by a one-component effective pair interaction potential. The potential parameters are fitted in order that computed structure factors are close to the experimental ones. Two samples of ferrofluid differing by the particle diameter and consequently by the intensity of the magnetic interaction are considered here. The magnetization and birefringence curves are computed: a deviation from the ideal Langevin behaviors is observed if the dipolar moment of particles is sufficiently large. Structure factors are also computed from simulations with and without an applied magnetic field H: the microstructure of the repulsive ferrofluid becomes anisotropic under H. Even our simple modeling of the suspension allows us to account for the main experimental features: an increase of the peak intensity is observed in the direction perpendicular to the field whereas the peak intensity decreases in the direction parallel to the field. PMID:15367036
Observing Brownian motion and measuring temperatures in vibration-fluidized granular matter
International Nuclear Information System (INIS)
Understanding the behaviour of granular media, either at rest or moving under external driving, is a difficult task, although it is important and of very practical interest. Describing the motion of each individual grain is complicated, not only because of the large number of grains, but also because the mechanisms of interaction at the grain level involve complex contact forces. One would like to have, in fact, a description in terms of a few macroscopic quantities. Since a granular medium resembles a liquid or a gas when strongly vibrated or when flowing out of a container, a natural approach is to adopt usual equilibrium statistical mechanics tools in order to test if such a macroscopic description is possible. In other words, an interesting question is to investigate whether one can model granular media, when close to a liquid-like state for example, using viscosity, temperature, and so on, as one does for normal liquids. With this aim in view, we have developed a non-equilibrium version of the classical Brownian motion experiment. In particular, we have observed the motion of a torsion oscillator immersed in an externally vibrated granular medium of glass spheres, and have collected evidence that the motion is Brownian-like. An approximate fluctuation-dissipation relation holds, and we can define temperature-like and viscosity-like parameters
International Nuclear Information System (INIS)
In this article we present methods for measuring hindered Brownian motion in the confinement of complex 3D geometries using digital video microscopy. Here we discuss essential features of automated 3D particle tracking as well as diffusion data analysis. By introducing local mean squared displacement-vs-time curves, we are able to simultaneously measure the spatial dependence of diffusion coefficients, tracking accuracies and drift velocities. Such local measurements allow a more detailed and appropriate description of strongly heterogeneous systems as opposed to global measurements. Finite size effects of the tracking region on measuring mean squared displacements are also discussed. The use of these methods was crucial for the measurement of the diffusive behavior of spherical polystyrene particles (505 nm diameter) in a microfluidic chip. The particles explored an array of parallel channels with different cross sections as well as the bulk reservoirs. For this experiment we present the measurement of local tracking accuracies in all three axial directions as well as the diffusivity parallel to the channel axis while we observed no significant flow but purely Brownian motion. Finally, the presented algorithm is suitable also for tracking of fluorescently labeled particles and particles driven by an external force, e.g., electrokinetic or dielectrophoretic forces
Measurements of Brownian relaxation of magnetic nanobeads using planar Hall effect bridge sensors
DEFF Research Database (Denmark)
Østerberg, Frederik Westergaard; Rizzi, Giovanni; Zardán Gómez de la Torre, T.;
2013-01-01
We compare measurements of the Brownian relaxation response of magnetic nanobeads in suspension using planar Hall effect sensors of cross geometry and a newly proposed bridge geometry. We find that the bridge sensor yields six times as large signals as the cross sensor, which results in a more ac...... performed in a commercial AC susceptometer. The presented bridge sensor is, thus, a promising component in future lab-on-a-chip biosensors for detection of clinically relevant analytes, including bacterial genomic DNA and proteins.......We compare measurements of the Brownian relaxation response of magnetic nanobeads in suspension using planar Hall effect sensors of cross geometry and a newly proposed bridge geometry. We find that the bridge sensor yields six times as large signals as the cross sensor, which results in a more...... accurate determination of the hydrodynamic size of the magnetic nanobeads. Finally, the bridge sensor has successfully been used to measure the change in dynamic magnetic response when rolling circle amplified DNA molecules are bound to the magnetic nanobeads. The change is validated by measurements...
Generalized Langevin Theory Of The Brownian Motion And The Dynamics Of Polymers In Solution
International Nuclear Information System (INIS)
The review deals with a generalization of the Rouse and Zimm bead-spring models of the dynamics of flexible polymers in dilute solutions. As distinct from these popular theories, the memory in the polymer motion is taken into account. The memory naturally arises as a consequence of the fluid and bead inertia within the linearized Navier-Stokes hydrodynamics. We begin with a generalization of the classical theory of the Brownian motion, which forms the basis of any theory of the polymer dynamics. The random force driving the Brownian particles is not the white one as in the Langevin theory, but “colored”, i.e., statistically correlated in time, and the friction force on the particles depends on the history of their motion. An efficient method of solving the resulting generalized Langevin equations is presented and applied to the solution of the equations of motion of polymer beads. The memory effects lead to several peculiarities in the time correlation functions used to describe the dynamics of polymer chains. So, the mean square displacement of the polymer coils contains algebraic long-time tails and at short times it is ballistic. It is shown how these features reveal in the experimentally observable quantities, such as the dynamic structure factors of the scattering or the viscosity of polymer solutions. A phenomenological theory is also presented that describes the dependence of these quantities on the polymer concentration in solution. (author)
Reeves, Daniel B.; Weaver, John B.
2015-06-01
Magnetic nanoparticles are promising tools for a host of therapeutic and diagnostic medical applications. The dynamics of rotating magnetic nanoparticles in applied magnetic fields depend strongly on the type and strength of the field applied. There are two possible rotation mechanisms and the decision for the dominant mechanism is often made by comparing the equilibrium relaxation times. This is a problem when particles are driven with high-amplitude fields because they are not necessarily at equilibrium at all. Instead, it is more appropriate to consider the "characteristic timescales" that arise in various applied fields. Approximate forms for the characteristic time of Brownian particle rotations do exist and we show agreement between several analytical and phenomenological-fit models to simulated data from a stochastic Langevin equation approach. We also compare several approximate models with solutions of the Fokker-Planck equation to determine their range of validity for general fields and relaxation times. The effective field model is an excellent approximation, while the linear response solution is only useful for very low fields and frequencies for realistic Brownian particle rotations.