WorldWideScience

Sample records for left-invariant stochastic evolution

  1. Optimal Control for Stochastic Delay Evolution Equations

    Energy Technology Data Exchange (ETDEWEB)

    Meng, Qingxin, E-mail: mqx@hutc.zj.cn [Huzhou University, Department of Mathematical Sciences (China); Shen, Yang, E-mail: skyshen87@gmail.com [York University, Department of Mathematics and Statistics (Canada)

    2016-08-15

    In this paper, we investigate a class of infinite-dimensional optimal control problems, where the state equation is given by a stochastic delay evolution equation with random coefficients, and the corresponding adjoint equation is given by an anticipated backward stochastic evolution equation. We first prove the continuous dependence theorems for stochastic delay evolution equations and anticipated backward stochastic evolution equations, and show the existence and uniqueness of solutions to anticipated backward stochastic evolution equations. Then we establish necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, we apply stochastic maximum principles to study two examples, an infinite-dimensional linear-quadratic control problem with delay and an optimal control of a Dirichlet problem for a stochastic partial differential equation with delay. Further applications of the two examples to a Cauchy problem for a controlled linear stochastic partial differential equation and an optimal harvesting problem are also considered.

  2. Environmental Stochasticity and the Speed of Evolution

    Science.gov (United States)

    Danino, Matan; Kessler, David A.; Shnerb, Nadav M.

    2018-03-01

    Biological populations are subject to two types of noise: demographic stochasticity due to fluctuations in the reproductive success of individuals, and environmental variations that affect coherently the relative fitness of entire populations. The rate in which the average fitness of a community increases has been considered so far using models with pure demographic stochasticity; here we present some theoretical considerations and numerical results for the general case where environmental variations are taken into account. When the competition is pairwise, fitness fluctuations are shown to reduce the speed of evolution, while under global competition the speed increases due to environmental stochasticity.

  3. Expressing stochastic unravellings using random evolution operators

    International Nuclear Information System (INIS)

    Salgado, D; Sanchez-Gomez, J L

    2002-01-01

    We prove how the form of the most general invariant stochastic unravelling for Markovian (recently given in the literature by Wiseman and Diosi) and non-Markovian but Lindblad-type open quantum systems can be attained by imposing a single mathematical condition upon the random evolution operator of the system, namely a.s. trace preservation (a.s. stands for almost surely). The use of random operators ensures the complete positivity of the density operator evolution and characterizes the linear/non-linear character of the evolution in a straightforward way. It is also shown how three quantum stochastic evolution models - continuous spontaneous localization, quantum state diffusion and quantum mechanics with universal position localization - appear as concrete choices for the noise term of the evolution random operators are assumed. We finally conjecture how these operators may in the future be used in two different directions: both to connect quantum stochastic evolution models with random properties of space-time and to handle noisy quantum logical gates

  4. A stochastic approach to chemical evolution

    International Nuclear Information System (INIS)

    Copi, C.J.

    1997-01-01

    Observations of elemental abundances in the Galaxy have repeatedly shown an intrinsic scatter as a function of time and metallicity. The standard approach to chemical evolution does not attempt to address this scatter in abundances since only the mean evolution is followed. In this work, the scatter is addressed via a stochastic approach to solving chemical evolution models. Three simple chemical evolution scenarios are studied using this stochastic approach: a closed box model, an infall model, and an outflow model. These models are solved for the solar neighborhood in a Monte Carlo fashion. The evolutionary history of one particular region is determined randomly based on the star formation rate and the initial mass function. Following the evolution in an ensemble of such regions leads to the predicted spread in abundances expected, based solely on different evolutionary histories of otherwise identical regions. In this work, 13 isotopes are followed, including the light elements, the CNO elements, a few α-elements, and iron. It is found that the predicted spread in abundances for a 10 5 M circle-dot region is in good agreement with observations for the α-elements. For CN, the agreement is not as good, perhaps indicating the need for more physics input for low-mass stellar evolution. Similarly for the light elements, the predicted scatter is quite small, which is in contradiction to the observations of 3 He in HII regions. The models are tuned for the solar neighborhood so that good agreement with HII regions is not expected. This has important implications for low-mass stellar evolution and on using chemical evolution to determine the primordial light-element abundances in order to test big bang nucleosynthesis. copyright 1997 The American Astronomical Society

  5. Stochastic evolution of cosmological parameters in the early universe

    Indian Academy of Sciences (India)

    We develop a stochastic formulation of cosmology in the early universe, after considering the scatter in the redshift-apparent magnitude diagram in the early epochs as an observational evidence for the non-deterministic evolution of early universe. We consider the stochastic evolution of density parameter in the early ...

  6. New travelling wave solutions for nonlinear stochastic evolution

    Indian Academy of Sciences (India)

    The nonlinear stochastic evolution equations have a wide range of applications in physics, chemistry, biology, economics and finance from various points of view. In this paper, the (′/)-expansion method is implemented for obtaining new travelling wave solutions of the nonlinear (2 + 1)-dimensional stochastic ...

  7. Quantum Ito's formula and stochastic evolutions

    International Nuclear Information System (INIS)

    Hudson, R.L.; Parthasarathy, K.R.

    1984-01-01

    Using only the Boson canonical commutation relations and the Riemann-Lebesgue integral we construct a simple theory of stochastic integrals and differentials with respect to the basic field operator processes. This leads to a noncommutative Ito product formula, a realisation of the classical Poisson process in Fock space which gives a noncommutative central limit theorem, the construction of solutions of certain noncommutative stochastic differential equations, and finally to the integration of certain irreversible equations of motion governed by semigroups of completely positive maps. The classical Ito product formula for stochastic differentials with respect to Brownian motion and the Poisson process is a special case. (orig.)

  8. Almost Periodic Solutions for Impulsive Fractional Stochastic Evolution Equations

    Directory of Open Access Journals (Sweden)

    Toufik Guendouzi

    2014-08-01

    Full Text Available In this paper, we consider the existence of square-mean piecewise almost periodic solutions for impulsive fractional stochastic evolution equations involving Caputo fractional derivative. The main results are obtained by means of the theory of operators semi-group, fractional calculus, fixed point technique and stochastic analysis theory and methods adopted directly from deterministic fractional equations. Some known results are improved and generalized.

  9. On the boundary behavior of left-invariant Hitchin and hypo flows

    DEFF Research Database (Denmark)

    Belgun, Florin; Cortés, Vicente; Freibert, Marco

    2015-01-01

    We investigate left-invariant Hitchin and hypo flows on 5-, 6- and 7-dimensional Lie groups. They provide Riemannian cohomogeneity-one manifolds of one dimension higher with holonomy contained in SU(3), G2 and Spin(7), respectively, which are in general geodesically incomplete. Generalizing results...... of Conti, we prove that for large classes of solvable Lie groups G these manifolds cannot be completed: a complete Riemannian manifold with parallel SU(3)-, G2- or Spin(7)-structure which is of cohomogeneity one with respect to G is flat, and has no singular orbits. We furthermore classify, on the non...

  10. Stochastic Evolution Equations Driven by Fractional Noises

    Science.gov (United States)

    2016-11-28

    paper is to establish the weak convergence, in the topology of the Skorohod space, of the ν-symmetric Riemann sums for functionals of the fractional...stochastic heat equation with fractional-colored noise: existence of the solution. ALEA Lat. Am. J. Probab. Math . Stat. 4 (2008), 57–87. [8] P. Carmona, Y...Hu: Strong disorder implies strong localization for directed polymers in a random environment. ALEA Lat. Am. J. Probab. Math . Stat. 2 (2006), 217

  11. Left-invariant Einstein metrics on S3 ×S3

    Science.gov (United States)

    Belgun, Florin; Cortés, Vicente; Haupt, Alexander S.; Lindemann, David

    2018-06-01

    The classification of homogeneous compact Einstein manifolds in dimension six is an open problem. We consider the remaining open case, namely left-invariant Einstein metrics g on G = SU(2) × SU(2) =S3 ×S3. Einstein metrics are critical points of the total scalar curvature functional for fixed volume. The scalar curvature S of a left-invariant metric g is constant and can be expressed as a rational function in the parameters determining the metric. The critical points of S, subject to the volume constraint, are given by the zero locus of a system of polynomials in the parameters. In general, however, the determination of the zero locus is apparently out of reach. Instead, we consider the case where the isotropy group K of g in the group of motions is non-trivial. When K ≇Z2 we prove that the Einstein metrics on G are given by (up to homothety) either the standard metric or the nearly Kähler metric, based on representation-theoretic arguments and computer algebra. For the remaining case K ≅Z2 we present partial results.

  12. Stochastic evolutions and hadronization of highly excited hadronic matter

    International Nuclear Information System (INIS)

    Carruthers, P.

    1984-01-01

    Stochastic ingredients of high energy hadronic collisions are analyzed, with emphasis on multiplicity distributions. The conceptual simplicity of the k-cell negative binomial distribution is related to the evolution of probability distributions via the Fokker-Planck and related equations. The connection to underlying field theory ideas is sketched. 17 references

  13. Stochastic evolution of the Universe: A possible dynamical process ...

    Indian Academy of Sciences (India)

    C Sivakumar

    2017-12-11

    Dec 11, 2017 ... https://doi.org/10.1007/s12043-017-1491-z. Stochastic evolution of the Universe: A possible dynamical process leading to fractal structures. C SIVAKUMAR. Department of Physics, Maharaja's College, Ernakulam 682 011, India. E-mail: thrisivc@yahoo.com. MS received 6 July 2016; revised 26 June 2017; ...

  14. Stochastic spin evolution of neutron stars

    OpenAIRE

    Popov, S. B.; Prokhorov, M. E.; Khoperskov, A. V.; Lipunov, V. M.

    2001-01-01

    In this paper we present calculations of period distribution for old accreting isolated neutron stars (INSs). At the age about a few billions years low velocity INSs come to the stage of accretion. At that stage their period evolution is governed by magnetic breaking and accreted angular momentum. Due to turbulence of the interstellar medium (ISM) accreted momentum can both accelerate and decelerate rotation of an INS and spin evolution has chaotic character. Calculations show that for consta...

  15. Cultural evolution as a nonstationary stochastic process

    DEFF Research Database (Denmark)

    Nicholson, Arwen; Sibani, Paolo

    2016-01-01

    We present an individual based model of cultural evolution, where interacting agents are coded by binary strings standing for strategies for action, blueprints for products or attitudes and beliefs. The model is patterned on an established model of biological evolution, the Tangled Nature Model...... (TNM), where a “tangle” of interactions between agents determines their reproductive success. In addition, our agents also have the ability to copy part of each other's strategy, a feature inspired by the Axelrod model of cultural diversity. Unlike the latter, but similarly to the TNM, the model...

  16. Stochastic Field evolution of disoriented chiral condensates

    International Nuclear Information System (INIS)

    Bettencourt, Luis M.A.

    2003-01-01

    I present a summary of recent work [1] where we describe the time-evolution of a region of disoriented chiral condensate via Langevin field equations for the linear σ model. We analyze the model in equilibrium, paying attention to subtracting ultraviolet divergent classical terms and replacing them by their finite quantum counter-parts. We use results from lattice gauge theory and chiral perturbation theory to fix nonuniversal constants. The result is a ultraviolet cutoff independent theory that reproduces quantitatively the expected equilibrium behavior of pion and σ quantum fields. We also estimate the viscosity η(T), which controls the dynamical timescale in the Langevin equation, so that the near equilibrium dynamical response agrees with theoretical expectations

  17. Quantum dynamical time evolutions as stochastic flows on phase space

    International Nuclear Information System (INIS)

    Combe, P.; Rodriguez, R.; Guerra, F.; Sirigue, M.; Sirigue-Collin, M.

    1984-01-01

    We are mainly interested in describing the time development of the Wigner functions by means of stochastic processes. In the second section we recall the main properties of the Wigner functions as well as those of their Fourier transform. In the next one we derive the evolution equation of these functions for a class of Hamiltonians and we give a probabilistic expression for the solution of these equations by means of a stochastic flow in phase space which reminds of the classical flows. In the last section we remark that the previously defined flow can be extended to the bounded continuous functions on phase space and that this flow conserves the cone generated by the Wigner functions. (orig./HSI)

  18. Evolution and mass extinctions as lognormal stochastic processes

    Science.gov (United States)

    Maccone, Claudio

    2014-10-01

    In a series of recent papers and in a book, this author put forward a mathematical model capable of embracing the search for extra-terrestrial intelligence (SETI), Darwinian Evolution and Human History into a single, unified statistical picture, concisely called Evo-SETI. The relevant mathematical tools are: (1) Geometric Brownian motion (GBM), the stochastic process representing evolution as the stochastic increase of the number of species living on Earth over the last 3.5 billion years. This GBM is well known in the mathematics of finances (Black-Sholes models). Its main features are that its probability density function (pdf) is a lognormal pdf, and its mean value is either an increasing or, more rarely, decreasing exponential function of the time. (2) The probability distributions known as b-lognormals, i.e. lognormals starting at a certain positive instant b>0 rather than at the origin. These b-lognormals were then forced by us to have their peak value located on the exponential mean-value curve of the GBM (Peak-Locus theorem). In the framework of Darwinian Evolution, the resulting mathematical construction was shown to be what evolutionary biologists call Cladistics. (3) The (Shannon) entropy of such b-lognormals is then seen to represent the `degree of progress' reached by each living organism or by each big set of living organisms, like historic human civilizations. Having understood this fact, human history may then be cast into the language of b-lognormals that are more and more organized in time (i.e. having smaller and smaller entropy, or smaller and smaller `chaos'), and have their peaks on the increasing GBM exponential. This exponential is thus the `trend of progress' in human history. (4) All these results also match with SETI in that the statistical Drake equation (generalization of the ordinary Drake equation to encompass statistics) leads just to the lognormal distribution as the probability distribution for the number of extra

  19. Stochastic star formation and the evolution of galaxies

    International Nuclear Information System (INIS)

    Seiden, P.E.; Schulman, L.S.; Gerola, H.

    1979-01-01

    The mechanism of stochastic self-propagating star formation has previously been invoked to explain the origin of spiral arms in galaxies. In this paper we extend the application of this mechanism to account for the diversity of morphological types and the evolution of galaxies. The new property that arises from consideration of this mechanism is that the rate of star formation exhibits the critical behavior of a phase transition. This is a general property of the system and is not strongly dependent on the details of the star--interstellar gas interaction. Examination of the properties of this phase transition provides a general scenario for the evolution of galaxies and the origin of the various morphological types

  20. Calibration of a stochastic health evolution model using NHIS data

    Science.gov (United States)

    Gupta, Aparna; Li, Zhisheng

    2011-10-01

    This paper presents and calibrates an individual's stochastic health evolution model. In this health evolution model, the uncertainty of health incidents is described by a stochastic process with a finite number of possible outcomes. We construct a comprehensive health status index (HSI) to describe an individual's health status, as well as a health risk factor system (RFS) to classify individuals into different risk groups. Based on the maximum likelihood estimation (MLE) method and the method of nonlinear least squares fitting, model calibration is formulated in terms of two mixed-integer nonlinear optimization problems. Using the National Health Interview Survey (NHIS) data, the model is calibrated for specific risk groups. Longitudinal data from the Health and Retirement Study (HRS) is used to validate the calibrated model, which displays good validation properties. The end goal of this paper is to provide a model and methodology, whose output can serve as a crucial component of decision support for strategic planning of health related financing and risk management.

  1. Stochastic resonance and the evolution of Daphnia foraging strategy

    International Nuclear Information System (INIS)

    Dees, Nathan D; Bahar, Sonya; Moss, Frank

    2008-01-01

    Search strategies are currently of great interest, with reports on foraging ranging from albatrosses and spider monkeys to microzooplankton. Here, we investigate the role of noise in optimizing search strategies. We focus on the zooplankton Daphnia, which move in successive sequences consisting of a hop, a pause and a turn through an angle. Recent experiments have shown that their turning angle distributions (TADs) and underlying noise intensities are similar across species and age groups, suggesting an evolutionary origin of this internal noise. We explore this hypothesis further with a digital simulation (EVO) based solely on the three central Darwinian themes: inheritability, variability and survivability. Separate simulations utilizing stochastic resonance (SR) indicate that foraging success, and hence fitness, is maximized at an optimum TAD noise intensity, which is represented by the distribution's characteristic width, σ. In both the EVO and SR simulations, foraging success is the criterion, and the results are the predicted characteristic widths of the TADs that maximize success. Our results are twofold: (1) the evolving characteristic widths achieve stasis after many generations; (2) as a hop length parameter is changed, variations in the evolved widths generated by EVO parallel those predicted by SR. These findings provide support for the hypotheses that (1) σ is an evolved quantity and that (2) SR plays a role in evolution. (communication)

  2. On Continuous Selection Sets of Non-Lipschitzian Quantum Stochastic Evolution Inclusions

    Directory of Open Access Journals (Sweden)

    Sheila Bishop

    2015-01-01

    Full Text Available We establish existence of a continuous selection of multifunctions associated with quantum stochastic evolution inclusions under a general Lipschitz condition. The coefficients here are multifunctions but not necessarily Lipschitz.

  3. Homogenization of the evolution Stokes equation in a perforated domain with a stochastic Fourier boundary condition

    KAUST Repository

    Bessaih, Hakima; Efendiev, Yalchin; Maris, Florin

    2015-01-01

    The evolution Stokes equation in a domain containing periodically distributed obstacles subject to Fourier boundary condition on the boundaries is considered. We assume that the dynamic is driven by a stochastic perturbation on the interior

  4. A stochastic version of the Price equation reveals the interplay of deterministic and stochastic processes in evolution

    Directory of Open Access Journals (Sweden)

    Rice Sean H

    2008-09-01

    Full Text Available Abstract Background Evolution involves both deterministic and random processes, both of which are known to contribute to directional evolutionary change. A number of studies have shown that when fitness is treated as a random variable, meaning that each individual has a distribution of possible fitness values, then both the mean and variance of individual fitness distributions contribute to directional evolution. Unfortunately the most general mathematical description of evolution that we have, the Price equation, is derived under the assumption that both fitness and offspring phenotype are fixed values that are known exactly. The Price equation is thus poorly equipped to study an important class of evolutionary processes. Results I present a general equation for directional evolutionary change that incorporates both deterministic and stochastic processes and applies to any evolving system. This is essentially a stochastic version of the Price equation, but it is derived independently and contains terms with no analog in Price's formulation. This equation shows that the effects of selection are actually amplified by random variation in fitness. It also generalizes the known tendency of populations to be pulled towards phenotypes with minimum variance in fitness, and shows that this is matched by a tendency to be pulled towards phenotypes with maximum positive asymmetry in fitness. This equation also contains a term, having no analog in the Price equation, that captures cases in which the fitness of parents has a direct effect on the phenotype of their offspring. Conclusion Directional evolution is influenced by the entire distribution of individual fitness, not just the mean and variance. Though all moments of individuals' fitness distributions contribute to evolutionary change, the ways that they do so follow some general rules. These rules are invisible to the Price equation because it describes evolution retrospectively. An equally general

  5. Time evolution of one-dimensional gapless models from a domain wall initial state: stochastic Loewner evolution continued?

    International Nuclear Information System (INIS)

    Calabrese, Pasquale; Hagendorf, Christian; Doussal, Pierre Le

    2008-01-01

    We study the time evolution of quantum one-dimensional gapless systems evolving from initial states with a domain wall. We generalize the path integral imaginary time approach that together with boundary conformal field theory allows us to derive the time and space dependence of general correlation functions. The latter are explicitly obtained for the Ising universality class, and the typical behavior of one- and two-point functions is derived for the general case. Possible connections with the stochastic Loewner evolution are discussed and explicit results for one-point time dependent averages are obtained for generic κ for boundary conditions corresponding to stochastic Loewner evolution. We use this set of results to predict the time evolution of the entanglement entropy and obtain the universal constant shift due to the presence of a domain wall in the initial state

  6. Existence of weak solutions to stochastic evolution inclusions

    OpenAIRE

    Jakubowski , Adam; Kamenskii , Mikhail; Raynaud de Fitte , Paul

    2005-01-01

    International audience; We consider the Cauchy problem for a semilinear stochastic differential inclusion in a Hilbert space. The linear operator generates a strongly continuous semigroup and the nonlinear term is multivalued and satisfies a condition which is more heneral than the Lipschitz condition. We prove the existence of a mild solution to this problem. This solution is not "strong" in the probabilistic sense, that is, it is not defined on the underlying probability space, but on a lar...

  7. The Pathwise Numerical Approximation of Stationary Solutions of Semilinear Stochastic Evolution Equations

    International Nuclear Information System (INIS)

    Caraballo, T.; Kloeden, P.E.

    2006-01-01

    Under a one-sided dissipative Lipschitz condition on its drift, a stochastic evolution equation with additive noise of the reaction-diffusion type is shown to have a unique stochastic stationary solution which pathwise attracts all other solutions. A similar situation holds for each Galerkin approximation and each implicit Euler scheme applied to these Galerkin approximations. Moreover, the stationary solution of the Euler scheme converges pathwise to that of the Galerkin system as the stepsize tends to zero and the stationary solutions of the Galerkin systems converge pathwise to that of the evolution equation as the dimension increases. The analysis is carried out on random partial and ordinary differential equations obtained from their stochastic counterparts by subtraction of appropriate Ornstein-Uhlenbeck stationary solutions

  8. Deterministic and stochastic analysis of size effects and damage evolution in quasi-brittle materials

    NARCIS (Netherlands)

    Gutiérrez, M.A.; Borst, R. de

    1999-01-01

    This study presents some recent results on damage evolution in quasi-brittle materials including stochastic imperfections. The material strength is described as a random field and coupled to the response. The most probable configurations of imperfections leading to failure are sought by means of an

  9. Epigenetics and Evolution: Transposons and the Stochastic Epigenetic Modification Model

    Directory of Open Access Journals (Sweden)

    Sergio Branciamore

    2015-04-01

    Full Text Available In addition to genetic variation, epigenetic variation and transposons can greatly affect the evolutionary fitnesses landscape and gene expression. Previously we proposed a mathematical treatment of a general epigenetic variation model that we called Stochastic Epigenetic Modification (SEM model. In this study we follow up with a special case, the Transposon Silencing Model (TSM, with, once again, emphasis on quantitative treatment. We have investigated the evolutionary effects of epigenetic changes due to transposon (T insertions; in particular, we have considered a typical gene locus A and postulated that (i the expression level of gene A depends on the epigenetic state (active or inactive of a cis- located transposon element T, (ii stochastic variability in the epigenetic silencing of T occurs only in a short window of opportunity during development, (iii the epigenetic state is then stable during further development, and (iv the epigenetic memory is fully reset at each generation. We develop the model using two complementary approaches: a standard analytical population genetics framework (di usion equations and Monte-Carlo simulations. Both approaches led to similar estimates for the probability of fixation and time of fixation of locus TA with initial frequency P in a randomly mating diploid population of effective size Ne. We have ascertained the e ect that ρ, the probability of transposon Modification during the developmental window, has on the population (species. One of our principal conclusions is that as ρ increases, the pattern of fixation of the combined TA locus goes from "neutral" to "dominant" to "over-dominant". We observe that, under realistic values of ρ, epigenetic Modifications can provide an e cient mechanism for more rapid fixation of transposons and cis-located gene alleles. The results obtained suggest that epigenetic silencing, even if strictly transient (being reset at each generation, can still have signi cant

  10. Homogenization of the evolution Stokes equation in a perforated domain with a stochastic Fourier boundary condition

    KAUST Repository

    Bessaih, Hakima

    2015-04-01

    The evolution Stokes equation in a domain containing periodically distributed obstacles subject to Fourier boundary condition on the boundaries is considered. We assume that the dynamic is driven by a stochastic perturbation on the interior of the domain and another stochastic perturbation on the boundaries of the obstacles. We represent the solid obstacles by holes in the fluid domain. The macroscopic (homogenized) equation is derived as another stochastic partial differential equation, defined in the whole non perforated domain. Here, the initial stochastic perturbation on the boundary becomes part of the homogenized equation as another stochastic force. We use the twoscale convergence method after extending the solution with 0 in the holes to pass to the limit. By Itô stochastic calculus, we get uniform estimates on the solution in appropriate spaces. In order to pass to the limit on the boundary integrals, we rewrite them in terms of integrals in the whole domain. In particular, for the stochastic integral on the boundary, we combine the previous idea of rewriting it on the whole domain with the assumption that the Brownian motion is of trace class. Due to the particular boundary condition dealt with, we get that the solution of the stochastic homogenized equation is not divergence free. However, it is coupled with the cell problem that has a divergence free solution. This paper represents an extension of the results of Duan and Wang (Comm. Math. Phys. 275:1508-1527, 2007), where a reaction diffusion equation with a dynamical boundary condition with a noise source term on both the interior of the domain and on the boundary was studied, and through a tightness argument and a pointwise two scale convergence method the homogenized equation was derived. © American Institute of Mathematical Sciences.

  11. Exact many-body dynamics with stochastic one-body density matrix evolution

    International Nuclear Information System (INIS)

    Lacroix, D.

    2004-05-01

    In this article, we discuss some properties of the exact treatment of the many-body problem with stochastic Schroedinger equation (SSE). Starting from the SSE theory, an equivalent reformulation is proposed in terms of quantum jumps in the density matrix space. The technical details of the derivation a stochastic version of the Liouville von Neumann equation are given. It is shown that the exact Many-Body problem could be replaced by an ensemble of one-body density evolution, where each density matrix evolves according to its own mean-field augmented by a one-body noise. (author)

  12. Environmental Noise Could Promote Stochastic Local Stability of Behavioral Diversity Evolution

    Science.gov (United States)

    Zheng, Xiu-Deng; Li, Cong; Lessard, Sabin; Tao, Yi

    2018-05-01

    In this Letter, we investigate stochastic stability in a two-phenotype evolutionary game model for an infinite, well-mixed population undergoing discrete, nonoverlapping generations. We assume that the fitness of a phenotype is an exponential function of its expected payoff following random pairwise interactions whose outcomes randomly fluctuate with time. We show that the stochastic local stability of a constant interior equilibrium can be promoted by the random environmental noise even if the system may display a complicated nonlinear dynamics. This result provides a new perspective for a better understanding of how environmental fluctuations may contribute to the evolution of behavioral diversity.

  13. Deterministic and stochastic evolution equations for fully dispersive and weakly nonlinear waves

    DEFF Research Database (Denmark)

    Eldeberky, Y.; Madsen, Per A.

    1999-01-01

    and stochastic formulations are solved numerically for the case of cross shore motion of unidirectional waves and the results are verified against laboratory data for wave propagation over submerged bars and over a plane slope. Outside the surf zone the two model predictions are generally in good agreement......This paper presents a new and more accurate set of deterministic evolution equations for the propagation of fully dispersive, weakly nonlinear, irregular, multidirectional waves. The equations are derived directly from the Laplace equation with leading order nonlinearity in the surface boundary...... is significantly underestimated for larger wave numbers. In the present work we correct this inconsistency. In addition to the improved deterministic formulation, we present improved stochastic evolution equations in terms of the energy spectrum and the bispectrum for multidirectional waves. The deterministic...

  14. Stochastic Simulation of Soot Formation Evolution in Counterflow Diffusion Flames

    Directory of Open Access Journals (Sweden)

    Xiao Jiang

    2018-01-01

    Full Text Available Soot generally refers to carbonaceous particles formed during incomplete combustion of hydrocarbon fuels. A typical simulation of soot formation and evolution contains two parts: gas chemical kinetics, which models the chemical reaction from hydrocarbon fuels to soot precursors, that is, polycyclic aromatic hydrocarbons or PAHs, and soot dynamics, which models the soot formation from PAHs and evolution due to gas-soot and soot-soot interactions. In this study, two detailed gas kinetic mechanisms (ABF and KM2 have been compared during the simulation (using the solver Chemkin II of ethylene combustion in counterflow diffusion flames. Subsequently, the operator splitting Monte Carlo method is used to simulate the soot dynamics. Both the simulated data from the two mechanisms for gas and soot particles are compared with experimental data available in the literature. It is found that both mechanisms predict similar profiles for the gas temperature and velocity, agreeing well with measurements. However, KM2 mechanism provides much closer prediction compared to measurements for soot gas precursors. Furthermore, KM2 also shows much better predictions for soot number density and volume fraction than ABF. The effect of nozzle exit velocity on soot dynamics has also been investigated. Higher nozzle exit velocity renders shorter residence time for soot particles, which reduces the soot number density and volume fraction accordingly.

  15. Stochastic Loewner evolution as an approach to conformal field theory

    International Nuclear Information System (INIS)

    Mueller-Lohmann, Annekathrin

    2008-01-01

    The main focus on this work lies on the relationship between two-dimensional boundary Conformal Field Theories (BCFTs) and SCHRAMM-LOEWNER Evolutions (SLEs) as motivated by their connection to the scaling limit of Statistical Physics models at criticality. The BCFT approach used for the past 25 years is based on the algebraic formulation of local objects such as fields and their correlations in these models. Introduced in 1999, SLE describes the physical properties from a probabilistic point of view, studying measures on growing curves, i.e. global objects such as cluster interfaces. After a short motivation of the topic, followed by a more detailed introduction to two-dimensional boundary Conformal Field Theory and SCHRAMM-LOEWNER Evolution, we present the results of our original work. We extend the method of obtaining SLE variants for a change of measure of the single SLE to derive the most general BCFT model that can be related to SLE. Moreover, we interpret the change of the measure in the context of physics and Probability Theory. In addition, we discuss the meaning of bulk fields in BCFT as bulk force-points for the SLE variant SLE (κ, vector ρ). Furthermore, we investigate the short-distance expansion of the boundary condition changing fields, creating cluster interfaces that can be described by SLE, with other boundary or bulk fields. Thereby we derive new SLE martingales related to the existence of boundary fields with vanishing descendant on level three. We motivate that the short-distance scaling law of these martingales as adjustment of the measure can be interpreted as the SLE probability of curves coming close to the location of the second field. Finally, we extend the algebraic κ-relation for the allowed variances in multiple SLE, arising due to the commutation requirement of the infinitesimal growth operators, to the joint growth of two SLE traces. The analysis straightforwardly suggests the form of the infinitesimal LOEWNER mapping of joint

  16. Stochastic evolution of refractory interstellar dust during the chemical evolution of a two-phase interstellar medium

    International Nuclear Information System (INIS)

    Liffman, K.; Clayton, D.D.

    1989-01-01

    The evolution course of refractory interstellar dust during the chemical evolution of a two-phase interstellar medium (ISM) is studied using a simple model of the chemical evolution of ISM. It is assumed that, in this medium, the stars are born in molecular clouds, but new nucleosynthesis products and stellar return are entered into a complementary diffuse medium; the well-mixed matter of each interstellar phase is repeatedly cycled stochastically through the complementary phase and back. The dust is studied on a particle-by-particle bases as it is sputtered by shock waves in the diffuse medium, accretes an amorphous mantle of gaseous refractory atoms while its local medium joins the molecular cloud medium, and encounters the possibility of astration within molecular clouds. Results are presented relevant to the size spectrum of accreted mantles, its age spectrum and the distinction among its several lifetimes, depletion factors of refractory atoms in the diffuse gas, and isotopic anomalies. 26 refs

  17. Asymmetrical Damage Partitioning in Bacteria: A Model for the Evolution of Stochasticity, Determinism, and Genetic Assimilation.

    Science.gov (United States)

    Chao, Lin; Rang, Camilla Ulla; Proenca, Audrey Menegaz; Chao, Jasper Ubirajara

    2016-01-01

    Non-genetic phenotypic variation is common in biological organisms. The variation is potentially beneficial if the environment is changing. If the benefit is large, selection can favor the evolution of genetic assimilation, the process by which the expression of a trait is transferred from environmental to genetic control. Genetic assimilation is an important evolutionary transition, but it is poorly understood because the fitness costs and benefits of variation are often unknown. Here we show that the partitioning of damage by a mother bacterium to its two daughters can evolve through genetic assimilation. Bacterial phenotypes are also highly variable. Because gene-regulating elements can have low copy numbers, the variation is attributed to stochastic sampling. Extant Escherichia coli partition asymmetrically and deterministically more damage to the old daughter, the one receiving the mother's old pole. By modeling in silico damage partitioning in a population, we show that deterministic asymmetry is advantageous because it increases fitness variance and hence the efficiency of natural selection. However, we find that symmetrical but stochastic partitioning can be similarly beneficial. To examine why bacteria evolved deterministic asymmetry, we modeled the effect of damage anchored to the mother's old pole. While anchored damage strengthens selection for asymmetry by creating additional fitness variance, it has the opposite effect on symmetry. The difference results because anchored damage reinforces the polarization of partitioning in asymmetric bacteria. In symmetric bacteria, it dilutes the polarization. Thus, stochasticity alone may have protected early bacteria from damage, but deterministic asymmetry has evolved to be equally important in extant bacteria. We estimate that 47% of damage partitioning is deterministic in E. coli. We suggest that the evolution of deterministic asymmetry from stochasticity offers an example of Waddington's genetic assimilation

  18. Asymmetrical Damage Partitioning in Bacteria: A Model for the Evolution of Stochasticity, Determinism, and Genetic Assimilation.

    Directory of Open Access Journals (Sweden)

    Lin Chao

    2016-01-01

    Full Text Available Non-genetic phenotypic variation is common in biological organisms. The variation is potentially beneficial if the environment is changing. If the benefit is large, selection can favor the evolution of genetic assimilation, the process by which the expression of a trait is transferred from environmental to genetic control. Genetic assimilation is an important evolutionary transition, but it is poorly understood because the fitness costs and benefits of variation are often unknown. Here we show that the partitioning of damage by a mother bacterium to its two daughters can evolve through genetic assimilation. Bacterial phenotypes are also highly variable. Because gene-regulating elements can have low copy numbers, the variation is attributed to stochastic sampling. Extant Escherichia coli partition asymmetrically and deterministically more damage to the old daughter, the one receiving the mother's old pole. By modeling in silico damage partitioning in a population, we show that deterministic asymmetry is advantageous because it increases fitness variance and hence the efficiency of natural selection. However, we find that symmetrical but stochastic partitioning can be similarly beneficial. To examine why bacteria evolved deterministic asymmetry, we modeled the effect of damage anchored to the mother's old pole. While anchored damage strengthens selection for asymmetry by creating additional fitness variance, it has the opposite effect on symmetry. The difference results because anchored damage reinforces the polarization of partitioning in asymmetric bacteria. In symmetric bacteria, it dilutes the polarization. Thus, stochasticity alone may have protected early bacteria from damage, but deterministic asymmetry has evolved to be equally important in extant bacteria. We estimate that 47% of damage partitioning is deterministic in E. coli. We suggest that the evolution of deterministic asymmetry from stochasticity offers an example of Waddington

  19. Exponentially Stable Stationary Solutions for Stochastic Evolution Equations and Their Perturbation

    International Nuclear Information System (INIS)

    Caraballo, Tomas; Kloeden, Peter E.; Schmalfuss, Bjoern

    2004-01-01

    We consider the exponential stability of stochastic evolution equations with Lipschitz continuous non-linearities when zero is not a solution for these equations. We prove the existence of anon-trivial stationary solution which is exponentially stable, where the stationary solution is generated by the composition of a random variable and the Wiener shift. We also construct stationary solutions with the stronger property of attracting bounded sets uniformly. The existence of these stationary solutions follows from the theory of random dynamical systems and their attractors. In addition, we prove some perturbation results and formulate conditions for the existence of stationary solutions for semilinear stochastic partial differential equations with Lipschitz continuous non-linearities

  20. Recent topographic evolution and erosion of the deglaciated Washington Cascades inferred from a stochastic landscape evolution model

    Science.gov (United States)

    Moon, Seulgi; Shelef, Eitan; Hilley, George E.

    2015-05-01

    In this study, we model postglacial surface processes and examine the evolution of the topography and denudation rates within the deglaciated Washington Cascades to understand the controls on and time scales of landscape response to changes in the surface process regime after deglaciation. The postglacial adjustment of this landscape is modeled using a geomorphic-transport-law-based numerical model that includes processes of river incision, hillslope diffusion, and stochastic landslides. The surface lowering due to landslides is parameterized using a physically based slope stability model coupled to a stochastic model of the generation of landslides. The model parameters of river incision and stochastic landslides are calibrated based on the rates and distribution of thousand-year-time scale denudation rates measured from cosmogenic 10Be isotopes. The probability distributions of those model parameters calculated based on a Bayesian inversion scheme show comparable ranges from previous studies in similar rock types and climatic conditions. The magnitude of landslide denudation rates is determined by failure density (similar to landslide frequency), whereas precipitation and slopes affect the spatial variation in landslide denudation rates. Simulation results show that postglacial denudation rates decay over time and take longer than 100 kyr to reach time-invariant rates. Over time, the landslides in the model consume the steep slopes characteristic of deglaciated landscapes. This response time scale is on the order of or longer than glacial/interglacial cycles, suggesting that frequent climatic perturbations during the Quaternary may produce a significant and prolonged impact on denudation and topography.

  1. Emergence of fractal scale-free networks from stochastic evolution on the Cayley tree

    Energy Technology Data Exchange (ETDEWEB)

    Chełminiak, Przemysław, E-mail: geronimo@amu.edu.pl

    2013-11-29

    An unexpected recognition of fractal topology in some real-world scale-free networks has evoked again an interest in the mechanisms stimulating their evolution. To explain this phenomenon a few models of a deterministic construction as well as a probabilistic growth controlled by a tunable parameter have been proposed so far. A quite different approach based on the fully stochastic evolution of the fractal scale-free networks presented in this Letter counterpoises these former ideas. It is argued that the diffusive evolution of the network on the Cayley tree shapes its fractality, self-similarity and the branching number criticality without any control parameter. The last attribute of the scale-free network is an intrinsic property of the skeleton, a special type of spanning tree which determines its fractality.

  2. Stochastic geometry of critical curves, Schramm-Loewner evolutions and conformal field theory

    International Nuclear Information System (INIS)

    Gruzberg, Ilya A

    2006-01-01

    Conformally invariant curves that appear at critical points in two-dimensional statistical mechanics systems and their fractal geometry have received a lot of attention in recent years. On the one hand, Schramm (2000 Israel J. Math. 118 221 (Preprint math.PR/9904022)) has invented a new rigorous as well as practical calculational approach to critical curves, based on a beautiful unification of conformal maps and stochastic processes, and by now known as Schramm-Loewner evolution (SLE). On the other hand, Duplantier (2000 Phys. Rev. Lett. 84 1363; Fractal Geometry and Applications: A Jubilee of Benot Mandelbrot: Part 2 (Proc. Symp. Pure Math. vol 72) (Providence, RI: American Mathematical Society) p 365 (Preprint math-ph/0303034)) has applied boundary quantum gravity methods to calculate exact multifractal exponents associated with critical curves. In the first part of this paper, I provide a pedagogical introduction to SLE. I present mathematical facts from the theory of conformal maps and stochastic processes related to SLE. Then I review basic properties of SLE and provide practical derivation of various interesting quantities related to critical curves, including fractal dimensions and crossing probabilities. The second part of the paper is devoted to a way of describing critical curves using boundary conformal field theory (CFT) in the so-called Coulomb gas formalism. This description provides an alternative (to quantum gravity) way of obtaining the multifractal spectrum of critical curves using only traditional methods of CFT based on free bosonic fields

  3. Stochastic Averaging Principle for Spatial Birth-and-Death Evolutions in the Continuum

    Science.gov (United States)

    Friesen, Martin; Kondratiev, Yuri

    2018-06-01

    We study a spatial birth-and-death process on the phase space of locally finite configurations Γ^+ × Γ^- over R}^d. Dynamics is described by an non-equilibrium evolution of states obtained from the Fokker-Planck equation and associated with the Markov operator L^+(γ ^-) + 1/ɛ L^-, ɛ > 0. Here L^- describes the environment process on Γ^- and L^+(γ ^-) describes the system process on Γ^+, where γ ^- indicates that the corresponding birth-and-death rates depend on another locally finite configuration γ ^- \\in Γ^-. We prove that, for a certain class of birth-and-death rates, the corresponding Fokker-Planck equation is well-posed, i.e. there exists a unique evolution of states μ _t^{ɛ } on Γ^+ × Γ^-. Moreover, we give a sufficient condition such that the environment is ergodic with exponential rate. Let μ _{inv} be the invariant measure for the environment process on Γ^-. In the main part of this work we establish the stochastic averaging principle, i.e. we prove that the marginal of μ _t^{ɛ } onto Γ^+ converges weakly to an evolution of states on {Γ}^+ associated with the averaged Markov birth-and-death operator {\\overline{L}} = \\int _{Γ}^- L^+(γ ^-)d μ _{inv}(γ ^-).

  4. Stochastic Averaging Principle for Spatial Birth-and-Death Evolutions in the Continuum

    Science.gov (United States)

    Friesen, Martin; Kondratiev, Yuri

    2018-04-01

    We study a spatial birth-and-death process on the phase space of locally finite configurations Γ^+ × Γ^- over R^d . Dynamics is described by an non-equilibrium evolution of states obtained from the Fokker-Planck equation and associated with the Markov operator L^+(γ ^-) + 1/ɛ L^- , ɛ > 0 . Here L^- describes the environment process on Γ^- and L^+(γ ^-) describes the system process on Γ^+ , where γ ^- indicates that the corresponding birth-and-death rates depend on another locally finite configuration γ ^- \\in Γ^- . We prove that, for a certain class of birth-and-death rates, the corresponding Fokker-Planck equation is well-posed, i.e. there exists a unique evolution of states μ _t^{ɛ } on Γ^+ × Γ^- . Moreover, we give a sufficient condition such that the environment is ergodic with exponential rate. Let μ _{inv} be the invariant measure for the environment process on Γ^- . In the main part of this work we establish the stochastic averaging principle, i.e. we prove that the marginal of μ _t^{ɛ } onto Γ^+ converges weakly to an evolution of states on Γ^+ associated with the averaged Markov birth-and-death operator \\overline{L} = \\int _{Γ}^-}L^+(γ ^-)d μ _{inv}(γ ^-).

  5. Size Evolution and Stochastic Models: Explaining Ostracod Size through Probabilistic Distributions

    Science.gov (United States)

    Krawczyk, M.; Decker, S.; Heim, N. A.; Payne, J.

    2014-12-01

    The biovolume of animals has functioned as an important benchmark for measuring evolution throughout geologic time. In our project, we examined the observed average body size of ostracods over time in order to understand the mechanism of size evolution in these marine organisms. The body size of ostracods has varied since the beginning of the Ordovician, where the first true ostracods appeared. We created a stochastic branching model to create possible evolutionary trees of ostracod size. Using stratigraphic ranges for ostracods compiled from over 750 genera in the Treatise on Invertebrate Paleontology, we calculated overall speciation and extinction rates for our model. At each timestep in our model, new lineages can evolve or existing lineages can become extinct. Newly evolved lineages are assigned sizes based on their parent genera. We parameterized our model to generate neutral and directional changes in ostracod size to compare with the observed data. New sizes were chosen via a normal distribution, and the neutral model selected new sizes differentials centered on zero, allowing for an equal chance of larger or smaller ostracods at each speciation. Conversely, the directional model centered the distribution on a negative value, giving a larger chance of smaller ostracods. Our data strongly suggests that the overall direction of ostracod evolution has been following a model that directionally pushes mean ostracod size down, shying away from a neutral model. Our model was able to match the magnitude of size decrease. Our models had a constant linear decrease while the actual data had a much more rapid initial rate followed by a constant size. The nuance of the observed trends ultimately suggests a more complex method of size evolution. In conclusion, probabilistic methods can provide valuable insight into possible evolutionary mechanisms determining size evolution in ostracods.

  6. Conformal invariance an introduction to loops, interfaces and stochastic Loewner evolution

    CERN Document Server

    Karevski, Dragi

    2012-01-01

    Conformal invariance has been a spectacularly successful tool in advancing our understanding of the two-dimensional phase transitions found in classical systems at equilibrium. This volume sharpens our picture of the applications of conformal invariance, introducing non-local observables such as loops and interfaces before explaining how they arise in specific physical contexts. It then shows how to use conformal invariance to determine their properties. Moving on to cover key conceptual developments in conformal invariance, the book devotes much of its space to stochastic Loewner evolution (SLE), detailing SLE’s conceptual foundations as well as extensive numerical tests. The chapters then elucidate SLE’s use in geometric phase transitions such as percolation or polymer systems, paying particular attention to surface effects. As clear and accessible as it is authoritative, this publication is as suitable for non-specialist readers and graduate students alike.

  7. Effects of extrinsic mortality on the evolution of aging: a stochastic modeling approach.

    Directory of Open Access Journals (Sweden)

    Maxim Nikolaievich Shokhirev

    Full Text Available The evolutionary theories of aging are useful for gaining insights into the complex mechanisms underlying senescence. Classical theories argue that high levels of extrinsic mortality should select for the evolution of shorter lifespans and earlier peak fertility. Non-classical theories, in contrast, posit that an increase in extrinsic mortality could select for the evolution of longer lifespans. Although numerous studies support the classical paradigm, recent data challenge classical predictions, finding that high extrinsic mortality can select for the evolution of longer lifespans. To further elucidate the role of extrinsic mortality in the evolution of aging, we implemented a stochastic, agent-based, computational model. We used a simulated annealing optimization approach to predict which model parameters predispose populations to evolve longer or shorter lifespans in response to increased levels of predation. We report that longer lifespans evolved in the presence of rising predation if the cost of mating is relatively high and if energy is available in excess. Conversely, we found that dramatically shorter lifespans evolved when mating costs were relatively low and food was relatively scarce. We also analyzed the effects of increased predation on various parameters related to density dependence and energy allocation. Longer and shorter lifespans were accompanied by increased and decreased investments of energy into somatic maintenance, respectively. Similarly, earlier and later maturation ages were accompanied by increased and decreased energetic investments into early fecundity, respectively. Higher predation significantly decreased the total population size, enlarged the shared resource pool, and redistributed energy reserves for mature individuals. These results both corroborate and refine classical predictions, demonstrating a population-level trade-off between longevity and fecundity and identifying conditions that produce both

  8. Critical dynamics in the evolution of stochastic strategies for the iterated prisoner's dilemma.

    Directory of Open Access Journals (Sweden)

    Dimitris Iliopoulos

    2010-10-01

    Full Text Available The observed cooperation on the level of genes, cells, tissues, and individuals has been the object of intense study by evolutionary biologists, mainly because cooperation often flourishes in biological systems in apparent contradiction to the selfish goal of survival inherent in Darwinian evolution. In order to resolve this paradox, evolutionary game theory has focused on the Prisoner's Dilemma (PD, which incorporates the essence of this conflict. Here, we encode strategies for the iterated Prisoner's Dilemma (IPD in terms of conditional probabilities that represent the response of decision pathways given previous plays. We find that if these stochastic strategies are encoded as genes that undergo Darwinian evolution, the environmental conditions that the strategies are adapting to determine the fixed point of the evolutionary trajectory, which could be either cooperation or defection. A transition between cooperative and defective attractors occurs as a function of different parameters such as mutation rate, replacement rate, and memory, all of which affect a player's ability to predict an opponent's behavior. These results imply that in populations of players that can use previous decisions to plan future ones, cooperation depends critically on whether the players can rely on facing the same strategies that they have adapted to. Defection, on the other hand, is the optimal adaptive response in environments that change so quickly that the information gathered from previous plays cannot usefully be integrated for a response.

  9. Stochastic Evolution Dynamic of the Rock-Scissors-Paper Game Based on a Quasi Birth and Death Process.

    Science.gov (United States)

    Yu, Qian; Fang, Debin; Zhang, Xiaoling; Jin, Chen; Ren, Qiyu

    2016-06-27

    Stochasticity plays an important role in the evolutionary dynamic of cyclic dominance within a finite population. To investigate the stochastic evolution process of the behaviour of bounded rational individuals, we model the Rock-Scissors-Paper (RSP) game as a finite, state dependent Quasi Birth and Death (QBD) process. We assume that bounded rational players can adjust their strategies by imitating the successful strategy according to the payoffs of the last round of the game, and then analyse the limiting distribution of the QBD process for the game stochastic evolutionary dynamic. The numerical experiments results are exhibited as pseudo colour ternary heat maps. Comparisons of these diagrams shows that the convergence property of long run equilibrium of the RSP game in populations depends on population size and the parameter of the payoff matrix and noise factor. The long run equilibrium is asymptotically stable, neutrally stable and unstable respectively according to the normalised parameters in the payoff matrix. Moreover, the results show that the distribution probability becomes more concentrated with a larger population size. This indicates that increasing the population size also increases the convergence speed of the stochastic evolution process while simultaneously reducing the influence of the noise factor.

  10. Stochastic dynamics of complex systems: from glasses to evolution (series on complexity science)

    CERN Document Server

    Sibani, Paolo

    2013-01-01

    Dynamical evolution over long time scales is a prominent feature of all the systems we intuitively think of as complex - for example, ecosystems, the brain or the economy. In physics, the term ageing is used for this type of slow change, occurring over time scales much longer than the patience, or indeed the lifetime, of the observer. The main focus of this book is on the stochastic processes which cause ageing, and the surprising fact that the ageing dynamics of systems which are very different at the microscopic level can be treated in similar ways. The first part of this book provides the necessary mathematical and computational tools and the second part describes the intuition needed to deal with these systems. Some of the first few chapters have been covered in several other books, but the emphasis and selection of the topics reflect both the authors' interests and the overall theme of the book. The second part contains an introduction to the scientific literature and deals in some detail with the desc...

  11. Intermittent targeted therapies and stochastic evolution in patients affected by chronic myeloid leukemia

    Science.gov (United States)

    Pizzolato, N.; Persano Adorno, D.; Valenti, D.; Spagnolo, B.

    2016-05-01

    Front line therapy for the treatment of patients affected by chronic myeloid leukemia (CML) is based on the administration of tyrosine kinase inhibitors, namely imatinib or, more recently, axitinib. Although imatinib is highly effective and represents an example of a successful molecular targeted therapy, the appearance of resistance is observed in a proportion of patients, especially those in advanced stages. In this work, we investigate the appearance of resistance in patients affected by CML, by modeling the evolutionary dynamics of cancerous cell populations in a simulated patient treated by an intermittent targeted therapy. We simulate, with the Monte Carlo method, the stochastic evolution of initially healthy cells to leukemic clones, due to genetic mutations and changes in their reproductive behavior. We first present the model and its validation with experimental data by considering a continuous therapy. Then, we investigate how fluctuations in the number of leukemic cells affect patient response to the therapy when the drug is administered with an intermittent time scheduling. Here we show that an intermittent therapy (IT) represents a valid choice in patients with high risk of toxicity, despite an associated delay to the complete restoration of healthy cells. Moreover, a suitably tuned IT can reduce the probability of developing resistance.

  12. Stochastic simulations for the time evolution of systems which obey generalized statistics: fractional exclusion statistics and Gentile's statistics

    International Nuclear Information System (INIS)

    Nemnes, G A; Anghel, D V

    2010-01-01

    We present a stochastic method for the simulation of the time evolution in systems which obey generalized statistics, namely fractional exclusion statistics and Gentile's statistics. The transition rates are derived in the framework of canonical ensembles. This approach introduces a tool for describing interacting fermionic and bosonic systems in non-equilibrium as ideal FES systems, in a computationally efficient manner. The two types of statistics are analyzed comparatively, indicating their intrinsic thermodynamic differences and revealing key aspects related to the species size

  13. Random function representation of stationary stochastic vector processes for probability density evolution analysis of wind-induced structures

    Science.gov (United States)

    Liu, Zhangjun; Liu, Zenghui

    2018-06-01

    This paper develops a hybrid approach of spectral representation and random function for simulating stationary stochastic vector processes. In the proposed approach, the high-dimensional random variables, included in the original spectral representation (OSR) formula, could be effectively reduced to only two elementary random variables by introducing the random functions that serve as random constraints. Based on this, a satisfactory simulation accuracy can be guaranteed by selecting a small representative point set of the elementary random variables. The probability information of the stochastic excitations can be fully emerged through just several hundred of sample functions generated by the proposed approach. Therefore, combined with the probability density evolution method (PDEM), it could be able to implement dynamic response analysis and reliability assessment of engineering structures. For illustrative purposes, a stochastic turbulence wind velocity field acting on a frame-shear-wall structure is simulated by constructing three types of random functions to demonstrate the accuracy and efficiency of the proposed approach. Careful and in-depth studies concerning the probability density evolution analysis of the wind-induced structure have been conducted so as to better illustrate the application prospects of the proposed approach. Numerical examples also show that the proposed approach possesses a good robustness.

  14. Adaptive grid based multi-objective Cauchy differential evolution for stochastic dynamic economic emission dispatch with wind power uncertainty.

    Science.gov (United States)

    Zhang, Huifeng; Lei, Xiaohui; Wang, Chao; Yue, Dong; Xie, Xiangpeng

    2017-01-01

    Since wind power is integrated into the thermal power operation system, dynamic economic emission dispatch (DEED) has become a new challenge due to its uncertain characteristics. This paper proposes an adaptive grid based multi-objective Cauchy differential evolution (AGB-MOCDE) for solving stochastic DEED with wind power uncertainty. To properly deal with wind power uncertainty, some scenarios are generated to simulate those possible situations by dividing the uncertainty domain into different intervals, the probability of each interval can be calculated using the cumulative distribution function, and a stochastic DEED model can be formulated under different scenarios. For enhancing the optimization efficiency, Cauchy mutation operation is utilized to improve differential evolution by adjusting the population diversity during the population evolution process, and an adaptive grid is constructed for retaining diversity distribution of Pareto front. With consideration of large number of generated scenarios, the reduction mechanism is carried out to decrease the scenarios number with covariance relationships, which can greatly decrease the computational complexity. Moreover, the constraint-handling technique is also utilized to deal with the system load balance while considering transmission loss among thermal units and wind farms, all the constraint limits can be satisfied under the permitted accuracy. After the proposed method is simulated on three test systems, the obtained results reveal that in comparison with other alternatives, the proposed AGB-MOCDE can optimize the DEED problem while handling all constraint limits, and the optimal scheme of stochastic DEED can decrease the conservation of interval optimization, which can provide a more valuable optimal scheme for real-world applications.

  15. Probability density function evolution of power systems subject to stochastic variation of renewable energy

    Science.gov (United States)

    Wei, J. Q.; Cong, Y. C.; Xiao, M. Q.

    2018-05-01

    As renewable energies are increasingly integrated into power systems, there is increasing interest in stochastic analysis of power systems.Better techniques should be developed to account for the uncertainty caused by penetration of renewables and consequently analyse its impacts on stochastic stability of power systems. In this paper, the Stochastic Differential Equations (SDEs) are used to represent the evolutionary behaviour of the power systems. The stationary Probability Density Function (PDF) solution to SDEs modelling power systems excited by Gaussian white noise is analysed. Subjected to such random excitation, the Joint Probability Density Function (JPDF) solution to the phase angle and angular velocity is governed by the generalized Fokker-Planck-Kolmogorov (FPK) equation. To solve this equation, the numerical method is adopted. Special measure is taken such that the generalized FPK equation is satisfied in the average sense of integration with the assumed PDF. Both weak and strong intensities of the stochastic excitations are considered in a single machine infinite bus power system. The numerical analysis has the same result as the one given by the Monte Carlo simulation. Potential studies on stochastic behaviour of multi-machine power systems with random excitations are discussed at the end.

  16. Stochastic many-body problems in ecology, evolution, neuroscience, and systems biology

    Science.gov (United States)

    Butler, Thomas C.

    Using the tools of many-body theory, I analyze problems in four different areas of biology dominated by strong fluctuations: The evolutionary history of the genetic code, spatiotemporal pattern formation in ecology, spatiotemporal pattern formation in neuroscience and the robustness of a model circadian rhythm circuit in systems biology. In the first two research chapters, I demonstrate that the genetic code is extremely optimal (in the sense that it manages the effects of point mutations or mistranslations efficiently), more than an order of magnitude beyond what was previously thought. I further show that the structure of the genetic code implies that early proteins were probably only loosely defined. Both the nature of early proteins and the extreme optimality of the genetic code are interpreted in light of recent theory [1] as evidence that the evolution of the genetic code was driven by evolutionary dynamics that were dominated by horizontal gene transfer. I then explore the optimality of a proposed precursor to the genetic code. The results show that the precursor code has only limited optimality, which is interpreted as evidence that the precursor emerged prior to translation, or else never existed. In the next part of the dissertation, I introduce a many-body formalism for reaction-diffusion systems described at the mesoscopic scale with master equations. I first apply this formalism to spatially-extended predator-prey ecosystems, resulting in the prediction that many-body correlations and fluctuations drive population cycles in time, called quasicycles. Most of these results were previously known, but were derived using the system size expansion [2, 3]. I next apply the analytical techniques developed in the study of quasi-cycles to a simple model of Turing patterns in a predator-prey ecosystem. This analysis shows that fluctuations drive the formation of a new kind of spatiotemporal pattern formation that I name "quasi-patterns." These quasi

  17. Stochastic 2-D galaxy disk evolution models. Resolved stellar populations in the galaxy M33

    Science.gov (United States)

    Mineikis, T.; Vansevičius, V.

    We improved the stochastic 2-D galaxy disk models (Mineikis & Vansevičius 2014a) by introducing enriched gas outflows from galaxies and synthetic color-magnitude diagrams of stellar populations. To test the models, we use the HST/ACS stellar photometry data in four fields located along the major axis of the galaxy M33 (Williams et al. 2009) and demonstrate the potential of the models to derive 2-D star formation histories in the resolved disk galaxies.

  18. Numerical simulation of effective mechanical properties of stochastic composites with consideration for structural evolution under intensive dynamic loading

    Energy Technology Data Exchange (ETDEWEB)

    Karakulov, Valerii V., E-mail: valery@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050 (Russian Federation); Smolin, Igor Yu., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru; Skripnyak, Vladimir A., E-mail: smolin@ispms.ru, E-mail: skrp@ftf.tsu.ru [National Research Tomsk State University, Tomsk, 634050, Russia and Institute of Strength Physics and Materials Science SB RAS, Tomsk, 634055 (Russian Federation)

    2014-11-14

    Mechanical behavior of stochastic metal-ceramic composites with the aluminum matrix under high-rate deformation at shock-wave loading is numerically simulated with consideration for structural evolution. Effective values of mechanical parameters of metal-ceramic composites AlB{sub 4}C, AlSiC, and AlAl{sub 2}O{sub 3} are evaluated depending on different concentration of ceramic inclusions.

  19. From stochastic phase space evolution to Brownian motion in collective space

    International Nuclear Information System (INIS)

    Benhassine, B.; Farine, M.; Hernandez, E.S.; Idier, D.; Remaud, B.; Sebille, F.

    1993-01-01

    Within the framework of stochastic transport equations in phase space, the dynamics of fluctuations on collective variables in homogeneous fermion systems is studied. The transport coefficients are formally deduced in the relaxation time approximation and a general method to compute dynamically the dispersions of collective observables is proposed as a set of coupled equations. Independently, the general covariance matrix of phase space fluctuations and the dispersion on collective variables at equilibrium are derived. Detailed numerical applications show that dynamics of fluctuations can be extracted from noisy numerical simulations and that the leading parameter for collective fluctuations is the excitation energy whatever is its degree of thermalization. (authors). 16 refs., 12 figs

  20. Stochastic representation of a class of non-Markovian completely positive evolutions

    International Nuclear Information System (INIS)

    Budini, Adrian A.

    2004-01-01

    By modeling the interaction of an open quantum system with its environment through a natural generalization of the classical concept of continuous time random walk, we derive and characterize a class of non-Markovian master equations whose solution is a completely positive map. The structure of these master equations is associated with a random renewal process where each event consist in the application of a superoperator over a density matrix. Strong nonexponential decay arise by choosing different statistics of the renewal process. As examples we analyze the stochastic and averaged dynamics of simple systems that admit an analytical solution. The problem of positivity in quantum master equations induced by memory effects [S. M. Barnett and S. Stenholm, Phys. Rev. A 64, 033808 (2001)] is clarified in this context

  1. From stochastic phase-space evolution to brownian motion in collective space

    Energy Technology Data Exchange (ETDEWEB)

    Benhassine, B. (Lab. de Physique Nucleaire/ CNRS et Univ. de Nantes, 44 Nantes (France)); Farine, M. (Lab. de Physique Nucleaire/ CNRS et Univ. de Nantes, 44 Nantes (France) Ecole Navale, Lamveoc-Loulmic, 29 Brest-Naval (France)); Hernandez, E.S. (Dept. de Fisica - Facultad de Ciencias Exactas y Naturales, Univ. de Buenos Aires (Argentina)); Idier, D. (Lab. de Physique Nucleaire/ CNRS et Univ. de Nantes, 44 Nantes (France)); Remaud, B. (Lab. de Physique Nucleaire/ CNRS et Univ. de Nantes, 44 Nantes (France)); Sebille, F. (Lab. de Physique Nucleaire/ CNRS et Univ. de Nantes, 44 Nantes (France))

    1994-01-24

    Within the framework of stochastic transport equations in phase space, we study the dynamics of fluctuations on collective variables in homogeneous fermion systems. The transport coefficients are formally deduced in the relaxation-time approximation and a general method to compute dynamically the dispersions of collective observables is proposed as a set of coupled equations: respectively, the BUU/Landau-Vlasov equation for the average phase-space trajectories and the equations for the averages and dispersions of the observables. Independently, we derive the general covariance matrix of phase-space fluctuations and then by projection, the dispersion on collective variables at equilibrium. Detailed numerical applications of the formalism are given; they show that the dynamics of fluctuations can be extracted from noisy numerical simulations and that the leading parameter for collective fluctuations is the excitation energy, whatever is its degree of thermalization. (orig.)

  2. From stochastic phase-space evolution to brownian motion in collective space

    International Nuclear Information System (INIS)

    Benhassine, B.; Farine, M.; Hernandez, E.S.; Idier, D.; Remaud, B.; Sebille, F.

    1994-01-01

    Within the framework of stochastic transport equations in phase space, we study the dynamics of fluctuations on collective variables in homogeneous fermion systems. The transport coefficients are formally deduced in the relaxation-time approximation and a general method to compute dynamically the dispersions of collective observables is proposed as a set of coupled equations: respectively, the BUU/Landau-Vlasov equation for the average phase-space trajectories and the equations for the averages and dispersions of the observables. Independently, we derive the general covariance matrix of phase-space fluctuations and then by projection, the dispersion on collective variables at equilibrium. Detailed numerical applications of the formalism are given; they show that the dynamics of fluctuations can be extracted from noisy numerical simulations and that the leading parameter for collective fluctuations is the excitation energy, whatever is its degree of thermalization. (orig.)

  3. Stochastic Coastal/Regional Uncertainty Modelling: a Copernicus marine research project in the framework of Service Evolution

    Science.gov (United States)

    Vervatis, Vassilios; De Mey, Pierre; Ayoub, Nadia; Kailas, Marios; Sofianos, Sarantis

    2017-04-01

    The project entitled Stochastic Coastal/Regional Uncertainty Modelling (SCRUM) aims at strengthening CMEMS in the areas of ocean uncertainty quantification, ensemble consistency verification and ensemble data assimilation. The project has been initiated by the University of Athens and LEGOS/CNRS research teams, in the framework of CMEMS Service Evolution. The work is based on stochastic modelling of ocean physics and biogeochemistry in the Bay of Biscay, on an identical sub-grid configuration of the IBI-MFC system in its latest CMEMS operational version V2. In a first step, we use a perturbed tendencies scheme to generate ensembles describing uncertainties in open ocean and on the shelf, focusing on upper ocean processes. In a second step, we introduce two methodologies (i.e. rank histograms and array modes) aimed at checking the consistency of the above ensembles with respect to TAC data and arrays. Preliminary results highlight that wind uncertainties dominate all other atmosphere-ocean sources of model errors. The ensemble spread in medium-range ensembles is approximately 0.01 m for SSH and 0.15 °C for SST, though these values vary depending on season and cross shelf regions. Ecosystem model uncertainties emerging from perturbations in physics appear to be moderately larger than those perturbing the concentration of the biogeochemical compartments, resulting in total chlorophyll spread at about 0.01 mg.m-3. First consistency results show that the model ensemble and the pseudo-ensemble of OSTIA (L4) observation SSTs appear to exhibit nonzero joint probabilities with each other since error vicinities overlap. Rank histograms show that the model ensemble is initially under-dispersive, though results improve in the context of seasonal-range ensembles.

  4. The evolution of wealth transmission in human populations: a stochastic model

    International Nuclear Information System (INIS)

    Augustins, G; Etienne, L; Ferrer, R; Godelle, B; Rousset, F; Ferdy, J-B; Pitard, E

    2014-01-01

    Reproductive success and survival are influenced by wealth in human populations. Wealth is transmitted to offsprings and strategies of transmission vary over time and among populations, the main variation being how equally wealth is transmitted to children. Here we propose a model where we simulate both the dynamics of wealth in a population and the evolution of a trait that determines how wealth is transmitted from parents to offspring, in a darwinian context

  5. Possible description of domain walls in two-dimensional spin glasses by stochastic Loewner evolutions

    International Nuclear Information System (INIS)

    Bernard, Denis; Le Doussal, Pierre; Middleton, A. Alan

    2007-01-01

    Domain walls for spin glasses are believed to be scale invariant; a stronger symmetry, conformal invariance, has the potential to hold. The statistics of zero-temperature Ising spin glass domain walls in two dimensions are used to test the hypothesis that these domain walls are described by a Schramm-Loewner evolution SLE κ . Multiple tests are consistent with SLE κ , where κ=2.32±0.08. Both conformal invariance and the domain Markov property are tested. The latter does not hold in small systems, but detailed numerical evidence suggests that it holds in the continuum limit

  6. Evolution of Subaerial Coastal Fluvial Delta Island Topography into Multiple Stable States Under Influence of Vegetation and Stochastic Hydrology

    Science.gov (United States)

    Moffett, K. B.; Smith, B. C.; O'Connor, M.; Mohrig, D. C.

    2014-12-01

    Coastal fluvial delta morphodynamics are prominently controlled by external fluvial sediment and water supplies; however, internal sediment-water-vegetation feedbacks are now being proposed as potentially equally significant in organizing and maintaining the progradation and aggradation of such systems. The time scales of fluvial and climate influences on these feedbacks, and of their responses, are also open questions. Historical remote sensing study of the Wax Lake Delta model system (Louisiana, USA) revealed trends in the evolution of the subaerial island surfaces from a non-systematic arrangement of elevations to a discrete set of levees and intra-island platforms with distinct vegetation types, designated as high marsh, low marsh, and mudflat habitat. We propose that this elevation zonation is consistent with multiple stable state theory, e.g. as applied to tidal salt marsh systems but not previously to deltas. According to zonally-distributed sediment core analyses, differentiation of island elevations was not due to organic matter accumulation as in salt marshes, but rather by differential mineral sediment accumulation with some organic contributions. Mineral sediment accumulation rates suggested that elevation growth was accelerating or holding steady over time, at least to date in this young delta, in contrast to theory suggesting rates should slow as elevation increases above mean water level. Hydrological analysis of island flooding suggested a prominent role of stochastic local storm events in raising island water levels and supplying mineral sediment to the subaerial island surfaces at short time scales; over longer time scales, the relative influences of local storms and inland/regional floods on the coupled sediment-water-vegetation system of the subaerial delta island surfaces remain the subject of ongoing study. These results help provide an empirical foundation for the next generation of coupled sediment-water-vegetation modeling and theory.

  7. Interpretation of scrape-off layer profile evolution and first-wall ion flux statistics on JET using a stochastic framework based on fillamentary motion

    Science.gov (United States)

    Walkden, N. R.; Wynn, A.; Militello, F.; Lipschultz, B.; Matthews, G.; Guillemaut, C.; Harrison, J.; Moulton, D.; Contributors, JET

    2017-08-01

    This paper presents the use of a novel modelling technique based around intermittent transport due to filament motion, to interpret experimental profile and fluctuation data in the scrape-off layer (SOL) of JET during the onset and evolution of a density profile shoulder. A baseline case is established, prior to shoulder formation, and the stochastic model is shown to be capable of simultaneously matching the time averaged profile measurement as well as the PDF shape and autocorrelation function from the ion-saturation current time series at the outer wall. Aspects of the stochastic model are then varied with the aim of producing a profile shoulder with statistical measurements consistent with experiment. This is achieved through a strong localised reduction in the density sink acting on the filaments within the model. The required reduction of the density sink occurs over a highly localised region with the timescale of the density sink increased by a factor of 25. This alone is found to be insufficient to model the expansion and flattening of the shoulder region as the density increases, which requires additional changes within the stochastic model. An example is found which includes both a reduction in the density sink and filament acceleration and provides a consistent match to the experimental data as the shoulder expands, though the uniqueness of this solution can not be guaranteed. Within the context of the stochastic model, this implies that the localised reduction in the density sink can trigger shoulder formation, but additional physics is required to explain the subsequent evolution of the profile.

  8. Green's function-stochastic methods framework for probing nonlinear evolution problems: Burger's equation, the nonlinear Schroedinger's equation, and hydrodynamic organization of near-molecular-scale vorticity

    International Nuclear Information System (INIS)

    Keanini, R.G.

    2011-01-01

    Research highlights: → Systematic approach for physically probing nonlinear and random evolution problems. → Evolution of vortex sheets corresponds to evolution of an Ornstein-Uhlenbeck process. → Organization of near-molecular scale vorticity mediated by hydrodynamic modes. → Framework allows calculation of vorticity evolution within random strain fields. - Abstract: A framework which combines Green's function (GF) methods and techniques from the theory of stochastic processes is proposed for tackling nonlinear evolution problems. The framework, established by a series of easy-to-derive equivalences between Green's function and stochastic representative solutions of linear drift-diffusion problems, provides a flexible structure within which nonlinear evolution problems can be analyzed and physically probed. As a preliminary test bed, two canonical, nonlinear evolution problems - Burgers' equation and the nonlinear Schroedinger's equation - are first treated. In the first case, the framework provides a rigorous, probabilistic derivation of the well known Cole-Hopf ansatz. Likewise, in the second, the machinery allows systematic recovery of a known soliton solution. The framework is then applied to a fairly extensive exploration of physical features underlying evolution of randomly stretched and advected Burger's vortex sheets. Here, the governing vorticity equation corresponds to the Fokker-Planck equation of an Ornstein-Uhlenbeck process, a correspondence that motivates an investigation of sub-sheet vorticity evolution and organization. Under the assumption that weak hydrodynamic fluctuations organize disordered, near-molecular-scale, sub-sheet vorticity, it is shown that these modes consist of two weakly damped counter-propagating cross-sheet acoustic modes, a diffusive cross-sheet shear mode, and a diffusive cross-sheet entropy mode. Once a consistent picture of in-sheet vorticity evolution is established, a number of analytical results, describing the

  9. Stochastic Jeux

    Directory of Open Access Journals (Sweden)

    Romanu Ekaterini

    2006-01-01

    Full Text Available This article shows the similarities between Claude Debussy’s and Iannis Xenakis’ philosophy of music and work, in particular the formers Jeux and the latter’s Metastasis and the stochastic works succeeding it, which seem to proceed parallel (with no personal contact to what is perceived as the evolution of 20th century Western music. Those two composers observed the dominant (German tradition as outsiders, and negated some of its elements considered as constant or natural by "traditional" innovators (i.e. serialists: the linearity of musical texture, its form and rhythm.

  10. Stochastic volatility and stochastic leverage

    DEFF Research Database (Denmark)

    Veraart, Almut; Veraart, Luitgard A. M.

    This paper proposes the new concept of stochastic leverage in stochastic volatility models. Stochastic leverage refers to a stochastic process which replaces the classical constant correlation parameter between the asset return and the stochastic volatility process. We provide a systematic...... treatment of stochastic leverage and propose to model the stochastic leverage effect explicitly, e.g. by means of a linear transformation of a Jacobi process. Such models are both analytically tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility...... models which allow for a stochastic leverage effect: the generalised Heston model and the generalised Barndorff-Nielsen & Shephard model. We investigate the impact of a stochastic leverage effect in the risk neutral world by focusing on implied volatilities generated by option prices derived from our new...

  11. Stochastic Nonlinear Evolutional Model of the Large-Scaled Neuronal Population and Dynamic Neural Coding Subject to Stimulation

    International Nuclear Information System (INIS)

    Wang Rubin; Yu Wei

    2005-01-01

    In this paper, we investigate how the population of neuronal oscillators deals with information and the dynamic evolution of neural coding when the external stimulation acts on it. Numerically computing method is used to describe the evolution process of neural coding in three-dimensioned space. The numerical result proves that only the suitable stimulation can change the coupling structure and plasticity of neurons

  12. New evolution equations for the joint response-excitation probability density function of stochastic solutions to first-order nonlinear PDEs

    Science.gov (United States)

    Venturi, D.; Karniadakis, G. E.

    2012-08-01

    By using functional integral methods we determine new evolution equations satisfied by the joint response-excitation probability density function (PDF) associated with the stochastic solution to first-order nonlinear partial differential equations (PDEs). The theory is presented for both fully nonlinear and for quasilinear scalar PDEs subject to random boundary conditions, random initial conditions or random forcing terms. Particular applications are discussed for the classical linear and nonlinear advection equations and for the advection-reaction equation. By using a Fourier-Galerkin spectral method we obtain numerical solutions of the proposed response-excitation PDF equations. These numerical solutions are compared against those obtained by using more conventional statistical approaches such as probabilistic collocation and multi-element probabilistic collocation methods. It is found that the response-excitation approach yields accurate predictions of the statistical properties of the system. In addition, it allows to directly ascertain the tails of probabilistic distributions, thus facilitating the assessment of rare events and associated risks. The computational cost of the response-excitation method is order magnitudes smaller than the one of more conventional statistical approaches if the PDE is subject to high-dimensional random boundary or initial conditions. The question of high-dimensionality for evolution equations involving multidimensional joint response-excitation PDFs is also addressed.

  13. Stochastic modeling indicates that aging and somatic evolution in the hematopoetic system are driven by non-cell-autonomous processes.

    Science.gov (United States)

    Rozhok, Andrii I; Salstrom, Jennifer L; DeGregori, James

    2014-12-01

    Age-dependent tissue decline and increased cancer incidence are widely accepted to be rate-limited by the accumulation of somatic mutations over time. Current models of carcinogenesis are dominated by the assumption that oncogenic mutations have defined advantageous fitness effects on recipient stem and progenitor cells, promoting and rate-limiting somatic evolution. However, this assumption is markedly discrepant with evolutionary theory, whereby fitness is a dynamic property of a phenotype imposed upon and widely modulated by environment. We computationally modeled dynamic microenvironment-dependent fitness alterations in hematopoietic stem cells (HSC) within the Sprengel-Liebig system known to govern evolution at the population level. Our model for the first time integrates real data on age-dependent dynamics of HSC division rates, pool size, and accumulation of genetic changes and demonstrates that somatic evolution is not rate-limited by the occurrence of mutations, but instead results from aged microenvironment-driven alterations in the selective/fitness value of previously accumulated genetic changes. Our results are also consistent with evolutionary models of aging and thus oppose both somatic mutation-centric paradigms of carcinogenesis and tissue functional decline. In total, we demonstrate that aging directly promotes HSC fitness decline and somatic evolution via non-cell-autonomous mechanisms.

  14. An analysis of the daily precipitation variability in the Himalayan orogen using a statistical parameterisation and its potential in driving landscape evolution models with stochastic climatic forcing

    Science.gov (United States)

    Deal, Eric; Braun, Jean

    2015-04-01

    parameters. We also demonstrate over what spatial and temporal scales this parameterisation applies and is stable. Applying the parameterisation over the Himalayan orogen reveals large-scale strike-perpendicular gradients in precipitation variability in addition to the long observed strike-perpendicular gradient in precipitation magnitude. This observation, combined with the theoretical work mentioned above, suggests that variability is an integral part of the interaction between climate and erosion. References Bras, R. L., & Tucker, G. E. (2000). A stochastic approach to modeling the role of rainfall variability in drainage basin evolution. Water Resources Research, 36(7), 1953-1964. doi:10.1029/2000WR900065 Lague, D. (2005). Discharge, discharge variability, and the bedrock channel profile. Journal of Geophysical Research, 110(F4), F04006. doi:10.1029/2004JF000259

  15. Post-Newtonian evolution of massive black hole triplets in galactic nuclei - III. A robust lower limit to the nHz stochastic background of gravitational waves

    Science.gov (United States)

    Bonetti, Matteo; Sesana, Alberto; Barausse, Enrico; Haardt, Francesco

    2018-04-01

    Inspiraling massive black-hole binaries (MBHBs) forming in the aftermath of galaxy mergers are expected to be the loudest gravitational-wave (GW) sources relevant for pulsar-timing arrays (PTAs) at nHz frequencies. The incoherent overlap of signals from a cosmic population of MBHBs gives rise to a stochastic GW background (GWB) with characteristic strain around hc ˜ 10-15 at a reference frequency of 1 yr-1, although uncertainties around this value are large. Current PTAs are piercing into the GW amplitude range predicted by MBHB-population models, but no detection has been reported so far. To assess the future success prospects of PTA experiments, it is therefore important to estimate the minimum GWB level consistent with our current understanding of the formation and evolution of galaxies and massive black holes (MBHs). To this purpose, we couple a semianalytic model of galaxy evolution and an extensive study of the statistical outcome of triple MBH interactions. We show that even in the most pessimistic scenario where all MBHBs stall before entering the GW-dominated regime, triple interactions resulting from subsequent galaxy mergers inevitably drive a considerable fraction of the MBHB population to coalescence. At frequencies relevant for PTA, the resulting GWB is only a factor of 2-to-3 suppressed compared to a fiducial model where binaries are allowed to merge over Gyr timescales. Coupled with current estimates of the expected GWB amplitude range, our findings suggest that the minimum GWB from cosmic MBHBs is unlikely to be lower than hc ˜ 10-16 (at f = 1 yr-1), well within the expected sensitivity of projected PTAs based on future observations with FAST, MeerKAT and SKA.

  16. Post-Newtonian evolution of massive black hole triplets in galactic nuclei - III. A robust lower limit to the nHz stochastic background of gravitational waves

    Science.gov (United States)

    Bonetti, Matteo; Sesana, Alberto; Barausse, Enrico; Haardt, Francesco

    2018-06-01

    Inspiraling massive black hole binaries (MBHBs) forming in the aftermath of galaxy mergers are expected to be the loudest gravitational-wave (GW) sources relevant for pulsar-timing arrays (PTAs) at nHz frequencies. The incoherent overlap of signals from a cosmic population of MBHBs gives rise to a stochastic GW background (GWB) with characteristic strain around hc ˜ 10-15 at a reference frequency of 1 yr-1, although uncertainties around this value are large. Current PTAs are piercing into the GW amplitude range predicted by MBHB-population models, but no detection has been reported so far. To assess the future success prospects of PTA experiments, it is therefore important to estimate the minimum GWB level consistent with our current understanding of the formation and evolution of galaxies and massive black holes (MBHs). To this purpose, we couple a semi-analytic model of galaxy evolution and an extensive study of the statistical outcome of triple MBH interactions. We show that even in the most pessimistic scenario where all MBHBs stall before entering the GW-dominated regime, triple interactions resulting from subsequent galaxy mergers inevitably drive a considerable fraction of the MBHB population to coalescence. At frequencies relevant for PTA, the resulting GWB is only a factor of 2-3 suppressed compared to a fiducial model where binaries are allowed to merge over Gyr time-scales . Coupled with current estimates of the expected GWB amplitude range, our findings suggest that the minimum GWB from cosmic MBHBs is unlikely to be lower than hc ˜ 10-16 (at f = 1 yr-1), well within the expected sensitivity of projected PTAs based on future observations with FAST, MeerKAT, and SKA.

  17. A transformation theory of stochastic evolution in Red Moon methodology to time evolution of chemical reaction process in the full atomistic system.

    Science.gov (United States)

    Suzuki, Yuichi; Nagaoka, Masataka

    2017-05-28

    Atomistic information of a whole chemical reaction system, e.g., instantaneous microscopic molecular structures and orientations, offers important and deeper insight into clearly understanding unknown chemical phenomena. In accordance with the progress of a number of simultaneous chemical reactions, the Red Moon method (a hybrid Monte Carlo/molecular dynamics reaction method) is capable of simulating atomistically the chemical reaction process from an initial state to the final one of complex chemical reaction systems. In the present study, we have proposed a transformation theory to interpret the chemical reaction process of the Red Moon methodology as the time evolution process in harmony with the chemical kinetics. For the demonstration of the theory, we have chosen the gas reaction system in which the reversible second-order reaction H 2 + I 2  ⇌ 2HI occurs. First, the chemical reaction process was simulated from the initial configurational arrangement containing a number of H 2 and I 2 molecules, each at 300 K, 500 K, and 700 K. To reproduce the chemical equilibrium for the system, the collision frequencies for the reactions were taken into consideration in the theoretical treatment. As a result, the calculated equilibrium concentrations [H 2 ] eq and equilibrium constants K eq at all the temperatures were in good agreement with their corresponding experimental values. Further, we applied the theoretical treatment for the time transformation to the system and have shown that the calculated half-life τ's of [H 2 ] reproduce very well the analytical ones at all the temperatures. It is, therefore, concluded that the application of the present theoretical treatment with the Red Moon method makes it possible to analyze reasonably the time evolution of complex chemical reaction systems to chemical equilibrium at the atomistic level.

  18. Stochastic processes

    CERN Document Server

    Parzen, Emanuel

    1962-01-01

    Well-written and accessible, this classic introduction to stochastic processes and related mathematics is appropriate for advanced undergraduate students of mathematics with a knowledge of calculus and continuous probability theory. The treatment offers examples of the wide variety of empirical phenomena for which stochastic processes provide mathematical models, and it develops the methods of probability model-building.Chapter 1 presents precise definitions of the notions of a random variable and a stochastic process and introduces the Wiener and Poisson processes. Subsequent chapters examine

  19. Stochastic quantization

    International Nuclear Information System (INIS)

    Klauder, J.R.

    1983-01-01

    The author provides an introductory survey to stochastic quantization in which he outlines this new approach for scalar fields, gauge fields, fermion fields, and condensed matter problems such as electrons in solids and the statistical mechanics of quantum spins. (Auth.)

  20. STOCHASTIC ASSESSMENT OF NIGERIAN STOCHASTIC ...

    African Journals Online (AJOL)

    eobe

    STOCHASTIC ASSESSMENT OF NIGERIAN WOOD FOR BRIDGE DECKS ... abandoned bridges with defects only in their decks in both rural and urban locations can be effectively .... which can be seen as the detection of rare physical.

  1. Quantum stochastics

    CERN Document Server

    Chang, Mou-Hsiung

    2015-01-01

    The classical probability theory initiated by Kolmogorov and its quantum counterpart, pioneered by von Neumann, were created at about the same time in the 1930s, but development of the quantum theory has trailed far behind. Although highly appealing, the quantum theory has a steep learning curve, requiring tools from both probability and analysis and a facility for combining the two viewpoints. This book is a systematic, self-contained account of the core of quantum probability and quantum stochastic processes for graduate students and researchers. The only assumed background is knowledge of the basic theory of Hilbert spaces, bounded linear operators, and classical Markov processes. From there, the book introduces additional tools from analysis, and then builds the quantum probability framework needed to support applications to quantum control and quantum information and communication. These include quantum noise, quantum stochastic calculus, stochastic quantum differential equations, quantum Markov semigrou...

  2. Stochastic ice stream dynamics.

    Science.gov (United States)

    Mantelli, Elisa; Bertagni, Matteo Bernard; Ridolfi, Luca

    2016-08-09

    Ice streams are narrow corridors of fast-flowing ice that constitute the arterial drainage network of ice sheets. Therefore, changes in ice stream flow are key to understanding paleoclimate, sea level changes, and rapid disintegration of ice sheets during deglaciation. The dynamics of ice flow are tightly coupled to the climate system through atmospheric temperature and snow recharge, which are known exhibit stochastic variability. Here we focus on the interplay between stochastic climate forcing and ice stream temporal dynamics. Our work demonstrates that realistic climate fluctuations are able to (i) induce the coexistence of dynamic behaviors that would be incompatible in a purely deterministic system and (ii) drive ice stream flow away from the regime expected in a steady climate. We conclude that environmental noise appears to be crucial to interpreting the past behavior of ice sheets, as well as to predicting their future evolution.

  3. Fractional Stochastic Field Theory

    Science.gov (United States)

    Honkonen, Juha

    2018-02-01

    Models describing evolution of physical, chemical, biological, social and financial processes are often formulated as differential equations with the understanding that they are large-scale equations for averages of quantities describing intrinsically random processes. Explicit account of randomness may lead to significant changes in the asymptotic behaviour (anomalous scaling) in such models especially in low spatial dimensions, which in many cases may be captured with the use of the renormalization group. Anomalous scaling and memory effects may also be introduced with the use of fractional derivatives and fractional noise. Construction of renormalized stochastic field theory with fractional derivatives and fractional noise in the underlying stochastic differential equations and master equations and the interplay between fluctuation-induced and built-in anomalous scaling behaviour is reviewed and discussed.

  4. Dynamics of stochastic systems

    CERN Document Server

    Klyatskin, Valery I

    2005-01-01

    Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. The well known example of Brownian particle suspended in fluid and subjected to random molecular bombardment laid the foundation for modern stochastic calculus and statistical physics. Other important examples include turbulent transport and diffusion of particle-tracers (pollutants), or continuous densities (''''oil slicks''''), wave propagation and scattering in randomly inhomogeneous media, for instance light or sound propagating in the turbulent atmosphere.Such models naturally render to statistical description, where the input parameters and solutions are expressed by random processes and fields.The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of ...

  5. Stochastic cooling

    International Nuclear Information System (INIS)

    Bisognano, J.; Leemann, C.

    1982-03-01

    Stochastic cooling is the damping of betatron oscillations and momentum spread of a particle beam by a feedback system. In its simplest form, a pickup electrode detects the transverse positions or momenta of particles in a storage ring, and the signal produced is amplified and applied downstream to a kicker. The time delay of the cable and electronics is designed to match the transit time of particles along the arc of the storage ring between the pickup and kicker so that an individual particle receives the amplified version of the signal it produced at the pick-up. If there were only a single particle in the ring, it is obvious that betatron oscillations and momentum offset could be damped. However, in addition to its own signal, a particle receives signals from other beam particles. In the limit of an infinite number of particles, no damping could be achieved; we have Liouville's theorem with constant density of the phase space fluid. For a finite, albeit large number of particles, there remains a residue of the single particle damping which is of practical use in accumulating low phase space density beams of particles such as antiprotons. It was the realization of this fact that led to the invention of stochastic cooling by S. van der Meer in 1968. Since its conception, stochastic cooling has been the subject of much theoretical and experimental work. The earliest experiments were performed at the ISR in 1974, with the subsequent ICE studies firmly establishing the stochastic cooling technique. This work directly led to the design and construction of the Antiproton Accumulator at CERN and the beginnings of p anti p colliding beam physics at the SPS. Experiments in stochastic cooling have been performed at Fermilab in collaboration with LBL, and a design is currently under development for a anti p accumulator for the Tevatron

  6. Stochastic thermodynamics

    Science.gov (United States)

    Eichhorn, Ralf; Aurell, Erik

    2014-04-01

    'Stochastic thermodynamics as a conceptual framework combines the stochastic energetics approach introduced a decade ago by Sekimoto [1] with the idea that entropy can consistently be assigned to a single fluctuating trajectory [2]'. This quote, taken from Udo Seifert's [3] 2008 review, nicely summarizes the basic ideas behind stochastic thermodynamics: for small systems, driven by external forces and in contact with a heat bath at a well-defined temperature, stochastic energetics [4] defines the exchanged work and heat along a single fluctuating trajectory and connects them to changes in the internal (system) energy by an energy balance analogous to the first law of thermodynamics. Additionally, providing a consistent definition of trajectory-wise entropy production gives rise to second-law-like relations and forms the basis for a 'stochastic thermodynamics' along individual fluctuating trajectories. In order to construct meaningful concepts of work, heat and entropy production for single trajectories, their definitions are based on the stochastic equations of motion modeling the physical system of interest. Because of this, they are valid even for systems that are prevented from equilibrating with the thermal environment by external driving forces (or other sources of non-equilibrium). In that way, the central notions of equilibrium thermodynamics, such as heat, work and entropy, are consistently extended to the non-equilibrium realm. In the (non-equilibrium) ensemble, the trajectory-wise quantities acquire distributions. General statements derived within stochastic thermodynamics typically refer to properties of these distributions, and are valid in the non-equilibrium regime even beyond the linear response. The extension of statistical mechanics and of exact thermodynamic statements to the non-equilibrium realm has been discussed from the early days of statistical mechanics more than 100 years ago. This debate culminated in the development of linear response

  7. Stochastic cooling for beginners

    International Nuclear Information System (INIS)

    Moehl, D.

    1984-01-01

    These two lectures have been prepared to give a simple introduction to the principles. In Part I we try to explain stochastic cooling using the time-domain picture which starts from the pulse response of the system. In Part II the discussion is repeated, looking more closely at the frequency-domain response. An attempt is made to familiarize the beginners with some of the elementary cooling equations, from the 'single particle case' up to equations which describe the evolution of the particle distribution. (orig.)

  8. Stochastic Analysis 2010

    CERN Document Server

    Crisan, Dan

    2011-01-01

    "Stochastic Analysis" aims to provide mathematical tools to describe and model high dimensional random systems. Such tools arise in the study of Stochastic Differential Equations and Stochastic Partial Differential Equations, Infinite Dimensional Stochastic Geometry, Random Media and Interacting Particle Systems, Super-processes, Stochastic Filtering, Mathematical Finance, etc. Stochastic Analysis has emerged as a core area of late 20th century Mathematics and is currently undergoing a rapid scientific development. The special volume "Stochastic Analysis 2010" provides a sa

  9. Stochastic processes

    CERN Document Server

    Borodin, Andrei N

    2017-01-01

    This book provides a rigorous yet accessible introduction to the theory of stochastic processes. A significant part of the book is devoted to the classic theory of stochastic processes. In turn, it also presents proofs of well-known results, sometimes together with new approaches. Moreover, the book explores topics not previously covered elsewhere, such as distributions of functionals of diffusions stopped at different random times, the Brownian local time, diffusions with jumps, and an invariance principle for random walks and local times. Supported by carefully selected material, the book showcases a wealth of examples that demonstrate how to solve concrete problems by applying theoretical results. It addresses a broad range of applications, focusing on concrete computational techniques rather than on abstract theory. The content presented here is largely self-contained, making it suitable for researchers and graduate students alike.

  10. Stochastic kinetics

    International Nuclear Information System (INIS)

    Colombino, A.; Mosiello, R.; Norelli, F.; Jorio, V.M.; Pacilio, N.

    1975-01-01

    A nuclear system kinetics is formulated according to a stochastic approach. The detailed probability balance equations are written for the probability of finding the mixed population of neutrons and detected neutrons, i.e. detectrons, at a given level for a given instant of time. Equations are integrated in search of a probability profile: a series of cases is analyzed through a progressive criterium. It tends to take into account an increasing number of physical processes within the chosen model. The most important contribution is that solutions interpret analytically experimental conditions of equilibrium (moise analysis) and non equilibrium (pulsed neutron measurements, source drop technique, start up procedures)

  11. Stochastic modeling

    CERN Document Server

    Lanchier, Nicolas

    2017-01-01

    Three coherent parts form the material covered in this text, portions of which have not been widely covered in traditional textbooks. In this coverage the reader is quickly introduced to several different topics enriched with 175 exercises which focus on real-world problems. Exercises range from the classics of probability theory to more exotic research-oriented problems based on numerical simulations. Intended for graduate students in mathematics and applied sciences, the text provides the tools and training needed to write and use programs for research purposes. The first part of the text begins with a brief review of measure theory and revisits the main concepts of probability theory, from random variables to the standard limit theorems. The second part covers traditional material on stochastic processes, including martingales, discrete-time Markov chains, Poisson processes, and continuous-time Markov chains. The theory developed is illustrated by a variety of examples surrounding applications such as the ...

  12. Perturbation theory for continuous stochastic equations

    International Nuclear Information System (INIS)

    Chechetkin, V.R.; Lutovinov, V.S.

    1987-01-01

    The various general perturbational schemes for continuous stochastic equations are considered. These schemes have many analogous features with the iterational solution of Schwinger equation for S-matrix. The following problems are discussed: continuous stochastic evolution equations for probability distribution functionals, evolution equations for equal time correlators, perturbation theory for Gaussian and Poissonian additive noise, perturbation theory for birth and death processes, stochastic properties of systems with multiplicative noise. The general results are illustrated by diffusion-controlled reactions, fluctuations in closed systems with chemical processes, propagation of waves in random media in parabolic equation approximation, and non-equilibrium phase transitions in systems with Poissonian breeding centers. The rate of irreversible reaction X + X → A (Smoluchowski process) is calculated with the use of general theory based on continuous stochastic equations for birth and death processes. The threshold criterion and range of fluctuational region for synergetic phase transition in system with Poissonian breeding centers are also considered. (author)

  13. STOCHASTIC FLOWS OF MAPPINGS

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    In this paper, the stochastic flow of mappings generated by a Feller convolution semigroup on a compact metric space is studied. This kind of flow is the generalization of superprocesses of stochastic flows and stochastic diffeomorphism induced by the strong solutions of stochastic differential equations.

  14. Stochastic Averaging and Stochastic Extremum Seeking

    CERN Document Server

    Liu, Shu-Jun

    2012-01-01

    Stochastic Averaging and Stochastic Extremum Seeking develops methods of mathematical analysis inspired by the interest in reverse engineering  and analysis of bacterial  convergence by chemotaxis and to apply similar stochastic optimization techniques in other environments. The first half of the text presents significant advances in stochastic averaging theory, necessitated by the fact that existing theorems are restricted to systems with linear growth, globally exponentially stable average models, vanishing stochastic perturbations, and prevent analysis over infinite time horizon. The second half of the text introduces stochastic extremum seeking algorithms for model-free optimization of systems in real time using stochastic perturbations for estimation of their gradients. Both gradient- and Newton-based algorithms are presented, offering the user the choice between the simplicity of implementation (gradient) and the ability to achieve a known, arbitrary convergence rate (Newton). The design of algorithms...

  15. Space-time-modulated stochastic processes

    Science.gov (United States)

    Giona, Massimiliano

    2017-10-01

    Starting from the physical problem associated with the Lorentzian transformation of a Poisson-Kac process in inertial frames, the concept of space-time-modulated stochastic processes is introduced for processes possessing finite propagation velocity. This class of stochastic processes provides a two-way coupling between the stochastic perturbation acting on a physical observable and the evolution of the physical observable itself, which in turn influences the statistical properties of the stochastic perturbation during its evolution. The definition of space-time-modulated processes requires the introduction of two functions: a nonlinear amplitude modulation, controlling the intensity of the stochastic perturbation, and a time-horizon function, which modulates its statistical properties, providing irreducible feedback between the stochastic perturbation and the physical observable influenced by it. The latter property is the peculiar fingerprint of this class of models that makes them suitable for extension to generic curved-space times. Considering Poisson-Kac processes as prototypical examples of stochastic processes possessing finite propagation velocity, the balance equations for the probability density functions associated with their space-time modulations are derived. Several examples highlighting the peculiarities of space-time-modulated processes are thoroughly analyzed.

  16. Propagator of stochastic electrodynamics

    International Nuclear Information System (INIS)

    Cavalleri, G.

    1981-01-01

    The ''elementary propagator'' for the position of a free charged particle subject to the zero-point electromagnetic field with Lorentz-invariant spectral density proportionalω 3 is obtained. The nonstationary process for the position is solved by the stationary process for the acceleration. The dispersion of the position elementary propagator is compared with that of quantum electrodynamics. Finally, the evolution of the probability density is obtained starting from an initial distribution confined in a small volume and with a Gaussian distribution in the velocities. The resulting probability density for the position turns out to be equal, to within radiative corrections, to psipsi* where psi is the Kennard wave packet. If the radiative corrections are retained, the present result is new since the corresponding expression in quantum electrodynamics has not yet been found. Besides preceding quantum electrodynamics for this problem, no renormalization is required in stochastic electrodynamics

  17. Stochastic resonance

    International Nuclear Information System (INIS)

    Wellens, Thomas; Shatokhin, Vyacheslav; Buchleitner, Andreas

    2004-01-01

    We are taught by conventional wisdom that the transmission and detection of signals is hindered by noise. However, during the last two decades, the paradigm of stochastic resonance (SR) proved this assertion wrong: indeed, addition of the appropriate amount of noise can boost a signal and hence facilitate its detection in a noisy environment. Due to its simplicity and robustness, SR has been implemented by mother nature on almost every scale, thus attracting interdisciplinary interest from physicists, geologists, engineers, biologists and medical doctors, who nowadays use it as an instrument for their specific purposes. At the present time, there exist a lot of diversified models of SR. Taking into account the progress achieved in both theoretical understanding and practical application of this phenomenon, we put the focus of the present review not on discussing in depth technical details of different models and approaches but rather on presenting a general and clear physical picture of SR on a pedagogical level. Particular emphasis will be given to the implementation of SR in generic quantum systems-an issue that has received limited attention in earlier review papers on the topic. The major part of our presentation relies on the two-state model of SR (or on simple variants thereof), which is general enough to exhibit the main features of SR and, in fact, covers many (if not most) of the examples of SR published so far. In order to highlight the diversity of the two-state model, we shall discuss several examples from such different fields as condensed matter, nonlinear and quantum optics and biophysics. Finally, we also discuss some situations that go beyond the generic SR scenario but are still characterized by a constructive role of noise

  18. Stochastic Simulation of Biomolecular Reaction Networks Using the Biomolecular Network Simulator Software

    National Research Council Canada - National Science Library

    Frazier, John; Chusak, Yaroslav; Foy, Brent

    2008-01-01

    .... The software uses either exact or approximate stochastic simulation algorithms for generating Monte Carlo trajectories that describe the time evolution of the behavior of biomolecular reaction networks...

  19. Analysis and reconstruction of stochastic coupled map lattice models

    International Nuclear Information System (INIS)

    Coca, Daniel; Billings, Stephen A.

    2003-01-01

    The Letter introduces a general stochastic coupled lattice map model together with an algorithm to estimate the nodal equations involved based only on a small set of observable variables and in the presence of stochastic perturbations. More general forms of the Frobenius-Perron and the transfer operators, which describe the evolution of densities under the action of the CML transformation, are derived

  20. Stochasticity and the m = 1 mode in tokamaks

    International Nuclear Information System (INIS)

    Izzo, R.; Monticello, D.A.; Stodiek, W.; Park, W.

    1986-05-01

    It has recently been proposed that stochasticity resulting from toroidal coupling could lead to a saturation of the m = 1 internal mode in tokamaks. We present results from the nonlinear evolution of the m = 1 mode with toroidal coupling that show that stochasticity is not enough to cause saturation of the m = 1 mode

  1. Nonlinear Theoretical Tools for Fusion-related Microturbulence: Historical Evolution, and Recent Applications to Stochastic Magnetic Fields, Zonal-flow Dynamics, and Intermittency

    Energy Technology Data Exchange (ETDEWEB)

    J.A. Krommes

    2009-05-19

    Fusion physics poses an extremely challenging, practically complex problem that does not yield readily to simple paradigms. Nevertheless, various of the theoretical tools and conceptual advances emphasized at the KaufmanFest 2007 have motivated and/or found application to the development of fusion-related plasma turbulence theory. A brief historical commentary is given on some aspects of that specialty, with emphasis on the role (and limitations) of Hamiltonian/symplectic approaches, variational methods, oscillation-center theory, and nonlinear dynamics. It is shown how to extract a renormalized ponderomotive force from the statistical equations of plasma turbulence, and the possibility of a renormalized K-χ theorem is discussed. An unusual application of quasilinear theory to the problem of plasma equilibria in the presence of stochastic magnetic fields is described. The modern problem of zonal-flow dynamics illustrates a confluence of several techniques, including (i) the application of nonlinear-dynamics methods, especially center-manifold theory, to the problem of the transition to plasma turbulence in the face of self-generated zonal flows; and (ii) the use of Hamiltonian formalism to determine the appropriate (Casimir) invariant to be used in a novel wave-kinetic analysis of systems of interacting zonal flows and drift waves. Recent progress in the theory of intermittent chaotic statistics and the generation of coherent structures from turbulence is mentioned, and an appeal is made for some new tools to cope with these interesting and difficult problems in nonlinear plasma physics. Finally, the important influence of the intellectually stimulating research environment fostered by Prof. Allan Kaufman on the author's thinking and teaching methodology is described.

  2. Nonlinear Theoretical Tools for Fusion-related Microturbulence: Historical Evolution, and Recent Applications to Stochastic Magnetic Fields, Zonal-flow Dynamics, and Intermittency

    International Nuclear Information System (INIS)

    Krommes, J.A.

    2009-01-01

    Fusion physics poses an extremely challenging, practically complex problem that does not yield readily to simple paradigms. Nevertheless, various of the theoretical tools and conceptual advances emphasized at the KaufmanFest 2007 have motivated and/or found application to the development of fusion-related plasma turbulence theory. A brief historical commentary is given on some aspects of that specialty, with emphasis on the role (and limitations) of Hamiltonian/symplectic approaches, variational methods, oscillation-center theory, and nonlinear dynamics. It is shown how to extract a renormalized ponderomotive force from the statistical equations of plasma turbulence, and the possibility of a renormalized K-? theorem is discussed. An unusual application of quasilinear theory to the problem of plasma equilibria in the presence of stochastic magnetic fields is described. The modern problem of zonal-flow dynamics illustrates a confluence of several techniques, including (i) the application of nonlinear-dynamics methods, especially center-manifold theory, to the problem of the transition to plasma turbulence in the face of self-generated zonal flows; and (ii) the use of Hamiltonian formalism to determine the appropriate (Casimir) invariant to be used in a novel wave-kinetic analysis of systems of interacting zonal flows and drift waves. Recent progress in the theory of intermittent chaotic statistics and the generation of coherent structures from turbulence is mentioned, and an appeal is made for some new tools to cope with these interesting and difficult problems in nonlinear plasma physics. Finally, the important influence of the intellectually stimulating research environment fostered by Prof. Allan Kaufman on the author's thinking and teaching methodology is described.

  3. Evolutionary stability concepts in a stochastic environment

    Science.gov (United States)

    Zheng, Xiu-Deng; Li, Cong; Lessard, Sabin; Tao, Yi

    2017-09-01

    Over the past 30 years, evolutionary game theory and the concept of an evolutionarily stable strategy have been not only extensively developed and successfully applied to explain the evolution of animal behaviors, but also widely used in economics and social sciences. Nonetheless, the stochastic dynamical properties of evolutionary games in randomly fluctuating environments are still unclear. In this study, we investigate conditions for stochastic local stability of fixation states and constant interior equilibria in a two-phenotype model with random payoffs following pairwise interactions. Based on this model, we develop the concepts of stochastic evolutionary stability (SES) and stochastic convergence stability (SCS). We show that the condition for a pure strategy to be SES and SCS is more stringent than in a constant environment, while the condition for a constant mixed strategy to be SES is less stringent than the condition to be SCS, which is less stringent than the condition in a constant environment.

  4. Stochastic Effects; Application in Nuclear Physics

    International Nuclear Information System (INIS)

    Mazonka, O.

    2000-04-01

    Stochastic effects in nuclear physics refer to the study of the dynamics of nuclear systems evolving under stochastic equations of motion. In this dissertation we restrict our attention to classical scattering models. We begin with introduction of the model of nuclear dynamics and deterministic equations of evolution. We apply a Langevin approach - an additional property of the model, which reflect the statistical nature of low energy nuclear behaviour. We than concentrate our attention on the problem of calculating tails of distribution functions, which actually is the problem of calculating probabilities of rare outcomes. Two general strategies are proposed. Result and discussion follow. Finally in the appendix we consider stochastic effects in nonequilibrium systems. A few exactly solvable models are presented. For one model we show explicitly that stochastic behaviour in a microscopic description can lead to ordered collective effects on the macroscopic scale. Two others are solved to confirm the predictions of the fluctuation theorem. (author)

  5. Stochastic tools in turbulence

    CERN Document Server

    Lumey, John L

    2012-01-01

    Stochastic Tools in Turbulence discusses the available mathematical tools to describe stochastic vector fields to solve problems related to these fields. The book deals with the needs of turbulence in relation to stochastic vector fields, particularly, on three-dimensional aspects, linear problems, and stochastic model building. The text describes probability distributions and densities, including Lebesgue integration, conditional probabilities, conditional expectations, statistical independence, lack of correlation. The book also explains the significance of the moments, the properties of the

  6. Stochastic problems in population genetics

    CERN Document Server

    Maruyama, Takeo

    1977-01-01

    These are" notes based on courses in Theoretical Population Genetics given at the University of Texas at Houston during the winter quarter, 1974, and at the University of Wisconsin during the fall semester, 1976. These notes explore problems of population genetics and evolution involving stochastic processes. Biological models and various mathematical techniques are discussed. Special emphasis is given to the diffusion method and an attempt is made to emphasize the underlying unity of various problems based on the Kolmogorov backward equation. A particular effort was made to make the subject accessible to biology students who are not familiar with stochastic processes. The references are not exhaustive but were chosen to provide a starting point for the reader interested in pursuing the subject further. Acknowledgement I would like to use this opportunity to express my thanks to Drs. J. F. Crow, M. Nei and W. J. Schull for their hospitality during my stays at their universities. I am indebted to Dr. M. Kimura...

  7. Limits for Stochastic Reaction Networks

    DEFF Research Database (Denmark)

    Cappelletti, Daniele

    Reaction systems have been introduced in the 70s to model biochemical systems. Nowadays their range of applications has increased and they are fruitfully used in dierent elds. The concept is simple: some chemical species react, the set of chemical reactions form a graph and a rate function...... is associated with each reaction. Such functions describe the speed of the dierent reactions, or their propensities. Two modelling regimes are then available: the evolution of the dierent species concentrations can be deterministically modelled through a system of ODE, while the counts of the dierent species...... at a certain time are stochastically modelled by means of a continuous-time Markov chain. Our work concerns primarily stochastic reaction systems, and their asymptotic properties. In Paper I, we consider a reaction system with intermediate species, i.e. species that are produced and fast degraded along a path...

  8. A stochastic Friedman Universe with dissipation

    International Nuclear Information System (INIS)

    Gruszczak, J.

    1985-01-01

    A probabilistic measure is constructed for the radiation-filled Friedman Universe with bulk viscosity and the equation of state perturbed by a ''white noise''. The corresponding Fokker-Planck equation is solved. In the stochastic evolution singularities turn out to be irrelevant. 3 refs., 1 fig. (author)

  9. Investigation of the evolution of atmospheric particles with integration of the stochastic particle-resolved model partmc-mosaic and atmospheric measurements

    Science.gov (United States)

    Tian, Jian

    With the recently-developed particle-resolved model PartMC-MOSAIC, the mixing state and other physico-chemical properties of individual aerosol particles can be tracked as the particles undergo aerosol aging processes. However, existing PartMC-MOSAIC applications have mainly been based on idealized scenarios, and a link to real atmospheric measurement has not yet been established. In this thesis, we extend the capability of PartMC-MOSAIC and apply the model framework to three distinct scenarios with different environmental conditions to investigate the physical and chemical aging of aerosols in those environments. The first study is to investigate the evolution of particle mixing state and cloud condensation nuclei (CCN) activation properties in a ship plume. Comparisons of our results with observations from the QUANTIFY Study in 2007 in the English channel and the Gulf of Biscay showed that the model was able to reproduce the observed evolution of total number concentration and the vanishing of the nucleation mode consisting of sulfate particles. Further process analysis revealed that during the first hour after emission, dilution reduced the total number concentration by four orders of magnitude, while coagulation reduced it by an additional order of magnitude. Neglecting coagulation resulted in an overprediction of more than one order of magnitude in the number concentration of particles smaller than 40 nm at a plume age of 100 s. Coagulation also significantly altered the mixing state of the particles, leading to a continuum of internal mixtures of sulfate and black carbon. The impact of condensation on CCN concentrations depended on the supersaturation threshold at which CCN activity was evaluated. Nucleation was observed to have a limited impact on the CCN concentration in the ship plume we studied, but was sensitive to formation rates of secondary aerosol. For the second study we adapted PartMC to represent the aerosol evolution in an aerosol chamber, with

  10. Noncausal stochastic calculus

    CERN Document Server

    Ogawa, Shigeyoshi

    2017-01-01

    This book presents an elementary introduction to the theory of noncausal stochastic calculus that arises as a natural alternative to the standard theory of stochastic calculus founded in 1944 by Professor Kiyoshi Itô. As is generally known, Itô Calculus is essentially based on the "hypothesis of causality", asking random functions to be adapted to a natural filtration generated by Brownian motion or more generally by square integrable martingale. The intention in this book is to establish a stochastic calculus that is free from this "hypothesis of causality". To be more precise, a noncausal theory of stochastic calculus is developed in this book, based on the noncausal integral introduced by the author in 1979. After studying basic properties of the noncausal stochastic integral, various concrete problems of noncausal nature are considered, mostly concerning stochastic functional equations such as SDE, SIE, SPDE, and others, to show not only the necessity of such theory of noncausal stochastic calculus but ...

  11. Excited states in stochastic electrodynamics

    International Nuclear Information System (INIS)

    Franca, H.M.; Marshall, T.W.

    1987-12-01

    It is shown that the set of Wigner functions associated with the excited states of the harmonic oscillator constitute a complete set of functions over the phase space. An arbitraty distribution can be expanded in terms of these Wigner functions. By studying the time evolution, according to Stochastic Electrodynamics, of the expansion coefficients, becomes feasible to separate explicity the contributionsof the radiative reaction and the vaccuum field to the Einsten. A coefficients for this system. A simple semiclassical explanation of the Weisskopf-Heitler phenomenon in resonance fluorescence is also supplied. (author) [pt

  12. Stochastic mechanics of mixed states

    International Nuclear Information System (INIS)

    Jaekel, M.T.; Pignon, D.

    1984-01-01

    Nelson's stochastic interpretation of quantum mechanics is extended from the case of pure states to that of mixed states. It is shown that a pure probabilistic formalism, which applies the Newton-Nelson Law to the initial position and velocity distributions, does not reproduce the time evolution predicted by quantum mechanics. In order to recover the latter, a new notion must be introduced, that of pure quantum states, over which the mixture has to be decomposed, and which then satisfy the Newton-Nelson Law independently. (author)

  13. PC analysis of stochastic differential equations driven by Wiener noise

    KAUST Repository

    Le Maitre, Olivier

    2015-03-01

    A polynomial chaos (PC) analysis with stochastic expansion coefficients is proposed for stochastic differential equations driven by additive or multiplicative Wiener noise. It is shown that for this setting, a Galerkin formalism naturally leads to the definition of a hierarchy of stochastic differential equations governing the evolution of the PC modes. Under the mild assumption that the Wiener and uncertain parameters can be treated as independent random variables, it is also shown that the Galerkin formalism naturally separates parametric uncertainty and stochastic forcing dependences. This enables us to perform an orthogonal decomposition of the process variance, and consequently identify contributions arising from the uncertainty in parameters, the stochastic forcing, and a coupled term. Insight gained from this decomposition is illustrated in light of implementation to simplified linear and non-linear problems; the case of a stochastic bifurcation is also considered.

  14. Stochastic processes, slaves and supersymmetry

    International Nuclear Information System (INIS)

    Drummond, I T; Horgan, R R

    2012-01-01

    We extend the work of Tănase-Nicola and Kurchan on the structure of diffusion processes and the associated supersymmetry algebra by examining the responses of a simple statistical system to external disturbances of various kinds. We consider both the stochastic differential equations (SDEs) for the process and the associated diffusion equation. The influence of the disturbances can be understood by augmenting the original SDE with an equation for slave variables. The evolution of the slave variables describes the behaviour of line elements carried along in the stochastic flow. These line elements, together with the associated surface and volume elements constructed from them, provide the basis of the supersymmetry properties of the theory. For ease of visualization, and in order to emphasize a helpful electromagnetic analogy, we work in three dimensions. The results are all generalizable to higher dimensions and can be specialized to one and two dimensions. The electromagnetic analogy is a useful starting point for calculating asymptotic results at low temperature that can be compared with direct numerical evaluations. We also examine the problems that arise in a direct numerical simulation of the stochastic equation together with the slave equations. We pay special attention to the dependence of the slave variable statistics on temperature. We identify in specific models the critical temperature below which the slave variable distribution ceases to have a variance and consider the effect on estimates of susceptibilities. (paper)

  15. Fast stochastic algorithm for simulating evolutionary population dynamics

    Science.gov (United States)

    Tsimring, Lev; Hasty, Jeff; Mather, William

    2012-02-01

    Evolution and co-evolution of ecological communities are stochastic processes often characterized by vastly different rates of reproduction and mutation and a coexistence of very large and very small sub-populations of co-evolving species. This creates serious difficulties for accurate statistical modeling of evolutionary dynamics. In this talk, we introduce a new exact algorithm for fast fully stochastic simulations of birth/death/mutation processes. It produces a significant speedup compared to the direct stochastic simulation algorithm in a typical case when the total population size is large and the mutation rates are much smaller than birth/death rates. We illustrate the performance of the algorithm on several representative examples: evolution on a smooth fitness landscape, NK model, and stochastic predator-prey system.

  16. Stochastic Effects in Microstructure

    Directory of Open Access Journals (Sweden)

    Glicksman M.E.

    2002-01-01

    Full Text Available We are currently studying microstructural responses to diffusion-limited coarsening in two-phase materials. A mathematical solution to late-stage multiparticle diffusion in finite systems is formulated with account taken of particle-particle interactions and their microstructural correlations, or "locales". The transition from finite system behavior to that for an infinite microstructure is established analytically. Large-scale simulations of late-stage phase coarsening dynamics show increased fluctuations with increasing volume fraction, Vv, of the mean flux entering or leaving particles of a given size class. Fluctuations about the mean flux were found to depend on the scaled particle size, R/, where R is the radius of a particle and is the radius of the dispersoid averaged over the population within the microstructure. Specifically, small (shrinking particles tend to display weak fluctuations about their mean flux, whereas particles of average, or above average size, exhibit strong fluctuations. Remarkably, even in cases of microstructures with a relatively small volume fraction (Vv ~ 10-4, the particle size distribution is broader than that for the well-known Lifshitz-Slyozov limit predicted at zero volume fraction. The simulation results reported here provide some additional surprising insights into the effect of diffusion interactions and stochastic effects during evolution of a microstructure, as it approaches its thermodynamic end-state.

  17. Adaptation in stochastic environments

    CERN Document Server

    Clark, Colib

    1993-01-01

    The classical theory of natural selection, as developed by Fisher, Haldane, and 'Wright, and their followers, is in a sense a statistical theory. By and large the classical theory assumes that the underlying environment in which evolution transpires is both constant and stable - the theory is in this sense deterministic. In reality, on the other hand, nature is almost always changing and unstable. We do not yet possess a complete theory of natural selection in stochastic environ­ ments. Perhaps it has been thought that such a theory is unimportant, or that it would be too difficult. Our own view is that the time is now ripe for the development of a probabilistic theory of natural selection. The present volume is an attempt to provide an elementary introduction to this probabilistic theory. Each author was asked to con­ tribute a simple, basic introduction to his or her specialty, including lively discussions and speculation. We hope that the book contributes further to the understanding of the roles of "Cha...

  18. On orthogonality preserving quadratic stochastic operators

    Energy Technology Data Exchange (ETDEWEB)

    Mukhamedov, Farrukh; Taha, Muhammad Hafizuddin Mohd [Department of Computational and Theoretical Sciences, Faculty of Science International Islamic University Malaysia, P.O. Box 141, 25710 Kuantan, Pahang Malaysia (Malaysia)

    2015-05-15

    A quadratic stochastic operator (in short QSO) is usually used to present the time evolution of differing species in biology. Some quadratic stochastic operators have been studied by Lotka and Volterra. In the present paper, we first give a simple characterization of Volterra QSO in terms of absolutely continuity of discrete measures. Further, we introduce a notion of orthogonal preserving QSO, and describe such kind of operators defined on two dimensional simplex. It turns out that orthogonal preserving QSOs are permutations of Volterra QSO. The associativity of genetic algebras generated by orthogonal preserving QSO is studied too.

  19. On orthogonality preserving quadratic stochastic operators

    International Nuclear Information System (INIS)

    Mukhamedov, Farrukh; Taha, Muhammad Hafizuddin Mohd

    2015-01-01

    A quadratic stochastic operator (in short QSO) is usually used to present the time evolution of differing species in biology. Some quadratic stochastic operators have been studied by Lotka and Volterra. In the present paper, we first give a simple characterization of Volterra QSO in terms of absolutely continuity of discrete measures. Further, we introduce a notion of orthogonal preserving QSO, and describe such kind of operators defined on two dimensional simplex. It turns out that orthogonal preserving QSOs are permutations of Volterra QSO. The associativity of genetic algebras generated by orthogonal preserving QSO is studied too

  20. Elitism and Stochastic Dominance

    OpenAIRE

    Bazen, Stephen; Moyes, Patrick

    2011-01-01

    Stochastic dominance has typically been used with a special emphasis on risk and inequality reduction something captured by the concavity of the utility function in the expected utility model. We claim that the applicability of the stochastic dominance approach goes far beyond risk and inequality measurement provided suitable adpations be made. We apply in the paper the stochastic dominance approach to the measurment of elitism which may be considered the opposite of egalitarianism. While the...

  1. Singular stochastic differential equations

    CERN Document Server

    Cherny, Alexander S

    2005-01-01

    The authors introduce, in this research monograph on stochastic differential equations, a class of points termed isolated singular points. Stochastic differential equations possessing such points (called singular stochastic differential equations here) arise often in theory and in applications. However, known conditions for the existence and uniqueness of a solution typically fail for such equations. The book concentrates on the study of the existence, the uniqueness, and, what is most important, on the qualitative behaviour of solutions of singular stochastic differential equations. This is done by providing a qualitative classification of isolated singular points, into 48 possible types.

  2. Computational stochastic model of ions implantation

    Energy Technology Data Exchange (ETDEWEB)

    Zmievskaya, Galina I., E-mail: zmi@gmail.ru; Bondareva, Anna L., E-mail: bal310775@yandex.ru [M.V. Keldysh Institute of Applied Mathematics RAS, 4,Miusskaya sq., 125047 Moscow (Russian Federation); Levchenko, Tatiana V., E-mail: tatlevchenko@mail.ru [VNII Geosystem Russian Federal Center, Varshavskoye roadway, 8, Moscow (Russian Federation); Maino, Giuseppe, E-mail: giuseppe.maino@enea.it [Scuola di Lettere e BeniCulturali, University di Bologna, sede di Ravenna, via Mariani 5, 48100 Ravenna (Italy)

    2015-03-10

    Implantation flux ions into crystal leads to phase transition /PT/ 1-st kind. Damaging lattice is associated with processes clustering vacancies and gaseous bubbles as well their brownian motion. System of stochastic differential equations /SDEs/ Ito for evolution stochastic dynamical variables corresponds to the superposition Wiener processes. The kinetic equations in partial derivatives /KE/, Kolmogorov-Feller and Einstein-Smolukhovskii, were formulated for nucleation into lattice of weakly soluble gases. According theory, coefficients of stochastic and kinetic equations uniquely related. Radiation stimulated phase transition are characterized by kinetic distribution functions /DFs/ of implanted clusters versus their sizes and depth of gas penetration into lattice. Macroscopic parameters of kinetics such as the porosity and stress calculated in thin layers metal/dielectric due to Xe{sup ++} irradiation are attracted as example. Predictions of porosity, important for validation accumulation stresses in surfaces, can be applied at restoring of objects the cultural heritage.

  3. Astrophysical disks Collective and Stochastic Phenomena

    CERN Document Server

    Fridman, Alexei M; Kovalenko, Ilya G

    2006-01-01

    The book deals with collective and stochastic processes in astrophysical discs involving theory, observations, and the results of modelling. Among others, it examines the spiral-vortex structure in galactic and accretion disks , stochastic and ordered structures in the developed turbulence. It also describes sources of turbulence in the accretion disks, internal structure of disk in the vicinity of a black hole, numerical modelling of Be envelopes in binaries, gaseous disks in spiral galaxies with shock waves formation, observation of accretion disks in a binary system and mass distribution of luminous matter in disk galaxies. The editors adaptly brought together collective and stochastic phenomena in the modern field of astrophysical discs, their formation, structure, and evolution involving the methodology to deal with, the results of observation and modelling, thereby advancing the study in this important branch of astrophysics and benefiting Professional Researchers, Lecturers, and Graduate Students.

  4. Stochastic analytic regularization

    International Nuclear Information System (INIS)

    Alfaro, J.

    1984-07-01

    Stochastic regularization is reexamined, pointing out a restriction on its use due to a new type of divergence which is not present in the unregulated theory. Furthermore, we introduce a new form of stochastic regularization which permits the use of a minimal subtraction scheme to define the renormalized Green functions. (author)

  5. Instantaneous stochastic perturbation theory

    International Nuclear Information System (INIS)

    Lüscher, Martin

    2015-01-01

    A form of stochastic perturbation theory is described, where the representative stochastic fields are generated instantaneously rather than through a Markov process. The correctness of the procedure is established to all orders of the expansion and for a wide class of field theories that includes all common formulations of lattice QCD.

  6. Stochastic climate theory

    NARCIS (Netherlands)

    Gottwald, G.A.; Crommelin, D.T.; Franzke, C.L.E.; Franzke, C.L.E.; O'Kane, T.J.

    2017-01-01

    In this chapter we review stochastic modelling methods in climate science. First we provide a conceptual framework for stochastic modelling of deterministic dynamical systems based on the Mori-Zwanzig formalism. The Mori-Zwanzig equations contain a Markov term, a memory term and a term suggestive of

  7. On Stochastic Dependence

    Science.gov (United States)

    Meyer, Joerg M.

    2018-01-01

    The contrary of stochastic independence splits up into two cases: pairs of events being favourable or being unfavourable. Examples show that both notions have quite unexpected properties, some of them being opposite to intuition. For example, transitivity does not hold. Stochastic dependence is also useful to explain cases of Simpson's paradox.

  8. Stochastic quantization and gravity

    International Nuclear Information System (INIS)

    Rumpf, H.

    1984-01-01

    We give a preliminary account of the application of stochastic quantization to the gravitational field. We start in Section I from Nelson's formulation of quantum mechanics as Newtonian stochastic mechanics and only then introduce the Parisi-Wu stochastic quantization scheme on which all the later discussion will be based. In Section II we present a generalization of the scheme that is applicable to fields in physical (i.e. Lorentzian) space-time and treat the free linearized gravitational field in this manner. The most remarkable result of this is the noncausal propagation of conformal gravitons. Moreover the concept of stochastic gauge-fixing is introduced and a complete discussion of all the covariant gauges is given. A special symmetry relating two classes of covariant gauges is exhibited. Finally Section III contains some preliminary remarks on full nonlinear gravity. In particular we argue that in contrast to gauge fields the stochastic gravitational field cannot be transformed to a Gaussian process. (Author)

  9. Stochastic neuron models

    CERN Document Server

    Greenwood, Priscilla E

    2016-01-01

    This book describes a large number of open problems in the theory of stochastic neural systems, with the aim of enticing probabilists to work on them. This includes problems arising from stochastic models of individual neurons as well as those arising from stochastic models of the activities of small and large networks of interconnected neurons. The necessary neuroscience background to these problems is outlined within the text, so readers can grasp the context in which they arise. This book will be useful for graduate students and instructors providing material and references for applying probability to stochastic neuron modeling. Methods and results are presented, but the emphasis is on questions where additional stochastic analysis may contribute neuroscience insight. An extensive bibliography is included. Dr. Priscilla E. Greenwood is a Professor Emerita in the Department of Mathematics at the University of British Columbia. Dr. Lawrence M. Ward is a Professor in the Department of Psychology and the Brain...

  10. Stochastic volatility models and Kelvin waves

    Energy Technology Data Exchange (ETDEWEB)

    Lipton, Alex [Merrill Lynch, Mlfc Main, 2 King Edward Street, London EC1A 1HQ (United Kingdom); Sepp, Artur [Merrill Lynch, 4 World Financial Center, New York, NY 10080 (United States)], E-mail: Alex_Lipton@ml.com, E-mail: Artur_Sepp@ml.com

    2008-08-29

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  11. Stochastic volatility models and Kelvin waves

    Science.gov (United States)

    Lipton, Alex; Sepp, Artur

    2008-08-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  12. Stochastic volatility models and Kelvin waves

    International Nuclear Information System (INIS)

    Lipton, Alex; Sepp, Artur

    2008-01-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics

  13. Analytical Assessment for Transient Stability Under Stochastic Continuous Disturbances

    Energy Technology Data Exchange (ETDEWEB)

    Ju, Ping [Hohai Univ., Nanjing (China); Li, Hongyu [Hohai Univ., Nanjing (China); Gan, Chun [The Univ. of Tennessee, Knoxville, TN (United States); Liu, Yong [The Univ. of Tennessee, Knoxville, TN (United States); Yu, Yiping [Hohai Univ., Nanjing (China); Liu, Yilu [Univ. of Tennessee, Knoxville, TN (United States)

    2017-06-28

    Here, with the growing integration of renewable power generation, plug-in electric vehicles, and other sources of uncertainty, increasing stochastic continuous disturbances are brought to power systems. The impact of stochastic continuous disturbances on power system transient stability attracts significant attention. To address this problem, this paper proposes an analytical assessment method for transient stability of multi-machine power systems under stochastic continuous disturbances. In the proposed method, a probability measure of transient stability is presented and analytically solved by stochastic averaging. Compared with the conventional method (Monte Carlo simulation), the proposed method is many orders of magnitude faster, which makes it very attractive in practice when many plans for transient stability must be compared or when transient stability must be analyzed quickly. Also, it is found that the evolution of system energy over time is almost a simple diffusion process by the proposed method, which explains the impact mechanism of stochastic continuous disturbances on transient stability in theory.

  14. Parameter-free resolution of the superposition of stochastic signals

    Energy Technology Data Exchange (ETDEWEB)

    Scholz, Teresa, E-mail: tascholz@fc.ul.pt [Center for Theoretical and Computational Physics, University of Lisbon (Portugal); Raischel, Frank [Center for Geophysics, IDL, University of Lisbon (Portugal); Closer Consulting, Av. Eng. Duarte Pacheco Torre 1 15" 0, 1070-101 Lisboa (Portugal); Lopes, Vitor V. [DEIO-CIO, University of Lisbon (Portugal); UTEC–Universidad de Ingeniería y Tecnología, Lima (Peru); Lehle, Bernd; Wächter, Matthias; Peinke, Joachim [Institute of Physics and ForWind, Carl-von-Ossietzky University of Oldenburg, Oldenburg (Germany); Lind, Pedro G. [Institute of Physics and ForWind, Carl-von-Ossietzky University of Oldenburg, Oldenburg (Germany); Institute of Physics, University of Osnabrück, Osnabrück (Germany)

    2017-01-30

    This paper presents a direct method to obtain the deterministic and stochastic contribution of the sum of two independent stochastic processes, one of which is an Ornstein–Uhlenbeck process and the other a general (non-linear) Langevin process. The method is able to distinguish between the stochastic processes, retrieving their corresponding stochastic evolution equations. This framework is based on a recent approach for the analysis of multidimensional Langevin-type stochastic processes in the presence of strong measurement (or observational) noise, which is here extended to impose neither constraints nor parameters and extract all coefficients directly from the empirical data sets. Using synthetic data, it is shown that the method yields satisfactory results.

  15. Hybrid Semantics of Stochastic Programs with Dynamic Reconfiguration

    Directory of Open Access Journals (Sweden)

    Alberto Policriti

    2009-10-01

    Full Text Available We begin by reviewing a technique to approximate the dynamics of stochastic programs --written in a stochastic process algebra-- by a hybrid system, suitable to capture a mixed discrete/continuous evolution. In a nutshell, the discrete dynamics is kept stochastic while the continuous evolution is given in terms of ODEs, and the overall technique, therefore, naturally associates a Piecewise Deterministic Markov Process with a stochastic program. The specific contribution in this work consists in an increase of the flexibility of the translation scheme, obtained by allowing a dynamic reconfiguration of the degree of discreteness/continuity of the semantics. We also discuss the relationships of this approach with other hybrid simulation strategies for biochemical systems.

  16. Sequential stochastic optimization

    CERN Document Server

    Cairoli, Renzo

    1996-01-01

    Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-paramet

  17. Remarks on stochastic acceleration

    International Nuclear Information System (INIS)

    Graeff, P.

    1982-12-01

    Stochastic acceleration and turbulent diffusion are strong turbulence problems since no expansion parameter exists. Hence the problem of finding rigorous results is of major interest both for checking approximations and for reference models. Since we have found a way of constructing such models in the turbulent diffusion case the question of the extension to stochastic acceleration now arises. The paper offers some possibilities illustrated by the case of 'stochastic free fall' which may be particularly interesting in the context of linear response theory. (orig.)

  18. Stochastic heating in the cyclotron resonance of electrons

    International Nuclear Information System (INIS)

    Gutierrez T, C.; Hernandez A, O.

    1999-01-01

    The study of the different schemes of plasma heating by radiofrequency waves is a very actual problem related with the plasma heating in different machines and the particle acceleration mechanisms. In this work, it is obtained the expression for the temporal evolution of the energy absorbed in the cyclotron resonance of electrons where it is showed the stochastic character of the energy absorption. It is obtained the stochastic criteria in a magnetic configuration of an Ecr type plasma source. (Author)

  19. Stochastic bosonization for a d ≥ 3 Fermi system

    International Nuclear Information System (INIS)

    Accardi, L.; Lu, Y.G.; Mastropietro, V.

    1997-01-01

    We consider a system of fermions interacting via an external field and we prove, in d ≥ 3, that a suitable collective operator, bilinear in the fermionic fields, in the stochastic limit becomes a boson quantum brownian motion. The evolution operator after the limit satisfies a quantum stochastic differential equation, in which the imaginary part of the Ito correction is the ground state shift while its real part is the lifetime of the ground state. (orig.)

  20. Extended Jacobi Elliptic Function Rational Expansion Method and Its Application to (2+1)-Dimensional Stochastic Dispersive Long Wave System

    International Nuclear Information System (INIS)

    Song Lina; Zhang Hongqing

    2007-01-01

    In this work, by means of a generalized method and symbolic computation, we extend the Jacobi elliptic function rational expansion method to uniformly construct a series of stochastic wave solutions for stochastic evolution equations. To illustrate the effectiveness of our method, we take the (2+1)-dimensional stochastic dispersive long wave system as an example. We not only have obtained some known solutions, but also have constructed some new rational formal stochastic Jacobi elliptic function solutions.

  1. Stochastic processes inference theory

    CERN Document Server

    Rao, Malempati M

    2014-01-01

    This is the revised and enlarged 2nd edition of the authors’ original text, which was intended to be a modest complement to Grenander's fundamental memoir on stochastic processes and related inference theory. The present volume gives a substantial account of regression analysis, both for stochastic processes and measures, and includes recent material on Ridge regression with some unexpected applications, for example in econometrics. The first three chapters can be used for a quarter or semester graduate course on inference on stochastic processes. The remaining chapters provide more advanced material on stochastic analysis suitable for graduate seminars and discussions, leading to dissertation or research work. In general, the book will be of interest to researchers in probability theory, mathematical statistics and electrical and information theory.

  2. Introduction to stochastic calculus

    CERN Document Server

    Karandikar, Rajeeva L

    2018-01-01

    This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology. The authors briefly address continuous semi-martingales to obtain growth estimates and study solution of a stochastic differential equation (SDE) by using the technique of random time change. Later, by using Metivier–Pellumail inequality, the solutions to SDEs driven by general semi-martingales are discussed. The connection of the theory with mathematical finance is briefly discussed and the book has extensive treatment on the representation of martingales as stochastic integrals and a second fundamental theorem of asset pricing. Intended for undergraduate- and beginning graduate-level stud...

  3. Stochastic coalgebraic logic

    CERN Document Server

    Doberkat, Ernst-Erich

    2009-01-01

    Combining coalgebraic reasoning, stochastic systems and logic, this volume presents the principles of coalgebraic logic from a categorical perspective. Modal logics are also discussed, including probabilistic interpretations and an analysis of Kripke models.

  4. Quantum noise and stochastic reduction

    International Nuclear Information System (INIS)

    Brody, Dorje C; Hughston, Lane P

    2006-01-01

    In standard nonrelativistic quantum mechanics the expectation of the energy is a conserved quantity. It is possible to extend the dynamical law associated with the evolution of a quantum state consistently to include a nonlinear stochastic component, while respecting the conservation law. According to the dynamics thus obtained, referred to as the energy-based stochastic Schroedinger equation, an arbitrary initial state collapses spontaneously to one of the energy eigenstates, thus describing the phenomenon of quantum state reduction. In this paper, two such models are investigated: one that achieves state reduction in infinite time and the other in finite time. The properties of the associated energy expectation process and the energy variance process are worked out in detail. By use of a novel application of a nonlinear filtering method, closed-form solutions-algebraic in character and involving no integration-are obtained of both these models. In each case, the solution is expressed in terms of a random variable representing the terminal energy of the system and an independent noise process. With these solutions at hand it is possible to simulate explicitly the dynamics of the quantum states of complicated physical systems

  5. Approximating Preemptive Stochastic Scheduling

    OpenAIRE

    Megow Nicole; Vredeveld Tjark

    2009-01-01

    We present constant approximative policies for preemptive stochastic scheduling. We derive policies with a guaranteed performance ratio of 2 for scheduling jobs with release dates on identical parallel machines subject to minimizing the sum of weighted completion times. Our policies as well as their analysis apply also to the recently introduced more general model of stochastic online scheduling. The performance guarantee we give matches the best result known for the corresponding determinist...

  6. The stochastic goodwill problem

    OpenAIRE

    Marinelli, Carlo

    2003-01-01

    Stochastic control problems related to optimal advertising under uncertainty are considered. In particular, we determine the optimal strategies for the problem of maximizing the utility of goodwill at launch time and minimizing the disutility of a stream of advertising costs that extends until the launch time for some classes of stochastic perturbations of the classical Nerlove-Arrow dynamics. We also consider some generalizations such as problems with constrained budget and with discretionar...

  7. BRST stochastic quantization

    International Nuclear Information System (INIS)

    Hueffel, H.

    1990-01-01

    After a brief review of the BRST formalism and of the Parisi-Wu stochastic quantization method we introduce the BRST stochastic quantization scheme. It allows the second quantization of constrained Hamiltonian systems in a manifestly gauge symmetry preserving way. The examples of the relativistic particle, the spinning particle and the bosonic string are worked out in detail. The paper is closed by a discussion on the interacting field theory associated to the relativistic point particle system. 58 refs. (Author)

  8. Stochastic effects in hybrid inflation

    Science.gov (United States)

    Martin, Jérôme; Vennin, Vincent

    2012-02-01

    Hybrid inflation is a two-field model where inflation ends due to an instability. In the neighborhood of the instability point, the potential is very flat and the quantum fluctuations dominate over the classical motion of the inflaton and waterfall fields. In this article, we study this regime in the framework of stochastic inflation. We numerically solve the two coupled Langevin equations controlling the evolution of the fields and compute the probability distributions of the total number of e-folds and of the inflation exit point. Then, we discuss the physical consequences of our results, in particular, the question of how the quantum diffusion can affect the observable predictions of hybrid inflation.

  9. The propagator of stochastic electrodynamics

    Science.gov (United States)

    Cavalleri, G.

    1981-01-01

    The "elementary propagator" for the position of a free charged particle subject to the zero-point electromagnetic field with Lorentz-invariant spectral density ~ω3 is obtained. The nonstationary process for the position is solved by the stationary process for the acceleration. The dispersion of the position elementary propagator is compared with that of quantum electrodynamics. Finally, the evolution of the probability density is obtained starting from an initial distribution confined in a small volume and with a Gaussian distribution in the velocities. The resulting probability density for the position turns out to be equal, to within radiative corrections, to ψψ* where ψ is the Kennard wave packet. If the radiative corrections are retained, the present result is new since the corresponding expression in quantum electrodynamics has not yet been found. Besides preceding quantum electrodynamics for this problem, no renormalization is required in stochastic electrodynamics.

  10. Stochastic dynamics of dengue epidemics.

    Science.gov (United States)

    de Souza, David R; Tomé, Tânia; Pinho, Suani T R; Barreto, Florisneide R; de Oliveira, Mário J

    2013-01-01

    We use a stochastic Markovian dynamics approach to describe the spreading of vector-transmitted diseases, such as dengue, and the threshold of the disease. The coexistence space is composed of two structures representing the human and mosquito populations. The human population follows a susceptible-infected-recovered (SIR) type dynamics and the mosquito population follows a susceptible-infected-susceptible (SIS) type dynamics. The human infection is caused by infected mosquitoes and vice versa, so that the SIS and SIR dynamics are interconnected. We develop a truncation scheme to solve the evolution equations from which we get the threshold of the disease and the reproductive ratio. The threshold of the disease is also obtained by performing numerical simulations. We found that for certain values of the infection rates the spreading of the disease is impossible, for any death rate of infected mosquitoes.

  11. On the physical realizability of quantum stochastic walks

    Science.gov (United States)

    Taketani, Bruno; Govia, Luke; Schuhmacher, Peter; Wilhelm, Frank

    Quantum walks are a promising framework that can be used to both understand and implement quantum information processing tasks. The recently developed quantum stochastic walk combines the concepts of a quantum walk and a classical random walk through open system evolution of a quantum system, and have been shown to have applications in as far reaching fields as artificial intelligence. However, nature puts significant constraints on the kind of open system evolutions that can be realized in a physical experiment. In this work, we discuss the restrictions on the allowed open system evolution, and the physical assumptions underpinning them. We then introduce a way to circumvent some of these restrictions, and simulate a more general quantum stochastic walk on a quantum computer, using a technique we call quantum trajectories on a quantum computer. We finally describe a circuit QED approach to implement discrete time quantum stochastic walks.

  12. Stochastic dynamics of melt ponds and sea ice-albedo climate feedback

    Science.gov (United States)

    Sudakov, Ivan

    Evolution of melt ponds on the Arctic sea surface is a complicated stochastic process. We suggest a low-order model with ice-albedo feedback which describes stochastic dynamics of melt ponds geometrical characteristics. The model is a stochastic dynamical system model of energy balance in the climate system. We describe the equilibria in this model. We conclude the transition in fractal dimension of melt ponds affects the shape of the sea ice albedo curve.

  13. Transport in Stochastic Media

    International Nuclear Information System (INIS)

    Haran, O.; Shvarts, D.; Thieberger, R.

    1998-01-01

    Classical transport of neutral particles in a binary, scattering, stochastic media is discussed. It is assumed that the cross-sections of the constituent materials and their volume fractions are known. The inner structure of the media is stochastic, but there exist a statistical knowledge about the lump sizes, shapes and arrangement. The transmission through the composite media depends on the specific heterogeneous realization of the media. The current research focuses on the averaged transmission through an ensemble of realizations, frm which an effective cross-section for the media can be derived. The problem of one dimensional transport in stochastic media has been studied extensively [1]. In the one dimensional description of the problem, particles are transported along a line populated with alternating material segments of random lengths. The current work discusses transport in two-dimensional stochastic media. The phenomenon that is unique to the multi-dimensional description of the problem is obstacle bypassing. Obstacle bypassing tends to reduce the opacity of the media, thereby reducing its effective cross-section. The importance of this phenomenon depends on the manner in which the obstacles are arranged in the media. Results of transport simulations in multi-dimensional stochastic media are presented. Effective cross-sections derived from the simulations are compared against those obtained for the one-dimensional problem, and against those obtained from effective multi-dimensional models, which are partially based on a Markovian assumption

  14. Stochastic approach to microphysics

    Energy Technology Data Exchange (ETDEWEB)

    Aron, J.C.

    1987-01-01

    The presently widespread idea of ''vacuum population'', together with the quantum concept of vacuum fluctuations leads to assume a random level below that of matter. This stochastic approach starts by a reminder of the author's previous work, first on the relation of diffusion laws with the foundations of microphysics, and then on hadron spectrum. Following the latter, a random quark model is advanced; it gives to quark pairs properties similar to those of a harmonic oscillator or an elastic string, imagined as an explanation to their asymptotic freedom and their confinement. The stochastic study of such interactions as electron-nucleon, jets in e/sup +/e/sup -/ collisions, or pp -> ..pi../sup 0/ + X, gives form factors closely consistent with experiment. The conclusion is an epistemological comment (complementarity between stochastic and quantum domains, E.P.R. paradox, etc...).

  15. Stochastic dynamics and irreversibility

    CERN Document Server

    Tomé, Tânia

    2015-01-01

    This textbook presents an exposition of stochastic dynamics and irreversibility. It comprises the principles of probability theory and the stochastic dynamics in continuous spaces, described by Langevin and Fokker-Planck equations, and in discrete spaces, described by Markov chains and master equations. Special concern is given to the study of irreversibility, both in systems that evolve to equilibrium and in nonequilibrium stationary states. Attention is also given to the study of models displaying phase transitions and critical phenomema both in thermodynamic equilibrium and out of equilibrium. These models include the linear Glauber model, the Glauber-Ising model, lattice models with absorbing states such as the contact process and those used in population dynamic and spreading of epidemic, probabilistic cellular automata, reaction-diffusion processes, random sequential adsorption and dynamic percolation. A stochastic approach to chemical reaction is also presented.The textbook is intended for students of ...

  16. Stochastic optimization methods

    CERN Document Server

    Marti, Kurt

    2005-01-01

    Optimization problems arising in practice involve random parameters. For the computation of robust optimal solutions, i.e., optimal solutions being insensitive with respect to random parameter variations, deterministic substitute problems are needed. Based on the distribution of the random data, and using decision theoretical concepts, optimization problems under stochastic uncertainty are converted into deterministic substitute problems. Due to the occurring probabilities and expectations, approximative solution techniques must be applied. Deterministic and stochastic approximation methods and their analytical properties are provided: Taylor expansion, regression and response surface methods, probability inequalities, First Order Reliability Methods, convex approximation/deterministic descent directions/efficient points, stochastic approximation methods, differentiation of probability and mean value functions. Convergence results of the resulting iterative solution procedures are given.

  17. Stochastic quantum gravity

    International Nuclear Information System (INIS)

    Rumpf, H.

    1987-01-01

    We begin with a naive application of the Parisi-Wu scheme to linearized gravity. This will lead into trouble as one peculiarity of the full theory, the indefiniteness of the Euclidean action, shows up already at this level. After discussing some proposals to overcome this problem, Minkowski space stochastic quantization will be introduced. This will still not result in an acceptable quantum theory of linearized gravity, as the Feynman propagator turns out to be non-causal. This defect will be remedied only after a careful analysis of general covariance in stochastic quantization has been performed. The analysis requires the notion of a metric on the manifold of metrics, and a natural candidate for this is singled out. With this a consistent stochastic quantization of Einstein gravity becomes possible. It is even possible, at least perturbatively, to return to the Euclidean regime. 25 refs. (Author)

  18. Separable quadratic stochastic operators

    International Nuclear Information System (INIS)

    Rozikov, U.A.; Nazir, S.

    2009-04-01

    We consider quadratic stochastic operators, which are separable as a product of two linear operators. Depending on properties of these linear operators we classify the set of the separable quadratic stochastic operators: first class of constant operators, second class of linear and third class of nonlinear (separable) quadratic stochastic operators. Since the properties of operators from the first and second classes are well known, we mainly study the properties of the operators of the third class. We describe some Lyapunov functions of the operators and apply them to study ω-limit sets of the trajectories generated by the operators. We also compare our results with known results of the theory of quadratic operators and give some open problems. (author)

  19. Stochastic cooling at Fermilab

    International Nuclear Information System (INIS)

    Marriner, J.

    1986-08-01

    The topics discussed are the stochastic cooling systems in use at Fermilab and some of the techniques that have been employed to meet the particular requirements of the anti-proton source. Stochastic cooling at Fermilab became of paramount importance about 5 years ago when the anti-proton source group at Fermilab abandoned the electron cooling ring in favor of a high flux anti-proton source which relied solely on stochastic cooling to achieve the phase space densities necessary for colliding proton and anti-proton beams. The Fermilab systems have constituted a substantial advance in the techniques of cooling including: large pickup arrays operating at microwave frequencies, extensive use of cryogenic techniques to reduce thermal noise, super-conducting notch filters, and the development of tools for controlling and for accurately phasing the system

  20. Stochastic Feedforward Control Technique

    Science.gov (United States)

    Halyo, Nesim

    1990-01-01

    Class of commanded trajectories modeled as stochastic process. Advanced Transport Operating Systems (ATOPS) research and development program conducted by NASA Langley Research Center aimed at developing capabilities for increases in capacities of airports, safe and accurate flight in adverse weather conditions including shear, winds, avoidance of wake vortexes, and reduced consumption of fuel. Advances in techniques for design of modern controls and increased capabilities of digital flight computers coupled with accurate guidance information from Microwave Landing System (MLS). Stochastic feedforward control technique developed within context of ATOPS program.

  1. Markov stochasticity coordinates

    International Nuclear Information System (INIS)

    Eliazar, Iddo

    2017-01-01

    Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.

  2. Stochastic Switching Dynamics

    DEFF Research Database (Denmark)

    Simonsen, Maria

    This thesis treats stochastic systems with switching dynamics. Models with these characteristics are studied from several perspectives. Initially in a simple framework given in the form of stochastic differential equations and, later, in an extended form which fits into the framework of sliding...... mode control. It is investigated how to understand and interpret solutions to models of switched systems, which are exposed to discontinuous dynamics and uncertainties (primarily) in the form of white noise. The goal is to gain knowledge about the performance of the system by interpreting the solution...

  3. Stochastic dynamics and control

    CERN Document Server

    Sun, Jian-Qiao; Zaslavsky, George

    2006-01-01

    This book is a result of many years of author's research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress proc

  4. Stochastic singular optics

    CSIR Research Space (South Africa)

    Roux, FS

    2013-09-01

    Full Text Available Roux Presented at the International Conference on Correlation Optics 2013 Chernivtsi, Ukraine 18-20 September 2013 CSIR National Laser Centre, Pretoria, South Africa – p. 1/24 Contents ⊲ Defining Stochastic Singular Optics (SSO) ⊲ Tools of Stochastic... of vortices: topological charge ±1 (higher order are unstable). Positive and negative vortex densities np(x, y, z) and nn(x, y, z) ⊲ Vortex density: V = np + nn ⊲ Topological charge density: T = np − nn – p. 4/24 Subfields of SSO ⊲ Homogeneous, normally...

  5. Foundations of stochastic analysis

    CERN Document Server

    Rao, M M; Lukacs, E

    1981-01-01

    Foundations of Stochastic Analysis deals with the foundations of the theory of Kolmogorov and Bochner and its impact on the growth of stochastic analysis. Topics covered range from conditional expectations and probabilities to projective and direct limits, as well as martingales and likelihood ratios. Abstract martingales and their applications are also discussed. Comprised of five chapters, this volume begins with an overview of the basic Kolmogorov-Bochner theorem, followed by a discussion on conditional expectations and probabilities containing several characterizations of operators and mea

  6. Markov stochasticity coordinates

    Energy Technology Data Exchange (ETDEWEB)

    Eliazar, Iddo, E-mail: iddo.eliazar@intel.com

    2017-01-15

    Markov dynamics constitute one of the most fundamental models of random motion between the states of a system of interest. Markov dynamics have diverse applications in many fields of science and engineering, and are particularly applicable in the context of random motion in networks. In this paper we present a two-dimensional gauging method of the randomness of Markov dynamics. The method–termed Markov Stochasticity Coordinates–is established, discussed, and exemplified. Also, the method is tweaked to quantify the stochasticity of the first-passage-times of Markov dynamics, and the socioeconomic equality and mobility in human societies.

  7. Stochastic models, estimation, and control

    CERN Document Server

    Maybeck, Peter S

    1982-01-01

    This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.

  8. Tsunamis: stochastic models of occurrence and generation mechanisms

    Science.gov (United States)

    Geist, Eric L.; Oglesby, David D.

    2014-01-01

    The devastating consequences of the 2004 Indian Ocean and 2011 Japan tsunamis have led to increased research into many different aspects of the tsunami phenomenon. In this entry, we review research related to the observed complexity and uncertainty associated with tsunami generation, propagation, and occurrence described and analyzed using a variety of stochastic methods. In each case, seismogenic tsunamis are primarily considered. Stochastic models are developed from the physical theories that govern tsunami evolution combined with empirical models fitted to seismic and tsunami observations, as well as tsunami catalogs. These stochastic methods are key to providing probabilistic forecasts and hazard assessments for tsunamis. The stochastic methods described here are similar to those described for earthquakes (Vere-Jones 2013) and volcanoes (Bebbington 2013) in this encyclopedia.

  9. Stochastic quantisation: theme and variation

    International Nuclear Information System (INIS)

    Klauder, J.R.; Kyoto Univ.

    1987-01-01

    The paper on stochastic quantisation is a contribution to the book commemorating the sixtieth birthday of E.S. Fradkin. Stochastic quantisation reformulates Euclidean quantum field theory in the language of Langevin equations. The generalised free field is discussed from the viewpoint of stochastic quantisation. An artificial family of highly singular model theories wherein the space-time derivatives are dropped altogether is also examined. Finally a modified form of stochastic quantisation is considered. (U.K.)

  10. Stochastic control theory dynamic programming principle

    CERN Document Server

    Nisio, Makiko

    2015-01-01

    This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-ma...

  11. Stochastic quantization of Proca field

    International Nuclear Information System (INIS)

    Lim, S.C.

    1981-03-01

    We discuss the complications that arise in the application of Nelson's stochastic quantization scheme to classical Proca field. One consistent way to obtain spin-one massive stochastic field is given. It is found that the result of Guerra et al on the connection between ground state stochastic field and the corresponding Euclidean-Markov field extends to the spin-one case. (author)

  12. Stochastic Estimation via Polynomial Chaos

    Science.gov (United States)

    2015-10-01

    AFRL-RW-EG-TR-2015-108 Stochastic Estimation via Polynomial Chaos Douglas V. Nance Air Force Research...COVERED (From - To) 20-04-2015 – 07-08-2015 4. TITLE AND SUBTITLE 5a. CONTRACT NUMBER Stochastic Estimation via Polynomial Chaos ...This expository report discusses fundamental aspects of the polynomial chaos method for representing the properties of second order stochastic

  13. Lateral diffusion of the topological charge density in stochastic optical fields

    CSIR Research Space (South Africa)

    Roux, FS

    2010-01-01

    Full Text Available Stochastic (i.e. random and quasi-random) optical fields may contain distributions of optical vortices that are represented by non-uniform topological charge densities. Numerical simulations are used to investigate the evolution under free...

  14. Stochastic beam dynamics in storage rings

    International Nuclear Information System (INIS)

    Pauluhn, A.

    1993-12-01

    In this thesis several approaches to stochastic dynamics in storage rings are investigated. In the first part the theory of stochastic differential equations and Fokker-Planck equations is used to describe the processes which have been assumed to be Markov processes. The mathematical theory of Markov processes is well known. Nevertheless, analytical solutions can be found only in special cases and numerical algorithms are required. Several numerical integration schemes for stochastic differential equations will therefore be tested in analytical solvable examples and then applied to examples from accelerator physics. In particular the stochastically perturbed synchrotron motion is treated. For the special case of a double rf system several perturbation theoretical methods for deriving the Fokker-Planck equation in the action variable are used and compared with numerical results. The second part is concerned with the dynamics of electron storage rings. Due to the synchrotron radiation the electron motion is influenced by damping and exciting forces. An algorithm for the computation of the density function in the phase space of such a dissipative stochastically excited system is introduced. The density function contains all information of a process, e.g. it determines the beam dimensions and the lifetime of a stored electron beam. The new algorithm consists in calculating a time propagator for the density function. By means of this propagator the time evolution of the density is modelled very computing time efficient. The method is applied to simple models of the beam-beam interaction (one-dimensional, round beams) and the results of the density calculations are compared with results obtained from multiparticle tracking. Furthermore some modifications of the algorithm are introduced to improve its efficiency concerning computing time and storage requirements. Finally, extensions to two-dimensional beam-beam models are described. (orig.)

  15. Elementary stochastic cooling

    Energy Technology Data Exchange (ETDEWEB)

    Tollestrup, A.V.; Dugan, G

    1983-12-01

    Major headings in this review include: proton sources; antiproton production; antiproton sources and Liouville, the role of the Debuncher; transverse stochastic cooling, time domain; the accumulator; frequency domain; pickups and kickers; Fokker-Planck equation; calculation of constants in the Fokker-Planck equation; and beam feedback. (GHT)

  16. Affine stochastic mortality

    NARCIS (Netherlands)

    Schrager, D.F.

    2006-01-01

    We propose a new model for stochastic mortality. The model is based on the literature on affine term structure models. It satisfies three important requirements for application in practice: analytical tractibility, clear interpretation of the factors and compatibility with financial option pricing

  17. Composite stochastic processes

    NARCIS (Netherlands)

    Kampen, N.G. van

    Certain problems in physics and chemistry lead to the definition of a class of stochastic processes. Although they are not Markovian they can be treated explicitly to some extent. In particular, the probability distribution for large times can be found. It is shown to obey a master equation. This

  18. Entropy Production in Stochastics

    Directory of Open Access Journals (Sweden)

    Demetris Koutsoyiannis

    2017-10-01

    Full Text Available While the modern definition of entropy is genuinely probabilistic, in entropy production the classical thermodynamic definition, as in heat transfer, is typically used. Here we explore the concept of entropy production within stochastics and, particularly, two forms of entropy production in logarithmic time, unconditionally (EPLT or conditionally on the past and present having been observed (CEPLT. We study the theoretical properties of both forms, in general and in application to a broad set of stochastic processes. A main question investigated, related to model identification and fitting from data, is how to estimate the entropy production from a time series. It turns out that there is a link of the EPLT with the climacogram, and of the CEPLT with two additional tools introduced here, namely the differenced climacogram and the climacospectrum. In particular, EPLT and CEPLT are related to slopes of log-log plots of these tools, with the asymptotic slopes at the tails being most important as they justify the emergence of scaling laws of second-order characteristics of stochastic processes. As a real-world application, we use an extraordinary long time series of turbulent velocity and show how a parsimonious stochastic model can be identified and fitted using the tools developed.

  19. Stochastic modelling of turbulence

    DEFF Research Database (Denmark)

    Sørensen, Emil Hedevang Lohse

    previously been shown to be closely connected to the energy dissipation. The incorporation of the small scale dynamics into the spatial model opens the door to a fully fledged stochastic model of turbulence. Concerning the interaction of wind and wind turbine, a new method is proposed to extract wind turbine...

  20. Research in Stochastic Processes.

    Science.gov (United States)

    1982-10-31

    Office of Scientific Research Grant AFOSR F49620 82 C 0009 Period: 1 Noveber 1981 through 31 October 1982 Title: Research in Stochastic Processes Co...STA4ATIS CAMBANIS The work briefly described here was developed in connection with problems arising from and related to the statistical comunication

  1. Stochastic Control - External Models

    DEFF Research Database (Denmark)

    Poulsen, Niels Kjølstad

    2005-01-01

    This note is devoted to control of stochastic systems described in discrete time. We are concerned with external descriptions or transfer function model, where we have a dynamic model for the input output relation only (i.e.. no direct internal information). The methods are based on LTI systems...

  2. Stochastic nonlinear beam equations

    Czech Academy of Sciences Publication Activity Database

    Brzezniak, Z.; Maslowski, Bohdan; Seidler, Jan

    2005-01-01

    Roč. 132, č. 1 (2005), s. 119-149 ISSN 0178-8051 R&D Projects: GA ČR(CZ) GA201/01/1197 Institutional research plan: CEZ:AV0Z10190503 Keywords : stochastic beam equation * stability Subject RIV: BA - General Mathematics Impact factor: 0.896, year: 2005

  3. The Asymptotic Behaviour of a Stochastic 3D LANS-α Model

    International Nuclear Information System (INIS)

    Caraballo, Tomas; Marquez-Duran, Antonio M.; Real, Jose

    2006-01-01

    The long-time behaviour of a stochastic 3D LANS-α model on a bounded domain is analysed. First, we reformulate the model as an abstract problem. Next, we establish sufficient conditions ensuring the existence of stationary (steady state) solutions of this abstract nonlinear stochastic evolution equation, and study the stability properties of the model. Finally, we analyse the effects produced by stochastic perturbations in the deterministic version of the system (persistence of exponential stability as well as possible stabilisation effects produced by the noise). The general results are applied to our stochastic LANS-α system throughout the paper

  4. Existence and density theorems for stochastic maps on commutative C*-algebras

    International Nuclear Information System (INIS)

    Alberti, P.M.; Uhlmann, A.

    1979-06-01

    Theorems are presented on the structure of stochastic and normalized positive linear maps over commutative C*-algebras. It is shown how strongly the solution of the n-tupel problem for stochastic maps relates to the fact that stochastic maps of finite rank are weakly dense within stochastic maps in case of a commutative C*-algebra. A new proof of the density theorem is given and (besides the solution of the n-tupel problem) results are derived concerning the extremal maps of certain convex subsets which are weakly dense. All stated facts suggest application in statistical physics (algebraic approach), especially concerning questions around evolution of classical systems. (author)

  5. Stochastic methods for the description of multiparticle production

    International Nuclear Information System (INIS)

    Carruthers, P.

    1984-01-01

    Dynamical questions in the evolution of excited hadronic matter are reviewed, with emphasis on KNO scaling and its possible violation. It is suggested that the KNO distributions is described by a stochastic evolution of the Fokker-Planck type related to underlying field theory by coupled rate equations approximated by Langevin equations with noise. Refined correlation analysis of data, especially the use of intensity interferometry techniques, is recommended for data analysis. 26 references

  6. A stochastic differential equation framework for the turbulent velocity field

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen

    We discuss a stochastic differential equation, as a modelling framework for the turbulent velocity field, that is capable of capturing basic stylized facts of the statistics of velocity increments. In particular, we focus on the evolution of the probability density of velocity increments...

  7. Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance

    KAUST Repository

    Happola, Juho

    2017-09-19

    Stochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.

  8. Stochastic description of supersymmetric fields with values in a manifold

    International Nuclear Information System (INIS)

    Hoba, Z.

    1986-01-01

    This paper discusses the mathematical problem of the imaginary time quantum mechanics of a particle moving in Euclidean space as considered from the theory of diffusion processes. The diffusion process is defined by a stochastic equation; the equation describes the diffusion process as a time evolution of a Brownian particle in a force field. The paper considers a Brownian particle on a Riemannian manifold

  9. Efficient Numerical Methods for Stochastic Differential Equations in Computational Finance

    KAUST Repository

    Happola, Juho

    2017-01-01

    Stochastic Differential Equations (SDE) offer a rich framework to model the probabilistic evolution of the state of a system. Numerical approximation methods are typically needed in evaluating relevant Quantities of Interest arising from such models. In this dissertation, we present novel effective methods for evaluating Quantities of Interest relevant to computational finance when the state of the system is described by an SDE.

  10. Stochastic processes in cell biology

    CERN Document Server

    Bressloff, Paul C

    2014-01-01

    This book develops the theory of continuous and discrete stochastic processes within the context of cell biology.  A wide range of biological topics are covered including normal and anomalous diffusion in complex cellular environments, stochastic ion channels and excitable systems, stochastic calcium signaling, molecular motors, intracellular transport, signal transduction, bacterial chemotaxis, robustness in gene networks, genetic switches and oscillators, cell polarization, polymerization, cellular length control, and branching processes. The book also provides a pedagogical introduction to the theory of stochastic process – Fokker Planck equations, stochastic differential equations, master equations and jump Markov processes, diffusion approximations and the system size expansion, first passage time problems, stochastic hybrid systems, reaction-diffusion equations, exclusion processes, WKB methods, martingales and branching processes, stochastic calculus, and numerical methods.   This text is primarily...

  11. Lectures on Dynamics of Stochastic Systems

    CERN Document Server

    Klyatskin, Valery I

    2010-01-01

    Fluctuating parameters appear in a variety of physical systems and phenomena. They typically come either as random forces/sources, or advecting velocities, or media (material) parameters, like refraction index, conductivity, diffusivity, etc. Models naturally render to statistical description, where random processes and fields express the input parameters and solutions. The fundamental problem of stochastic dynamics is to identify the essential characteristics of system (its state and evolution), and relate those to the input parameters of the system and initial data. This book is a revised a

  12. Stochastic calculus and applications

    CERN Document Server

    Cohen, Samuel N

    2015-01-01

    Completely revised and greatly expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes and stochastic integrals as used by systems theorists, electronic engineers and, more recently, those working in quantitative and mathematical finance. Building upon the original release of this title, this text will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry. New features of this edition include: End of chapter exercises; New chapters on basic measure theory and Backward SDEs; Reworked proofs, examples and explanatory material; Increased focus on motivating the mathematics; Extensive topical index. "Such a self-contained and complete exposition of stochastic calculus and applications fills an existing gap in the literature. The book can be recommended for first-year graduate studies. It will be useful for all who intend to wo...

  13. Some illustrations of stochasticity

    International Nuclear Information System (INIS)

    Laslett, L.J.

    1977-01-01

    A complex, and apparently stochastic, character frequently can be seen to occur in the solutions to simple Hamiltonian problems. Such behavior is of interest, and potentially of importance, to designers of particle accelerators--as well as to workers in other fields of physics and related disciplines. Even a slow development of disorder in the motion of particles in a circular accelerator or storage ring could be troublesome, because a practical design requires the beam particles to remain confined in an orderly manner within a narrow beam tube for literally tens of billions of revolutions. The material presented is primarily the result of computer calculations made to investigate the occurrence of ''stochasticity,'' and is organized in a manner similar to that adopted for presentation at a 1974 accelerator conference

  14. Essentials of stochastic processes

    CERN Document Server

    Durrett, Richard

    2016-01-01

    Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatm...

  15. Dynamic stochastic optimization

    CERN Document Server

    Ermoliev, Yuri; Pflug, Georg

    2004-01-01

    Uncertainties and changes are pervasive characteristics of modern systems involving interactions between humans, economics, nature and technology. These systems are often too complex to allow for precise evaluations and, as a result, the lack of proper management (control) may create significant risks. In order to develop robust strategies we need approaches which explic­ itly deal with uncertainties, risks and changing conditions. One rather general approach is to characterize (explicitly or implicitly) uncertainties by objec­ tive or subjective probabilities (measures of confidence or belief). This leads us to stochastic optimization problems which can rarely be solved by using the standard deterministic optimization and optimal control methods. In the stochastic optimization the accent is on problems with a large number of deci­ sion and random variables, and consequently the focus ofattention is directed to efficient solution procedures rather than to (analytical) closed-form solu­ tions. Objective an...

  16. Stochastic porous media equations

    CERN Document Server

    Barbu, Viorel; Röckner, Michael

    2016-01-01

    Focusing on stochastic porous media equations, this book places an emphasis on existence theorems, asymptotic behavior and ergodic properties of the associated transition semigroup. Stochastic perturbations of the porous media equation have reviously been considered by physicists, but rigorous mathematical existence results have only recently been found. The porous media equation models a number of different physical phenomena, including the flow of an ideal gas and the diffusion of a compressible fluid through porous media, and also thermal propagation in plasma and plasma radiation. Another important application is to a model of the standard self-organized criticality process, called the "sand-pile model" or the "Bak-Tang-Wiesenfeld model". The book will be of interest to PhD students and researchers in mathematics, physics and biology.

  17. Stochastic stacking without filters

    International Nuclear Information System (INIS)

    Johnson, R.P.; Marriner, J.

    1982-12-01

    The rate of accumulation of antiprotons is a critical factor in the design of p anti p colliders. A design of a system to accumulate higher anti p fluxes is presented here which is an alternative to the schemes used at the CERN AA and in the Fermilab Tevatron I design. Contrary to these stacking schemes, which use a system of notch filters to protect the dense core of antiprotons from the high power of the stack tail stochastic cooling, an eddy current shutter is used to protect the core in the region of the stack tail cooling kicker. Without filters one can have larger cooling bandwidths, better mixing for stochastic cooling, and easier operational criteria for the power amplifiers. In the case considered here a flux of 1.4 x 10 8 per sec is achieved with a 4 to 8 GHz bandwidth

  18. Multistage stochastic optimization

    CERN Document Server

    Pflug, Georg Ch

    2014-01-01

    Multistage stochastic optimization problems appear in many ways in finance, insurance, energy production and trading, logistics and transportation, among other areas. They describe decision situations under uncertainty and with a longer planning horizon. This book contains a comprehensive treatment of today’s state of the art in multistage stochastic optimization.  It covers the mathematical backgrounds of approximation theory as well as numerous practical algorithms and examples for the generation and handling of scenario trees. A special emphasis is put on estimation and bounding of the modeling error using novel distance concepts, on time consistency and the role of model ambiguity in the decision process. An extensive treatment of examples from electricity production, asset liability management and inventory control concludes the book

  19. Stochastic hyperfine interactions modeling library

    Science.gov (United States)

    Zacate, Matthew O.; Evenson, William E.

    2011-04-01

    The stochastic hyperfine interactions modeling library (SHIML) provides a set of routines to assist in the development and application of stochastic models of hyperfine interactions. The library provides routines written in the C programming language that (1) read a text description of a model for fluctuating hyperfine fields, (2) set up the Blume matrix, upon which the evolution operator of the system depends, and (3) find the eigenvalues and eigenvectors of the Blume matrix so that theoretical spectra of experimental techniques that measure hyperfine interactions can be calculated. The optimized vector and matrix operations of the BLAS and LAPACK libraries are utilized; however, there was a need to develop supplementary code to find an orthonormal set of (left and right) eigenvectors of complex, non-Hermitian matrices. In addition, example code is provided to illustrate the use of SHIML to generate perturbed angular correlation spectra for the special case of polycrystalline samples when anisotropy terms of higher order than A can be neglected. Program summaryProgram title: SHIML Catalogue identifier: AEIF_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEIF_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: GNU GPL 3 No. of lines in distributed program, including test data, etc.: 8224 No. of bytes in distributed program, including test data, etc.: 312 348 Distribution format: tar.gz Programming language: C Computer: Any Operating system: LINUX, OS X RAM: Varies Classification: 7.4 External routines: TAPP [1], BLAS [2], a C-interface to BLAS [3], and LAPACK [4] Nature of problem: In condensed matter systems, hyperfine methods such as nuclear magnetic resonance (NMR), Mössbauer effect (ME), muon spin rotation (μSR), and perturbed angular correlation spectroscopy (PAC) measure electronic and magnetic structure within Angstroms of nuclear probes through the hyperfine interaction. When

  20. Identifiability in stochastic models

    CERN Document Server

    1992-01-01

    The problem of identifiability is basic to all statistical methods and data analysis, occurring in such diverse areas as Reliability Theory, Survival Analysis, and Econometrics, where stochastic modeling is widely used. Mathematics dealing with identifiability per se is closely related to the so-called branch of ""characterization problems"" in Probability Theory. This book brings together relevant material on identifiability as it occurs in these diverse fields.

  1. Stochastic split determinant algorithms

    International Nuclear Information System (INIS)

    Horvatha, Ivan

    2000-01-01

    I propose a large class of stochastic Markov processes associated with probability distributions analogous to that of lattice gauge theory with dynamical fermions. The construction incorporates the idea of approximate spectral split of the determinant through local loop action, and the idea of treating the infrared part of the split through explicit diagonalizations. I suggest that exact algorithms of practical relevance might be based on Markov processes so constructed

  2. Stochasticity Modeling in Memristors

    KAUST Repository

    Naous, Rawan; Al-Shedivat, Maruan; Salama, Khaled N.

    2015-01-01

    Diverse models have been proposed over the past years to explain the exhibiting behavior of memristors, the fourth fundamental circuit element. The models varied in complexity ranging from a description of physical mechanisms to a more generalized mathematical modeling. Nonetheless, stochasticity, a widespread observed phenomenon, has been immensely overlooked from the modeling perspective. This inherent variability within the operation of the memristor is a vital feature for the integration of this nonlinear device into the stochastic electronics realm of study. In this paper, experimentally observed innate stochasticity is modeled in a circuit compatible format. The model proposed is generic and could be incorporated into variants of threshold-based memristor models in which apparent variations in the output hysteresis convey the switching threshold shift. Further application as a noise injection alternative paves the way for novel approaches in the fields of neuromorphic engineering circuits design. On the other hand, extra caution needs to be paid to variability intolerant digital designs based on non-deterministic memristor logic.

  3. Stochasticity Modeling in Memristors

    KAUST Repository

    Naous, Rawan

    2015-10-26

    Diverse models have been proposed over the past years to explain the exhibiting behavior of memristors, the fourth fundamental circuit element. The models varied in complexity ranging from a description of physical mechanisms to a more generalized mathematical modeling. Nonetheless, stochasticity, a widespread observed phenomenon, has been immensely overlooked from the modeling perspective. This inherent variability within the operation of the memristor is a vital feature for the integration of this nonlinear device into the stochastic electronics realm of study. In this paper, experimentally observed innate stochasticity is modeled in a circuit compatible format. The model proposed is generic and could be incorporated into variants of threshold-based memristor models in which apparent variations in the output hysteresis convey the switching threshold shift. Further application as a noise injection alternative paves the way for novel approaches in the fields of neuromorphic engineering circuits design. On the other hand, extra caution needs to be paid to variability intolerant digital designs based on non-deterministic memristor logic.

  4. Stochastic quantization of instantons

    International Nuclear Information System (INIS)

    Grandati, Y.; Berard, A.; Grange, P.

    1996-01-01

    The method of Parisi and Wu to quantize classical fields is applied to instanton solutions var-phi I of euclidian non-linear theory in one dimension. The solution var-phi var-epsilon of the corresponding Langevin equation is built through a singular perturbative expansion in var-epsilon=h 1/2 in the frame of the center of the mass of the instanton, where the difference var-phi var-epsilon -var-phi I carries only fluctuations of the instanton form. The relevance of the method is shown for the stochastic K dV equation with uniform noise in space: the exact solution usually obtained by the inverse scattering method is retrieved easily by the singular expansion. A general diagrammatic representation of the solution is then established which makes a thorough use of regrouping properties of stochastic diagrams derived in scalar field theory. Averaging over the noise and in the limit of infinite stochastic time, the authors obtain explicit expressions for the first two orders in var-epsilon of the pertrubed instanton of its Green function. Specializing to the Sine-Gordon and var-phi 4 models, the first anaharmonic correction is obtained analytically. The calculation is carried to second order for the var-phi 4 model, showing good convergence. 21 refs., 5 fig

  5. Stochasticity and superadiabaticity in radiofrequency plasma heating

    International Nuclear Information System (INIS)

    Stix, T.H.

    1979-04-01

    In a plasma subject to radiofrequency fields, it is only the resonant particles - comprising just a minor portion of the total velocity distribution - which are strongly affected. Under near-fusion conditions, thermalization by Coulomb collisions is slow, and noncollisional stochasticity can play an important role in reshaping f(v). It is found that the common rf interactions, including Landau, cyclotron and transit-time damping, can be fitted in a unified manner by a simple two-step one-parameter (epsilon) mapping which can display collision-free stochastic or adiabatic (also called superadiabatic) behavior, depending on the choice of epsilon. The effect on the evolution of the space averaged f (x,v,t) is reasonably well described by a pseudo-stochastic diffusion function, D/sub PS/(v,epsilon) which is the quasilinear diffusion coefficient but with appropriate widening of the delta-function spikes. Coulomb collisions, leading to D/sub Coul/(v) which may be added and directly compared to D/sub PS/(v,epsilon), are introduced by Langevin terms in the mapping equations

  6. Stochastic and non-stochastic effects - a conceptual analysis

    International Nuclear Information System (INIS)

    Karhausen, L.R.

    1980-01-01

    The attempt to divide radiation effects into stochastic and non-stochastic effects is discussed. It is argued that radiation or toxicological effects are contingently related to radiation or chemical exposure. Biological effects in general can be described by general laws but these laws never represent a necessary connection. Actually stochastic effects express contingent, or empirical, connections while non-stochastic effects represent semantic and non-factual connections. These two expressions stem from two different levels of discourse. The consequence of this analysis for radiation biology and radiation protection is discussed. (author)

  7. Indirect Inference for Stochastic Differential Equations Based on Moment Expansions

    KAUST Repository

    Ballesio, Marco

    2016-01-06

    We provide an indirect inference method to estimate the parameters of timehomogeneous scalar diffusion and jump diffusion processes. We obtain a system of ODEs that approximate the time evolution of the first two moments of the process by the approximation of the stochastic model applying a second order Taylor expansion of the SDE s infinitesimal generator in the Dynkin s formula. This method allows a simple and efficient procedure to infer the parameters of such stochastic processes given the data by the maximization of the likelihood of an approximating Gaussian process described by the two moments equations. Finally, we perform numerical experiments for two datasets arising from organic and inorganic fouling deposition phenomena.

  8. Mean Field Games for Stochastic Growth with Relative Utility

    Energy Technology Data Exchange (ETDEWEB)

    Huang, Minyi, E-mail: mhuang@math.carleton.ca [Carleton University, School of Mathematics and Statistics (Canada); Nguyen, Son Luu, E-mail: sonluu.nguyen@upr.edu [University of Puerto Rico, Department of Mathematics (United States)

    2016-12-15

    This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.

  9. Gas contract portfolio management: a stochastic programming approach

    International Nuclear Information System (INIS)

    Haurie, A.; Smeers, Y.; Zaccour, G.

    1991-01-01

    This paper deals with a stochastic programming model which complements long range market simulation models generating scenarios concerning the evolution of demand and prices for gas in different market segments. Agas company has to negociate contracts with lengths going from one to twenty years. This stochastic model is designed to assess the risk associated with committing the gas production capacity of the company to these market segments. Different approaches are presented to overcome the difficulties associated with the very large size of the resulting optimization problem

  10. Mean Field Games for Stochastic Growth with Relative Utility

    International Nuclear Information System (INIS)

    Huang, Minyi; Nguyen, Son Luu

    2016-01-01

    This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.

  11. Provably unbounded memory advantage in stochastic simulation using quantum mechanics

    Science.gov (United States)

    Garner, Andrew J. P.; Liu, Qing; Thompson, Jayne; Vedral, Vlatko; Gu, mile

    2017-10-01

    Simulating the stochastic evolution of real quantities on a digital computer requires a trade-off between the precision to which these quantities are approximated, and the memory required to store them. The statistical accuracy of the simulation is thus generally limited by the internal memory available to the simulator. Here, using tools from computational mechanics, we show that quantum processors with a fixed finite memory can simulate stochastic processes of real variables to arbitrarily high precision. This demonstrates a provable, unbounded memory advantage that a quantum simulator can exhibit over its best possible classical counterpart.

  12. Provably unbounded memory advantage in stochastic simulation using quantum mechanics

    International Nuclear Information System (INIS)

    Garner, Andrew J P; Thompson, Jayne; Vedral, Vlatko; Gu, Mile; Liu, Qing

    2017-01-01

    Simulating the stochastic evolution of real quantities on a digital computer requires a trade-off between the precision to which these quantities are approximated, and the memory required to store them. The statistical accuracy of the simulation is thus generally limited by the internal memory available to the simulator. Here, using tools from computational mechanics, we show that quantum processors with a fixed finite memory can simulate stochastic processes of real variables to arbitrarily high precision. This demonstrates a provable, unbounded memory advantage that a quantum simulator can exhibit over its best possible classical counterpart. (paper)

  13. A retrodictive stochastic simulation algorithm

    International Nuclear Information System (INIS)

    Vaughan, T.G.; Drummond, P.D.; Drummond, A.J.

    2010-01-01

    In this paper we describe a simple method for inferring the initial states of systems evolving stochastically according to master equations, given knowledge of the final states. This is achieved through the use of a retrodictive stochastic simulation algorithm which complements the usual predictive stochastic simulation approach. We demonstrate the utility of this new algorithm by applying it to example problems, including the derivation of likely ancestral states of a gene sequence given a Markovian model of genetic mutation.

  14. Stochastic processes and quantum theory

    International Nuclear Information System (INIS)

    Klauder, J.R.

    1975-01-01

    The author analyses a variety of stochastic processes, namely real time diffusion phenomena, which are analogues of imaginary time quantum theory and convariant imaginary time quantum field theory. He elaborates some standard properties involving probability measures and stochastic variables and considers a simple class of examples. Finally he develops the fact that certain stochastic theories actually exhibit divergences that simulate those of covariant quantum field theory and presents examples of both renormaizable and unrenormalizable behavior. (V.J.C.)

  15. Stochastic Analysis with Financial Applications

    CERN Document Server

    Kohatsu-Higa, Arturo; Sheu, Shuenn-Jyi

    2011-01-01

    Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. This book also covers the areas of backward stochastic differential equations via the (non-li

  16. The stochastic spectator

    Energy Technology Data Exchange (ETDEWEB)

    Hardwick, Robert J.; Vennin, Vincent; Wands, David [Institute of Cosmology and Gravitation, University of Portsmouth, Dennis Sciama Building, Burnaby Road, Portsmouth, PO1 3FX (United Kingdom); Byrnes, Christian T.; Torrado, Jesús, E-mail: robert.hardwick@port.ac.uk, E-mail: vincent.vennin@port.ac.uk, E-mail: c.byrnes@sussex.ac.uk, E-mail: jesus.torrado@sussex.ac.uk, E-mail: david.wands@port.ac.uk [Department of Physics and Astronomy, University of Sussex, Brighton BN1 9QH (United Kingdom)

    2017-10-01

    We study the stochastic distribution of spectator fields predicted in different slow-roll inflation backgrounds. Spectator fields have a negligible energy density during inflation but may play an important dynamical role later, even giving rise to primordial density perturbations within our observational horizon today. During de-Sitter expansion there is an equilibrium solution for the spectator field which is often used to estimate the stochastic distribution during slow-roll inflation. However slow roll only requires that the Hubble rate varies slowly compared to the Hubble time, while the time taken for the stochastic distribution to evolve to the de-Sitter equilibrium solution can be much longer than a Hubble time. We study both chaotic (monomial) and plateau inflaton potentials, with quadratic, quartic and axionic spectator fields. We give an adiabaticity condition for the spectator field distribution to relax to the de-Sitter equilibrium, and find that the de-Sitter approximation is never a reliable estimate for the typical distribution at the end of inflation for a quadratic spectator during monomial inflation. The existence of an adiabatic regime at early times can erase the dependence on initial conditions of the final distribution of field values. In these cases, spectator fields acquire sub-Planckian expectation values. Otherwise spectator fields may acquire much larger field displacements than suggested by the de-Sitter equilibrium solution. We quantify the information about initial conditions that can be obtained from the final field distribution. Our results may have important consequences for the viability of spectator models for the origin of structure, such as the simplest curvaton models.

  17. The stochastic spectator

    International Nuclear Information System (INIS)

    Hardwick, Robert J.; Vennin, Vincent; Wands, David; Byrnes, Christian T.; Torrado, Jesús

    2017-01-01

    We study the stochastic distribution of spectator fields predicted in different slow-roll inflation backgrounds. Spectator fields have a negligible energy density during inflation but may play an important dynamical role later, even giving rise to primordial density perturbations within our observational horizon today. During de-Sitter expansion there is an equilibrium solution for the spectator field which is often used to estimate the stochastic distribution during slow-roll inflation. However slow roll only requires that the Hubble rate varies slowly compared to the Hubble time, while the time taken for the stochastic distribution to evolve to the de-Sitter equilibrium solution can be much longer than a Hubble time. We study both chaotic (monomial) and plateau inflaton potentials, with quadratic, quartic and axionic spectator fields. We give an adiabaticity condition for the spectator field distribution to relax to the de-Sitter equilibrium, and find that the de-Sitter approximation is never a reliable estimate for the typical distribution at the end of inflation for a quadratic spectator during monomial inflation. The existence of an adiabatic regime at early times can erase the dependence on initial conditions of the final distribution of field values. In these cases, spectator fields acquire sub-Planckian expectation values. Otherwise spectator fields may acquire much larger field displacements than suggested by the de-Sitter equilibrium solution. We quantify the information about initial conditions that can be obtained from the final field distribution. Our results may have important consequences for the viability of spectator models for the origin of structure, such as the simplest curvaton models.

  18. Portfolio Optimization with Stochastic Dividends and Stochastic Volatility

    Science.gov (United States)

    Varga, Katherine Yvonne

    2015-01-01

    We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…

  19. Stochastic ontogenetic growth model

    Science.gov (United States)

    West, B. J.; West, D.

    2012-02-01

    An ontogenetic growth model (OGM) for a thermodynamically closed system is generalized to satisfy both the first and second law of thermodynamics. The hypothesized stochastic ontogenetic growth model (SOGM) is shown to entail the interspecies allometry relation by explicitly averaging the basal metabolic rate and the total body mass over the steady-state probability density for the total body mass (TBM). This is the first derivation of the interspecies metabolic allometric relation from a dynamical model and the asymptotic steady-state distribution of the TBM is fit to data and shown to be inverse power law.

  20. Stochastic calculus in physics

    International Nuclear Information System (INIS)

    Fox, R.F.

    1987-01-01

    The relationship of Ito-Stratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective Fokker-Planck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich version of the Ito-Stratonovich calculus for white noise. It also provides an approach to steady state behavior for strongly colored noise. Numerical simulation algorithms are explored, and a novel suggestion is made for efficient and accurate simulation of white noise equations

  1. The stochastic quality calculus

    DEFF Research Database (Denmark)

    Zeng, Kebin; Nielson, Flemming; Nielson, Hanne Riis

    2014-01-01

    We introduce the Stochastic Quality Calculus in order to model and reason about distributed processes that rely on each other in order to achieve their overall behaviour. The calculus supports broadcast communication in a truly concurrent setting. Generally distributed delays are associated...... with the outputs and at the same time the inputs impose constraints on the waiting times. Consequently, the expected inputs may not be available when needed and therefore the calculus allows to express the absence of data.The communication delays are expressed by general distributions and the resulting semantics...

  2. Stochastic conditional intensity processes

    DEFF Research Database (Denmark)

    Bauwens, Luc; Hautsch, Nikolaus

    2006-01-01

    model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence......In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...

  3. Trajectory averaging for stochastic approximation MCMC algorithms

    KAUST Repository

    Liang, Faming

    2010-01-01

    to the stochastic approximation Monte Carlo algorithm [Liang, Liu and Carroll J. Amer. Statist. Assoc. 102 (2007) 305-320]. The application of the trajectory averaging estimator to other stochastic approximationMCMC algorithms, for example, a stochastic

  4. Classical and spatial stochastic processes with applications to biology

    CERN Document Server

    Schinazi, Rinaldo B

    2014-01-01

    The revised and expanded edition of this textbook presents the concepts and applications of random processes with the same illuminating simplicity as its first edition, but with the notable addition of substantial modern material on biological modeling. While still treating many important problems in fields such as engineering and mathematical physics, the book also focuses on the highly relevant topics of cancerous mutations, influenza evolution, drug resistance, and immune response. The models used elegantly apply various classical stochastic models presented earlier in the text, and exercises are included throughout to reinforce essential concepts. The second edition of Classical and Spatial Stochastic Processes is suitable as a textbook for courses in stochastic processes at the advanced-undergraduate and graduate levels, or as a self-study resource for researchers and practitioners in mathematics, engineering, physics, and mathematical biology. Reviews of the first edition: An appetizing textbook for a f...

  5. Stochastic Blind Motion Deblurring

    KAUST Repository

    Xiao, Lei

    2015-05-13

    Blind motion deblurring from a single image is a highly under-constrained problem with many degenerate solutions. A good approximation of the intrinsic image can therefore only be obtained with the help of prior information in the form of (often non-convex) regularization terms for both the intrinsic image and the kernel. While the best choice of image priors is still a topic of ongoing investigation, this research is made more complicated by the fact that historically each new prior requires the development of a custom optimization method. In this paper, we develop a stochastic optimization method for blind deconvolution. Since this stochastic solver does not require the explicit computation of the gradient of the objective function and uses only efficient local evaluation of the objective, new priors can be implemented and tested very quickly. We demonstrate that this framework, in combination with different image priors produces results with PSNR values that match or exceed the results obtained by much more complex state-of-the-art blind motion deblurring algorithms.

  6. Simple stochastic simulation.

    Science.gov (United States)

    Schilstra, Maria J; Martin, Stephen R

    2009-01-01

    Stochastic simulations may be used to describe changes with time of a reaction system in a way that explicitly accounts for the fact that molecules show a significant degree of randomness in their dynamic behavior. The stochastic approach is almost invariably used when small numbers of molecules or molecular assemblies are involved because this randomness leads to significant deviations from the predictions of the conventional deterministic (or continuous) approach to the simulation of biochemical kinetics. Advances in computational methods over the three decades that have elapsed since the publication of Daniel Gillespie's seminal paper in 1977 (J. Phys. Chem. 81, 2340-2361) have allowed researchers to produce highly sophisticated models of complex biological systems. However, these models are frequently highly specific for the particular application and their description often involves mathematical treatments inaccessible to the nonspecialist. For anyone completely new to the field to apply such techniques in their own work might seem at first sight to be a rather intimidating prospect. However, the fundamental principles underlying the approach are in essence rather simple, and the aim of this article is to provide an entry point to the field for a newcomer. It focuses mainly on these general principles, both kinetic and computational, which tend to be not particularly well covered in specialist literature, and shows that interesting information may even be obtained using very simple operations in a conventional spreadsheet.

  7. AA, stochastic precooling pickup

    CERN Multimedia

    CERN PhotoLab

    1980-01-01

    The freshly injected antiprotons were subjected to fast stochastic "precooling". In this picture of a precooling pickup, the injection orbit is to the left, the stack orbit to the far right. After several seconds of precooling with the system's kickers (in momentum and in the vertical plane), the precooled antiprotons were transferred, by means of RF, to the stack tail, where they were subjected to further stochastic cooling in momentum and in both transverse planes, until they ended up, deeply cooled, in the stack core. During precooling, a shutter near the central orbit shielded the pickups from the signals emanating from the stack-core, whilst the stack-core was shielded from the violent action of the precooling kickers by a shutter on these. All shutters were opened briefly during transfer of the precooled antiprotons to the stack tail. Here, the shutter is not yet mounted. Precooling pickups and kickers had the same design, except that the kickers had cooling circuits and the pickups had none. Peering th...

  8. Behavioral Stochastic Resonance

    Science.gov (United States)

    Freund, Jan A.; Schimansky-Geier, Lutz; Beisner, Beatrix; Neiman, Alexander; Russell, David F.; Yakusheva, Tatyana; Moss, Frank

    2001-03-01

    Zooplankton emit weak electric fields into the surrounding water that originate from their own muscular activities associated with swimming and feeding. Juvenile paddlefish prey upon single zooplankton by detecting and tracking these weak electric signatures. The passive electric sense in the fish is provided by an elaborate array of electroreceptors, Ampullae Lorenzini, spread over the surface of an elongated rostrum. We have previously shown that the fish use stochastic resonance to enhance prey capture near the detection threshold of their sensory system. But stochastic resonance requires an external source of electrical noise in order to function. The required noise can be provided by a swarm of plankton, for example Daphnia. Thus juvenile paddlefish can detect and attack single Daphnia as outliers in the vicinity of the swarm by making use of noise from the swarm itself. From the power spectral density of the noise plus the weak signal from a single Daphnia we calculate the signal-to-noise ratio and the Fisher information at the surface of the paddlefish's rostrum. The results predict a specific attack pattern for the paddlefish that appears to be experimentally testable.

  9. Stochastic programming with integer recourse

    NARCIS (Netherlands)

    van der Vlerk, Maarten Hendrikus

    1995-01-01

    In this thesis we consider two-stage stochastic linear programming models with integer recourse. Such models are at the intersection of two different branches of mathematical programming. On the one hand some of the model parameters are random, which places the problem in the field of stochastic

  10. Thermal mixtures in stochastic mechanics

    Energy Technology Data Exchange (ETDEWEB)

    Guerra, F [Rome Univ. (Italy). Ist. di Matematica; Loffredo, M I [Salerno Univ. (Italy). Ist. di Fisica

    1981-01-17

    Stochastic mechanics is extended to systems in thermal equilibrium. The resulting stochastic processes are mixtures of Nelson processes. Their Markov property is investigated in some simple cases. It is found that in order to inforce Markov property the algebra of observable associated to the present must be suitably enlarged.

  11. Stochastic Pi-calculus Revisited

    DEFF Research Database (Denmark)

    Cardelli, Luca; Mardare, Radu Iulian

    2013-01-01

    We develop a version of stochastic Pi-calculus with a semantics based on measure theory. We dene the behaviour of a process in a rate environment using measures over the measurable space of processes induced by structural congruence. We extend the stochastic bisimulation to include the concept of...

  12. Alternative Asymmetric Stochastic Volatility Models

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is

  13. Stochastic ferromagnetism analysis and numerics

    CERN Document Server

    Brzezniak, Zdzislaw; Neklyudov, Mikhail; Prohl, Andreas

    2013-01-01

    This monograph examines magnetization dynamics at elevated temperatures which can be described by the stochastic Landau-Lifshitz-Gilbert equation (SLLG). Comparative computational studies with the stochastic model are included. Constructive tools such as e.g. finite element methods are used to derive the theoretical results, which are then used for computational studies.

  14. Variance decomposition in stochastic simulators.

    Science.gov (United States)

    Le Maître, O P; Knio, O M; Moraes, A

    2015-06-28

    This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

  15. Variance decomposition in stochastic simulators

    Science.gov (United States)

    Le Maître, O. P.; Knio, O. M.; Moraes, A.

    2015-06-01

    This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

  16. Brownian motion and stochastic calculus

    CERN Document Server

    Karatzas, Ioannis

    1998-01-01

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

  17. Variance decomposition in stochastic simulators

    Energy Technology Data Exchange (ETDEWEB)

    Le Maître, O. P., E-mail: olm@limsi.fr [LIMSI-CNRS, UPR 3251, Orsay (France); Knio, O. M., E-mail: knio@duke.edu [Department of Mechanical Engineering and Materials Science, Duke University, Durham, North Carolina 27708 (United States); Moraes, A., E-mail: alvaro.moraesgutierrez@kaust.edu.sa [King Abdullah University of Science and Technology, Thuwal (Saudi Arabia)

    2015-06-28

    This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

  18. Variance decomposition in stochastic simulators

    KAUST Repository

    Le Maî tre, O. P.; Knio, O. M.; Moraes, Alvaro

    2015-01-01

    This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

  19. Constraining Stochastic Parametrisation Schemes Using High-Resolution Model Simulations

    Science.gov (United States)

    Christensen, H. M.; Dawson, A.; Palmer, T.

    2017-12-01

    Stochastic parametrisations are used in weather and climate models as a physically motivated way to represent model error due to unresolved processes. Designing new stochastic schemes has been the target of much innovative research over the last decade. While a focus has been on developing physically motivated approaches, many successful stochastic parametrisation schemes are very simple, such as the European Centre for Medium-Range Weather Forecasts (ECMWF) multiplicative scheme `Stochastically Perturbed Parametrisation Tendencies' (SPPT). The SPPT scheme improves the skill of probabilistic weather and seasonal forecasts, and so is widely used. However, little work has focused on assessing the physical basis of the SPPT scheme. We address this matter by using high-resolution model simulations to explicitly measure the `error' in the parametrised tendency that SPPT seeks to represent. The high resolution simulations are first coarse-grained to the desired forecast model resolution before they are used to produce initial conditions and forcing data needed to drive the ECMWF Single Column Model (SCM). By comparing SCM forecast tendencies with the evolution of the high resolution model, we can measure the `error' in the forecast tendencies. In this way, we provide justification for the multiplicative nature of SPPT, and for the temporal and spatial scales of the stochastic perturbations. However, we also identify issues with the SPPT scheme. It is therefore hoped these measurements will improve both holistic and process based approaches to stochastic parametrisation. Figure caption: Instantaneous snapshot of the optimal SPPT stochastic perturbation, derived by comparing high-resolution simulations with a low resolution forecast model.

  20. Stochastic solution of population balance equations for reactor networks

    International Nuclear Information System (INIS)

    Menz, William J.; Akroyd, Jethro; Kraft, Markus

    2014-01-01

    This work presents a sequential modular approach to solve a generic network of reactors with a population balance model using a stochastic numerical method. Full-coupling to the gas-phase is achieved through operator-splitting. The convergence of the stochastic particle algorithm in test networks is evaluated as a function of network size, recycle fraction and numerical parameters. These test cases are used to identify methods through which systematic and statistical error may be reduced, including by use of stochastic weighted algorithms. The optimal algorithm was subsequently used to solve a one-dimensional example of silicon nanoparticle synthesis using a multivariate particle model. This example demonstrated the power of stochastic methods in resolving particle structure by investigating the transient and spatial evolution of primary polydispersity, degree of sintering and TEM-style images. Highlights: •An algorithm is presented to solve reactor networks with a population balance model. •A stochastic method is used to solve the population balance equations. •The convergence and efficiency of the reported algorithms are evaluated. •The algorithm is applied to simulate silicon nanoparticle synthesis in a 1D reactor. •Particle structure is reported as a function of reactor length and time

  1. Spatially heterogeneous stochasticity and the adaptive diversification of dormancy.

    Science.gov (United States)

    Rajon, E; Venner, S; Menu, F

    2009-10-01

    Diversified bet-hedging, a strategy that leads several individuals with the same genotype to express distinct phenotypes in a given generation, is now well established as a common evolutionary response to environmental stochasticity. Life-history traits defined as diversified bet-hedging (e.g. germination or diapause strategies) display marked differences between populations in spatial proximity. In order to find out whether such differences can be explained by local adaptations to spatially heterogeneous environmental stochasticity, we explored the evolution of bet-hedging dormancy strategies in a metapopulation using a two-patch model with patch differences in stochastic juvenile survival. We found that spatial differences in the level of environmental stochasticity, restricted dispersal, increased fragmentation and intermediate survival during dormancy all favour the adaptive diversification of bet-hedging dormancy strategies. Density dependency also plays a major role in the diversification of dormancy strategies because: (i) it may interact locally with environmental stochasticity and amplify its effects; however, (ii) it can also generate chaotic population dynamics that may impede diversification. Our work proposes new hypotheses to explain the spatial patterns of bet-hedging strategies that we hope will encourage new empirical studies of this topic.

  2. Applied stochastic modelling

    CERN Document Server

    Morgan, Byron JT; Tanner, Martin Abba; Carlin, Bradley P

    2008-01-01

    Introduction and Examples Introduction Examples of data sets Basic Model Fitting Introduction Maximum-likelihood estimation for a geometric model Maximum-likelihood for the beta-geometric model Modelling polyspermy Which model? What is a model for? Mechanistic models Function Optimisation Introduction MATLAB: graphs and finite differences Deterministic search methods Stochastic search methods Accuracy and a hybrid approach Basic Likelihood ToolsIntroduction Estimating standard errors and correlations Looking at surfaces: profile log-likelihoods Confidence regions from profiles Hypothesis testing in model selectionScore and Wald tests Classical goodness of fit Model selection biasGeneral Principles Introduction Parameterisation Parameter redundancy Boundary estimates Regression and influence The EM algorithm Alternative methods of model fitting Non-regular problemsSimulation Techniques Introduction Simulating random variables Integral estimation Verification Monte Carlo inference Estimating sampling distributi...

  3. Stochastic population theories

    CERN Document Server

    Ludwig, Donald

    1974-01-01

    These notes serve as an introduction to stochastic theories which are useful in population biology; they are based on a course given at the Courant Institute, New York, in the Spring of 1974. In order to make the material. accessible to a wide audience, it is assumed that the reader has only a slight acquaintance with probability theory and differential equations. The more sophisticated topics, such as the qualitative behavior of nonlinear models, are approached through a succession of simpler problems. Emphasis is placed upon intuitive interpretations, rather than upon formal proofs. In most cases, the reader is referred elsewhere for a rigorous development. On the other hand, an attempt has been made to treat simple, useful models in some detail. Thus these notes complement the existing mathematical literature, and there appears to be little duplication of existing works. The authors are indebted to Miss Jeanette Figueroa for her beautiful and speedy typing of this work. The research was supported by the Na...

  4. An upper limit on the stochastic gravitational-wave background of cosmological origin.

    Science.gov (United States)

    Abbott, B P; Abbott, R; Acernese, F; Adhikari, R; Ajith, P; Allen, B; Allen, G; Alshourbagy, M; Amin, R S; Anderson, S B; Anderson, W G; Antonucci, F; Aoudia, S; Arain, M A; Araya, M; Armandula, H; Armor, P; Arun, K G; Aso, Y; Aston, S; Astone, P; Aufmuth, P; Aulbert, C; Babak, S; Baker, P; Ballardin, G; Ballmer, S; Barker, C; Barker, D; Barone, F; Barr, B; Barriga, P; Barsotti, L; Barsuglia, M; Barton, M A; Bartos, I; Bassiri, R; Bastarrika, M; Bauer, Th S; Behnke, B; Beker, M; Benacquista, M; Betzwieser, J; Beyersdorf, P T; Bigotta, S; Bilenko, I A; Billingsley, G; Birindelli, S; Biswas, R; Bizouard, M A; Black, E; Blackburn, J K; Blackburn, L; Blair, D; Bland, B; Boccara, C; Bodiya, T P; Bogue, L; Bondu, F; Bonelli, L; Bork, R; Boschi, V; Bose, S; Bosi, L; Braccini, S; Bradaschia, C; Brady, P R; Braginsky, V B; Brand, J F J van den; Brau, J E; Bridges, D O; Brillet, A; Brinkmann, M; Brisson, V; Van Den Broeck, C; Brooks, A F; Brown, D A; Brummit, A; Brunet, G; Bullington, A; Bulten, H J; Buonanno, A; Burmeister, O; Buskulic, D; Byer, R L; Cadonati, L; Cagnoli, G; Calloni, E; Camp, J B; Campagna, E; Cannizzo, J; Cannon, K C; Canuel, B; Cao, J; Carbognani, F; Cardenas, L; Caride, S; Castaldi, G; Caudill, S; Cavaglià, M; Cavalier, F; Cavalieri, R; Cella, G; Cepeda, C; Cesarini, E; Chalermsongsak, T; Chalkley, E; Charlton, P; Chassande-Mottin, E; Chatterji, S; Chelkowski, S; Chen, Y; Christensen, N; Chung, C T Y; Clark, D; Clark, J; Clayton, J H; Cleva, F; Coccia, E; Cokelaer, T; Colacino, C N; Colas, J; Colla, A; Colombini, M; Conte, R; Cook, D; Corbitt, T R C; Corda, C; Cornish, N; Corsi, A; Coulon, J-P; Coward, D; Coyne, D C; Creighton, J D E; Creighton, T D; Cruise, A M; Culter, R M; Cumming, A; Cunningham, L; Cuoco, E; Danilishin, S L; D'Antonio, S; Danzmann, K; Dari, A; Dattilo, V; Daudert, B; Davier, M; Davies, G; Daw, E J; Day, R; De Rosa, R; Debra, D; Degallaix, J; Del Prete, M; Dergachev, V; Desai, S; Desalvo, R; Dhurandhar, S; Di Fiore, L; Di Lieto, A; Di Paolo Emilio, M; Di Virgilio, A; Díaz, M; Dietz, A; Donovan, F; Dooley, K L; Doomes, E E; Drago, M; Drever, R W P; Dueck, J; Duke, I; Dumas, J-C; Dwyer, J G; Echols, C; Edgar, M; Effler, A; Ehrens, P; Ely, G; Espinoza, E; Etzel, T; Evans, M; Evans, T; Fafone, V; Fairhurst, S; Faltas, Y; Fan, Y; Fazi, D; Fehrmann, H; Ferrante, I; Fidecaro, F; Finn, L S; Fiori, I; Flaminio, R; Flasch, K; Foley, S; Forrest, C; Fotopoulos, N; Fournier, J-D; Franc, J; Franzen, A; Frasca, S; Frasconi, F; Frede, M; Frei, M; Frei, Z; Freise, A; Frey, R; Fricke, T; Fritschel, P; Frolov, V V; Fyffe, M; Galdi, V; Gammaitoni, L; Garofoli, J A; Garufi, F; Genin, E; Gennai, A; Gholami, I; Giaime, J A; Giampanis, S; Giardina, K D; Giazotto, A; Goda, K; Goetz, E; Goggin, L M; González, G; Gorodetsky, M L; Gobler, S; Gouaty, R; Granata, M; Granata, V; Grant, A; Gras, S; Gray, C; Gray, M; Greenhalgh, R J S; Gretarsson, A M; Greverie, C; Grimaldi, F; Grosso, R; Grote, H; Grunewald, S; Guenther, M; Guidi, G; Gustafson, E K; Gustafson, R; Hage, B; Hallam, J M; Hammer, D; Hammond, G D; Hanna, C; Hanson, J; Harms, J; Harry, G M; Harry, I W; Harstad, E D; Haughian, K; Hayama, K; Heefner, J; Heitmann, H; Hello, P; Heng, I S; Heptonstall, A; Hewitson, M; Hild, S; Hirose, E; Hoak, D; Hodge, K A; Holt, K; Hosken, D J; Hough, J; Hoyland, D; Huet, D; Hughey, B; Huttner, S H; Ingram, D R; Isogai, T; Ito, M; Ivanov, A; Johnson, B; Johnson, W W; Jones, D I; Jones, G; Jones, R; Sancho de la Jordana, L; Ju, L; Kalmus, P; Kalogera, V; Kandhasamy, S; Kanner, J; Kasprzyk, D; Katsavounidis, E; Kawabe, K; Kawamura, S; Kawazoe, F; Kells, W; Keppel, D G; Khalaidovski, A; Khalili, F Y; Khan, R; Khazanov, E; King, P; Kissel, J S; Klimenko, S; Kokeyama, K; Kondrashov, V; Kopparapu, R; Koranda, S; Kozak, D; Krishnan, B; Kumar, R; Kwee, P; La Penna, P; Lam, P K; Landry, M; Lantz, B; Laval, M; Lazzarini, A; Lei, H; Lei, M; Leindecker, N; Leonor, I; Leroy, N; Letendre, N; Li, C; Lin, H; Lindquist, P E; Littenberg, T B; Lockerbie, N A; Lodhia, D; Longo, M; Lorenzini, M; Loriette, V; Lormand, M; Losurdo, G; Lu, P; Lubinski, M; Lucianetti, A; Lück, H; Machenschalk, B; Macinnis, M; Mackowski, J-M; Mageswaran, M; Mailand, K; Majorana, E; Man, N; Mandel, I; Mandic, V; Mantovani, M; Marchesoni, F; Marion, F; Márka, S; Márka, Z; Markosyan, A; Markowitz, J; Maros, E; Marque, J; Martelli, F; Martin, I W; Martin, R M; Marx, J N; Mason, K; Masserot, A; Matichard, F; Matone, L; Matzner, R A; Mavalvala, N; McCarthy, R; McClelland, D E; McGuire, S C; McHugh, M; McIntyre, G; McKechan, D J A; McKenzie, K; Mehmet, M; Melatos, A; Melissinos, A C; Mendell, G; Menéndez, D F; Menzinger, F; Mercer, R A; Meshkov, S; Messenger, C; Meyer, M S; Michel, C; Milano, L; Miller, J; Minelli, J; Minenkov, Y; Mino, Y; Mitrofanov, V P; Mitselmakher, G; Mittleman, R; Miyakawa, O; Moe, B; Mohan, M; Mohanty, S D; Mohapatra, S R P; Moreau, J; Moreno, G; Morgado, N; Morgia, A; Morioka, T; Mors, K; Mosca, S; Mossavi, K; Mours, B; Mowlowry, C; Mueller, G; Muhammad, D; Mühlen, H Zur; Mukherjee, S; Mukhopadhyay, H; Mullavey, A; Müller-Ebhardt, H; Munch, J; Murray, P G; Myers, E; Myers, J; Nash, T; Nelson, J; Neri, I; Newton, G; Nishizawa, A; Nocera, F; Numata, K; Ochsner, E; O'Dell, J; Ogin, G H; O'Reilly, B; O'Shaughnessy, R; Ottaway, D J; Ottens, R S; Overmier, H; Owen, B J; Pagliaroli, G; Palomba, C; Pan, Y; Pankow, C; Paoletti, F; Papa, M A; Parameshwaraiah, V; Pardi, S; Pasqualetti, A; Passaquieti, R; Passuello, D; Patel, P; Pedraza, M; Penn, S; Perreca, A; Persichetti, G; Pichot, M; Piergiovanni, F; Pierro, V; Pinard, L; Pinto, I M; Pitkin, M; Pletsch, H J; Plissi, M V; Poggiani, R; Postiglione, F; Principe, M; Prix, R; Prodi, G A; Prokhorov, L; Punken, O; Punturo, M; Puppo, P; Putten, S van der; Quetschke, V; Raab, F J; Rabaste, O; Rabeling, D S; Radkins, H; Raffai, P; Raics, Z; Rainer, N; Rakhmanov, M; Rapagnani, P; Raymond, V; Re, V; Reed, C M; Reed, T; Regimbau, T; Rehbein, H; Reid, S; Reitze, D H; Ricci, F; Riesen, R; Riles, K; Rivera, B; Roberts, P; Robertson, N A; Robinet, F; Robinson, C; Robinson, E L; Rocchi, A; Roddy, S; Rolland, L; Rollins, J; Romano, J D; Romano, R; Romie, J H; Röver, C; Rowan, S; Rüdiger, A; Ruggi, P; Russell, P; Ryan, K; Sakata, S; Salemi, F; Sandberg, V; Sannibale, V; Santamaría, L; Saraf, S; Sarin, P; Sassolas, B; Sathyaprakash, B S; Sato, S; Satterthwaite, M; Saulson, P R; Savage, R; Savov, P; Scanlan, M; Schilling, R; Schnabel, R; Schofield, R; Schulz, B; Schutz, B F; Schwinberg, P; Scott, J; Scott, S M; Searle, A C; Sears, B; Seifert, F; Sellers, D; Sengupta, A S; Sentenac, D; Sergeev, A; Shapiro, B; Shawhan, P; Shoemaker, D H; Sibley, A; Siemens, X; Sigg, D; Sinha, S; Sintes, A M; Slagmolen, B J J; Slutsky, J; van der Sluys, M V; Smith, J R; Smith, M R; Smith, N D; Somiya, K; Sorazu, B; Stein, A; Stein, L C; Steplewski, S; Stochino, A; Stone, R; Strain, K A; Strigin, S; Stroeer, A; Sturani, R; Stuver, A L; Summerscales, T Z; Sun, K-X; Sung, M; Sutton, P J; Swinkels, B L; Szokoly, G P; Talukder, D; Tang, L; Tanner, D B; Tarabrin, S P; Taylor, J R; Taylor, R; Terenzi, R; Thacker, J; Thorne, K A; Thorne, K S; Thüring, A; Tokmakov, K V; Toncelli, A; Tonelli, M; Torres, C; Torrie, C; Tournefier, E; Travasso, F; Traylor, G; Trias, M; Trummer, J; Ugolini, D; Ulmen, J; Urbanek, K; Vahlbruch, H; Vajente, G; Vallisneri, M; Vass, S; Vaulin, R; Vavoulidis, M; Vecchio, A; Vedovato, G; van Veggel, A A; Veitch, J; Veitch, P; Veltkamp, C; Verkindt, D; Vetrano, F; Viceré, A; Villar, A; Vinet, J-Y; Vocca, H; Vorvick, C; Vyachanin, S P; Waldman, S J; Wallace, L; Ward, H; Ward, R L; Was, M; Weidner, A; Weinert, M; Weinstein, A J; Weiss, R; Wen, L; Wen, S; Wette, K; Whelan, J T; Whitcomb, S E; Whiting, B F; Wilkinson, C; Willems, P A; Williams, H R; Williams, L; Willke, B; Wilmut, I; Winkelmann, L; Winkler, W; Wipf, C C; Wiseman, A G; Woan, G; Wooley, R; Worden, J; Wu, W; Yakushin, I; Yamamoto, H; Yan, Z; Yoshida, S; Yvert, M; Zanolin, M; Zhang, J; Zhang, L; Zhao, C; Zotov, N; Zucker, M E; Zweizig, J

    2009-08-20

    A stochastic background of gravitational waves is expected to arise from a superposition of a large number of unresolved gravitational-wave sources of astrophysical and cosmological origin. It should carry unique signatures from the earliest epochs in the evolution of the Universe, inaccessible to standard astrophysical observations. Direct measurements of the amplitude of this background are therefore of fundamental importance for understanding the evolution of the Universe when it was younger than one minute. Here we report limits on the amplitude of the stochastic gravitational-wave background using the data from a two-year science run of the Laser Interferometer Gravitational-wave Observatory (LIGO). Our result constrains the energy density of the stochastic gravitational-wave background normalized by the critical energy density of the Universe, in the frequency band around 100 Hz, to be theory models. This search for the stochastic background improves on the indirect limits from Big Bang nucleosynthesis and cosmic microwave background at 100 Hz.

  5. Evolution of Isolated Neutron Stars

    OpenAIRE

    Popov, S. B.

    2001-01-01

    In this paper we briefly review our recent results on evolution and properties of isolated neutron stars (INSs) in the Galaxy. As the first step we discuss stochastic period evolution of INSs. We briefly discuss how an INS's spin period evolves under influence of interaction with turbulized interstellar medium. To investigate statistical properties of the INS population we calculate a {\\it census} of INSs in our Galaxy. Then we show that for exponential field decay the range of minimum value ...

  6. RES: Regularized Stochastic BFGS Algorithm

    Science.gov (United States)

    Mokhtari, Aryan; Ribeiro, Alejandro

    2014-12-01

    RES, a regularized stochastic version of the Broyden-Fletcher-Goldfarb-Shanno (BFGS) quasi-Newton method is proposed to solve convex optimization problems with stochastic objectives. The use of stochastic gradient descent algorithms is widespread, but the number of iterations required to approximate optimal arguments can be prohibitive in high dimensional problems. Application of second order methods, on the other hand, is impracticable because computation of objective function Hessian inverses incurs excessive computational cost. BFGS modifies gradient descent by introducing a Hessian approximation matrix computed from finite gradient differences. RES utilizes stochastic gradients in lieu of deterministic gradients for both, the determination of descent directions and the approximation of the objective function's curvature. Since stochastic gradients can be computed at manageable computational cost RES is realizable and retains the convergence rate advantages of its deterministic counterparts. Convergence results show that lower and upper bounds on the Hessian egeinvalues of the sample functions are sufficient to guarantee convergence to optimal arguments. Numerical experiments showcase reductions in convergence time relative to stochastic gradient descent algorithms and non-regularized stochastic versions of BFGS. An application of RES to the implementation of support vector machines is developed.

  7. Effects of stochastic noise on dynamical decoupling procedures

    Energy Technology Data Exchange (ETDEWEB)

    Bernad, Jozsef Zsolt; Frydrych, Holger; Alber, Gernot [Institut fuer Angewandte Physik, Technische Universitaet Darmstadt, D-64289 Darmstadt (Germany)

    2013-07-01

    Dynamical decoupling is a well-established technique to protect quantum systems from unwanted influences of their environment by exercising active control. It has been used experimentally to drastically increase the lifetime of qubit states in various implementations. The efficiency of different dynamical decoupling schemes defines the lifetime. However, errors in control operations always limit this efficiency. We propose a stochastic model as a possible description of imperfect control pulses and discuss the impact of this kind of error on different decoupling schemes. In the limit of continuous control, i.e. if the number of pulses N → ∞, we derive a stochastic differential equation for the evolution of the density operator of the controlled system and its environment. In the context of this modified time evolution we discuss possibilities of protecting qubit states against environmental noise.

  8. Stochastic estimation of electricity consumption

    International Nuclear Information System (INIS)

    Kapetanovic, I.; Konjic, T.; Zahirovic, Z.

    1999-01-01

    Electricity consumption forecasting represents a part of the stable functioning of the power system. It is very important because of rationality and increase of control process efficiency and development planning of all aspects of society. On a scientific basis, forecasting is a possible way to solve problems. Among different models that have been used in the area of forecasting, the stochastic aspect of forecasting as a part of quantitative models takes a very important place in applications. ARIMA models and Kalman filter as stochastic estimators have been treated together for electricity consumption forecasting. Therefore, the main aim of this paper is to present the stochastic forecasting aspect using short time series. (author)

  9. Linear stochastic neutron transport theory

    International Nuclear Information System (INIS)

    Lewins, J.

    1978-01-01

    A new and direct derivation of the Bell-Pal fundamental equation for (low power) neutron stochastic behaviour in the Boltzmann continuum model is given. The development includes correlation of particle emission direction in induced and spontaneous fission. This leads to generalizations of the backward and forward equations for the mean and variance of neutron behaviour. The stochastic importance for neutron transport theory is introduced and related to the conventional deterministic importance. Defining equations and moment equations are derived and shown to be related to the backward fundamental equation with the detector distribution of the operational definition of stochastic importance playing the role of an adjoint source. (author)

  10. Stochasticity in the Josephson map

    International Nuclear Information System (INIS)

    Nomura, Y.; Ichikawa, Y.H.; Filippov, A.T.

    1996-04-01

    The Josephson map describes nonlinear dynamics of systems characterized by standard map with the uniform external bias superposed. The intricate structures of the phase space portrait of the Josephson map are examined on the basis of the tangent map associated with the Josephson map. Numerical observation of the stochastic diffusion in the Josephson map is examined in comparison with the renormalized diffusion coefficient calculated by the method of characteristic function. The global stochasticity of the Josephson map occurs at the values of far smaller stochastic parameter than the case of the standard map. (author)

  11. Introduction to stochastic dynamic programming

    CERN Document Server

    Ross, Sheldon M; Lukacs, E

    1983-01-01

    Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming. The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage models: discounting future returns, minimizing nonnegative costs, maximizing nonnegative returns, and maximizing the long-run average return. Each of these chapters first considers whether an optimal policy need exist-providing counterexamples where appropriate-and the

  12. Functional Abstraction of Stochastic Hybrid Systems

    NARCIS (Netherlands)

    Bujorianu, L.M.; Blom, Henk A.P.; Hermanns, H.

    2006-01-01

    The verification problem for stochastic hybrid systems is quite difficult. One method to verify these systems is stochastic reachability analysis. Concepts of abstractions for stochastic hybrid systems are needed to ease the stochastic reachability analysis. In this paper, we set up different ways

  13. An introduction to probability and stochastic processes

    CERN Document Server

    Melsa, James L

    2013-01-01

    Geared toward college seniors and first-year graduate students, this text is designed for a one-semester course in probability and stochastic processes. Topics covered in detail include probability theory, random variables and their functions, stochastic processes, linear system response to stochastic processes, Gaussian and Markov processes, and stochastic differential equations. 1973 edition.

  14. Continuum modeling of ion-beam eroded surfaces under normal incidence: Impact of stochastic fluctuations

    International Nuclear Information System (INIS)

    Dreimann, Karsten; Linz, Stefan J.

    2010-01-01

    Graphical abstract: Deterministic surface pattern (left) and its stochastic counterpart (right) arising in a stochastic damped Kuramoto-Sivashinsky equation that serves as a model equation for ion-beam eroded surfaces and is systematically investigated. - Abstract: Using a recently proposed field equation for the surface evolution of ion-beam eroded semiconductor target materials under normal incidence, we systematically explore the impact of additive stochastic fluctuations that are permanently present during the erosion process. Specifically, we investigate the dependence of the surface roughness, the underlying pattern forming properties and the bifurcation behavior on the strength of the fluctuations.

  15. Simulation of the stochastic wave loads using a physical modeling approach

    DEFF Research Database (Denmark)

    Liu, W.F.; Sichani, Mahdi Teimouri; Nielsen, Søren R.K.

    2013-01-01

    In analyzing stochastic dynamic systems, analysis of the system uncertainty due to randomness in the loads plays a crucial role. Typically time series of the stochastic loads are simulated using traditional random phase method. This approach combined with fast Fourier transform algorithm makes...... reliability or its uncertainty. Moreover applicability of the probability density evolution method on engineering problems faces critical difficulties when the system embeds too many random variables. Hence it is useful to devise a method which can make realization of the stochastic load processes with low...

  16. Stochastic modelling in design of mechanical properties of nanometals

    International Nuclear Information System (INIS)

    Tengen, T.B.; Wejrzanowski, T.; Iwankiewicz, R.; Kurzydlowski, K.J.

    2010-01-01

    Polycrystalline nanometals are being fabricated through different processing routes and conditions. The consequence is that nanometals having the same mean grain size may have different grain size dispersion and, hence, may have different material properties. This has often led to conflicting reports from both theoretical and experimental findings about the evolutions of the mechanical properties of nanomaterials. The present paper employs stochastic model to study the impact of microstructure evolution during grain growth on the mechanical properties of polycrystalline nanometals. The stochastic model for grain growth and the stochastic model for changes in mechanical properties of nanomaterials are proposed. The model for the mechanical properties developed is tested on aluminium samples.Many salient features of the mechanical properties of the aluminium samples are revealed. The results show that the different mechanisms of grain growth impart different nature of response to the material mechanical properties. The conventional, homologous and anomalous temperature dependences of the yield stress have also been revealed to be due to different nature of interactions of the microstructures during evolution.

  17. Stochastic backgrounds of gravitational waves

    International Nuclear Information System (INIS)

    Maggiore, M.

    2001-01-01

    We review the motivations for the search for stochastic backgrounds of gravitational waves and we compare the experimental sensitivities that can be reached in the near future with the existing bounds and with the theoretical predictions. (author)

  18. Stochastic theories of quantum mechanics

    International Nuclear Information System (INIS)

    De la Pena, L.; Cetto, A.M.

    1991-01-01

    The material of this article is organized into five sections. In Sect. I the basic characteristics of quantum systems are briefly discussed, with emphasis on their stochastic properties. In Sect. II a version of stochastic quantum mechanics is presented, to conclude that the quantum formalism admits an interpretation in terms of stochastic processes. In Sect. III the elements of stochastic electrodynamics are described, and its possibilities and limitations as a fundamental theory of quantum systems are discussed. Section IV contains a recent reformulation that overcomes the limitations of the theory discussed in the foregoing section. Finally, in Sect. V the theorems of EPR, Von Neumann and Bell are discussed briefly. The material is pedagogically presented and includes an ample list of references, but the details of the derivations are generally omitted. (Author)

  19. A stochastic picture of spin

    International Nuclear Information System (INIS)

    Faris, W.G.

    1981-01-01

    Dankel has shown how to incorporate spin into stochastic mechanics. The resulting non-local hidden variable theory gives an appealing picture of spin correlation experiments in which Bell's inequality is violated. (orig.)

  20. Statistical inference for stochastic processes

    National Research Council Canada - National Science Library

    Basawa, Ishwar V; Prakasa Rao, B. L. S

    1980-01-01

    The aim of this monograph is to attempt to reduce the gap between theory and applications in the area of stochastic modelling, by directing the interest of future researchers to the inference aspects...

  1. Stochastic singular optics (Conference paper)

    CSIR Research Space (South Africa)

    Roux, FS

    2014-09-01

    Full Text Available The study of optical vortices in stochastic optical fields involves various quantities, including the vortex density and topological charge density, that are defined in terms of local expectation values of distributions of optical vortices...

  2. Stochastic population dynamics under resource constraints

    Energy Technology Data Exchange (ETDEWEB)

    Gavane, Ajinkya S., E-mail: ajinkyagavane@gmail.com; Nigam, Rahul, E-mail: rahul.nigam@hyderabad.bits-pilani.ac.in [BITS Pilani Hyderabad Campus, Shameerpet, Hyd - 500078 (India)

    2016-06-02

    This paper investigates the population growth of a certain species in which every generation reproduces thrice over a period of predefined time, under certain constraints of resources needed for survival of population. We study the survival period of a species by randomizing the reproduction probabilities within a window at same predefined ages and the resources are being produced by the working force of the population at a variable rate. This randomness in the reproduction rate makes the population growth stochastic in nature and one cannot predict the exact form of evolution. Hence we study the growth by running simulations for such a population and taking an ensemble averaged over 500 to 5000 such simulations as per the need. While the population reproduces in a stochastic manner, we have implemented a constraint on the amount of resources available for the population. This is important to make the simulations more realistic. The rate of resource production then is tuned to find the rate which suits the survival of the species. We also compute the mean life time of the species corresponding to different resource production rate. Study for these outcomes in the parameter space defined by the reproduction probabilities and rate of resource production is carried out.

  3. Intimate Partner Violence: A Stochastic Model.

    Science.gov (United States)

    Guidi, Elisa; Meringolo, Patrizia; Guazzini, Andrea; Bagnoli, Franco

    2017-01-01

    Intimate partner violence (IPV) has been a well-studied problem in the past psychological literature, especially through its classical methodology such as qualitative, quantitative and mixed methods. This article introduces two basic stochastic models as an alternative approach to simulate the short and long-term dynamics of a couple at risk of IPV. In both models, the members of the couple may assume a finite number of states, updating them in a probabilistic way at discrete time steps. After defining the transition probabilities, we first analyze the evolution of the couple in isolation and then we consider the case in which the individuals modify their behavior depending on the perceived violence from other couples in their environment or based on the perceived informal social support. While high perceived violence in other couples may converge toward the own presence of IPV by means a gender-specific transmission, the gender differences fade-out in the case of received informal social support. Despite the simplicity of the two stochastic models, they generate results which compare well with past experimental studies about IPV and they give important practical implications for prevention intervention in this field. Copyright: © 2016 by Fabrizio Serra editore, Pisa · Roma.

  4. Stochastic massless fields I: Integer spin

    International Nuclear Information System (INIS)

    Lim, S.C.

    1981-04-01

    Nelson's stochastic quantization scheme is applied to classical massless tensor potential in ''Coulomb'' gauge. The relationship between stochastic potential field in various gauges is discussed using the case of vector potential as an illustration. It is possible to identify the Euclidean tensor potential with the corresponding stochastic field in physical Minkowski space-time. Stochastic quantization of massless fields can also be carried out in terms of field strength tensors. An example of linearized stochastic gravitational field in vacuum is given. (author)

  5. The effect of stochasticity on the lac operon: an evolutionary perspective.

    Directory of Open Access Journals (Sweden)

    Milan van Hoek

    2007-06-01

    Full Text Available The role of stochasticity on gene expression is widely discussed. Both potential advantages and disadvantages have been revealed. In some systems, noise in gene expression has been quantified, in among others the lac operon of Escherichia coli. Whether stochastic gene expression in this system is detrimental or beneficial for the cells is, however, still unclear. We are interested in the effects of stochasticity from an evolutionary point of view. We study this question in the lac operon, taking a computational approach: using a detailed, quantitative, spatial model, we evolve through a mutation-selection process the shape of the promoter function and therewith the effective amount of stochasticity. We find that noise values for lactose, the natural inducer, are much lower than for artificial, nonmetabolizable inducers, because these artificial inducers experience a stronger positive feedback. In the evolved promoter functions, noise due to stochasticity in gene expression, when induced by lactose, only plays a very minor role in short-term physiological adaptation, because other sources of population heterogeneity dominate. Finally, promoter functions evolved in the stochastic model evolve to higher repressed transcription rates than those evolved in a deterministic version of the model. This causes these promoter functions to experience less stochasticity in gene expression. We show that a high repression rate and hence high stochasticity increases the delay in lactose uptake in a variable environment. We conclude that the lac operon evolved such that the impact of stochastic gene expression is minor in its natural environment, but happens to respond with much stronger stochasticity when confronted with artificial inducers. In this particular system, we have shown that stochasticity is detrimental. Moreover, we demonstrate that in silico evolution in a quantitative model, by mutating the parameters of interest, is a promising way to unravel

  6. Stochastic theory of fatigue corrosion

    Science.gov (United States)

    Hu, Haiyun

    1999-10-01

    A stochastic theory of corrosion has been constructed. The stochastic equations are described giving the transportation corrosion rate and fluctuation corrosion coefficient. In addition the pit diameter distribution function, the average pit diameter and the most probable pit diameter including other related empirical formula have been derived. In order to clarify the effect of stress range on the initiation and growth behaviour of pitting corrosion, round smooth specimen were tested under cyclic loading in 3.5% NaCl solution.

  7. Stochastic quantization and gauge theories

    International Nuclear Information System (INIS)

    Kolck, U. van.

    1987-01-01

    Stochastic quantization is presented taking the Flutuation-Dissipation Theorem as a guide. It is shown that the original approach of Parisi and Wu to gauge theories fails to give the right results to gauge invariant quantities when dimensional regularization is used. Although there is a simple solution in an abelian theory, in the non-abelian case it is probably necessary to start from a BRST invariant action instead of a gauge invariant one. Stochastic regularizations are also discussed. (author) [pt

  8. Stochasticity induced by coherent wavepackets

    International Nuclear Information System (INIS)

    Fuchs, V.; Krapchev, V.; Ram, A.; Bers, A.

    1983-02-01

    We consider the momentum transfer and diffusion of electrons periodically interacting with a coherent longitudinal wavepacket. Such a problem arises, for example, in lower-hybrid current drive. We establish the stochastic threshold, the stochastic region δv/sub stoch/ in velocity space, the associated momentum transfer j, and the diffusion coefficient D. We concentrate principally on the weak-field regime, tau/sub autocorrelation/ < tau/sub bounce/

  9. Stochastic runaway of dynamical systems

    International Nuclear Information System (INIS)

    Pfirsch, D.; Graeff, P.

    1984-10-01

    One-dimensional, stochastic, dynamical systems are well studied with respect to their stability properties. Less is known for the higher dimensional case. This paper derives sufficient and necessary criteria for the asymptotic divergence of the entropy (runaway) and sufficient ones for the moments of n-dimensional, stochastic, dynamical systems. The crucial implication is the incompressibility of their flow defined by the equations of motion in configuration space. Two possible extensions to compressible flow systems are outlined. (orig.)

  10. Stochastic Models of Polymer Systems

    Science.gov (United States)

    2016-01-01

    Distribution Unlimited Final Report: Stochastic Models of Polymer Systems The views, opinions and/or findings contained in this report are those of the...ADDRESS. Princeton University PO Box 0036 87 Prospect Avenue - 2nd floor Princeton, NJ 08544 -2020 14-Mar-2014 ABSTRACT Number of Papers published in...peer-reviewed journals: Number of Papers published in non peer-reviewed journals: Final Report: Stochastic Models of Polymer Systems Report Title

  11. Stochastic efficiency: five case studies

    International Nuclear Information System (INIS)

    Proesmans, Karel; Broeck, Christian Van den

    2015-01-01

    Stochastic efficiency is evaluated in five case studies: driven Brownian motion, effusion with a thermo-chemical and thermo-velocity gradient, a quantum dot and a model for information to work conversion. The salient features of stochastic efficiency, including the maximum of the large deviation function at the reversible efficiency, are reproduced. The approach to and extrapolation into the asymptotic time regime are documented. (paper)

  12. Optimal Liquidation under Stochastic Liquidity

    OpenAIRE

    Becherer, Dirk; Bilarev, Todor; Frentrup, Peter

    2016-01-01

    We solve explicitly a two-dimensional singular control problem of finite fuel type for infinite time horizon. The problem stems from the optimal liquidation of an asset position in a financial market with multiplicative and transient price impact. Liquidity is stochastic in that the volume effect process, which determines the inter-temporal resilience of the market in spirit of Predoiu, Shaikhet and Shreve (2011), is taken to be stochastic, being driven by own random noise. The optimal contro...

  13. Memory effects on stochastic resonance

    Science.gov (United States)

    Neiman, Alexander; Sung, Wokyung

    1996-02-01

    We study the phenomenon of stochastic resonance (SR) in a bistable system with internal colored noise. In this situation the system possesses time-dependent memory friction connected with noise via the fluctuation-dissipation theorem, so that in the absence of periodic driving the system approaches the thermodynamic equilibrium state. For this non-Markovian case we find that memory usually suppresses stochastic resonance. However, for a large memory time SR can be enhanced by the memory.

  14. Stochastic optimization: beyond mathematical programming

    CERN Multimedia

    CERN. Geneva

    2015-01-01

    Stochastic optimization, among which bio-inspired algorithms, is gaining momentum in areas where more classical optimization algorithms fail to deliver satisfactory results, or simply cannot be directly applied. This presentation will introduce baseline stochastic optimization algorithms, and illustrate their efficiency in different domains, from continuous non-convex problems to combinatorial optimization problem, to problems for which a non-parametric formulation can help exploring unforeseen possible solution spaces.

  15. Stochastic quantization and gauge invariance

    International Nuclear Information System (INIS)

    Viana, R.L.

    1987-01-01

    A survey of the fundamental ideas about Parisi-Wu's Stochastic Quantization Method, with applications to Scalar, Gauge and Fermionic theories, is done. In particular, the Analytic Stochastic Regularization Scheme is used to calculate the polarization tensor for Quantum Electrodynamics with Dirac bosons or Fermions. The regularization influence is studied for both theories and an extension of this method for some supersymmetrical models is suggested. (author)

  16. Stochastic Analysis and Related Topics

    CERN Document Server

    Ustunel, Ali

    1988-01-01

    The Silvri Workshop was divided into a short summer school and a working conference, producing lectures and research papers on recent developments in stochastic analysis on Wiener space. The topics treated in the lectures relate to the Malliavin calculus, the Skorohod integral and nonlinear functionals of white noise. Most of the research papers are applications of these subjects. This volume addresses researchers and graduate students in stochastic processes and theoretical physics.

  17. On an aggregation in birth-and-death stochastic dynamics

    Science.gov (United States)

    Finkelshtein, Dmitri; Kondratiev, Yuri; Kutoviy, Oleksandr; Zhizhina, Elena

    2014-06-01

    We consider birth-and-death stochastic dynamics of particle systems with attractive interaction. The heuristic generator of the dynamics has a constant birth rate and density-dependent decreasing death rate. The corresponding statistical dynamics is constructed. Using the Vlasov-type scaling we derive the limiting mesoscopic evolution and prove that this evolution propagates chaos. We study a nonlinear non-local kinetic equation for the first correlation function (density of population). The existence of uniformly bounded solutions as well as solutions growing inside of a bounded domain and expanding in the space are shown. These solutions describe two regimes in the mesoscopic system: regulation and aggregation.

  18. On an aggregation in birth-and-death stochastic dynamics

    International Nuclear Information System (INIS)

    Finkelshtein, Dmitri; Kondratiev, Yuri; Kutoviy, Oleksandr; Zhizhina, Elena

    2014-01-01

    We consider birth-and-death stochastic dynamics of particle systems with attractive interaction. The heuristic generator of the dynamics has a constant birth rate and density-dependent decreasing death rate. The corresponding statistical dynamics is constructed. Using the Vlasov-type scaling we derive the limiting mesoscopic evolution and prove that this evolution propagates chaos. We study a nonlinear non-local kinetic equation for the first correlation function (density of population). The existence of uniformly bounded solutions as well as solutions growing inside of a bounded domain and expanding in the space are shown. These solutions describe two regimes in the mesoscopic system: regulation and aggregation. (paper)

  19. Beam life-time with intrabeam scattering and stochastic cooling

    International Nuclear Information System (INIS)

    Wei, J.; Ruggiero, A.G.

    1991-01-01

    A transport equation has been derived in terms of the longitudinal action variable to describe the time evolution of the longitudinal density distribution of a bunched hadron beam in the presence of intrabeam scattering and stochastic cooling. A computer program has been developed to numerically solve this equation. Both beam loss and bunch-shape evolution have been investigated for the 197 Au 79+ beams during the 10-hour storage in the Relativistic Heavy Ion Collider currently under construction at the Brookhaven National Laboratory. 9 refs., 1 fig

  20. Stochastic dynamic modeling of regular and slow earthquakes

    Science.gov (United States)

    Aso, N.; Ando, R.; Ide, S.

    2017-12-01

    Both regular and slow earthquakes are slip phenomena on plate boundaries and are simulated by a (quasi-)dynamic modeling [Liu and Rice, 2005]. In these numerical simulations, spatial heterogeneity is usually considered not only for explaining real physical properties but also for evaluating the stability of the calculations or the sensitivity of the results on the condition. However, even though we discretize the model space with small grids, heterogeneity at smaller scales than the grid size is not considered in the models with deterministic governing equations. To evaluate the effect of heterogeneity at the smaller scales we need to consider stochastic interactions between slip and stress in a dynamic modeling. Tidal stress is known to trigger or affect both regular and slow earthquakes [Yabe et al., 2015; Ide et al., 2016], and such an external force with fluctuation can also be considered as a stochastic external force. A healing process of faults may also be stochastic, so we introduce stochastic friction law. In the present study, we propose a stochastic dynamic model to explain both regular and slow earthquakes. We solve mode III problem, which corresponds to the rupture propagation along the strike direction. We use BIEM (boundary integral equation method) scheme to simulate slip evolution, but we add stochastic perturbations in the governing equations, which is usually written in a deterministic manner. As the simplest type of perturbations, we adopt Gaussian deviations in the formulation of the slip-stress kernel, external force, and friction. By increasing the amplitude of perturbations of the slip-stress kernel, we reproduce complicated rupture process of regular earthquakes including unilateral and bilateral ruptures. By perturbing external force, we reproduce slow rupture propagation at a scale of km/day. The slow propagation generated by a combination of fast interaction at S-wave velocity is analogous to the kinetic theory of gasses: thermal

  1. Phenomenology of stochastic exponential growth

    Science.gov (United States)

    Pirjol, Dan; Jafarpour, Farshid; Iyer-Biswas, Srividya

    2017-06-01

    Stochastic exponential growth is observed in a variety of contexts, including molecular autocatalysis, nuclear fission, population growth, inflation of the universe, viral social media posts, and financial markets. Yet literature on modeling the phenomenology of these stochastic dynamics has predominantly focused on one model, geometric Brownian motion (GBM), which can be described as the solution of a Langevin equation with linear drift and linear multiplicative noise. Using recent experimental results on stochastic exponential growth of individual bacterial cell sizes, we motivate the need for a more general class of phenomenological models of stochastic exponential growth, which are consistent with the observation that the mean-rescaled distributions are approximately stationary at long times. We show that this behavior is not consistent with GBM, instead it is consistent with power-law multiplicative noise with positive fractional powers. Therefore, we consider this general class of phenomenological models for stochastic exponential growth, provide analytical solutions, and identify the important dimensionless combination of model parameters, which determines the shape of the mean-rescaled distribution. We also provide a prescription for robustly inferring model parameters from experimentally observed stochastic growth trajectories.

  2. Stochastic Methods in Biology

    CERN Document Server

    Kallianpur, Gopinath; Hida, Takeyuki

    1987-01-01

    The use of probabilistic methods in the biological sciences has been so well established by now that mathematical biology is regarded by many as a distinct dis­ cipline with its own repertoire of techniques. The purpose of the Workshop on sto­ chastic methods in biology held at Nagoya University during the week of July 8-12, 1985, was to enable biologists and probabilists from Japan and the U. S. to discuss the latest developments in their respective fields and to exchange ideas on the ap­ plicability of the more recent developments in stochastic process theory to problems in biology. Eighteen papers were presented at the Workshop and have been grouped under the following headings: I. Population genetics (five papers) II. Measure valued diffusion processes related to population genetics (three papers) III. Neurophysiology (two papers) IV. Fluctuation in living cells (two papers) V. Mathematical methods related to other problems in biology, epidemiology, population dynamics, etc. (six papers) An important f...

  3. Stochastic partial differential equations

    CERN Document Server

    Lototsky, Sergey V

    2017-01-01

    Taking readers with a basic knowledge of probability and real analysis to the frontiers of a very active research discipline, this textbook provides all the necessary background from functional analysis and the theory of PDEs. It covers the main types of equations (elliptic, hyperbolic and parabolic) and discusses different types of random forcing. The objective is to give the reader the necessary tools to understand the proofs of existing theorems about SPDEs (from other sources) and perhaps even to formulate and prove a few new ones. Most of the material could be covered in about 40 hours of lectures, as long as not too much time is spent on the general discussion of stochastic analysis in infinite dimensions. As the subject of SPDEs is currently making the transition from the research level to that of a graduate or even undergraduate course, the book attempts to present enough exercise material to fill potential exams and homework assignments. Exercises appear throughout and are usually directly connected ...

  4. AA, stochastic precooling kicker

    CERN Multimedia

    CERN PhotoLab

    1980-01-01

    The freshly injected antiprotons were subjected to fast stochastic "precooling", while a shutter shielded the deeply cooled antiproton stack from the violent action of the precooling kicker. In this picture, the injection orbit is to the left, the stack orbit to the far right, the separating shutter is in open position. After several seconds of precooling (in momentum and in the vertical plane), the shutter was opened briefly, so that by means of RF the precooled antiprotons could be transferred to the stack tail, where they were subjected to further cooling in momentum and both transverse planes, until they ended up, deeply cooled, in the stack core. The fast shutter, which had to open and close in a fraction of a second was an essential item of the cooling scheme and a mechanical masterpiece. Here the shutter is in the open position. The precooling pickups were of the same design, with the difference that the kickers had cooling circuits and the pickups not. 8401150 shows a precooling pickup with the shutte...

  5. STOCHASTIC OPTICS: A SCATTERING MITIGATION FRAMEWORK FOR RADIO INTERFEROMETRIC IMAGING

    International Nuclear Information System (INIS)

    Johnson, Michael D.

    2016-01-01

    Just as turbulence in the Earth’s atmosphere can severely limit the angular resolution of optical telescopes, turbulence in the ionized interstellar medium fundamentally limits the resolution of radio telescopes. We present a scattering mitigation framework for radio imaging with very long baseline interferometry (VLBI) that partially overcomes this limitation. Our framework, “stochastic optics,” derives from a simplification of strong interstellar scattering to separate small-scale (“diffractive”) effects from large-scale (“refractive”) effects, thereby separating deterministic and random contributions to the scattering. Stochastic optics extends traditional synthesis imaging by simultaneously reconstructing an unscattered image and its refractive perturbations. Its advantages over direct imaging come from utilizing the many deterministic properties of the scattering—such as the time-averaged “blurring,” polarization independence, and the deterministic evolution in frequency and time—while still accounting for the stochastic image distortions on large scales. These distortions are identified in the image reconstructions through regularization by their time-averaged power spectrum. Using synthetic data, we show that this framework effectively removes the blurring from diffractive scattering while reducing the spurious image features from refractive scattering. Stochastic optics can provide significant improvements over existing scattering mitigation strategies and is especially promising for imaging the Galactic Center supermassive black hole, Sagittarius A*, with the Global mm-VLBI Array and with the Event Horizon Telescope.

  6. STOCHASTIC OPTICS: A SCATTERING MITIGATION FRAMEWORK FOR RADIO INTERFEROMETRIC IMAGING

    Energy Technology Data Exchange (ETDEWEB)

    Johnson, Michael D., E-mail: mjohnson@cfa.harvard.edu [Harvard-Smithsonian Center for Astrophysics, 60 Garden Street, Cambridge, MA 02138 (United States)

    2016-12-10

    Just as turbulence in the Earth’s atmosphere can severely limit the angular resolution of optical telescopes, turbulence in the ionized interstellar medium fundamentally limits the resolution of radio telescopes. We present a scattering mitigation framework for radio imaging with very long baseline interferometry (VLBI) that partially overcomes this limitation. Our framework, “stochastic optics,” derives from a simplification of strong interstellar scattering to separate small-scale (“diffractive”) effects from large-scale (“refractive”) effects, thereby separating deterministic and random contributions to the scattering. Stochastic optics extends traditional synthesis imaging by simultaneously reconstructing an unscattered image and its refractive perturbations. Its advantages over direct imaging come from utilizing the many deterministic properties of the scattering—such as the time-averaged “blurring,” polarization independence, and the deterministic evolution in frequency and time—while still accounting for the stochastic image distortions on large scales. These distortions are identified in the image reconstructions through regularization by their time-averaged power spectrum. Using synthetic data, we show that this framework effectively removes the blurring from diffractive scattering while reducing the spurious image features from refractive scattering. Stochastic optics can provide significant improvements over existing scattering mitigation strategies and is especially promising for imaging the Galactic Center supermassive black hole, Sagittarius A*, with the Global mm-VLBI Array and with the Event Horizon Telescope.

  7. Stochastic models: theory and simulation.

    Energy Technology Data Exchange (ETDEWEB)

    Field, Richard V., Jr.

    2008-03-01

    Many problems in applied science and engineering involve physical phenomena that behave randomly in time and/or space. Examples are diverse and include turbulent flow over an aircraft wing, Earth climatology, material microstructure, and the financial markets. Mathematical models for these random phenomena are referred to as stochastic processes and/or random fields, and Monte Carlo simulation is the only general-purpose tool for solving problems of this type. The use of Monte Carlo simulation requires methods and algorithms to generate samples of the appropriate stochastic model; these samples then become inputs and/or boundary conditions to established deterministic simulation codes. While numerous algorithms and tools currently exist to generate samples of simple random variables and vectors, no cohesive simulation tool yet exists for generating samples of stochastic processes and/or random fields. There are two objectives of this report. First, we provide some theoretical background on stochastic processes and random fields that can be used to model phenomena that are random in space and/or time. Second, we provide simple algorithms that can be used to generate independent samples of general stochastic models. The theory and simulation of random variables and vectors is also reviewed for completeness.

  8. Stochastic Still Water Response Model

    DEFF Research Database (Denmark)

    Friis-Hansen, Peter; Ditlevsen, Ove Dalager

    2002-01-01

    In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model is...... out that an important parameter of the stochastic cargo field model is the mean number of containers delivered by each customer.......In this study a stochastic field model for the still water loading is formulated where the statistics (mean value, standard deviation, and correlation) of the sectional forces are obtained by integration of the load field over the relevant part of the ship structure. The objective of the model...... is to establish the stochastic load field conditional on a given draft and trim of the vessel. The model contributes to a realistic modelling of the stochastic load processes to be used in a reliability evaluation of the ship hull. Emphasis is given to container vessels. The formulation of the model for obtaining...

  9. Stochastic quantization and topological theories

    International Nuclear Information System (INIS)

    Fainberg, V.Y.; Subbotin, A.V.; Kuznetsov, A.N.

    1992-01-01

    In the last two years topological quantum field theories (TQFT) have attached much attention. This paper reports that from the very beginning it was realized that due to a peculiar BRST-like symmetry these models admitted so-called Nicolai mapping: the Nicolai variables, in terms of which actions of the theories become gaussian, are nothing but (anti-) selfduality conditions or their generalizations. This fact became a starting point in the quest of possible stochastic interpretation to topological field theories. The reasons behind were quite simple and included, in particular, the well-known relations between stochastic processes and supersymmetry. The main goal would have been achieved, if it were possible to construct stochastic processes governed by Langevin or Fokker-Planck equations in a real Euclidean time leading to TQFT's path integrals (equivalently: to reformulate TQFTs as non-equilibrium phase dynamics of stochastic processes). Further on, if it would appear that these processes correspond to the stochastic quantization of theories of some definite kind, one could expect (d + 1)-dimensional TQFTs to share some common properties with d-dimensional ones

  10. Stochastic quantization of Einstein gravity

    International Nuclear Information System (INIS)

    Rumpf, H.

    1986-01-01

    We determine a one-parameter family of covariant Langevin equations for the metric tensor of general relativity corresponding to DeWitt's one-parameter family of supermetrics. The stochastic source term in these equations can be expressed in terms of a Gaussian white noise upon the introduction of a stochastic tetrad field. The only physically acceptable resolution of a mathematical ambiguity in the ansatz for the source term is the adoption of Ito's calculus. By taking the formal equilibrium limit of the stochastic metric a one-parameter family of covariant path-integral measures for general relativity is obtained. There is a unique parameter value, distinguished by any one of the following three properties: (i) the metric is harmonic with respect to the supermetric, (ii) the path-integral measure is that of DeWitt, (iii) the supermetric governs the linearized Einstein dynamics. Moreover the Feynman propagator corresponding to this parameter is causal. Finally we show that a consistent stochastic perturbation theory gives rise to a new type of diagram containing ''stochastic vertices.''

  11. Rainfall Stochastic models

    Science.gov (United States)

    Campo, M. A.; Lopez, J. J.; Rebole, J. P.

    2012-04-01

    This work was carried out in north of Spain. San Sebastian A meteorological station, where there are available precipitation records every ten minutes was selected. Precipitation data covers from October of 1927 to September of 1997. Pulse models describe the temporal process of rainfall as a succession of rainy cells, main storm, whose origins are distributed in time according to a Poisson process and a secondary process that generates a random number of cells of rain within each storm. Among different pulse models, the Bartlett-Lewis was used. On the other hand, alternative renewal processes and Markov chains describe the way in which the process will evolve in the future depending only on the current state. Therefore they are nor dependant on past events. Two basic processes are considered when describing the occurrence of rain: the alternation of wet and dry periods and temporal distribution of rainfall in each rain event, which determines the rainwater collected in each of the intervals that make up the rain. This allows the introduction of alternative renewal processes and Markov chains of three states, where interstorm time is given by either of the two dry states, short or long. Thus, the stochastic model of Markov chains tries to reproduce the basis of pulse models: the succession of storms, each one composed for a series of rain, separated by a short interval of time without theoretical complexity of these. In a first step, we analyzed all variables involved in the sequential process of the rain: rain event duration, event duration of non-rain, average rainfall intensity in rain events, and finally, temporal distribution of rainfall within the rain event. Additionally, for pulse Bartlett-Lewis model calibration, main descriptive statistics were calculated for each month, considering the process of seasonal rainfall in each month. In a second step, both models were calibrated. Finally, synthetic series were simulated with calibration parameters; series

  12. Stacking with stochastic cooling

    Energy Technology Data Exchange (ETDEWEB)

    Caspers, Fritz E-mail: Fritz.Caspers@cern.ch; Moehl, Dieter

    2004-10-11

    Accumulation of large stacks of antiprotons or ions with the aid of stochastic cooling is more delicate than cooling a constant intensity beam. Basically the difficulty stems from the fact that the optimized gain and the cooling rate are inversely proportional to the number of particles 'seen' by the cooling system. Therefore, to maintain fast stacking, the newly injected batch has to be strongly 'protected' from the Schottky noise of the stack. Vice versa the stack has to be efficiently 'shielded' against the high gain cooling system for the injected beam. In the antiproton accumulators with stacking ratios up to 10{sup 5} the problem is solved by radial separation of the injection and the stack orbits in a region of large dispersion. An array of several tapered cooling systems with a matched gain profile provides a continuous particle flux towards the high-density stack core. Shielding of the different systems from each other is obtained both through the spatial separation and via the revolution frequencies (filters). In the 'old AA', where the antiproton collection and stacking was done in one single ring, the injected beam was further shielded during cooling by means of a movable shutter. The complexity of these systems is very high. For more modest stacking ratios, one might use azimuthal rather than radial separation of stack and injected beam. Schematically half of the circumference would be used to accept and cool new beam and the remainder to house the stack. Fast gating is then required between the high gain cooling of the injected beam and the low gain stack cooling. RF-gymnastics are used to merge the pre-cooled batch with the stack, to re-create free space for the next injection, and to capture the new batch. This scheme is less demanding for the storage ring lattice, but at the expense of some reduction in stacking rate. The talk reviews the 'radial' separation schemes and also gives some

  13. Fundamentals of stochastic nature sciences

    CERN Document Server

    Klyatskin, Valery I

    2017-01-01

    This book addresses the processes of stochastic structure formation in two-dimensional geophysical fluid dynamics based on statistical analysis of Gaussian random fields, as well as stochastic structure formation in dynamic systems with parametric excitation of positive random fields f(r,t) described by partial differential equations. Further, the book considers two examples of stochastic structure formation in dynamic systems with parametric excitation in the presence of Gaussian pumping. In dynamic systems with parametric excitation in space and time, this type of structure formation either happens – or doesn’t! However, if it occurs in space, then this almost always happens (exponentially quickly) in individual realizations with a unit probability. In the case considered, clustering of the field f(r,t) of any nature is a general feature of dynamic fields, and one may claim that structure formation is the Law of Nature for arbitrary random fields of such type. The study clarifies the conditions under wh...

  14. Stochastic models of cell motility

    DEFF Research Database (Denmark)

    Gradinaru, Cristian

    2012-01-01

    Cell motility and migration are central to the development and maintenance of multicellular organisms, and errors during this process can lead to major diseases. Consequently, the mechanisms and phenomenology of cell motility are currently under intense study. In recent years, a new...... interdisciplinary field focusing on the study of biological processes at the nanoscale level, with a range of technological applications in medicine and biological research, has emerged. The work presented in this thesis is at the interface of cell biology, image processing, and stochastic modeling. The stochastic...... models introduced here are based on persistent random motion, which I apply to real-life studies of cell motility on flat and nanostructured surfaces. These models aim to predict the time-dependent position of cell centroids in a stochastic manner, and conversely determine directly from experimental...

  15. Stochastic Modelling of Hydrologic Systems

    DEFF Research Database (Denmark)

    Jonsdottir, Harpa

    2007-01-01

    In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains...... an introduction and an overview of the papers published. Then an introduction to basic concepts in hydrology along with a description of hydrological data is given. Finally an introduction to stochastic modelling is given. The second part contains the research papers. In the research papers the stochastic methods...... are described, as at the time of publication these methods represent new contribution to hydrology. The second part also contains additional description of software used and a brief introduction to stiff systems. The system in one of the papers is stiff....

  16. Stochastic quantization of general relativity

    International Nuclear Information System (INIS)

    Rumpf, H.

    1986-01-01

    Following an elementary exposition of the basic mathematical concepts used in the theory of stochastic relaxation processes the stochastic quantization method of Parisi and Wu is briefly reviewed. The method is applied to Einstein's theory of gravitation using a formalism that is manifestly covariant with respect to field redefinitions. This requires the adoption of Ito's calculus and the introduction of a metric in field configuration space, for which there is a unique candidate. Due to the indefiniteness of the Euclidean Einstein-Hilbert action stochastic quantization is generalized to the pseudo-Riemannian case. It is formally shown to imply the DeWitt path integral measure. Finally a new type of perturbation theory is developed. (Author)

  17. Applied probability and stochastic processes

    CERN Document Server

    Sumita, Ushio

    1999-01-01

    Applied Probability and Stochastic Processes is an edited work written in honor of Julien Keilson. This volume has attracted a host of scholars in applied probability, who have made major contributions to the field, and have written survey and state-of-the-art papers on a variety of applied probability topics, including, but not limited to: perturbation method, time reversible Markov chains, Poisson processes, Brownian techniques, Bayesian probability, optimal quality control, Markov decision processes, random matrices, queueing theory and a variety of applications of stochastic processes. The book has a mixture of theoretical, algorithmic, and application chapters providing examples of the cutting-edge work that Professor Keilson has done or influenced over the course of his highly-productive and energetic career in applied probability and stochastic processes. The book will be of interest to academic researchers, students, and industrial practitioners who seek to use the mathematics of applied probability i...

  18. Stochastic geometry for image analysis

    CERN Document Server

    Descombes, Xavier

    2013-01-01

    This book develops the stochastic geometry framework for image analysis purpose. Two main frameworks are  described: marked point process and random closed sets models. We derive the main issues for defining an appropriate model. The algorithms for sampling and optimizing the models as well as for estimating parameters are reviewed.  Numerous applications, covering remote sensing images, biological and medical imaging, are detailed.  This book provides all the necessary tools for developing an image analysis application based on modern stochastic modeling.

  19. Stochastic methods in quantum mechanics

    CERN Document Server

    Gudder, Stanley P

    2005-01-01

    Practical developments in such fields as optical coherence, communication engineering, and laser technology have developed from the applications of stochastic methods. This introductory survey offers a broad view of some of the most useful stochastic methods and techniques in quantum physics, functional analysis, probability theory, communications, and electrical engineering. Starting with a history of quantum mechanics, it examines both the quantum logic approach and the operational approach, with explorations of random fields and quantum field theory.The text assumes a basic knowledge of fun

  20. STOCHASTIC METHODS IN RISK ANALYSIS

    Directory of Open Access Journals (Sweden)

    Vladimíra OSADSKÁ

    2017-06-01

    Full Text Available In this paper, we review basic stochastic methods which can be used to extend state-of-the-art deterministic analytical methods for risk analysis. We can conclude that the standard deterministic analytical methods highly depend on the practical experience and knowledge of the evaluator and therefore, the stochastic methods should be introduced. The new risk analysis methods should consider the uncertainties in input values. We present how large is the impact on the results of the analysis solving practical example of FMECA with uncertainties modelled using Monte Carlo sampling.

  1. Stochastic dynamics of new inflation

    International Nuclear Information System (INIS)

    Nakao, Ken-ichi; Nambu, Yasusada; Sasaki, Misao.

    1988-07-01

    We investigate thoroughly the dynamics of an inflation-driving scalar field in terms of an extended version of the stochastic approach proposed by Starobinsky and discuss the spacetime structure of the inflationary universe. To avoid any complications which might arise due to quantum gravity, we concentrate our discussions on the new inflationary universe scenario in which all the energy scales involved are well below the planck mass. The investigation is done both analytically and numerically. In particular, we present a full numerical analysis of the stochastic scalar field dynamics on the phase space. Then implications of the results are discussed. (author)

  2. Stochastic mechanics and quantum theory

    International Nuclear Information System (INIS)

    Goldstein, S.

    1987-01-01

    Stochastic mechanics may be regarded as both generalizing classical mechanics to processes with intrinsic randomness, as well as providing the sort of detailed description of microscopic events declared impossible under the traditional interpretation of quantum mechanics. It avoids the many conceptual difficulties which arise from the assumption that quantum mechanics, i.e., the wave function, provides a complete description of (microscopic) physical reality. Stochastic mechanics presents a unified treatment of the microscopic and macroscopic domains, in which the process of measurement plays no special physical role and which reduces to Newtonian mechanics in the macroscopic limit

  3. Probability, Statistics, and Stochastic Processes

    CERN Document Server

    Olofsson, Peter

    2011-01-01

    A mathematical and intuitive approach to probability, statistics, and stochastic processes This textbook provides a unique, balanced approach to probability, statistics, and stochastic processes. Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area. This text combines a rigorous, calculus-based development of theory with a more intuitive approach that appeals to readers' sense of reason and logic, an approach developed through the author's many years of classroom experience. The text begins with three chapters that d

  4. QB1 - Stochastic Gene Regulation

    Energy Technology Data Exchange (ETDEWEB)

    Munsky, Brian [Los Alamos National Laboratory

    2012-07-23

    Summaries of this presentation are: (1) Stochastic fluctuations or 'noise' is present in the cell - Random motion and competition between reactants, Low copy, quantization of reactants, Upstream processes; (2) Fluctuations may be very important - Cell-to-cell variability, Cell fate decisions (switches), Signal amplification or damping, stochastic resonances; and (3) Some tools are available to mode these - Kinetic Monte Carlo simulations (SSA and variants), Moment approximation methods, Finite State Projection. We will see how modeling these reactions can tell us more about the underlying processes of gene regulation.

  5. Stochastic geometry and its applications

    CERN Document Server

    Chiu, Sung Nok; Kendall, Wilfrid S; Mecke, Joseph

    2013-01-01

    An extensive update to a classic text Stochastic geometry and spatial statistics play a fundamental role in many modern branches of physics, materials sciences, engineering, biology and environmental sciences. They offer successful models for the description of random two- and three-dimensional micro and macro structures and statistical methods for their analysis. The previous edition of this book has served as the key reference in its field for over 18 years and is regarded as the best treatment of the subject of stochastic geometry, both as a subject with vital a

  6. Algebraic and stochastic coding theory

    CERN Document Server

    Kythe, Dave K

    2012-01-01

    Using a simple yet rigorous approach, Algebraic and Stochastic Coding Theory makes the subject of coding theory easy to understand for readers with a thorough knowledge of digital arithmetic, Boolean and modern algebra, and probability theory. It explains the underlying principles of coding theory and offers a clear, detailed description of each code. More advanced readers will appreciate its coverage of recent developments in coding theory and stochastic processes. After a brief review of coding history and Boolean algebra, the book introduces linear codes, including Hamming and Golay codes.

  7. Stochastic and infinite dimensional analysis

    CERN Document Server

    Carpio-Bernido, Maria; Grothaus, Martin; Kuna, Tobias; Oliveira, Maria; Silva, José

    2016-01-01

    This volume presents a collection of papers covering applications from a wide range of systems with infinitely many degrees of freedom studied using techniques from stochastic and infinite dimensional analysis, e.g. Feynman path integrals, the statistical mechanics of polymer chains, complex networks, and quantum field theory. Systems of infinitely many degrees of freedom create their particular mathematical challenges which have been addressed by different mathematical theories, namely in the theories of stochastic processes, Malliavin calculus, and especially white noise analysis. These proceedings are inspired by a conference held on the occasion of Prof. Ludwig Streit’s 75th birthday and celebrate his pioneering and ongoing work in these fields.

  8. A Fractionally Integrated Wishart Stochastic Volatility Model

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2013-01-01

    textabstractThere has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive the conditional Laplace transform of

  9. Exact Algorithms for Solving Stochastic Games

    DEFF Research Database (Denmark)

    Hansen, Kristoffer Arnsfelt; Koucky, Michal; Lauritzen, Niels

    2012-01-01

    Shapley's discounted stochastic games, Everett's recursive games and Gillette's undiscounted stochastic games are classical models of game theory describing two-player zero-sum games of potentially infinite duration. We describe algorithms for exactly solving these games....

  10. Transport properties of stochastic Lorentz models

    NARCIS (Netherlands)

    Beijeren, H. van

    Diffusion processes are considered for one-dimensional stochastic Lorentz models, consisting of randomly distributed fixed scatterers and one moving light particle. In waiting time Lorentz models the light particle makes instantaneous jumps between scatterers after a stochastically distributed

  11. Theory, technology, and technique of stochastic cooling

    International Nuclear Information System (INIS)

    Marriner, J.

    1993-10-01

    The theory and technological implementation of stochastic cooling is described. Theoretical and technological limitations are discussed. Data from existing stochastic cooling systems are shown to illustrate some useful techniques

  12. Structure and properties of Hughston's stochastic extension of the Schroedinger equation

    International Nuclear Information System (INIS)

    Adler, Stephen L.; Horwitz, Lawrence P.

    2000-01-01

    Hughston has recently proposed a stochastic extension of the Schroedinger equation, expressed as a stochastic differential equation on projective Hilbert space. We derive new projective Hilbert space identities, which we use to give a general proof that Hughston's equation leads to state vector collapse to energy eigenstates, with collapse probabilities given by the quantum mechanical probabilities computed from the initial state. We discuss the relation of Hughston's equation to earlier work on norm-preserving stochastic equations, and show that Hughston's equation can be written as a manifestly unitary stochastic evolution equation for the pure state density matrix. We discuss the behavior of systems constructed as direct products of independent subsystems, and briefly address the question of whether an energy-based approach, such as Hughston's, suffices to give an objective interpretation of the measurement process in quantum mechanics. (c) 2000 American Institute of Physics

  13. Stochastic dynamics modeling solute transport in porous media modeling solute transport in porous media

    CERN Document Server

    Kulasiri, Don

    2002-01-01

    Most of the natural and biological phenomena such as solute transport in porous media exhibit variability which can not be modeled by using deterministic approaches. There is evidence in natural phenomena to suggest that some of the observations can not be explained by using the models which give deterministic solutions. Stochastic processes have a rich repository of objects which can be used to express the randomness inherent in the system and the evolution of the system over time. The attractiveness of the stochastic differential equations (SDE) and stochastic partial differential equations (SPDE) come from the fact that we can integrate the variability of the system along with the scientific knowledge pertaining to the system. One of the aims of this book is to explaim some useufl concepts in stochastic dynamics so that the scientists and engineers with a background in undergraduate differential calculus could appreciate the applicability and appropriateness of these developments in mathematics. The ideas ...

  14. Stochastic modeling and analysis of telecoms networks

    CERN Document Server

    Decreusefond, Laurent

    2012-01-01

    This book addresses the stochastic modeling of telecommunication networks, introducing the main mathematical tools for that purpose, such as Markov processes, real and spatial point processes and stochastic recursions, and presenting a wide list of results on stability, performances and comparison of systems.The authors propose a comprehensive mathematical construction of the foundations of stochastic network theory: Markov chains, continuous time Markov chains are extensively studied using an original martingale-based approach. A complete presentation of stochastic recursions from an

  15. Dynamical and hamiltonian dilations of stochastic processes

    International Nuclear Information System (INIS)

    Baumgartner, B.; Gruemm, H.-R.

    1982-01-01

    This is a study of the problem, which stochastic processes could arise from dynamical systems by loss of information. The notions of ''dilation'' and ''approximate dilation'' of a stochastic process are introduced to give exact definitions of this particular relationship. It is shown that every generalized stochastic process is approximately dilatable by a sequence of dynamical systems, but for stochastic processes in full generality one needs nets. (Author)

  16. Stochastic backgrounds of relic gravitons: a theoretical appraisal

    CERN Document Server

    Giovannini, Massimo

    2010-01-01

    Stochastic backgrounds or relic gravitons, if ever detected, will constitute a prima facie evidence of physical processes taking place during the earliest stages of the evolution of the plasma. The essentials of the stochastic backgrounds of relic gravitons are hereby introduced and reviewed. The pivotal observables customarily employed to infer the properties of the relic gravitons are discussed both in the framework of the $\\Lambda$CDM paradigm as well as in neighboring contexts. The complementarity between experiments measuring the polarization of the Cosmic Microwave Background (such as, for instance, WMAP, Capmap, Quad, Cbi, just to mention a few) and wide band interferometers (e.g. Virgo, Ligo, Geo, Tama) is emphasized. While the analysis of the microwave sky strongly constrains the low-frequency tail of the relic graviton spectrum, wide-band detectors are sensitive to much higher frequencies where the spectral energy density depends chiefly upon the (poorly known) rate of post-inflationary expansion.

  17. On the maximal noise for stochastic and QCD travelling waves

    International Nuclear Information System (INIS)

    Peschanski, Robi

    2008-01-01

    Using the relation of a set of nonlinear Langevin equations to reaction-diffusion processes, we note the existence of a maximal strength of the noise for the stochastic travelling wave solutions of these equations. Its determination is obtained using the field-theoretical analysis of branching-annihilation random walks near the directed percolation transition. We study its consequence for the stochastic Fisher-Kolmogorov-Petrovsky-Piscounov equation. For the related Langevin equation modeling the quantum chromodynamic nonlinear evolution of gluon density with rapidity, the physical maximal-noise limit may appear before the directed percolation transition, due to a shift in the travelling-wave speed. In this regime, an exact solution is known from a coalescence process. Universality and other open problems and applications are discussed in the outlook

  18. Improved stochastic approximation methods for discretized parabolic partial differential equations

    Science.gov (United States)

    Guiaş, Flavius

    2016-12-01

    We present improvements of the stochastic direct simulation method, a known numerical scheme based on Markov jump processes which is used for approximating solutions of ordinary differential equations. This scheme is suited especially for spatial discretizations of evolution partial differential equations (PDEs). By exploiting the full path simulation of the stochastic method, we use this first approximation as a predictor and construct improved approximations by Picard iterations, Runge-Kutta steps, or a combination. This has as consequence an increased order of convergence. We illustrate the features of the improved method at a standard benchmark problem, a reaction-diffusion equation modeling a combustion process in one space dimension (1D) and two space dimensions (2D).

  19. Stochastic Resonance in a System of Coupled Chaotic Oscillators

    International Nuclear Information System (INIS)

    Krawiecki, A.

    1999-01-01

    Noise-free stochastic resonance is investigated numerically in a system of two coupled chaotic Roessler oscillators. Periodic signal is applied either additively or multiplicatively to the coupling term. When the coupling constant is varied the oscillators lose synchronization via attractor bubbling or on-off intermittency. Properly chosen signals are analyzed which reflect the sequence of synchronized (laminar) phases and non-synchronized bursts in the time evolution of the oscillators. Maximum of the signal-to-noise ratio as a function of the coupling constant is observed. Dependence of the signal-to-noise ratio on the frequency of the periodic signal and parameter mismatch between the oscillators is investigated. Possible applications of stochastic resonance in the recovery of signals in secure communication systems based on chaotic synchronization are briefly discussed. (author)

  20. Stochastic inflation as a time-dependent random walk

    International Nuclear Information System (INIS)

    Kandrup, H.E.

    1989-01-01

    This paper exploits the ''stochastic inflation'' paradigm introduced by Starobinskii to study the evolution of long-wavelength modes for a free scalar field Phi in an inflationary Universe. By relaxing the assumption of a ''slow roll,'' it becomes obvious that the well-known late-time infrared divergence of the vacuum for a massless field in de Sitter space may be viewed as a consequence of the fluctuation-dissipation theorem. This stochastic model is also extended to allow for nonvacuum states and power-law inflation, situations where the fluctuation-dissipation theorem no longer holds. One recovers the correct late-time form for the expectation value 2 > in these cases as well, corroborating thereby the intuitive picture that, quite generally, the long-wavelength modes of the field evolve in a thermal ''bath'' provided by the shorter-wavelength modes

  1. Environmental versus demographic variability in stochastic predator–prey models

    International Nuclear Information System (INIS)

    Dobramysl, U; Täuber, U C

    2013-01-01

    In contrast to the neutral population cycles of the deterministic mean-field Lotka–Volterra rate equations, including spatial structure and stochastic noise in models for predator–prey interactions yields complex spatio-temporal structures associated with long-lived erratic population oscillations. Environmental variability in the form of quenched spatial randomness in the predation rates results in more localized activity patches. Our previous study showed that population fluctuations in rare favorable regions in turn cause a remarkable increase in the asymptotic densities of both predators and prey. Very intriguing features are found when variable interaction rates are affixed to individual particles rather than lattice sites. Stochastic dynamics with demographic variability in conjunction with inheritable predation efficiencies generate non-trivial time evolution for the predation rate distributions, yet with overall essentially neutral optimization. (paper)

  2. Environmental vs Demographic Stochasticity in Population Growth

    OpenAIRE

    Braumann, C. A.

    2010-01-01

    Compares the effect on population growth of envinonmental stochasticity (random environmental variations described by stochastic differential equations) with demographic stochasticity (random variations in births and deaths described by branching processes and birth-and-death processes), in the density-independent and the density-dependent cases.

  3. Stochastic diffusion models for substitutable technological innovations

    NARCIS (Netherlands)

    Wang, L.; Hu, B.; Yu, X.

    2004-01-01

    Based on the analysis of firms' stochastic adoption behaviour, this paper first points out the necessity to build more practical stochastic models. And then, stochastic evolutionary models are built for substitutable innovation diffusion system. Finally, through the computer simulation of the

  4. Stochastic modeling of mode interactions via linear parabolized stability equations

    Science.gov (United States)

    Ran, Wei; Zare, Armin; Hack, M. J. Philipp; Jovanovic, Mihailo

    2017-11-01

    Low-complexity approximations of the Navier-Stokes equations have been widely used in the analysis of wall-bounded shear flows. In particular, the parabolized stability equations (PSE) and Floquet theory have been employed to capture the evolution of primary and secondary instabilities in spatially-evolving flows. We augment linear PSE with Floquet analysis to formally treat modal interactions and the evolution of secondary instabilities in the transitional boundary layer via a linear progression. To this end, we leverage Floquet theory by incorporating the primary instability into the base flow and accounting for different harmonics in the flow state. A stochastic forcing is introduced into the resulting linear dynamics to model the effect of nonlinear interactions on the evolution of modes. We examine the H-type transition scenario to demonstrate how our approach can be used to model nonlinear effects and capture the growth of the fundamental and subharmonic modes observed in direct numerical simulations and experiments.

  5. Perturbation theory from stochastic quantization

    International Nuclear Information System (INIS)

    Hueffel, H.

    1984-01-01

    By using a diagrammatical method it is shown that in scalar theories the stochastic quantization method of Parisi and Wu gives the usual perturbation series in Feynman diagrams. It is further explained how to apply the diagrammatical method to gauge theories, discussing the origin of ghost effects. (Author)

  6. Stochastic Modelling of River Geometry

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Schaarup-Jensen, K.

    1996-01-01

    Numerical hydrodynamic river models are used in a large number of applications to estimate critical events for rivers. These estimates are subject to a number of uncertainties. In this paper, the problem to evaluate these estimates using probabilistic methods is considered. Stochastic models for ...... for river geometries are formulated and a coupling between hydraulic computational methods and numerical reliability methods is presented....

  7. Stochastic Processes in Epidemic Theory

    CERN Document Server

    Lefèvre, Claude; Picard, Philippe

    1990-01-01

    This collection of papers gives a representative cross-selectional view of recent developments in the field. After a survey paper by C. Lefèvre, 17 other research papers look at stochastic modeling of epidemics, both from a theoretical and a statistical point of view. Some look more specifically at a particular disease such as AIDS, malaria, schistosomiasis and diabetes.

  8. Stochastic theory of grain growth

    International Nuclear Information System (INIS)

    Hu Haiyun; Xing Xiusan.

    1990-11-01

    The purpose of this note is to set up a stochastic theory of grain growth and to derive the statistical distribution function and the average value of the grain radius so as to match them with the experiment further. 8 refs, 1 fig

  9. Stochastic vehicle routing with recourse

    DEFF Research Database (Denmark)

    Gørtz, Inge Li; Nagarajan, Viswanath; Saket, Rishi

    2012-01-01

    instantiations, a recourse route is computed - but costs here become more expensive by a factor λ. We present an O(log2n ·log(nλ))-approximation algorithm for this stochastic routing problem, under arbitrary distributions. The main idea in this result is relating StochVRP to a special case of submodular...

  10. Universality in stochastic exponential growth.

    Science.gov (United States)

    Iyer-Biswas, Srividya; Crooks, Gavin E; Scherer, Norbert F; Dinner, Aaron R

    2014-07-11

    Recent imaging data for single bacterial cells reveal that their mean sizes grow exponentially in time and that their size distributions collapse to a single curve when rescaled by their means. An analogous result holds for the division-time distributions. A model is needed to delineate the minimal requirements for these scaling behaviors. We formulate a microscopic theory of stochastic exponential growth as a Master Equation that accounts for these observations, in contrast to existing quantitative models of stochastic exponential growth (e.g., the Black-Scholes equation or geometric Brownian motion). Our model, the stochastic Hinshelwood cycle (SHC), is an autocatalytic reaction cycle in which each molecular species catalyzes the production of the next. By finding exact analytical solutions to the SHC and the corresponding first passage time problem, we uncover universal signatures of fluctuations in exponential growth and division. The model makes minimal assumptions, and we describe how more complex reaction networks can reduce to such a cycle. We thus expect similar scalings to be discovered in stochastic processes resulting in exponential growth that appear in diverse contexts such as cosmology, finance, technology, and population growth.

  11. Stochastic control of traffic patterns

    DEFF Research Database (Denmark)

    Gaididei, Yuri B.; Gorria, Carlos; Berkemer, Rainer

    2013-01-01

    A stochastic modulation of the safety distance can reduce traffic jams. It is found that the effect of random modulation on congestive flow formation depends on the spatial correlation of the noise. Jam creation is suppressed for highly correlated noise. The results demonstrate the advantage of h...

  12. The fermion stochastic calculus I

    International Nuclear Information System (INIS)

    Streater, R.F.

    1984-01-01

    The author describes the stochastic calculus of quantum processes with fermions. After a description of the Clifford algebra as the csup(*)-algebra generated by spinor fields the damped harmonic oscillator with quantum noise is considered as example. Then the Clifford process is described. Finally the Ito-Clifford integral and the Ito-Clifford isometry are presented. (HSI)

  13. Stochastic and Chaotic Relaxation Oscillations

    NARCIS (Netherlands)

    Grasman, J.; Roerdink, J.B.T.M.

    1988-01-01

    For relaxation oscillators stochastic and chaotic dynamics are investigated. The effect of random perturbations upon the period is computed. For an extended system with additional state variables chaotic behavior can be expected. As an example, the Van der Pol oscillator is changed into a

  14. Stochastic processes in mechanical engineering

    NARCIS (Netherlands)

    Brouwers, J.J.H.

    2006-01-01

    Stochastic or random vibrations occur in a variety of applications of mechanicalengineering. Examples are: the dynamics of a vehicle on an irregular roadsurface; the variation in time of thermodynamic variables in municipal wasteincinerators due to fluctuations in heating value of the waste; the

  15. Testing for Stochastic Dominance Efficiency

    NARCIS (Netherlands)

    G.T. Post (Thierry); O. Linton; Y-J. Whang

    2005-01-01

    textabstractWe propose a new test of the stochastic dominance efficiency of a given portfolio over a class of portfolios. We establish its null and alternative asymptotic properties, and define a method for consistently estimating critical values. We present some numerical evidence that our

  16. Network Analysis with Stochastic Grammars

    Science.gov (United States)

    2015-09-17

    rules N = 0 //non-terminal index clusters = cluster(W) //number of clusters drive the number S productions //cluster function described in text...Essa, “Recognizing multitasked activities from video using stochastic context-free grammar,” AAAI/IAAI, pp. 770–776, 2002. [18] R. Nevatia, T. Zhao

  17. Stochastic Volatility and DSGE Models

    DEFF Research Database (Denmark)

    Andreasen, Martin Møller

    This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...

  18. American options under stochastic volatility

    NARCIS (Netherlands)

    Chockalingam, A.; Muthuraman, K.

    2011-01-01

    The problem of pricing an American option written on an underlying asset with constant price volatility has been studied extensively in literature. Real-world data, however, demonstrate that volatility is not constant, and stochastic volatility models are used to account for dynamic volatility

  19. Stochastic cooling system in COSY

    International Nuclear Information System (INIS)

    Brittner, P.; Hacker, H.U.; Prasuhn, D.; Schug, G.; Singer, H.; Spiess, W.; Stassen, R.

    1994-01-01

    The stochastic cooler system in COSY is designed for proton kinetic energies between 0.8 and 2.5 GeV. Fabrication of the mechanical parts of the system is going on. Test results of the prototype measurements as well as data of the active RF-compontens are presented. (orig.)

  20. Stochastic cooling system in COSY

    Energy Technology Data Exchange (ETDEWEB)

    Brittner, P [Forschungszentrum Juelich GmbH (Germany); Hacker, H U [Forschungszentrum Juelich GmbH (Germany); Prasuhn, D [Forschungszentrum Juelich GmbH (Germany); Schug, G [Forschungszentrum Juelich GmbH (Germany); Singer, H [Forschungszentrum Juelich GmbH (Germany); Spiess, W [Forschungszentrum Juelich GmbH (Germany); Stassen, R [Forschungszentrum Juelich GmbH (Germany)

    1994-09-01

    The stochastic cooler system in COSY is designed for proton kinetic energies between 0.8 and 2.5 GeV. Fabrication of the mechanical parts of the system is going on. Test results of the prototype measurements as well as data of the active RF-compontens are presented. (orig.)

  1. Stochastic-field cavitation model

    International Nuclear Information System (INIS)

    Dumond, J.; Magagnato, F.; Class, A.

    2013-01-01

    Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian “particles” or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations

  2. Stochastic-field cavitation model

    Science.gov (United States)

    Dumond, J.; Magagnato, F.; Class, A.

    2013-07-01

    Nonlinear phenomena can often be well described using probability density functions (pdf) and pdf transport models. Traditionally, the simulation of pdf transport requires Monte-Carlo codes based on Lagrangian "particles" or prescribed pdf assumptions including binning techniques. Recently, in the field of combustion, a novel formulation called the stochastic-field method solving pdf transport based on Eulerian fields has been proposed which eliminates the necessity to mix Eulerian and Lagrangian techniques or prescribed pdf assumptions. In the present work, for the first time the stochastic-field method is applied to multi-phase flow and, in particular, to cavitating flow. To validate the proposed stochastic-field cavitation model, two applications are considered. First, sheet cavitation is simulated in a Venturi-type nozzle. The second application is an innovative fluidic diode which exhibits coolant flashing. Agreement with experimental results is obtained for both applications with a fixed set of model constants. The stochastic-field cavitation model captures the wide range of pdf shapes present at different locations.

  3. Distance covariance for stochastic processes

    DEFF Research Database (Denmark)

    Matsui, Muneya; Mikosch, Thomas Valentin; Samorodnitsky, Gennady

    2017-01-01

    The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We propose an analog of the distance covariance for two stochastic processes...

  4. Jump diffusion models and the evolution of financial prices

    International Nuclear Information System (INIS)

    Figueiredo, Annibal; Castro, Marcio T. de; Silva, Sergio da; Gleria, Iram

    2011-01-01

    We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior. -- Highlights: → We analyze a stochastic model to describe the evolution of financial prices. → The stochastic term is considered as a sum of the Wiener noise and a jump process. → The process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. → We extend the De Finetti functions to a generalized nonlinear model.

  5. Research on nonlinear stochastic dynamical price model

    International Nuclear Information System (INIS)

    Li Jiaorui; Xu Wei; Xie Wenxian; Ren Zhengzheng

    2008-01-01

    In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Ito stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies

  6. Stochastic volatility of volatility in continuous time

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole; Veraart, Almut

    This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility...... of volatility can be defined both non-parametrically, where we link it to the quadratic variation of the stochastic variance process, and parametrically, where we propose two new SV models which allow for stochastic volatility of volatility. In addition, we show that volatility of volatility can be estimated...

  7. Assessing and accounting for time heterogeneity in stochastic actor oriented models

    NARCIS (Netherlands)

    Lospinoso, Joshua A.; Schweinberger, Michael; Snijders, Tom A. B.; Ripley, Ruth M.

    This paper explores time heterogeneity in stochastic actor oriented models (SAOM) proposed by Snijders (Sociological methodology. Blackwell, Boston, pp 361-395, 2001) which are meant to study the evolution of networks. SAOMs model social networks as directed graphs with nodes representing people,

  8. Stochastic approach to pitting-corrosion-extreme modelling in low-carbon steel

    Energy Technology Data Exchange (ETDEWEB)

    Valor, A. [Facultad de Fisica, Universidad de La Habana, San Lazaro y L, Vedado 10400, La Habana (Cuba); Caleyo, F. [Departamento de Ingenieria Metalurgica, IPN-ESIQIE, UPALM Edif. 7, Zacatenco, Mexico DF 07738 (Mexico)], E-mail: fcaleyo@gmail.com; Rivas, D.; Hallen, J.M. [Departamento de Ingenieria Metalurgica, IPN-ESIQIE, UPALM Edif. 7, Zacatenco, Mexico DF 07738 (Mexico)

    2010-03-15

    A stochastic model previously developed by the authors using Markov chains has been improved in the light of new experimental evidence. The new model has been successfully applied to reproduce the time evolution of extreme pitting corrosion depths in low-carbon steel. The model is shown to provide a better physical understanding of the pitting process.

  9. Stochastic approach to pitting-corrosion-extreme modelling in low-carbon steel

    International Nuclear Information System (INIS)

    Valor, A.; Caleyo, F.; Rivas, D.; Hallen, J.M.

    2010-01-01

    A stochastic model previously developed by the authors using Markov chains has been improved in the light of new experimental evidence. The new model has been successfully applied to reproduce the time evolution of extreme pitting corrosion depths in low-carbon steel. The model is shown to provide a better physical understanding of the pitting process.

  10. A stochastic differential equation framework for the timewise dynamics of turbulent velocities

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole Eiler; Schmiegel, Jürgen

    2008-01-01

    We discuss a stochastic differential equation as a modeling framework for the timewise dynamics of turbulent velocities. The equation is capable of capturing basic stylized facts of the statistics of temporal velocity increments. In particular, we focus on the evolution of the probability density...

  11. Stochastic Reachability Analysis of Hybrid Systems

    CERN Document Server

    Bujorianu, Luminita Manuela

    2012-01-01

    Stochastic reachability analysis (SRA) is a method of analyzing the behavior of control systems which mix discrete and continuous dynamics. For probabilistic discrete systems it has been shown to be a practical verification method but for stochastic hybrid systems it can be rather more. As a verification technique SRA can assess the safety and performance of, for example, autonomous systems, robot and aircraft path planning and multi-agent coordination but it can also be used for the adaptive control of such systems. Stochastic Reachability Analysis of Hybrid Systems is a self-contained and accessible introduction to this novel topic in the analysis and development of stochastic hybrid systems. Beginning with the relevant aspects of Markov models and introducing stochastic hybrid systems, the book then moves on to coverage of reachability analysis for stochastic hybrid systems. Following this build up, the core of the text first formally defines the concept of reachability in the stochastic framework and then...

  12. Momentum Maps and Stochastic Clebsch Action Principles

    Science.gov (United States)

    Cruzeiro, Ana Bela; Holm, Darryl D.; Ratiu, Tudor S.

    2018-01-01

    We derive stochastic differential equations whose solutions follow the flow of a stochastic nonlinear Lie algebra operation on a configuration manifold. For this purpose, we develop a stochastic Clebsch action principle, in which the noise couples to the phase space variables through a momentum map. This special coupling simplifies the structure of the resulting stochastic Hamilton equations for the momentum map. In particular, these stochastic Hamilton equations collectivize for Hamiltonians that depend only on the momentum map variable. The Stratonovich equations are derived from the Clebsch variational principle and then converted into Itô form. In comparing the Stratonovich and Itô forms of the stochastic dynamical equations governing the components of the momentum map, we find that the Itô contraction term turns out to be a double Poisson bracket. Finally, we present the stochastic Hamiltonian formulation of the collectivized momentum map dynamics and derive the corresponding Kolmogorov forward and backward equations.

  13. Stochastic Analysis : A Series of Lectures

    CERN Document Server

    Dozzi, Marco; Flandoli, Franco; Russo, Francesco

    2015-01-01

    This book presents in thirteen refereed survey articles an overview of modern activity in stochastic analysis, written by leading international experts. The topics addressed include stochastic fluid dynamics and regularization by noise of deterministic dynamical systems; stochastic partial differential equations driven by Gaussian or Lévy noise, including the relationship between parabolic equations and particle systems, and wave equations in a geometric framework; Malliavin calculus and applications to stochastic numerics; stochastic integration in Banach spaces; porous media-type equations; stochastic deformations of classical mechanics and Feynman integrals and stochastic differential equations with reflection. The articles are based on short courses given at the Centre Interfacultaire Bernoulli of the Ecole Polytechnique Fédérale de Lausanne, Switzerland, from January to June 2012. They offer a valuable resource not only for specialists, but also for other researchers and Ph.D. students in the fields o...

  14. Stochastic heating in the cyclotron resonance of electrons; Calentamiento estocastico en la resonancia ciclotronica de los electrones

    Energy Technology Data Exchange (ETDEWEB)

    Gutierrez T, C.; Hernandez A, O. [Instituto Nacional de Investigaciones Nucleares, A.P. 18-1027, 11801 Mexico D.F. (Mexico)

    1999-07-01

    The study of the different schemes of plasma heating by radiofrequency waves is a very actual problem related with the plasma heating in different machines and the particle acceleration mechanisms. In this work, it is obtained the expression for the temporal evolution of the energy absorbed in the cyclotron resonance of electrons where it is showed the stochastic character of the energy absorption. It is obtained the stochastic criteria in a magnetic configuration of an Ecr type plasma source. (Author)

  15. Aggregation patterns from nonlocal interactions: Discrete stochastic and continuum modeling

    KAUST Repository

    Hackett-Jones, Emily J.

    2012-04-17

    Conservation equations governed by a nonlocal interaction potential generate aggregates from an initial uniform distribution of particles. We address the evolution and formation of these aggregating steady states when the interaction potential has both attractive and repulsive singularities. Currently, no existence theory for such potentials is available. We develop and compare two complementary solution methods, a continuous pseudoinverse method and a discrete stochastic lattice approach, and formally show a connection between the two. Interesting aggregation patterns involving multiple peaks for a simple doubly singular attractive-repulsive potential are determined. For a swarming Morse potential, characteristic slow-fast dynamics in the scaled inverse energy is observed in the evolution to steady state in both the continuous and discrete approaches. The discrete approach is found to be remarkably robust to modifications in movement rules, related to the potential function. The comparable evolution dynamics and steady states of the discrete model with the continuum model suggest that the discrete stochastic approach is a promising way of probing aggregation patterns arising from two- and three-dimensional nonlocal interaction conservation equations. © 2012 American Physical Society.

  16. Discrete changes of current statistics in periodically driven stochastic systems

    International Nuclear Information System (INIS)

    Chernyak, Vladimir Y; Sinitsyn, N A

    2010-01-01

    We demonstrate that the counting statistics of currents in periodically driven ergodic stochastic systems can show sharp changes of some of its properties in response to continuous changes of the driving protocol. To describe this effect, we introduce a new topological phase factor in the evolution of the moment generating function which is akin to the topological geometric phase in the evolution of a periodically driven quantum mechanical system with time-reversal symmetry. This phase leads to the prediction of a sign change for the difference of the probabilities to find even and odd numbers of particles transferred in a stochastic system in response to cyclic evolution of control parameters. The driving protocols that lead to this sign change should enclose specific degeneracy points in the space of control parameters. The relation between the topology of the paths in the control parameter space and the sign changes can be described in terms of the first Stiefel–Whitney class of topological invariants. (letter)

  17. Stochastic simulation of grain growth during continuous casting

    Energy Technology Data Exchange (ETDEWEB)

    Ramirez, A. [Department of Aerounatical Engineering, S.E.P.I., E.S.I.M.E., IPN, Instituto Politecnico Nacional (Unidad Profesional Ticoman), Av. Ticoman 600, Col. Ticoman, C.P.07340 (Mexico)]. E-mail: adalop123@mailbanamex.com; Carrillo, F. [Department of Processing Materials, CICATA-IPN Unidad Altamira Tamps (Mexico); Gonzalez, J.L. [Department of Metallurgy and Materials Engineering, E.S.I.Q.I.E.-IPN (Mexico); Lopez, S. [Department of Molecular Engineering of I.M.P., AP 14-805 (Mexico)

    2006-04-15

    The evolution of microstructure is a very important topic in material science engineering because the solidification conditions of steel billets during continuous casting process affect directly the properties of the final products. In this paper a mathematical model is described in order to simulate the dendritic growth using data of real casting operations; here a combination of deterministic and stochastic methods was used as a function of the solidification time of every node in order to create a reconstruction about the morphology of cast structures.

  18. Stochastic simulation of grain growth during continuous casting

    International Nuclear Information System (INIS)

    Ramirez, A.; Carrillo, F.; Gonzalez, J.L.; Lopez, S.

    2006-01-01

    The evolution of microstructure is a very important topic in material science engineering because the solidification conditions of steel billets during continuous casting process affect directly the properties of the final products. In this paper a mathematical model is described in order to simulate the dendritic growth using data of real casting operations; here a combination of deterministic and stochastic methods was used as a function of the solidification time of every node in order to create a reconstruction about the morphology of cast structures

  19. Simulation of Stochastic Processes by Coupled ODE-PDE

    Science.gov (United States)

    Zak, Michail

    2008-01-01

    A document discusses the emergence of randomness in solutions of coupled, fully deterministic ODE-PDE (ordinary differential equations-partial differential equations) due to failure of the Lipschitz condition as a new phenomenon. It is possible to exploit the special properties of ordinary differential equations (represented by an arbitrarily chosen, dynamical system) coupled with the corresponding Liouville equations (used to describe the evolution of initial uncertainties in terms of joint probability distribution) in order to simulate stochastic processes with the proscribed probability distributions. The important advantage of the proposed approach is that the simulation does not require a random-number generator.

  20. Five challenges for stochastic epidemic models involving global transmission

    Directory of Open Access Journals (Sweden)

    Tom Britton

    2015-03-01

    Full Text Available The most basic stochastic epidemic models are those involving global transmission, meaning that infection rates depend only on the type and state of the individuals involved, and not on their location in the population. Simple as they are, there are still several open problems for such models. For example, when will such an epidemic go extinct and with what probability (questions depending on the population being fixed, changing or growing? How can a model be defined explaining the sometimes observed scenario of frequent mid-sized epidemic outbreaks? How can evolution of the infectious agent transmission rates be modelled and fitted to data in a robust way?

  1. Verification of Stochastic Process Calculi

    DEFF Research Database (Denmark)

    Skrypnyuk, Nataliya

    algorithms for constructing bisimulation relations, computing (overapproximations of) sets of reachable states and computing the expected time reachability, the last for a linear fragment of IMC. In all the cases we have the complexities of algorithms which are low polynomial in the size of the syntactic....... In support of this claim we have developed analysis methods that belong to a particular type of Static Analysis { Data Flow / Pathway Analysis. These methods have previously been applied to a number of non-stochastic process calculi. In this thesis we are lifting them to the stochastic calculus...... of Interactive Markov Chains (IMC). We have devised the Pathway Analysis of IMC that is not only correct in the sense of overapproximating all possible behaviour scenarios, as is usual for Static Analysis methods, but is also precise. This gives us the possibility to explicitly decide on the trade-o between...

  2. Fourier analysis and stochastic processes

    CERN Document Server

    Brémaud, Pierre

    2014-01-01

    This work is unique as it provides a uniform treatment of the Fourier theories of functions (Fourier transforms and series, z-transforms), finite measures (characteristic functions, convergence in distribution), and stochastic processes (including arma series and point processes). It emphasises the links between these three themes. The chapter on the Fourier theory of point processes and signals structured by point processes is a novel addition to the literature on Fourier analysis of stochastic processes. It also connects the theory with recent lines of research such as biological spike signals and ultrawide-band communications. Although the treatment is mathematically rigorous, the convivial style makes the book accessible to a large audience. In particular, it will be interesting to anyone working in electrical engineering and communications, biology (point process signals) and econometrics (arma models). A careful review of the prerequisites (integration and probability theory in the appendix, Hilbert spa...

  3. Stochastic integration and differential equations

    CERN Document Server

    Protter, Philip E

    2003-01-01

    It has been 15 years since the first edition of Stochastic Integration and Differential Equations, A New Approach appeared, and in those years many other texts on the same subject have been published, often with connections to applications, especially mathematical finance. Yet in spite of the apparent simplicity of approach, none of these books has used the functional analytic method of presenting semimartingales and stochastic integration. Thus a 2nd edition seems worthwhile and timely, though it is no longer appropriate to call it "a new approach". The new edition has several significant changes, most prominently the addition of exercises for solution. These are intended to supplement the text, but lemmas needed in a proof are never relegated to the exercises. Many of the exercises have been tested by graduate students at Purdue and Cornell Universities. Chapter 3 has been completely redone, with a new, more intuitive and simultaneously elementary proof of the fundamental Doob-Meyer decomposition theorem, t...

  4. The dynamics of stochastic processes

    DEFF Research Database (Denmark)

    Basse-O'Connor, Andreas

    In the present thesis the dynamics of stochastic processes is studied with a special attention to the semimartingale property. This is mainly motivated by the fact that semimartingales provide the class of the processes for which it is possible to define a reasonable stochastic calculus due...... to the Bichteler-Dellacherie Theorem. The semimartingale property of Gaussian processes is characterized in terms of their covariance function, spectral measure and spectral representation. In addition, representation and expansion of filtration results are provided as well. Special attention is given to moving...... average processes, and when the driving process is a Lévy or a chaos process the semimartingale property is characterized in the filtration spanned by the driving process and in the natural filtration when the latter is a Brownian motion. To obtain some of the above results an integrability of seminorm...

  5. Modular invariance and stochastic quantization

    International Nuclear Information System (INIS)

    Ordonez, C.R.; Rubin, M.A.; Zwanziger, D.

    1989-01-01

    In Polyakov path integrals and covariant closed-string field theory, integration over Teichmueller parameters must be restricted by hand to a single modular region. This problem has an analog in Yang-Mills gauge theory---namely, the Gribov problem, which can be resolved by the method of stochastic gauge fixing. This method is here employed to quantize a simple modular-invariant system: the Polyakov point particle. In the limit of a large gauge-fixing force, it is shown that suitable choices for the functional form of the gauge-fixing force can lead to a restriction of Teichmueller integration to a single modular region. Modifications which arise when applying stochastic quantization to a system in which the volume of the orbits of the gauge group depends on a dynamical variable, such as a Teichmueller parameter, are pointed out, and the extension to Polyakov strings and covariant closed-string field theory is discussed

  6. Stochastic models for atmospheric dispersion

    DEFF Research Database (Denmark)

    Ditlevsen, Ove Dalager

    2003-01-01

    Simple stochastic differential equation models have been applied by several researchers to describe the dispersion of tracer particles in the planetary atmospheric boundary layer and to form the basis for computer simulations of particle paths. To obtain the drift coefficient, empirical vertical...... positions close to the boundaries. Different rules have been suggested in the literature with justifications based on simulation studies. Herein the relevant stochastic differential equation model is formulated in a particular way. The formulation is based on the marginal transformation of the position...... velocity distributions that depend on height above the ground both with respect to standard deviation and skewness are substituted into the stationary Fokker/Planck equation. The particle position distribution is taken to be uniform *the well/mixed condition( and also a given dispersion coefficient...

  7. Stochastic Generalized Method of Moments

    KAUST Repository

    Yin, Guosheng; Ma, Yanyuan; Liang, Faming; Yuan, Ying

    2011-01-01

    The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online. © 2011 American Statistical Association.

  8. Stochastic Generalized Method of Moments

    KAUST Repository

    Yin, Guosheng

    2011-08-16

    The generalized method of moments (GMM) is a very popular estimation and inference procedure based on moment conditions. When likelihood-based methods are difficult to implement, one can often derive various moment conditions and construct the GMM objective function. However, minimization of the objective function in the GMM may be challenging, especially over a large parameter space. Due to the special structure of the GMM, we propose a new sampling-based algorithm, the stochastic GMM sampler, which replaces the multivariate minimization problem by a series of conditional sampling procedures. We develop the theoretical properties of the proposed iterative Monte Carlo method, and demonstrate its superior performance over other GMM estimation procedures in simulation studies. As an illustration, we apply the stochastic GMM sampler to a Medfly life longevity study. Supplemental materials for the article are available online. © 2011 American Statistical Association.

  9. Some Topics in Stochastic Control

    Science.gov (United States)

    2010-10-14

    assimilation problems. (a) Papers published in peer-reviewed journals (N/A for none) 1. R. Atar and A. Budhiraja. A stochastic differential game for...the inhomogeneous infinity-Laplace equation. Ann. Prob., 38 (2010), no. 2, 498--531. 2. R. Atar and A. Budhiraja. On near optimal trajectories for a...G. Aronsson. A mathematical model in sand mechanics: presentation and analysis. SIAM J. Appl. Math., 22 (1972), 437-458 [3] R. Atar and A. Budhiraja

  10. Stochastic background of atmospheric cascades

    International Nuclear Information System (INIS)

    Wilk, G.; Wlodarczyk, Z.

    1993-01-01

    Fluctuations in the atmospheric cascades developing during the propagation of very high energy cosmic rays through the atmosphere are investigated using stochastic branching model of pure birth process with immigration. In particular, we show that the multiplicity distributions of secondaries emerging from gamma families are much narrower than those resulting from hadronic families. We argue that the strong intermittent like behaviour found recently in atmospheric families results from the fluctuations in the cascades themselves and are insensitive to the details of elementary interactions

  11. Foundations of infinitesimal stochastic analysis

    CERN Document Server

    Stroyan, KD

    2011-01-01

    This book gives a complete and elementary account of fundamental results on hyperfinite measures and their application to stochastic processes, including the *-finite Stieltjes sum approximation of martingale integrals. Many detailed examples, not found in the literature, are included. It begins with a brief chapter on tools from logic and infinitesimal (or non-standard) analysis so that the material is accessible to beginning graduate students.

  12. Optimal Advertising with Stochastic Demand

    OpenAIRE

    George E. Monahan

    1983-01-01

    A stochastic, sequential model is developed to determine optimal advertising expenditures as a function of product maturity and past advertising. Random demand for the product depends upon an aggregate measure of current and past advertising called "goodwill," and the position of the product in its life cycle measured by sales-to-date. Conditions on the parameters of the model are established that insure that it is optimal to advertise less as the product matures. Additional characteristics o...

  13. Stochastic cooling technology at Fermilab

    Energy Technology Data Exchange (ETDEWEB)

    Pasquinelli, R.J. E-mail: pasquin@fnal.gov

    2004-10-11

    The first antiproton cooling systems were installed and commissioned at Fermilab in 1984-1985. In the interim period, there have been several major upgrades, system improvements, and complete reincarnation of cooling systems. This paper will present some of the technology that was pioneered at Fermilab to implement stochastic cooling systems in both the Antiproton Source and Recycler accelerators. Current performance data will also be presented.

  14. Stochastic cooling technology at Fermilab

    Science.gov (United States)

    Pasquinelli, Ralph J.

    2004-10-01

    The first antiproton cooling systems were installed and commissioned at Fermilab in 1984-1985. In the interim period, there have been several major upgrades, system improvements, and complete reincarnation of cooling systems. This paper will present some of the technology that was pioneered at Fermilab to implement stochastic cooling systems in both the Antiproton Source and Recycler accelerators. Current performance data will also be presented.

  15. Stochastic cooling technology at Fermilab

    International Nuclear Information System (INIS)

    Pasquinelli, R.J.

    2004-01-01

    The first antiproton cooling systems were installed and commissioned at Fermilab in 1984-1985. In the interim period, there have been several major upgrades, system improvements, and complete reincarnation of cooling systems. This paper will present some of the technology that was pioneered at Fermilab to implement stochastic cooling systems in both the Antiproton Source and Recycler accelerators. Current performance data will also be presented

  16. Stochastic Gravity: Theory and Applications

    Directory of Open Access Journals (Sweden)

    Hu Bei Lok

    2008-05-01

    Full Text Available Whereas semiclassical gravity is based on the semiclassical Einstein equation with sources given by the expectation value of the stress-energy tensor of quantum fields, stochastic semiclassical gravity is based on the Einstein–Langevin equation, which has, in addition, sources due to the noise kernel. The noise kernel is the vacuum expectation value of the (operator-valued stress-energy bitensor, which describes the fluctuations of quantum-matter fields in curved spacetimes. A new improved criterion for the validity of semiclassical gravity may also be formulated from the viewpoint of this theory. In the first part of this review we describe the fundamentals of this new theory via two approaches: the axiomatic and the functional. The axiomatic approach is useful to see the structure of the theory from the framework of semiclassical gravity, showing the link from the mean value of the stress-energy tensor to the correlation functions. The functional approach uses the Feynman–Vernon influence functional and the Schwinger–Keldysh closed-time-path effective action methods. In the second part, we describe three applications of stochastic gravity. First, we consider metric perturbations in a Minkowski spacetime, compute the two-point correlation functions of these perturbations and prove that Minkowski spacetime is a stable solution of semiclassical gravity. Second, we discuss structure formation from the stochastic-gravity viewpoint, which can go beyond the standard treatment by incorporating the full quantum effect of the inflaton fluctuations. Third, using the Einstein–Langevin equation, we discuss the backreaction of Hawking radiation and the behavior of metric fluctuations for both the quasi-equilibrium condition of a black-hole in a box and the fully nonequilibrium condition of an evaporating black hole spacetime. Finally, we briefly discuss the theoretical structure of stochastic gravity in relation to quantum gravity and point out

  17. Stochastic processes and filtering theory

    CERN Document Server

    Jazwinski, Andrew H

    1970-01-01

    This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well.Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probab

  18. New travelling wave solutions for nonlinear stochastic evolution ...

    Indian Academy of Sciences (India)

    expansion method to look for travelling wave solutions of nonlinear partial differential equations. It is interesting to mention that, in this method the sign of the parameters can be used to judge the numbers and types of travelling wave solutions.

  19. Maximal regularity for non-autonomous stochastic evolution ...

    Indian Academy of Sciences (India)

    Tôn Vi?t T?

    2017-11-17

    Nov 17, 2017 ... in a separable UMD Banach space E of type 2 with norm. ·. Here, W denotes a ... cases, e.g., the case where A is a bounded linear operator [3]. .... measurable if it is the pointwise limit of a sequence of simple functions. .... Here, Fβ,σ ((0, T]; E) denotes a weighted Hölder continuous function space introduced.

  20. Evolution of optical vortex distributions in stochastic vortex fields

    CSIR Research Space (South Africa)

    Roux, FS

    2011-01-01

    Full Text Available simple decay process to restore equilibrium. More complicated dynamics are involved, which requires deeper investigations. REFERENCES [1] Nye, J. F. and Berry, M. V., ?Dislocations in wave trains,? Proc. R. Soc. Lond. A 336, 165?190 (1974). [2] Dennis..., J., Zambrini, R., Dennis, M., and Vasnetsov, M., ?Angular momentum of optical vortex arrays,? Opt. Express 14, 938?949 (2006). [27] Berry, M. V., ?Disruption of wavefronts: statistics of dislocations in incoherent gaussian random waves,? J. Phys...

  1. Multiple fields in stochastic inflation

    Energy Technology Data Exchange (ETDEWEB)

    Assadullahi, Hooshyar [Institute of Cosmology & Gravitation, University of Portsmouth,Dennis Sciama Building, Burnaby Road, Portsmouth, PO1 3FX (United Kingdom); Firouzjahi, Hassan [School of Astronomy, Institute for Research in Fundamental Sciences (IPM),P.O. Box 19395-5531, Tehran (Iran, Islamic Republic of); Noorbala, Mahdiyar [Department of Physics, University of Tehran,P.O. Box 14395-547, Tehran (Iran, Islamic Republic of); School of Astronomy, Institute for Research in Fundamental Sciences (IPM),P.O. Box 19395-5531, Tehran (Iran, Islamic Republic of); Vennin, Vincent; Wands, David [Institute of Cosmology & Gravitation, University of Portsmouth,Dennis Sciama Building, Burnaby Road, Portsmouth, PO1 3FX (United Kingdom)

    2016-06-24

    Stochastic effects in multi-field inflationary scenarios are investigated. A hierarchy of diffusion equations is derived, the solutions of which yield moments of the numbers of inflationary e-folds. Solving the resulting partial differential equations in multi-dimensional field space is more challenging than the single-field case. A few tractable examples are discussed, which show that the number of fields is, in general, a critical parameter. When more than two fields are present for instance, the probability to explore arbitrarily large-field regions of the potential, otherwise inaccessible to single-field dynamics, becomes non-zero. In some configurations, this gives rise to an infinite mean number of e-folds, regardless of the initial conditions. Another difference with respect to single-field scenarios is that multi-field stochastic effects can be large even at sub-Planckian energy. This opens interesting new possibilities for probing quantum effects in inflationary dynamics, since the moments of the numbers of e-folds can be used to calculate the distribution of primordial density perturbations in the stochastic-δN formalism.

  2. Stochastic cooling in muon colliders

    International Nuclear Information System (INIS)

    Barletta, W.A.; Sessler, A.M.

    1993-09-01

    Analysis of muon production techniques for high energy colliders indicates the need for rapid and effective beam cooling in order that one achieve luminosities > 10 30 cm -2 s -1 as required for high energy physics experiments. This paper considers stochastic cooling to increase the phase space density of the muons in the collider. Even at muon energies greater than 100 GeV, the number of muons per bunch must be limited to ∼10 3 for the cooling rate to be less than the muon lifetime. With such a small number of muons per bunch, the final beam emittance implied by the luminosity requirement is well below the thermodynamic limit for beam electronics at practical temperatures. Rapid bunch stacking after the cooling process can raise the number of muons per bunch to a level consistent with both the luminosity goals and with practical temperatures for the stochastic cooling electronics. A major advantage of our stochastic cooling/stacking scheme over scenarios that employ only ionization cooling is that the power on the production target can be reduced below 1 MW

  3. Stochastic analysis of biochemical systems

    CERN Document Server

    Anderson, David F

    2015-01-01

    This book focuses on counting processes and continuous-time Markov chains motivated by examples and applications drawn from chemical networks in systems biology.  The book should serve well as a supplement for courses in probability and stochastic processes.  While the material is presented in a manner most suitable for students who have studied stochastic processes up to and including martingales in continuous time, much of the necessary background material is summarized in the Appendix. Students and Researchers with a solid understanding of calculus, differential equations, and elementary probability and who are well-motivated by the applications will find this book of interest.    David F. Anderson is Associate Professor in the Department of Mathematics at the University of Wisconsin and Thomas G. Kurtz is Emeritus Professor in the Departments of Mathematics and Statistics at that university. Their research is focused on probability and stochastic processes with applications in biology and other ar...

  4. Stochastic inflation and nonlinear gravity

    International Nuclear Information System (INIS)

    Salopek, D.S.; Bond, J.R.

    1991-01-01

    We show how nonlinear effects of the metric and scalar fields may be included in stochastic inflation. Our formalism can be applied to non-Gaussian fluctuation models for galaxy formation. Fluctuations with wavelengths larger than the horizon length are governed by a network of Langevin equations for the physical fields. Stochastic noise terms arise from quantum fluctuations that are assumed to become classical at horizon crossing and that then contribute to the background. Using Hamilton-Jacobi methods, we solve the Arnowitt-Deser-Misner constraint equations which allows us to separate the growing modes from the decaying ones in the drift phase following each stochastic impulse. We argue that the most reasonable choice of time hypersurfaces for the Langevin system during inflation is T=ln(Ha), where H and a are the local values of the Hubble parameter and the scale factor, since T is the natural time for evolving the short-wavelength scalar field fluctuations in an inhomogeneous background

  5. Evolution and non-equilibrium physics

    DEFF Research Database (Denmark)

    Becker, Nikolaj; Sibani, Paolo

    2014-01-01

    We argue that the stochastic dynamics of interacting agents which replicate, mutate and die constitutes a non-equilibrium physical process akin to aging in complex materials. Specifically, our study uses extensive computer simulations of the Tangled Nature Model (TNM) of biological evolution...

  6. Fuzzy stochastic damage mechanics (FSDM based on fuzzy auto-adaptive control theory

    Directory of Open Access Journals (Sweden)

    Ya-jun Wang

    2012-06-01

    Full Text Available In order to fully interpret and describe damage mechanics, the origin and development of fuzzy stochastic damage mechanics were introduced based on the analysis of the harmony of damage, probability, and fuzzy membership in the interval of [0,1]. In a complete normed linear space, it was proven that a generalized damage field can be simulated through β probability distribution. Three kinds of fuzzy behaviors of damage variables were formulated and explained through analysis of the generalized uncertainty of damage variables and the establishment of a fuzzy functional expression. Corresponding fuzzy mapping distributions, namely, the half-depressed distribution, swing distribution, and combined swing distribution, which can simulate varying fuzzy evolution in diverse stochastic damage situations, were set up. Furthermore, through demonstration of the generalized probabilistic characteristics of damage variables, the cumulative distribution function and probability density function of fuzzy stochastic damage variables, which show β probability distribution, were modified according to the expansion principle. The three-dimensional fuzzy stochastic damage mechanical behaviors of the Longtan rolled-concrete dam were examined with the self-developed fuzzy stochastic damage finite element program. The statistical correlation and non-normality of random field parameters were considered comprehensively in the fuzzy stochastic damage model described in this paper. The results show that an initial damage field based on the comprehensive statistical evaluation helps to avoid many difficulties in the establishment of experiments and numerical algorithms for damage mechanics analysis.

  7. Stochastic heterogeneous interaction promotes cooperation in spatial prisoner's dilemma game.

    Directory of Open Access Journals (Sweden)

    Ping Zhu

    Full Text Available Previous studies mostly investigate player's cooperative behavior as affected by game time-scale or individual diversity. In this paper, by involving both time-scale and diversity simultaneously, we explore the effect of stochastic heterogeneous interaction. In our model, the occurrence of game interaction between each pair of linked player obeys a random probability, which is further described by certain distributions. Simulations on a 4-neighbor square lattice show that the cooperation level is remarkably promoted when stochastic heterogeneous interaction is considered. The results are then explained by investigating the mean payoffs, the mean boundary payoffs and the transition probabilities between cooperators and defectors. We also show some typical snapshots and evolution time series of the system. Finally, the 8-neighbor square lattice and BA scale-free network results indicate that the stochastic heterogeneous interaction can be robust against different network topologies. Our work may sharpen the understanding of the joint effect of game time-scale and individual diversity on spatial games.

  8. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    Energy Technology Data Exchange (ETDEWEB)

    Dobay, M. P. D., E-mail: maria.pamela.david@physik.uni-muenchen.de; Alberola, A. Piera; Mendoza, E. R.; Raedler, J. O., E-mail: joachim.raedler@physik.uni-muenchen.de [Ludwig-Maximilians University, Faculty of Physics, Center for NanoScience (Germany)

    2012-03-15

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  9. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    International Nuclear Information System (INIS)

    Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.

    2012-01-01

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  10. Modeling nanoparticle uptake and intracellular distribution using stochastic process algebras

    Science.gov (United States)

    Dobay, M. P. D.; Alberola, A. Piera; Mendoza, E. R.; Rädler, J. O.

    2012-03-01

    Computational modeling is increasingly important to help understand the interaction and movement of nanoparticles (NPs) within living cells, and to come to terms with the wealth of data that microscopy imaging yields. A quantitative description of the spatio-temporal distribution of NPs inside cells; however, it is challenging due to the complexity of multiple compartments such as endosomes and nuclei, which themselves are dynamic and can undergo fusion and fission and exchange their content. Here, we show that stochastic pi calculus, a widely-used process algebra, is well suited for mapping surface and intracellular NP interactions and distributions. In stochastic pi calculus, each NP is represented as a process, which can adopt various states such as bound or aggregated, as well as be passed between processes representing location, as a function of predefined stochastic channels. We created a pi calculus model of gold NP uptake and intracellular movement and compared the evolution of surface-bound, cytosolic, endosomal, and nuclear NP densities with electron microscopy data. We demonstrate that the computational approach can be extended to include specific molecular binding and potential interaction with signaling cascades as characteristic for NP-cell interactions in a wide range of applications such as nanotoxicity, viral infection, and drug delivery.

  11. TIME-DEPENDENT STOCHASTIC ACCELERATION MODEL FOR FERMI BUBBLES

    Energy Technology Data Exchange (ETDEWEB)

    Sasaki, Kento; Asano, Katsuaki; Terasawa, Toshio, E-mail: kentos@icrr.u-tokyo.ac.jp, E-mail: asanok@icrr.u-tokyo.ac.jp, E-mail: terasawa@icrr.u-tokyo.ac.jp [Institute for Cosmic Ray Research, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa, Chiba 277-8582 (Japan)

    2015-12-01

    We study stochastic acceleration models for the Fermi bubbles. Turbulence is excited just behind the shock front via Kelvin–Helmholtz, Rayleigh–Taylor, or Richtmyer–Meshkov instabilities, and plasma particles are continuously accelerated by the interaction with the turbulence. The turbulence gradually decays as it goes away from the shock fronts. Adopting a phenomenological model for the stochastic acceleration, we explicitly solve the temporal evolution of the particle energy distribution in the turbulence. Our results show that the spatial distribution of high-energy particles is different from those for a steady solution. We also show that the contribution of electrons that escaped from the acceleration regions significantly softens the photon spectrum. The photon spectrum and surface brightness profile are reproduced by our models. If the escape efficiency is very high, the radio flux from the escaped low-energy electrons can be comparable to that of the WMAP haze. We also demonstrate hadronic models with the stochastic acceleration, but they are unlikely in the viewpoint of the energy budget.

  12. Extinction in neutrally stable stochastic Lotka-Volterra models

    Science.gov (United States)

    Dobrinevski, Alexander; Frey, Erwin

    2012-05-01

    Populations of competing biological species exhibit a fascinating interplay between the nonlinear dynamics of evolutionary selection forces and random fluctuations arising from the stochastic nature of the interactions. The processes leading to extinction of species, whose understanding is a key component in the study of evolution and biodiversity, are influenced by both of these factors. Here, we investigate a class of stochastic population dynamics models based on generalized Lotka-Volterra systems. In the case of neutral stability of the underlying deterministic model, the impact of intrinsic noise on the survival of species is dramatic: It destroys coexistence of interacting species on a time scale proportional to the population size. We introduce a new method based on stochastic averaging which allows one to understand this extinction process quantitatively by reduction to a lower-dimensional effective dynamics. This is performed analytically for two highly symmetrical models and can be generalized numerically to more complex situations. The extinction probability distributions and other quantities of interest we obtain show excellent agreement with simulations.

  13. AESS: Accelerated Exact Stochastic Simulation

    Science.gov (United States)

    Jenkins, David D.; Peterson, Gregory D.

    2011-12-01

    The Stochastic Simulation Algorithm (SSA) developed by Gillespie provides a powerful mechanism for exploring the behavior of chemical systems with small species populations or with important noise contributions. Gene circuit simulations for systems biology commonly employ the SSA method, as do ecological applications. This algorithm tends to be computationally expensive, so researchers seek an efficient implementation of SSA. In this program package, the Accelerated Exact Stochastic Simulation Algorithm (AESS) contains optimized implementations of Gillespie's SSA that improve the performance of individual simulation runs or ensembles of simulations used for sweeping parameters or to provide statistically significant results. Program summaryProgram title: AESS Catalogue identifier: AEJW_v1_0 Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEJW_v1_0.html Program obtainable from: CPC Program Library, Queen's University, Belfast, N. Ireland Licensing provisions: University of Tennessee copyright agreement No. of lines in distributed program, including test data, etc.: 10 861 No. of bytes in distributed program, including test data, etc.: 394 631 Distribution format: tar.gz Programming language: C for processors, CUDA for NVIDIA GPUs Computer: Developed and tested on various x86 computers and NVIDIA C1060 Tesla and GTX 480 Fermi GPUs. The system targets x86 workstations, optionally with multicore processors or NVIDIA GPUs as accelerators. Operating system: Tested under Ubuntu Linux OS and CentOS 5.5 Linux OS Classification: 3, 16.12 Nature of problem: Simulation of chemical systems, particularly with low species populations, can be accurately performed using Gillespie's method of stochastic simulation. Numerous variations on the original stochastic simulation algorithm have been developed, including approaches that produce results with statistics that exactly match the chemical master equation (CME) as well as other approaches that approximate the CME. Solution

  14. An adaptive stochastic model for financial markets

    International Nuclear Information System (INIS)

    Hernández, Juan Antonio; Benito, Rosa Marı´a; Losada, Juan Carlos

    2012-01-01

    An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.

  15. Quantum simulation of a quantum stochastic walk

    Science.gov (United States)

    Govia, Luke C. G.; Taketani, Bruno G.; Schuhmacher, Peter K.; Wilhelm, Frank K.

    2017-03-01

    The study of quantum walks has been shown to have a wide range of applications in areas such as artificial intelligence, the study of biological processes, and quantum transport. The quantum stochastic walk (QSW), which allows for incoherent movement of the walker, and therefore, directionality, is a generalization on the fully coherent quantum walk. While a QSW can always be described in Lindblad formalism, this does not mean that it can be microscopically derived in the standard weak-coupling limit under the Born-Markov approximation. This restricts the class of QSWs that can be experimentally realized in a simple manner. To circumvent this restriction, we introduce a technique to simulate open system evolution on a fully coherent quantum computer, using a quantum trajectories style approach. We apply this technique to a broad class of QSWs, and show that they can be simulated with minimal experimental resources. Our work opens the path towards the experimental realization of QSWs on large graphs with existing quantum technologies.

  16. Brownian motion, martingales, and stochastic calculus

    CERN Document Server

    Le Gall, Jean-François

    2016-01-01

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

  17. Stochastic synaptic plasticity with memristor crossbar arrays

    KAUST Repository

    Naous, Rawan

    2016-11-01

    Memristive devices have been shown to exhibit slow and stochastic resistive switching behavior under low-voltage, low-current operating conditions. Here we explore such mechanisms to emulate stochastic plasticity in memristor crossbar synapse arrays. Interfaced with integrate-and-fire spiking neurons, the memristive synapse arrays are capable of implementing stochastic forms of spike-timing dependent plasticity which parallel mean-rate models of stochastic learning with binary synapses. We present theory and experiments with spike-based stochastic learning in memristor crossbar arrays, including simplified modeling as well as detailed physical simulation of memristor stochastic resistive switching characteristics due to voltage and current induced filament formation and collapse. © 2016 IEEE.

  18. Stochastic synaptic plasticity with memristor crossbar arrays

    KAUST Repository

    Naous, Rawan; Al-Shedivat, Maruan; Neftci, Emre; Cauwenberghs, Gert; Salama, Khaled N.

    2016-01-01

    Memristive devices have been shown to exhibit slow and stochastic resistive switching behavior under low-voltage, low-current operating conditions. Here we explore such mechanisms to emulate stochastic plasticity in memristor crossbar synapse arrays. Interfaced with integrate-and-fire spiking neurons, the memristive synapse arrays are capable of implementing stochastic forms of spike-timing dependent plasticity which parallel mean-rate models of stochastic learning with binary synapses. We present theory and experiments with spike-based stochastic learning in memristor crossbar arrays, including simplified modeling as well as detailed physical simulation of memristor stochastic resistive switching characteristics due to voltage and current induced filament formation and collapse. © 2016 IEEE.

  19. Classification of ξ(s)-Quadratic Stochastic Operators on 2D simplex

    International Nuclear Information System (INIS)

    Mukhamedov, Farrukh; Saburov, Mansoor; Qaralleh, Izzat

    2013-01-01

    A quadratic stochastic operator (in short QSO) is usually used to present the time evolution of differing species in biology. Some QSO has been studied by Lotka and Volterra. The general problem in the nonlinear operator theory is to study the behavior of operators. This problem was not fully finished even for the quadratic stochastic operators. To study this problem it was investigated several classes of such QSO. In this paper we study ξ (s) -QSO class of operators. We study such kind of operators on 2D simplex. We first classify these ξ (s) -QSO into 20 classes. Further, we investigate the dynamics of one class of such operators.

  20. STOCHASTIC MODEL OF THE SPIN DISTRIBUTION OF DARK MATTER HALOS

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Juhan [Center for Advanced Computation, Korea Institute for Advanced Study, Heogiro 85, Seoul 130-722 (Korea, Republic of); Choi, Yun-Young [Department of Astronomy and Space Science, Kyung Hee University, Gyeonggi 446-701 (Korea, Republic of); Kim, Sungsoo S.; Lee, Jeong-Eun [School of Space Research, Kyung Hee University, Gyeonggi 446-701 (Korea, Republic of)

    2015-09-15

    We employ a stochastic approach to probing the origin of the log-normal distributions of halo spin in N-body simulations. After analyzing spin evolution in halo merging trees, it was found that a spin change can be characterized by a stochastic random walk of angular momentum. Also, spin distributions generated by random walks are fairly consistent with those directly obtained from N-body simulations. We derived a stochastic differential equation from a widely used spin definition and measured the probability distributions of the derived angular momentum change from a massive set of halo merging trees. The roles of major merging and accretion are also statistically analyzed in evolving spin distributions. Several factors (local environment, halo mass, merging mass ratio, and redshift) are found to influence the angular momentum change. The spin distributions generated in the mean-field or void regions tend to shift slightly to a higher spin value compared with simulated spin distributions, which seems to be caused by the correlated random walks. We verified the assumption of randomness in the angular momentum change observed in the N-body simulation and detected several degrees of correlation between walks, which may provide a clue for the discrepancies between the simulated and generated spin distributions in the voids. However, the generated spin distributions in the group and cluster regions successfully match the simulated spin distribution. We also demonstrated that the log-normality of the spin distribution is a natural consequence of the stochastic differential equation of the halo spin, which is well described by the Geometric Brownian Motion model.

  1. Stochastic catastrophe theory and instabilities in plasma turbulence

    International Nuclear Information System (INIS)

    Rajkovic, Milan; Skoric, Milos

    2009-01-01

    Full text: A Langevin equation (LE) describing evolution of turbulence amplitude in plasma is analyzed from the aspect of stochastic catastrophe theory (SCT) so that turbulent plasma is considered as a stochastic gradient system. According to SCT the dynamics of the system is completely determined by the stochastic potential function and the maximum likelihood estimates of stable and unstable equilibria are associated with the modes and anti-modes, respectively, of the system's stationary probability density function. First order phase transitions occur at degenerate equilibrium points and the potential function at these points may be represented in a generic way. Since the diffusion function of plasma LE is not constant the probability density function (pdf) is not a reliable estimator of the number of stable states. We show that the generalized pdf represented as the product of the stationary pdf and the diffusion function is a reliable estimator of the stable states and that it can be evaluated from the zero mean crossing analysis of plasma turbulence signal. Stochastic bifurcations, and particularly the sudden (catastrophic) ones, are recognized from the pdf's obtained by the zero crossing analysis and we illustrate the applications of SCT in plasma turbulence on data obtained from the MAST (Mega Ampere Spherical Tokamak) for low (L), high (H) and unstable dithering (L/H) confinement regimes. The relationship of the transformation invariant zero-crossing function and SCT is shown to provide important information about the nature of edge localized modes (ELMs) and L-H transition. Finally we show that ELMs occur as a result of catastrophic (hard) bifurcations ruling out the self-organized criticality scenario for their origin. (author)

  2. SATA II - Stochastic Algebraic Topology and Applications

    Science.gov (United States)

    2017-01-30

    AFRL-AFOSR-UK-TR-2017-0018 SATA II - Stochastic Algebraic Topology and Applications 150032 Robert Adler TECHNION ISRAEL INSTITUTE OF TECHNOLOGY Final...REPORT TYPE Final 3. DATES COVERED (From - To) 15 Dec 2014 to 14 Dec 2016 4. TITLE AND SUBTITLE SATA II - Stochastic Algebraic Topology and Applications... Topology and Applications Continuation of, and associated with SATA: Stochastic Algebraic Topology and Applications FA8655-11-1-3039, 09/1/2011–08/31/2014

  3. Stochastic deformation of a thermodynamic symplectic structure

    OpenAIRE

    Kazinski, P. O.

    2008-01-01

    A stochastic deformation of a thermodynamic symplectic structure is studied. The stochastic deformation procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an imaginary deformation parameter (the Planck constant). Gauge symmetries of thermodynamics and corresponding stochastic mechanics, which describes fluctuations of a thermodynamic system, are revealed and gauge fields are introduced. A physical interpretation to the gauge transform...

  4. Stochastic temperature and the Nicolai map

    International Nuclear Information System (INIS)

    Hueffel, H.

    1989-01-01

    Just as standard temperature can be related to the time coordinate of Euclidean space, a new concept of 'stochastic temperature' may be introduced by associating it to the Parisi-Wu time of stochastic quantization. The perturbative equilibrium limit for a self-interacting scalar field is studied, and a 'thermal' mass shift to one loop is shown. In addition one may interpret the underlying stochastic process as a Nicolai map at nonzero 'temperature'. 22 refs. (Author)

  5. On Lipschitzian quantum stochastic differential inclusions

    International Nuclear Information System (INIS)

    Ekhaguere, G.O.S.

    1990-12-01

    Quantum stochastic differential inclusions are introduced and studied within the framework of the Hudson-Parthasarathy formulation of quantum stochastic calculus. Results concerning the existence of solutions of a Lipschitzian quantum stochastic differential inclusion and the relationship between the solutions of such an inclusion and those of its convexification are presented. These generalize the Filippov existence theorem and the Filippov-Wazewski Relaxation Theorem for classical differential inclusions to the present noncommutative setting. (author). 9 refs

  6. Ambit processes and stochastic partial differential equations

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut

    Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection betwe...... ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Lévy noise analysis....

  7. The Robustness of Stochastic Switching Networks

    OpenAIRE

    Loh, Po-Ling; Zhou, Hongchao; Bruck, Jehoshua

    2009-01-01

    Many natural systems, including chemical and biological systems, can be modeled using stochastic switching circuits. These circuits consist of stochastic switches, called pswitches, which operate with a fixed probability of being open or closed. We study the effect caused by introducing an error of size ∈ to each pswitch in a stochastic circuit. We analyze two constructions – simple series-parallel and general series-parallel circuits – and prove that simple series-parallel circuits are robus...

  8. Sequential neural models with stochastic layers

    DEFF Research Database (Denmark)

    Fraccaro, Marco; Sønderby, Søren Kaae; Paquet, Ulrich

    2016-01-01

    How can we efficiently propagate uncertainty in a latent state representation with recurrent neural networks? This paper introduces stochastic recurrent neural networks which glue a deterministic recurrent neural network and a state space model together to form a stochastic and sequential neural...... generative model. The clear separation of deterministic and stochastic layers allows a structured variational inference network to track the factorization of the model's posterior distribution. By retaining both the nonlinear recursive structure of a recurrent neural network and averaging over...

  9. Stochastic Linear Quadratic Optimal Control Problems

    International Nuclear Information System (INIS)

    Chen, S.; Yong, J.

    2001-01-01

    This paper is concerned with the stochastic linear quadratic optimal control problem (LQ problem, for short) for which the coefficients are allowed to be random and the cost functional is allowed to have a negative weight on the square of the control variable. Some intrinsic relations among the LQ problem, the stochastic maximum principle, and the (linear) forward-backward stochastic differential equations are established. Some results involving Riccati equation are discussed as well

  10. Stochastic Model Checking of the Stochastic Quality Calculus

    DEFF Research Database (Denmark)

    Nielson, Flemming; Nielson, Hanne Riis; Zeng, Kebin

    2015-01-01

    The Quality Calculus uses quality binders for input to express strategies for continuing the computation even when the desired input has not been received. The Stochastic Quality Calculus adds generally distributed delays for output actions and real-time constraints on the quality binders for input....... This gives rise to Generalised Semi-Markov Decision Processes for which few analytical techniques are available. We restrict delays on output actions to be exponentially distributed while still admitting real-time constraints on the quality binders. This facilitates developing analytical techniques based...

  11. Stochastic quantization of gravity and string fields

    International Nuclear Information System (INIS)

    Rumpf, H.

    1986-01-01

    The stochastic quantization method of Parisi and Wu is generalized so as to make it applicable to Einstein's theory of gravitation. The generalization is based on the existence of a preferred metric in field configuration space, involves Ito's calculus, and introduces a complex stochastic process adapted to Lorentzian spacetime. It implies formally the path integral measure of DeWitt, a causual Feynman propagator, and a consistent stochastic perturbation theory. The lineraized version of the theory is also obtained from the stochastic quantization of the free string field theory of Siegel and Zwiebach. (Author)

  12. A stochastic model of multiple scattering of charged particles: process, transport equation and solutions

    International Nuclear Information System (INIS)

    Papiez, L.; Moskvin, V.; Tulovsky, V.

    2001-01-01

    The process of angular-spatial evolution of multiple scattering of charged particles can be described by a special case of Boltzmann integro-differential equation called Lewis equation. The underlying stochastic process for this evolution is the compound Poisson process on the surface of the unit sphere. The significant portion of events that constitute compound Poisson process that describes multiple scattering have diffusional character. This property allows to analyze the process of angular-spatial evolution of multiple scattering of charged particles as combination of soft and hard collision processes and compute appropriately its transition densities. These computations provide a method of the approximate solution to the Lewis equation. (orig.)

  13. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

    NARCIS (Netherlands)

    van Haastrecht, A.; Lord, R.; Pelsser, A.; Schrager, D.

    2009-01-01

    We consider the pricing of long-dated insurance contracts under stochastic interest rates and stochastic volatility. In particular, we focus on the valuation of insurance options with long-term equity or foreign exchange exposures. Our modeling framework extends the stochastic volatility model of

  14. Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut

    Ambit stochastics is the name for the theory and applications of ambit fields and ambit processes and constitutes a new research area in stochastics for tempo-spatial phenomena. This paper gives an overview of the main findings in ambit stochastics up to date and establishes new results on genera...

  15. Stochastic reliability analysis using Fokker Planck equations

    International Nuclear Information System (INIS)

    Hari Prasad, M.; Rami Reddy, G.; Srividya, A.; Verma, A.K.

    2011-01-01

    The Fokker-Planck equation describes the time evolution of the probability density function of the velocity of a particle, and can be generalized to other observables as well. It is also known as the Kolmogorov forward equation (diffusion). Hence, for any process, which evolves with time, the probability density function as a function of time can be represented with Fokker-Planck equation. In stochastic reliability analysis one is more interested in finding out the reliability or failure probability of the components or structures as a function of time rather than instantaneous failure probabilities. In this analysis the variables are represented with random processes instead of random variables. A random processes can be either stationary or non stationary. If the random process is stationary then the failure probability doesn't change with time where as in the case of non stationary processes the failure probability changes with time. In the present paper Fokker Planck equations have been used to find out the probability density function of the non stationary random processes. In this paper a flow chart has been provided which describes step by step process for carrying out stochastic reliability analysis using Fokker-Planck equations. As a first step one has to identify the failure function as a function of random processes. Then one has to solve the Fokker-Planck equation for each random process. In this paper the Fokker-Planck equation has been solved by using Finite difference method. As a result one gets the probability density values of the random process in the sample space as well as time space. Later at each time step appropriate probability distribution has to be identified based on the available probability density values. For checking the better fitness of the data Kolmogorov-Smirnov Goodness of fit test has been performed. In this way one can find out the distribution of the random process at each time step. Once one has the probability distribution

  16. Spectral representation in stochastic quantization

    International Nuclear Information System (INIS)

    Nakazato, Hiromichi.

    1988-10-01

    A spectral representation of stationary 2-point functions is investigated based on the operator formalism in stochastic quantization. Assuming the existence of asymptotic non-interacting fields, we can diagonalize the total Hamiltonian in terms of asymptotic fields and show that the correlation length along the fictious time is proportional to the physical mass expected in the usual field theory. A relation between renormalization factors in the operator formalism is derived as a byproduct and its validity is checked with the perturbative results calculated in this formalism. (orig.)

  17. Stochastic modeling analysis and simulation

    CERN Document Server

    Nelson, Barry L

    1995-01-01

    A coherent introduction to the techniques for modeling dynamic stochastic systems, this volume also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Suitable for advanced undergraduates and graduate-level industrial engineers and management science majors, it proposes modeling systems in terms of their simulation, regardless of whether simulation is employed for analysis. Beginning with a view of the conditions that permit a mathematical-numerical analysis, the text explores Poisson and renewal processes, Markov chains in discrete and continuous time, se

  18. Probability, Statistics, and Stochastic Processes

    CERN Document Server

    Olofsson, Peter

    2012-01-01

    This book provides a unique and balanced approach to probability, statistics, and stochastic processes.   Readers gain a solid foundation in all three fields that serves as a stepping stone to more advanced investigations into each area.  The Second Edition features new coverage of analysis of variance (ANOVA), consistency and efficiency of estimators, asymptotic theory for maximum likelihood estimators, empirical distribution function and the Kolmogorov-Smirnov test, general linear models, multiple comparisons, Markov chain Monte Carlo (MCMC), Brownian motion, martingales, and

  19. Mathematical statistics and stochastic processes

    CERN Document Server

    Bosq, Denis

    2013-01-01

    Generally, books on mathematical statistics are restricted to the case of independent identically distributed random variables. In this book however, both this case AND the case of dependent variables, i.e. statistics for discrete and continuous time processes, are studied. This second case is very important for today's practitioners.Mathematical Statistics and Stochastic Processes is based on decision theory and asymptotic statistics and contains up-to-date information on the relevant topics of theory of probability, estimation, confidence intervals, non-parametric statistics and rob

  20. Stochastic Gravity: Theory and Applications

    Directory of Open Access Journals (Sweden)

    Hu Bei Lok

    2004-01-01

    Full Text Available Whereas semiclassical gravity is based on the semiclassical Einstein equation with sources given by the expectation value of the stress-energy tensor of quantum fields, stochastic semiclassical gravity is based on the Einstein-Langevin equation, which has in addition sources due to the noise kernel. The noise kernel is the vacuum expectation value of the (operator-valued stress-energy bi-tensor which describes the fluctuations of quantum matter fields in curved spacetimes. In the first part, we describe the fundamentals of this new theory via two approaches: the axiomatic and the functional. The axiomatic approach is useful to see the structure of the theory from the framework of semiclassical gravity, showing the link from the mean value of the stress-energy tensor to their correlation functions. The functional approach uses the Feynman-Vernon influence functional and the Schwinger-Keldysh closed-time-path effective action methods which are convenient for computations. It also brings out the open systems concepts and the statistical and stochastic contents of the theory such as dissipation, fluctuations, noise, and decoherence. We then focus on the properties of the stress-energy bi-tensor. We obtain a general expression for the noise kernel of a quantum field defined at two distinct points in an arbitrary curved spacetime as products of covariant derivatives of the quantum field's Green function. In the second part, we describe three applications of stochastic gravity theory. First, we consider metric perturbations in a Minkowski spacetime. We offer an analytical solution of the Einstein-Langevin equation and compute the two-point correlation functions for the linearized Einstein tensor and for the metric perturbations. Second, we discuss structure formation from the stochastic gravity viewpoint, which can go beyond the standard treatment by incorporating the full quantum effect of the inflaton fluctuations. Third, we discuss the backreaction

  1. Stochastic resonance for exploration geophysics

    OpenAIRE

    Omerbashich, Mensur

    2008-01-01

    Stochastic resonance (SR) is a phenomenon in which signal to noise (SN) ratio gets improved by noise addition rather than removal as envisaged classically. SR was first claimed in climatology a few decades ago and then in other disciplines as well. The same as it is observed in natural systems, SR is used also for allowable SN enhancements at will. Here I report a proof of principle that SR can be useful in exploration geophysics. For this I perform high frequency GaussVanicek variance spectr...

  2. A Multilevel Network Study of the Effects of Delinquent Behavior on Friendship Evolution

    NARCIS (Netherlands)

    Snijders, T.A.B.; Baerveldt, Chris

    2003-01-01

    A multilevel approach is proposed to the study of the evolution of multiple networks. In this approach, the basic evolution process is assumed to be the same, while parameter values may differ between different networks. For the network evolution process, stochastic actor-oriented models are used,

  3. Accelerated Genetic Algorithm Solutions Of Some Parametric Families Of Stochastic Differential Equations

    Directory of Open Access Journals (Sweden)

    Eman Ali Hussain

    2015-01-01

    Full Text Available Absract In this project A new method for solving Stochastic Differential Equations SDEs deriving by Wiener process numerically will be construct and implement using Accelerated Genetic Algorithm AGA. An SDE is a differential equation in which one or more of the terms and hence the solutions itself is a stochastic process. Solving stochastic differential equations requires going away from the recognizable deterministic setting of ordinary and partial differential equations into a world where the evolution of a quantity has an inherent random component and where the expected behavior of this quantity can be described in terms of probability distributions. We applied our method on the Ito formula which is equivalent to the SDE to find approximation solution of the SDEs. Numerical experiments illustrate the behavior of the proposed method.

  4. Stochastic response and bifurcation of periodically driven nonlinear oscillators by the generalized cell mapping method

    Science.gov (United States)

    Han, Qun; Xu, Wei; Sun, Jian-Qiao

    2016-09-01

    The stochastic response of nonlinear oscillators under periodic and Gaussian white noise excitations is studied with the generalized cell mapping based on short-time Gaussian approximation (GCM/STGA) method. The solutions of the transition probability density functions over a small fraction of the period are constructed by the STGA scheme in order to construct the GCM over one complete period. Both the transient and steady-state probability density functions (PDFs) of a smooth and discontinuous (SD) oscillator are computed to illustrate the application of the method. The accuracy of the results is verified by direct Monte Carlo simulations. The transient responses show the evolution of the PDFs from being Gaussian to non-Gaussian. The effect of a chaotic saddle on the stochastic response is also studied. The stochastic P-bifurcation in terms of the steady-state PDFs occurs with the decrease of the smoothness parameter, which corresponds to the deterministic pitchfork bifurcation.

  5. A constrained approach to multiscale stochastic simulation of chemically reacting systems

    KAUST Repository

    Cotter, Simon L.

    2011-01-01

    Stochastic simulation of coupled chemical reactions is often computationally intensive, especially if a chemical system contains reactions occurring on different time scales. In this paper, we introduce a multiscale methodology suitable to address this problem, assuming that the evolution of the slow species in the system is well approximated by a Langevin process. It is based on the conditional stochastic simulation algorithm (CSSA) which samples from the conditional distribution of the suitably defined fast variables, given values for the slow variables. In the constrained multiscale algorithm (CMA) a single realization of the CSSA is then used for each value of the slow variable to approximate the effective drift and diffusion terms, in a similar manner to the constrained mean-force computations in other applications such as molecular dynamics. We then show how using the ensuing Fokker-Planck equation approximation, we can in turn approximate average switching times in stochastic chemical systems. © 2011 American Institute of Physics.

  6. Sensory optimization by stochastic tuning.

    Science.gov (United States)

    Jurica, Peter; Gepshtein, Sergei; Tyukin, Ivan; van Leeuwen, Cees

    2013-10-01

    Individually, visual neurons are each selective for several aspects of stimulation, such as stimulus location, frequency content, and speed. Collectively, the neurons implement the visual system's preferential sensitivity to some stimuli over others, manifested in behavioral sensitivity functions. We ask how the individual neurons are coordinated to optimize visual sensitivity. We model synaptic plasticity in a generic neural circuit and find that stochastic changes in strengths of synaptic connections entail fluctuations in parameters of neural receptive fields. The fluctuations correlate with uncertainty of sensory measurement in individual neurons: The higher the uncertainty the larger the amplitude of fluctuation. We show that this simple relationship is sufficient for the stochastic fluctuations to steer sensitivities of neurons toward a characteristic distribution, from which follows a sensitivity function observed in human psychophysics and which is predicted by a theory of optimal allocation of receptive fields. The optimal allocation arises in our simulations without supervision or feedback about system performance and independently of coupling between neurons, making the system highly adaptive and sensitive to prevailing stimulation. PsycINFO Database Record (c) 2013 APA, all rights reserved.

  7. Stochastic geometry in PRIZMA code

    International Nuclear Information System (INIS)

    Malyshkin, G. N.; Kashaeva, E. A.; Mukhamadiev, R. F.

    2007-01-01

    The paper describes a method used to simulate radiation transport through random media - randomly placed grains in a matrix material. The method models the medium consequently from one grain crossed by particle trajectory to another. Like in the Limited Chord Length Sampling (LCLS) method, particles in grains are tracked in the actual grain geometry, but unlike LCLS, the medium is modeled using only Matrix Chord Length Sampling (MCLS) from the exponential distribution and it is not necessary to know the grain chord length distribution. This helped us extend the method to media with randomly oriented arbitrarily shaped convex grains. Other extensions include multicomponent media - grains of several sorts, and polydisperse media - grains of different sizes. Sort and size distributions of crossed grains were obtained and an algorithm was developed for sampling grain orientations and positions. Special consideration was given to medium modeling at the boundary of the stochastic region. The method was implemented in the universal 3D Monte Carlo code PRIZMA. The paper provides calculated results for a model problem where we determine volume fractions of modeled components crossed by particle trajectories. It also demonstrates the use of biased sampling techniques implemented in PRIZMA for solving a problem of deep penetration in model random media. Described are calculations for the spectral response of a capacitor dose detector whose anode was modeled with account for its stochastic structure. (authors)

  8. Single-Molecule Stochastic Resonance

    Directory of Open Access Journals (Sweden)

    K. Hayashi

    2012-08-01

    Full Text Available Stochastic resonance (SR is a well-known phenomenon in dynamical systems. It consists of the amplification and optimization of the response of a system assisted by stochastic (random or probabilistic noise. Here we carry out the first experimental study of SR in single DNA hairpins which exhibit cooperatively transitions from folded to unfolded configurations under the action of an oscillating mechanical force applied with optical tweezers. By varying the frequency of the force oscillation, we investigate the folding and unfolding kinetics of DNA hairpins in a periodically driven bistable free-energy potential. We measure several SR quantifiers under varied conditions of the experimental setup such as trap stiffness and length of the molecular handles used for single-molecule manipulation. We find that a good quantifier of the SR is the signal-to-noise ratio (SNR of the spectral density of measured fluctuations in molecular extension of the DNA hairpins. The frequency dependence of the SNR exhibits a peak at a frequency value given by the resonance-matching condition. Finally, we carry out experiments on short hairpins that show how SR might be useful for enhancing the detection of conformational molecular transitions of low SNR.

  9. Geometric integrators for stochastic rigid body dynamics

    KAUST Repository

    Tretyakov, Mikhail

    2016-01-05

    Geometric integrators play an important role in simulating dynamical systems on long time intervals with high accuracy. We will illustrate geometric integration ideas within the stochastic context, mostly on examples of stochastic thermostats for rigid body dynamics. The talk will be mainly based on joint recent work with Rusland Davidchak and Tom Ouldridge.

  10. The Owen Value of Stochastic Cooperative Game

    Directory of Open Access Journals (Sweden)

    Cheng-Guo E

    2014-01-01

    Full Text Available We consider stochastic cooperative game and give it the definition of the Owen value, which is obtained by extending the classical case. Then we provide explicit expression for the Owen value of the stochastic cooperative game and discuss its existence and uniqueness.

  11. Safety Analysis of Stochastic Dynamical Systems

    DEFF Research Database (Denmark)

    Sloth, Christoffer; Wisniewski, Rafael

    2015-01-01

    This paper presents a method for verifying the safety of a stochastic system. In particular, we show how to compute the largest set of initial conditions such that a given stochastic system is safe with probability p. To compute the set of initial conditions we rely on the moment method that via...... that shows how the p-safe initial set is computed numerically....

  12. Multivariate Discrete First Order Stochastic Dominance

    DEFF Research Database (Denmark)

    Tarp, Finn; Østerdal, Lars Peter

    This paper characterizes the principle of first order stochastic dominance in a multivariate discrete setting. We show that a distribution  f first order stochastic dominates distribution g if and only if  f can be obtained from g by iteratively shifting density from one outcome to another...

  13. Geometric integrators for stochastic rigid body dynamics

    KAUST Repository

    Tretyakov, Mikhail

    2016-01-01

    Geometric integrators play an important role in simulating dynamical systems on long time intervals with high accuracy. We will illustrate geometric integration ideas within the stochastic context, mostly on examples of stochastic thermostats for rigid body dynamics. The talk will be mainly based on joint recent work with Rusland Davidchak and Tom Ouldridge.

  14. History-dependent stochastic Petri nets

    NARCIS (Netherlands)

    Schonenberg, H.; Sidorova, N.; Aalst, van der W.M.P.; Hee, van K.M.; Pnueli, A.; Virbitskaite, I.; Voronkov, A.

    2010-01-01

    Stochastic Petri Nets are a useful and well-known tool for performance analysis. However, an implicit assumption in the different types of Stochastic Petri Nets is the Markov property. It is assumed that a choice in the Petri net only depends on the current state and not on earlier choices. For many

  15. Stochasticity and transport in Hamiltonian systems

    International Nuclear Information System (INIS)

    MacKay, R.S.; Meiss, J.D.; Percival, I.C.

    1983-08-01

    The theory of transport in nonlinear dynamics is developed in terms of leaky barriers which remain when invariant tori are destroyed. We describe the organization of stochastic motion by these barriers and give an explanation of long-time correlations in the stochastic regime

  16. Analytic stochastic regularization and gange invariance

    International Nuclear Information System (INIS)

    Abdalla, E.; Gomes, M.; Lima-Santos, A.

    1986-05-01

    A proof that analytic stochastic regularization breaks gauge invariance is presented. This is done by an explicit one loop calculation of the vaccum polarization tensor in scalar electrodynamics, which turns out not to be transversal. The counterterm structure, Langevin equations and the construction of composite operators in the general framework of stochastic quantization, are also analysed. (Author) [pt

  17. Stochastic properties of the Friedman dynamical system

    International Nuclear Information System (INIS)

    Szydlowski, M.; Heller, M.; Golda, Z.

    1985-01-01

    Some mathematical aspects of the stochastic cosmology are discussed in the corresponding ordinary Friedman world models. In particulare, it is shown that if the strong and Lorentz energy conditions are known, or the potential function is given, or a stochastic measure is suitably defined then the structure of the phase plane of the Friedman dynamical system is determined. 11 refs., 2 figs. (author)

  18. High-speed Stochastic Fatigue Testing

    DEFF Research Database (Denmark)

    Brincker, Rune; Sørensen, John Dalsgaard

    1990-01-01

    Good stochastic fatigue tests are difficult to perform. One of the major reasons is that ordinary servohydraulic loading systems realize the prescribed load history accurately at very low testing speeds only. If the speeds used for constant amplitude testing are applied to stochastic fatigue...

  19. Stochastic quantization for the axial model

    International Nuclear Information System (INIS)

    Farina, C.; Montani, H.; Albuquerque, L.C.

    1991-01-01

    We use bosonization ideas to solve the axial model in the stochastic quantization framework. We obtain the fermion propagator of the theory decoupling directly the Langevin equation, instead of the Fokker-Planck equation. In the Appendix we calculate explicitly the anomalous divergence of the axial-vector current by using a regularization that does not break the Markovian character of the stochastic process

  20. Consistent Stochastic Modelling of Meteocean Design Parameters

    DEFF Research Database (Denmark)

    Sørensen, John Dalsgaard; Sterndorff, M. J.

    2000-01-01

    Consistent stochastic models of metocean design parameters and their directional dependencies are essential for reliability assessment of offshore structures. In this paper a stochastic model for the annual maximum values of the significant wave height, and the associated wind velocity, current...

  1. On the stochastic stability of MHD equilibria

    International Nuclear Information System (INIS)

    Teichmann, J.

    1979-07-01

    The stochastic stability in the large of stationary equilibria of ideal and dissipative magnetohydrodynamics under the influence of stationary random fluctuations is studied using the direct Liapunov method. Sufficient and necessary conditions for stability of the linearized Euler-Lagrangian systems are given. The destabilizing effect of stochastic fluctuations is demonstrated. (orig.)

  2. Numerical Simulation of the Heston Model under Stochastic Correlation

    Directory of Open Access Journals (Sweden)

    Long Teng

    2017-12-01

    Full Text Available Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing stochastic correlations driven by a stochastic differential equation. We discuss the efficient algorithms for the extended Heston model by incorporating stochastic correlations. Our numerical experiments show that the proposed algorithms can efficiently provide highly accurate results for the extended Heston by including stochastic correlations. By investigating the effect of stochastic correlations on the implied volatility, we find that the performance of the Heston model can be proved by including stochastic correlations.

  3. Hill functions for stochastic gene regulatory networks from master equations with split nodes and time-scale separation

    Science.gov (United States)

    Lipan, Ovidiu; Ferwerda, Cameron

    2018-02-01

    The deterministic Hill function depends only on the average values of molecule numbers. To account for the fluctuations in the molecule numbers, the argument of the Hill function needs to contain the means, the standard deviations, and the correlations. Here we present a method that allows for stochastic Hill functions to be constructed from the dynamical evolution of stochastic biocircuits with specific topologies. These stochastic Hill functions are presented in a closed analytical form so that they can be easily incorporated in models for large genetic regulatory networks. Using a repressive biocircuit as an example, we show by Monte Carlo simulations that the traditional deterministic Hill function inaccurately predicts time of repression by an order of two magnitudes. However, the stochastic Hill function was able to capture the fluctuations and thus accurately predicted the time of repression.

  4. Modelling and application of stochastic processes

    CERN Document Server

    1986-01-01

    The subject of modelling and application of stochastic processes is too vast to be exhausted in a single volume. In this book, attention is focused on a small subset of this vast subject. The primary emphasis is on realization and approximation of stochastic systems. Recently there has been considerable interest in the stochastic realization problem, and hence, an attempt has been made here to collect in one place some of the more recent approaches and algorithms for solving the stochastic realiza­ tion problem. Various different approaches for realizing linear minimum-phase systems, linear nonminimum-phase systems, and bilinear systems are presented. These approaches range from time-domain methods to spectral-domain methods. An overview of the chapter contents briefly describes these approaches. Also, in most of these chapters special attention is given to the problem of developing numerically ef­ ficient algorithms for obtaining reduced-order (approximate) stochastic realizations. On the application side,...

  5. Stochastic spin-one massive field

    International Nuclear Information System (INIS)

    Lim, S.C.

    1984-01-01

    Stochastic quantization schemes of Nelson and Parisi and Wu are applied to a spin-one massive field. Unlike the scalar case Nelson's stochastic spin-one massive field cannot be identified with the corresponding euclidean field even if the fourth component of the euclidean coordinate is taken as equal to the real physical time. In the Parisi-Wu quantization scheme the stochastic Proca vector field has a similar property as the scalar field; which has an asymptotically stationary part and a transient part. The large equal-time limit of the expectation values of the stochastic Proca field are equal to the expectation values of the corresponding euclidean field. In the Stueckelberg formalism the Parisi-Wu scheme gives rise to a stochastic vector field which differs from the massless gauge field in that the gauge cannot be fixed by the choice of boundary condition. (orig.)

  6. Turbulent response in a stochastic regime

    International Nuclear Information System (INIS)

    Molvig, K.; Freidberg, J.P.; Potok, R.; Hirshman, S.P.; Whitson, J.C.; Tajima, T.

    1981-06-01

    The theory for the non-linear, turbulent response in a system with intrinsic stochasticity is considered. It is argued that perturbative Eulerian theories, such as the Direct Interaction Approximation (DIA), are inherently unsuited to describe such a system. The exponentiation property that characterizes stochasticity appears in the Lagrangian picture and cannot even be defined in the Eulerian representation. An approximation for stochastic systems - the Normal Stochastic Approximation - is developed and states that the perturbed orbit functions (Lagrangian fluctuations) behave as normally distributed random variables. This is independent of the Eulerian statistics and, in fact, we treat the Eulerian fluctuations as fixed. A simple model problem (appropriate for the electron response in the drift wave) is subjected to a series of computer experiments. To within numerical noise the results are in agreement with the Normal Stochastic Approximation. The predictions of the DIA for this mode show substantial qualitative and quantitative departures from the observations

  7. Kinetic theory of age-structured stochastic birth-death processes

    Science.gov (United States)

    Greenman, Chris D.; Chou, Tom

    2016-01-01

    Classical age-structured mass-action models such as the McKendrick-von Foerster equation have been extensively studied but are unable to describe stochastic fluctuations or population-size-dependent birth and death rates. Stochastic theories that treat semi-Markov age-dependent processes using, e.g., the Bellman-Harris equation do not resolve a population's age structure and are unable to quantify population-size dependencies. Conversely, current theories that include size-dependent population dynamics (e.g., mathematical models that include carrying capacity such as the logistic equation) cannot be easily extended to take into account age-dependent birth and death rates. In this paper, we present a systematic derivation of a new, fully stochastic kinetic theory for interacting age-structured populations. By defining multiparticle probability density functions, we derive a hierarchy of kinetic equations for the stochastic evolution of an aging population undergoing birth and death. We show that the fully stochastic age-dependent birth-death process precludes factorization of the corresponding probability densities, which then must be solved by using a Bogoliubov--Born--Green--Kirkwood--Yvon-like hierarchy. Explicit solutions are derived in three limits: no birth, no death, and steady state. These are then compared with their corresponding mean-field results. Our results generalize both deterministic models and existing master equation approaches by providing an intuitive and efficient way to simultaneously model age- and population-dependent stochastic dynamics applicable to the study of demography, stem cell dynamics, and disease evolution.

  8. On the Radio-emitting Particles of the Crab Nebula: Stochastic Acceleration Model

    Energy Technology Data Exchange (ETDEWEB)

    Tanaka, Shuta J. [Department of Physics, Faculty of Science and Engineering, Konan University, 8-9-1 Okamoto, Kobe, Hyogo 658-8501 (Japan); Asano, Katsuaki, E-mail: sjtanaka@center.konan-u.ac.jp [Institute for Cosmic Ray Research, The University of Tokyo, 5-1-5 Kashiwa-no-ha, Kashiwa City, Chiba, 277-8582 (Japan)

    2017-06-01

    The broadband emission of pulsar wind nebulae (PWNe) is well described by non-thermal emissions from accelerated electrons and positrons. However, the standard shock acceleration model of PWNe does not account for the hard spectrum in radio wavelengths. The origin of the radio-emitting particles is also important to determine the pair production efficiency in the pulsar magnetosphere. Here, we propose a possible resolution for the particle energy distribution in PWNe; the radio-emitting particles are not accelerated at the pulsar wind termination shock but are stochastically accelerated by turbulence inside PWNe. We upgrade our past one-zone spectral evolution model to include the energy diffusion, i.e., the stochastic acceleration, and apply the model to the Crab Nebula. A fairly simple form of the energy diffusion coefficient is assumed for this demonstrative study. For a particle injection to the stochastic acceleration process, we consider the continuous injection from the supernova ejecta or the impulsive injection associated with supernova explosion. The observed broadband spectrum and the decay of the radio flux are reproduced by tuning the amount of the particle injected to the stochastic acceleration process. The acceleration timescale and the duration of the acceleration are required to be a few decades and a few hundred years, respectively. Our results imply that some unveiled mechanisms, such as back reaction to the turbulence, are required to make the energies of stochastically and shock-accelerated particles comparable.

  9. Estimation of local concentration from measurements of stochastic adsorption dynamics using carbon nanotube-based sensors

    International Nuclear Information System (INIS)

    Jang, Hong; Lee, Jay H.; Braatz, Richard D.

    2016-01-01

    This paper proposes a maximum likelihood estimation (MLE) method for estimating time varying local concentration of the target molecule proximate to the sensor from the time profile of monomolecular adsorption and desorption on the surface of the sensor at nanoscale. Recently, several carbon nanotube sensors have been developed that can selectively detect target molecules at a trace concentration level. These sensors use light intensity changes mediated by adsorption or desorption phenomena on their surfaces. The molecular events occurring at trace concentration levels are inherently stochastic, posing a challenge for optimal estimation. The stochastic behavior is modeled by the chemical master equation (CME), composed of a set of ordinary differential equations describing the time evolution of probabilities for the possible adsorption states. Given the significant stochastic nature of the underlying phenomena, rigorous stochastic estimation based on the CME should lead to an improved accuracy over than deterministic estimation formulated based on the continuum model. Motivated by this expectation, we formulate the MLE based on an analytical solution of the relevant CME, both for the constant and the time-varying local concentrations, with the objective of estimating the analyte concentration field in real time from the adsorption readings of the sensor array. The performances of the MLE and the deterministic least squares are compared using data generated by kinetic Monte Carlo (KMC) simulations of the stochastic process. Some future challenges are described for estimating and controlling the concentration field in a distributed domain using the sensor technology.

  10. Calculating Higher-Order Moments of Phylogenetic Stochastic Mapping Summaries in Linear Time

    Science.gov (United States)

    Dhar, Amrit

    2017-01-01

    Abstract Stochastic mapping is a simulation-based method for probabilistically mapping substitution histories onto phylogenies according to continuous-time Markov models of evolution. This technique can be used to infer properties of the evolutionary process on the phylogeny and, unlike parsimony-based mapping, conditions on the observed data to randomly draw substitution mappings that do not necessarily require the minimum number of events on a tree. Most stochastic mapping applications simulate substitution mappings only to estimate the mean and/or variance of two commonly used mapping summaries: the number of particular types of substitutions (labeled substitution counts) and the time spent in a particular group of states (labeled dwelling times) on the tree. Fast, simulation-free algorithms for calculating the mean of stochastic mapping summaries exist. Importantly, these algorithms scale linearly in the number of tips/leaves of the phylogenetic tree. However, to our knowledge, no such algorithm exists for calculating higher-order moments of stochastic mapping summaries. We present one such simulation-free dynamic programming algorithm that calculates prior and posterior mapping variances and scales linearly in the number of phylogeny tips. Our procedure suggests a general framework that can be used to efficiently compute higher-order moments of stochastic mapping summaries without simulations. We demonstrate the usefulness of our algorithm by extending previously developed statistical tests for rate variation across sites and for detecting evolutionarily conserved regions in genomic sequences. PMID:28177780

  11. Stochastic evolutionary voluntary public goods game with punishment in a Quasi-birth-and-death process.

    Science.gov (United States)

    Quan, Ji; Liu, Wei; Chu, Yuqing; Wang, Xianjia

    2017-11-23

    Traditional replication dynamic model and the corresponding concept of evolutionary stable strategy (ESS) only takes into account whether the system can return to the equilibrium after being subjected to a small disturbance. In the real world, due to continuous noise, the ESS of the system may not be stochastically stable. In this paper, a model of voluntary public goods game with punishment is studied in a stochastic situation. Unlike the existing model, we describe the evolutionary process of strategies in the population as a generalized quasi-birth-and-death process. And we investigate the stochastic stable equilibrium (SSE) instead. By numerical experiments, we get all possible SSEs of the system for any combination of parameters, and investigate the influence of parameters on the probabilities of the system to select different equilibriums. It is found that in the stochastic situation, the introduction of the punishment and non-participation strategies can change the evolutionary dynamics of the system and equilibrium of the game. There is a large range of parameters that the system selects the cooperative states as its SSE with a high probability. This result provides us an insight and control method for the evolution of cooperation in the public goods game in stochastic situations.

  12. Stochasticity in economic losses increases the value of reputation in indirect reciprocity.

    Science.gov (United States)

    dos Santos, Miguel; Placì, Sarah; Wedekind, Claus

    2015-12-14

    Recent theory predicts harsh and stochastic conditions to generally promote the evolution of cooperation. Here, we test experimentally whether stochasticity in economic losses also affects the value of reputation in indirect reciprocity, a type of cooperation that is very typical for humans. We used a repeated helping game with observers. One subject (the "Unlucky") lost some money, another one (the "Passer-by") could reduce this loss by accepting a cost to herself, thereby building up a reputation that could be used by others in later interactions. The losses were either stable or stochastic, but the average loss over time and the average efficiency gains of helping were kept constant in both treatments. We found that players with a reputation of being generous were generally more likely to receive help by others, such that investing into a good reputation generated long-term benefits that compensated for the immediate costs of helping. Helping frequencies were similar in both treatments, but players with a reputation to be selfish lost more resources under stochastic conditions. Hence, returns on investment were steeper when losses varied than when they did not. We conclude that this type of stochasticity increases the value of reputation in indirect reciprocity.

  13. Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation

    Science.gov (United States)

    Zhang, Wei; Wang, Jun

    2018-05-01

    A novel nonlinear stochastic interacting price dynamics is proposed and investigated by the bond percolation on Sierpinski gasket fractal-like lattice, aim to make a new approach to reproduce and study the complexity dynamics of real security markets. Fractal-like lattices correspond to finite graphs with vertices and edges, which are similar to fractals, and Sierpinski gasket is a well-known example of fractals. Fractional ordinal array entropy and fractional ordinal array complexity are introduced to analyze the complexity behaviors of financial signals. To deeper comprehend the fluctuation characteristics of the stochastic price evolution, the complexity analysis of random logarithmic returns and volatility are preformed, including power-law distribution, fractional sample entropy and fractional ordinal array complexity. For further verifying the rationality and validity of the developed stochastic price evolution, the actual security market dataset are also studied with the same statistical methods for comparison. The empirical results show that this stochastic price dynamics can reconstruct complexity behaviors of the actual security markets to some extent.

  14. GillespieSSA: Implementing the Gillespie Stochastic Simulation Algorithm in R

    Directory of Open Access Journals (Sweden)

    Mario Pineda-Krch

    2008-02-01

    Full Text Available The deterministic dynamics of populations in continuous time are traditionally described using coupled, first-order ordinary differential equations. While this approach is accurate for large systems, it is often inadequate for small systems where key species may be present in small numbers or where key reactions occur at a low rate. The Gillespie stochastic simulation algorithm (SSA is a procedure for generating time-evolution trajectories of finite populations in continuous time and has become the standard algorithm for these types of stochastic models. This article presents a simple-to-use and flexible framework for implementing the SSA using the high-level statistical computing language R and the package GillespieSSA. Using three ecological models as examples (logistic growth, Rosenzweig-MacArthur predator-prey model, and Kermack-McKendrick SIRS metapopulation model, this paper shows how a deterministic model can be formulated as a finite-population stochastic model within the framework of SSA theory and how it can be implemented in R. Simulations of the stochastic models are performed using four different SSA Monte Carlo methods: one exact method (Gillespie's direct method; and three approximate methods (explicit, binomial, and optimized tau-leap methods. Comparison of simulation results confirms that while the time-evolution trajectories obtained from the different SSA methods are indistinguishable, the approximate methods are up to four orders of magnitude faster than the exact methods.

  15. Stochastic incompleteness of quantum mechanics

    International Nuclear Information System (INIS)

    Suppes, P.; Zanotti, M.

    1976-01-01

    This article brings out in as conceptually clear terms as possible what seems to be a major incompleteness in the probability theory of particles offered by classical quantum mechanics. The exact nature of this incompleteness is illustrated by consideration of some simple quantum-mechanical examples. In addition, these examples are contrasted with the fundamental assumptions of Brownian motion in classical physics on the one hand, and with a controversey of a deecade ago in mathematical physchology. The central claim is that clasical quantum mechanics is radically incomplete in its probabilistic account of the motion of particles. In the last part of the article the time-dependent joint distribution of position and momentum of the linear harmonic oscillator is derived, and it is shown how the apparently physically paradoxical statistical independence of position and momentum has a natural explanation. The explanation is given within the framework of the non-quantum-mechanical stochastic theory constructed for such oscillators. (Auth.)

  16. A stochastic model of hormesis

    International Nuclear Information System (INIS)

    Yakovlev, A.Yu.; Tsodikov, A.D.; Bass, L.

    1993-01-01

    In order to describe the life-prolonging effect of some agents that are harmful at higher doses, ionizing radiations in particular, a stochastic model is developed in terms of accumulation and progression of intracellular lesions caused by the environment and by the agent itself. The processes of lesion repair, operating at the molecular and cellular level, are assumed to be responsible for this hormesis effect within the framework of the proposed model. Properties of lifetime distributions, derived for analysis of animal experiments with prolonged and acute irradiation, are given special attention. The model provides efficient means of interpreting experimental findings, as evidenced by its application to analysis of some published data on the hormetic effects of prolonged irradiation and of procaine on animal longevity. 51 refs., 2 figs., 1 tabs

  17. Stochastic control with rough paths

    International Nuclear Information System (INIS)

    Diehl, Joscha; Friz, Peter K.; Gassiat, Paul

    2017-01-01

    We study a class of controlled differential equations driven by rough paths (or rough path realizations of Brownian motion) in the sense of Lyons. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We make the link to old work of Davis and Burstein (Stoch Stoch Rep 40:203–256, 1992) and then prove a continuous-time generalization of Roger’s duality formula [SIAM J Control Optim 46:1116–1132, 2007]. The generic case of controlled volatility is seen to give trivial duality bounds, and explains the focus in Burstein–Davis’ (and this) work on controlled drift. Our study of controlled rough differential equations also relates to work of Mazliak and Nourdin (Stoch Dyn 08:23, 2008).

  18. Stochastic models for tumoral growth

    Science.gov (United States)

    Escudero, Carlos

    2006-02-01

    Strong experimental evidence has indicated that tumor growth belongs to the molecular beam epitaxy universality class. This type of growth is characterized by the constraint of cell proliferation to the tumor border and the surface diffusion of cells at the growing edge. Tumor growth is thus conceived as a competition for space between the tumor and the host, and cell diffusion at the tumor border is an optimal strategy adopted for minimizing the pressure and helping tumor development. Two stochastic partial differential equations are reported in this paper in order to correctly model the physical properties of tumoral growth in (1+1) and (2+1) dimensions. The advantage of these models is that they reproduce the correct geometry of the tumor and are defined in terms of polar variables. An analysis of these models allows us to quantitatively estimate the response of the tumor to an unfavorable perturbation during growth.

  19. Discrete stochastic processes and applications

    CERN Document Server

    Collet, Jean-François

    2018-01-01

    This unique text for beginning graduate students gives a self-contained introduction to the mathematical properties of stochastics and presents their applications to Markov processes, coding theory, population dynamics, and search engine design. The book is ideal for a newly designed course in an introduction to probability and information theory. Prerequisites include working knowledge of linear algebra, calculus, and probability theory. The first part of the text focuses on the rigorous theory of Markov processes on countable spaces (Markov chains) and provides the basis to developing solid probabilistic intuition without the need for a course in measure theory. The approach taken is gradual beginning with the case of discrete time and moving on to that of continuous time. The second part of this text is more applied; its core introduces various uses of convexity in probability and presents a nice treatment of entropy.

  20. Stochastic control with rough paths

    Energy Technology Data Exchange (ETDEWEB)

    Diehl, Joscha [University of California San Diego (United States); Friz, Peter K., E-mail: friz@math.tu-berlin.de [TU & WIAS Berlin (Germany); Gassiat, Paul [CEREMADE, Université Paris-Dauphine, PSL Research University (France)

    2017-04-15

    We study a class of controlled differential equations driven by rough paths (or rough path realizations of Brownian motion) in the sense of Lyons. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We make the link to old work of Davis and Burstein (Stoch Stoch Rep 40:203–256, 1992) and then prove a continuous-time generalization of Roger’s duality formula [SIAM J Control Optim 46:1116–1132, 2007]. The generic case of controlled volatility is seen to give trivial duality bounds, and explains the focus in Burstein–Davis’ (and this) work on controlled drift. Our study of controlled rough differential equations also relates to work of Mazliak and Nourdin (Stoch Dyn 08:23, 2008).

  1. Stochastic Subspace Modelling of Turbulence

    DEFF Research Database (Denmark)

    Sichani, Mahdi Teimouri; Pedersen, B. J.; Nielsen, Søren R.K.

    2009-01-01

    positive definite cross-spectral density matrix a frequency response matrix is constructed which determines the turbulence vector as a linear filtration of Gaussian white noise. Finally, an accurate state space modelling method is proposed which allows selection of an appropriate model order......, and estimation of a state space model for the vector turbulence process incorporating its phase spectrum in one stage, and its results are compared with a conventional ARMA modelling method.......Turbulence of the incoming wind field is of paramount importance to the dynamic response of civil engineering structures. Hence reliable stochastic models of the turbulence should be available from which time series can be generated for dynamic response and structural safety analysis. In the paper...

  2. Momentum and Stochastic Momentum for Stochastic Gradient, Newton, Proximal Point and Subspace Descent Methods

    KAUST Repository

    Loizou, Nicolas

    2017-12-27

    In this paper we study several classes of stochastic optimization algorithms enriched with heavy ball momentum. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic dual subspace ascent. This is the first time momentum variants of several of these methods are studied. We choose to perform our analysis in a setting in which all of the above methods are equivalent. We prove global nonassymptotic linear convergence rates for all methods and various measures of success, including primal function values, primal iterates (in L2 sense), and dual function values. We also show that the primal iterates converge at an accelerated linear rate in the L1 sense. This is the first time a linear rate is shown for the stochastic heavy ball method (i.e., stochastic gradient descent method with momentum). Under somewhat weaker conditions, we establish a sublinear convergence rate for Cesaro averages of primal iterates. Moreover, we propose a novel concept, which we call stochastic momentum, aimed at decreasing the cost of performing the momentum step. We prove linear convergence of several stochastic methods with stochastic momentum, and show that in some sparse data regimes and for sufficiently small momentum parameters, these methods enjoy better overall complexity than methods with deterministic momentum. Finally, we perform extensive numerical testing on artificial and real datasets, including data coming from average consensus problems.

  3. Momentum and Stochastic Momentum for Stochastic Gradient, Newton, Proximal Point and Subspace Descent Methods

    KAUST Repository

    Loizou, Nicolas; Richtarik, Peter

    2017-01-01

    In this paper we study several classes of stochastic optimization algorithms enriched with heavy ball momentum. Among the methods studied are: stochastic gradient descent, stochastic Newton, stochastic proximal point and stochastic dual subspace ascent. This is the first time momentum variants of several of these methods are studied. We choose to perform our analysis in a setting in which all of the above methods are equivalent. We prove global nonassymptotic linear convergence rates for all methods and various measures of success, including primal function values, primal iterates (in L2 sense), and dual function values. We also show that the primal iterates converge at an accelerated linear rate in the L1 sense. This is the first time a linear rate is shown for the stochastic heavy ball method (i.e., stochastic gradient descent method with momentum). Under somewhat weaker conditions, we establish a sublinear convergence rate for Cesaro averages of primal iterates. Moreover, we propose a novel concept, which we call stochastic momentum, aimed at decreasing the cost of performing the momentum step. We prove linear convergence of several stochastic methods with stochastic momentum, and show that in some sparse data regimes and for sufficiently small momentum parameters, these methods enjoy better overall complexity than methods with deterministic momentum. Finally, we perform extensive numerical testing on artificial and real datasets, including data coming from average consensus problems.

  4. Stochastic modeling of soil salinity

    Science.gov (United States)

    Suweis, S.; Porporato, A. M.; Daly, E.; van der Zee, S.; Maritan, A.; Rinaldo, A.

    2010-12-01

    A minimalist stochastic model of primary soil salinity is proposed, in which the rate of soil salinization is determined by the balance between dry and wet salt deposition and the intermittent leaching events caused by rainfall events. The equations for the probability density functions of salt mass and concentration are found by reducing the coupled soil moisture and salt mass balance equations to a single stochastic differential equation (generalized Langevin equation) driven by multiplicative Poisson noise. Generalized Langevin equations with multiplicative white Poisson noise pose the usual Ito (I) or Stratonovich (S) prescription dilemma. Different interpretations lead to different results and then choosing between the I and S prescriptions is crucial to describe correctly the dynamics of the model systems. We show how this choice can be determined by physical information about the timescales involved in the process. We also show that when the multiplicative noise is at most linear in the random variable one prescription can be made equivalent to the other by a suitable transformation in the jump probability distribution. We then apply these results to the generalized Langevin equation that drives the salt mass dynamics. The stationary analytical solutions for the probability density functions of salt mass and concentration provide insight on the interplay of the main soil, plant and climate parameters responsible for long term soil salinization. In particular, they show the existence of two distinct regimes, one where the mean salt mass remains nearly constant (or decreases) with increasing rainfall frequency, and another where mean salt content increases markedly with increasing rainfall frequency. As a result, relatively small reductions of rainfall in drier climates may entail dramatic shifts in longterm soil salinization trends, with significant consequences, e.g. for climate change impacts on rain fed agriculture.

  5. EFT Beyond the Horizon: Stochastic Inflation and How Primordial Quantum Fluctuations Go Classical

    CERN Document Server

    Burgess, C P; Tasinato, G; Williams, M

    2015-01-01

    We identify the effective theory describing inflationary super-Hubble scales and show it to be a special case of effective field theories appropriate to open systems. Open systems allow information to be exchanged between the degrees of freedom of interest and those that are integrated out, such as for particles moving through a fluid. Strictly speaking they cannot in general be described by an effective lagrangian; rather the appropriate `low-energy' limit is instead a Lindblad equation describing the evolution of the density matrix of the slow degrees of freedom. We derive the equation relevant to super-Hubble modes of quantum fields in near-de Sitter spacetimes and derive two implications. We show the evolution of the diagonal density-matrix elements quickly approaches the Fokker-Planck equation of Starobinsky's stochastic inflationary picture. This provides an alternative first-principles derivation of this picture's stochastic noise and drift, as well as its leading corrections. (An application computes ...

  6. ENVIRONMENT: a computational platform to stochastically simulate reacting and self-reproducing lipid compartments

    Science.gov (United States)

    Mavelli, Fabio; Ruiz-Mirazo, Kepa

    2010-09-01

    'ENVIRONMENT' is a computational platform that has been developed in the last few years with the aim to simulate stochastically the dynamics and stability of chemically reacting protocellular systems. Here we present and describe some of its main features, showing how the stochastic kinetics approach can be applied to study the time evolution of reaction networks in heterogeneous conditions, particularly when supramolecular lipid structures (micelles, vesicles, etc) coexist with aqueous domains. These conditions are of special relevance to understand the origins of cellular, self-reproducing compartments, in the context of prebiotic chemistry and evolution. We contrast our simulation results with real lab experiments, with the aim to bring together theoretical and experimental research on protocell and minimal artificial cell systems.

  7. Evolution in fluctuating environments: decomposing selection into additive components of the Robertson-Price equation.

    Science.gov (United States)

    Engen, Steinar; Saether, Bernt-Erik

    2014-03-01

    We analyze the stochastic components of the Robertson-Price equation for the evolution of quantitative characters that enables decomposition of the selection differential into components due to demographic and environmental stochasticity. We show how these two types of stochasticity affect the evolution of multivariate quantitative characters by defining demographic and environmental variances as components of individual fitness. The exact covariance formula for selection is decomposed into three components, the deterministic mean value, as well as stochastic demographic and environmental components. We show that demographic and environmental stochasticity generate random genetic drift and fluctuating selection, respectively. This provides a common theoretical framework for linking ecological and evolutionary processes. Demographic stochasticity can cause random variation in selection differentials independent of fluctuating selection caused by environmental variation. We use this model of selection to illustrate that the effect on the expected selection differential of random variation in individual fitness is dependent on population size, and that the strength of fluctuating selection is affected by how environmental variation affects the covariance in Malthusian fitness between individuals with different phenotypes. Thus, our approach enables us to partition out the effects of fluctuating selection from the effects of selection due to random variation in individual fitness caused by demographic stochasticity. © 2013 The Author(s). Evolution © 2013 The Society for the Study of Evolution.

  8. Selected papers on noise and stochastic processes

    CERN Document Server

    1954-01-01

    Six classic papers on stochastic process, selected to meet the needs of physicists, applied mathematicians, and engineers. Contents: 1.Chandrasekhar, S.: Stochastic Problems in Physics and Astronomy. 2. Uhlenbeck, G. E. and Ornstein, L. S.: On the Theory of the Browninan Motion. 3. Ming Chen Wang and Uhlenbeck, G. E.: On the Theory of the Browninan Motion II. 4. Rice, S. O.: Mathematical Analysis of Random Noise. 5. Kac, Mark: Random Walk and the Theory of Brownian Motion. 6. Doob, J. L.: The Brownian Movement and Stochastic Equations. Unabridged republication of the Dover reprint (1954). Pre

  9. Statistical Methods for Stochastic Differential Equations

    CERN Document Server

    Kessler, Mathieu; Sorensen, Michael

    2012-01-01

    The seventh volume in the SemStat series, Statistical Methods for Stochastic Differential Equations presents current research trends and recent developments in statistical methods for stochastic differential equations. Written to be accessible to both new students and seasoned researchers, each self-contained chapter starts with introductions to the topic at hand and builds gradually towards discussing recent research. The book covers Wiener-driven equations as well as stochastic differential equations with jumps, including continuous-time ARMA processes and COGARCH processes. It presents a sp

  10. Asymptotic analysis for functional stochastic differential equations

    CERN Document Server

    Bao, Jianhai; Yuan, Chenggui

    2016-01-01

    This brief treats dynamical systems that involve delays and random disturbances. The study is motivated by a wide variety of systems in real life in which random noise has to be taken into consideration and the effect of delays cannot be ignored. Concentrating on such systems that are described by functional stochastic differential equations, this work focuses on the study of large time behavior, in particular, ergodicity. This brief is written for probabilists, applied mathematicians, engineers, and scientists who need to use delay systems and functional stochastic differential equations in their work. Selected topics from the brief can also be used in a graduate level topics course in probability and stochastic processes.

  11. Stochastic Stabilityfor Contracting Lorenz Maps and Flows

    Science.gov (United States)

    Metzger, R. J.

    In a previous work [M], we proved the existence of absolutely continuous invariant measures for contracting Lorenz-like maps, and constructed Sinai-Ruelle-Bowen measures f or the flows that generate them. Here, we prove stochastic stability for such one-dimensional maps and use this result to prove that the corresponding flows generating these maps are stochastically stable under small diffusion-type perturbations, even though, as shown by Rovella [Ro], they are persistent only in a measure theoretical sense in a parameter space. For the one-dimensional maps we also prove strong stochastic stability in the sense of Baladi and Viana[BV].

  12. Stochastic differential equations and diffusion processes

    CERN Document Server

    Ikeda, N

    1989-01-01

    Being a systematic treatment of the modern theory of stochastic integrals and stochastic differential equations, the theory is developed within the martingale framework, which was developed by J.L. Doob and which plays an indispensable role in the modern theory of stochastic analysis.A considerable number of corrections and improvements have been made for the second edition of this classic work. In particular, major and substantial changes are in Chapter III and Chapter V where the sections treating excursions of Brownian Motion and the Malliavin Calculus have been expanded and refined. Sectio

  13. A microscopic derivation of stochastic differential equations

    International Nuclear Information System (INIS)

    Arimitsu, Toshihico

    1996-01-01

    With the help of the formulation of Non-Equilibrium Thermo Field Dynamics, a unified canonical operator formalism is constructed for the quantum stochastic differential equations. In the course of its construction, it is found that there are at least two formulations, i.e. one is non-hermitian and the other is hermitian. Having settled which framework should be satisfied by the quantum stochastic differential equations, a microscopic derivation is performed for these stochastic differential equations by extending the projector methods. This investigation may open a new field for quantum systems in order to understand the deeper meaning of dissipation

  14. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  15. Modeling and analysis of stochastic systems

    CERN Document Server

    Kulkarni, Vidyadhar G

    2011-01-01

    Based on the author's more than 25 years of teaching experience, Modeling and Analysis of Stochastic Systems, Second Edition covers the most important classes of stochastic processes used in the modeling of diverse systems, from supply chains and inventory systems to genetics and biological systems. For each class of stochastic process, the text includes its definition, characterization, applications, transient and limiting behavior, first passage times, and cost/reward models. Along with reorganizing the material, this edition revises and adds new exercises and examples. New to the second edi

  16. STOCHASTIC GRADIENT METHODS FOR UNCONSTRAINED OPTIMIZATION

    Directory of Open Access Journals (Sweden)

    Nataša Krejić

    2014-12-01

    Full Text Available This papers presents an overview of gradient based methods for minimization of noisy functions. It is assumed that the objective functions is either given with error terms of stochastic nature or given as the mathematical expectation. Such problems arise in the context of simulation based optimization. The focus of this presentation is on the gradient based Stochastic Approximation and Sample Average Approximation methods. The concept of stochastic gradient approximation of the true gradient can be successfully extended to deterministic problems. Methods of this kind are presented for the data fitting and machine learning problems.

  17. Stochastic interaction between TAE and alpha particles

    International Nuclear Information System (INIS)

    Krlin, L.; Pavlo, P.; Malijevsky, I.

    1996-01-01

    The interaction of toroidicity-induced Alfven eigenmodes with thermonuclear alpha particles in the intrinsic stochasticity regime was investigated based on the numerical integration of the equation of motion of alpha particles in the tokamak. The first results obtained for the ITER parameters and moderate wave amplitudes indicate that the stochasticity is highest in the trapped/passing boundary region, where the alpha particles jump stochastically between the two regimes with an appreciable radial excursion (about 0.5 m amplitudes). A similar chaotic behavior was also found for substantially lower energies (about 350 keV). 7 figs., 15 refs

  18. Complexity, rate of energy exchanges and stochasticity

    International Nuclear Information System (INIS)

    Casartelli, M.; Sello, S.

    1987-01-01

    The complexity of trajectories in the phase of anharmonic crystal (mostly a Lennard-Jones chain) is analysed by the variance of microcanonical density and by new parameters P and chi defined, respectively, as the mean value of the time averages and the relative variance of the absolute exchange rate of energies among the normal modes. Evidence is given to the trapping action of residual invariant surfaces in low stochastic regime of motion. The parameter chi, moreover, proves efficient in exploring the border of stochasticity. A simple power law for P vs. the specific energy is obtained and proved to be independent of stochasticity and of the type of anharmonic potential

  19. A stochastic model for filtration of particulate suspensions with incomplete pore plugging

    DEFF Research Database (Denmark)

    Shapiro, Alexander; Santos, A; Bedrikovetsky, P. G.

    2007-01-01

    . A closed system of governing stochastic equations determines the evolution of size distributions for suspended particles and pores. Its averaging results in the closed system of hydrodynamic equations accounting for permeability and porosity reduction due to plugging. The problem of deep bed filtration...... of a single particle size suspension through a single pore size medium where a pore can be completely plugged by two particles allows for an exact analytical solution. The phenomenological deep bed filtration model follows from the analytical solution....

  20. A stochastic perturbation theory for non-autonomous systems

    Energy Technology Data Exchange (ETDEWEB)

    Moon, W., E-mail: wm275@damtp.cam.ac.uk [Yale University, New Haven, Connecticut 06520-8109 (United States); Wettlaufer, J. S., E-mail: wettlaufer@maths.ox.ac.uk [Yale University, New Haven, Connecticut 06520-8109 (United States); Mathematical Institute, University of Oxford, Oxford OX2 6GG (United Kingdom)

    2013-12-15

    We develop a perturbation theory for a class of first order nonlinear non-autonomous stochastic ordinary differential equations that arise in climate physics. The perturbative procedure produces moments in terms of integral delay equations, whose order by order decay is characterized in a Floquet-like sense. Both additive and multiplicative sources of noise are discussed and the question of how the nature of the noise influences the results is addressed theoretically and numerically. By invoking the Martingale property, we rationalize the transformation of the underlying Stratonovich form of the model to an Ito form, independent of whether the noise is additive or multiplicative. The generality of the analysis is demonstrated by developing it both for a Brownian particle moving in a periodically forced quartic potential, which acts as a simple model of stochastic resonance, as well as for our more complex climate physics model. The validity of the approach is shown by comparison with numerical solutions. The particular climate dynamics problem upon which we focus involves a low-order model for the evolution of Arctic sea ice under the influence of increasing greenhouse gas forcing ΔF{sub 0}. The deterministic model, developed by Eisenman and Wettlaufer [“Nonlinear threshold behavior during the loss of Arctic sea ice,” Proc. Natl. Acad. Sci. U.S.A. 106(1), 28–32 (2009)] exhibits several transitions as ΔF{sub 0} increases and the stochastic analysis is used to understand the manner in which noise influences these transitions and the stability of the system.

  1. Approaching complexity by stochastic methods: From biological systems to turbulence

    Energy Technology Data Exchange (ETDEWEB)

    Friedrich, Rudolf [Institute for Theoretical Physics, University of Muenster, D-48149 Muenster (Germany); Peinke, Joachim [Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Sahimi, Muhammad [Mork Family Department of Chemical Engineering and Materials Science, University of Southern California, Los Angeles, CA 90089-1211 (United States); Reza Rahimi Tabar, M., E-mail: mohammed.r.rahimi.tabar@uni-oldenburg.de [Department of Physics, Sharif University of Technology, Tehran 11155-9161 (Iran, Islamic Republic of); Institute of Physics, Carl von Ossietzky University, D-26111 Oldenburg (Germany); Fachbereich Physik, Universitaet Osnabrueck, Barbarastrasse 7, 49076 Osnabrueck (Germany)

    2011-09-15

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  2. Approaching complexity by stochastic methods: From biological systems to turbulence

    International Nuclear Information System (INIS)

    Friedrich, Rudolf; Peinke, Joachim; Sahimi, Muhammad; Reza Rahimi Tabar, M.

    2011-01-01

    This review addresses a central question in the field of complex systems: given a fluctuating (in time or space), sequentially measured set of experimental data, how should one analyze the data, assess their underlying trends, and discover the characteristics of the fluctuations that generate the experimental traces? In recent years, significant progress has been made in addressing this question for a class of stochastic processes that can be modeled by Langevin equations, including additive as well as multiplicative fluctuations or noise. Important results have emerged from the analysis of temporal data for such diverse fields as neuroscience, cardiology, finance, economy, surface science, turbulence, seismic time series and epileptic brain dynamics, to name but a few. Furthermore, it has been recognized that a similar approach can be applied to the data that depend on a length scale, such as velocity increments in fully developed turbulent flow, or height increments that characterize rough surfaces. A basic ingredient of the approach to the analysis of fluctuating data is the presence of a Markovian property, which can be detected in real systems above a certain time or length scale. This scale is referred to as the Markov-Einstein (ME) scale, and has turned out to be a useful characteristic of complex systems. We provide a review of the operational methods that have been developed for analyzing stochastic data in time and scale. We address in detail the following issues: (i) reconstruction of stochastic evolution equations from data in terms of the Langevin equations or the corresponding Fokker-Planck equations and (ii) intermittency, cascades, and multiscale correlation functions.

  3. Set-Valued Stochastic Lebesque Integral and Representation Theorems

    Directory of Open Access Journals (Sweden)

    Jungang Li

    2008-06-01

    Full Text Available In this paper, we shall firstly illustrate why we should introduce set-valued stochastic integrals, and then we shall discuss some properties of set-valued stochastic processes and the relation between a set-valued stochastic process and its selection set. After recalling the Aumann type definition of stochastic integral, we shall introduce a new definition of Lebesgue integral of a set-valued stochastic process with respect to the time t . Finally we shall prove the presentation theorem of set-valued stochastic integral and dis- cuss further properties that will be useful to study set-valued stochastic differential equations with their applications.

  4. Stochastic pump effect and geometric phases in dissipative and stochastic systems

    Energy Technology Data Exchange (ETDEWEB)

    Sinitsyn, Nikolai [Los Alamos National Laboratory

    2008-01-01

    The success of Berry phases in quantum mechanics stimulated the study of similar phenomena in other areas of physics, including the theory of living cell locomotion and motion of patterns in nonlinear media. More recently, geometric phases have been applied to systems operating in a strongly stochastic environment, such as molecular motors. We discuss such geometric effects in purely classical dissipative stochastic systems and their role in the theory of the stochastic pump effect (SPE).

  5. Experiments and stochastic simulations of lignite coal during pyrolysis and gasification

    International Nuclear Information System (INIS)

    Ahmed, I.I.; Gupta, A.K.

    2013-01-01

    Highlights: ► Lignite pyrolysis and gasification has been conducted in a semi batch reactor. ► The objective is to understand mechanism of syngas evolution during pyrolysis. ► Stochastic simulations of lignite pyrolysis were conducted using Gillespie algorithm. ► First order, single step mechanism failed to fit cumulative yield of hydrogen. ► Evolution of hydrogen via pyrolysis of gaseous hydrocarbon following bridges scission. -- Abstract: Lignite pyrolysis and gasification has been conducted in a semi batch reactor at reactor temperatures of 800–950 °C in 50 °C intervals. CO 2 has been used as the gasifying agent for gasification experiments. The objective of this investigation is to understand the mechanism of syngas evolution during pyrolysis and to unravel the effect of CO 2 on pyrolysis mechanism. Stochastic simulations of lignite pyrolysis have been conducted using Gillespie algorithm. Two reaction mechanisms have been used in the simulations; first order, single step mechanism and the FLASHCHAIN mechanism. The first order single step mechanism was successful in fitting cumulative yield of CO 2 , CO, CH 4 and other hydrocarbons (C n H m ). The first order, single step failed to fit the cumulative yield of hydrogen, which suggests a more complex mechanism for hydrogen evolution. Evolution of CO 2 , CO, CH 4 , C n H m and H 2 flow rates has been monitored. The only effect of CO 2 on pyrolysis mechanism is promotion of reverse water gas shift reaction for the experiments described here. Methane evolution extended for slightly longer time than other hydrocarbons and hydrogen evolution extended for a slightly longer time than methane. This indicated the evolution of hydrogen via further pyrolysis of aliphatic hydrocarbon. It is also suggested that this step occurs in series after aliphatic hydrocarbons evolution by bridges scission.

  6. Extending Stochastic Network Calculus to Loss Analysis

    Directory of Open Access Journals (Sweden)

    Chao Luo

    2013-01-01

    Full Text Available Loss is an important parameter of Quality of Service (QoS. Though stochastic network calculus is a very useful tool for performance evaluation of computer networks, existing studies on stochastic service guarantees mainly focused on the delay and backlog. Some efforts have been made to analyse loss by deterministic network calculus, but there are few results to extend stochastic network calculus for loss analysis. In this paper, we introduce a new parameter named loss factor into stochastic network calculus and then derive the loss bound through the existing arrival curve and service curve via this parameter. We then prove that our result is suitable for the networks with multiple input flows. Simulations show the impact of buffer size, arrival traffic, and service on the loss factor.

  7. BRS invariant stochastic quantization of Einstein gravity

    International Nuclear Information System (INIS)

    Nakazawa, Naohito.

    1989-11-01

    We study stochastic quantization of gravity in terms of a BRS invariant canonical operator formalism. By introducing artificially canonical momentum variables for the original field variables, a canonical formulation of stochastic quantization is proposed in the sense that the Fokker-Planck hamiltonian is the generator of the fictitious time translation. Then we show that there exists a nilpotent BRS symmetry in an enlarged phase space of the first-class constrained systems. The phase space is spanned by the dynamical variables, their canonical conjugate momentum variables, Faddeev-Popov ghost and anti-ghost. We apply the general BRS invariant formulation to stochastic quantization of gravity which is described as a second-class constrained system in terms of a pair of Langevin equations coupled with white noises. It is shown that the stochastic action of gravity includes explicitly the De Witt's type superspace metric which leads to a geometrical interpretation of quantum gravity analogous to nonlinear σ-models. (author)

  8. Stochastic effects on the nonlinear Schroedinger equation

    International Nuclear Information System (INIS)

    Flessas, G P; Leach, P G L; Yannacopoulos, A N

    2004-01-01

    The aim of this article is to provide a brief review of recent advances in the field of stochastic effects on the nonlinear Schroedinger equation. The article reviews rigorous and perturbative results. (review article)

  9. Coordinate invariance in stochastic singular optics

    CSIR Research Space (South Africa)

    Roux, FS

    2013-11-01

    Full Text Available The study of optical vortices in stochastic optical fields involves various quantities, including the vortex density and topological charge density, that are defined in terms of local expectation values of the distributions of optical vortices...

  10. Is human failure a stochastic process?

    International Nuclear Information System (INIS)

    Dougherty, Ed M.

    1997-01-01

    Human performance results in failure events that occur with a risk-significant frequency. System analysts have taken for granted the random (stochastic) nature of these events in engineering assessments such as risk assessment. However, cognitive scientists and error technologists, at least those who have interest in human reliability, have, over the recent years, claimed that human error does not need this stochastic framework. Yet they still use the language appropriate to stochastic processes. This paper examines the potential for the stochastic nature of human failure production as the basis for human reliability analysis. It distinguishes and leaves to others, however, the epistemic uncertainties over the possible probability models for the real variability of human performance

  11. Stochastic differential equation model to Prendiville processes

    Energy Technology Data Exchange (ETDEWEB)

    Granita, E-mail: granitafc@gmail.com [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); Bahar, Arifah [Dept. of Mathematical Science, Universiti Teknologi Malaysia, 81310, Johor Malaysia (Malaysia); UTM Center for Industrial & Applied Mathematics (UTM-CIAM) (Malaysia)

    2015-10-22

    The Prendiville process is another variation of the logistic model which assumes linearly decreasing population growth rate. It is a continuous time Markov chain (CTMC) taking integer values in the finite interval. The continuous time Markov chain can be approximated by stochastic differential equation (SDE). This paper discusses the stochastic differential equation of Prendiville process. The work started with the forward Kolmogorov equation in continuous time Markov chain of Prendiville process. Then it was formulated in the form of a central-difference approximation. The approximation was then used in Fokker-Planck equation in relation to the stochastic differential equation of the Prendiville process. The explicit solution of the Prendiville process was obtained from the stochastic differential equation. Therefore, the mean and variance function of the Prendiville process could be easily found from the explicit solution.

  12. Double stochastic matrices in quantum mechanics

    International Nuclear Information System (INIS)

    Louck, J.D.

    1997-01-01

    The general set of doubly stochastic matrices of order n corresponding to ordinary nonrelativistic quantum mechanical transition probability matrices is given. Lande's discussion of the nonquantal origin of such matrices is noted. Several concrete examples are presented for elementary and composite angular momentum systems with the focus on the unitary symmetry associated with such systems in the spirit of the recent work of Bohr and Ulfbeck. Birkhoff's theorem on doubly stochastic matrices of order n is reformulated in a geometrical language suitable for application to the subset of quantum mechanical doubly stochastic matrices. Specifically, it is shown that the set of points on the unit sphere in cartesian n'-space is subjective with the set of doubly stochastic matrices of order n. The question is raised, but not answered, as to what is the subset of points of this unit sphere that correspond to the quantum mechanical transition probability matrices, and what is the symmetry group of this subset of matrices

  13. Stochastic Thermodynamics: A Dynamical Systems Approach

    Directory of Open Access Journals (Sweden)

    Tanmay Rajpurohit

    2017-12-01

    Full Text Available In this paper, we develop an energy-based, large-scale dynamical system model driven by Markov diffusion processes to present a unified framework for statistical thermodynamics predicated on a stochastic dynamical systems formalism. Specifically, using a stochastic state space formulation, we develop a nonlinear stochastic compartmental dynamical system model characterized by energy conservation laws that is consistent with statistical thermodynamic principles. In particular, we show that the difference between the average supplied system energy and the average stored system energy for our stochastic thermodynamic model is a martingale with respect to the system filtration. In addition, we show that the average stored system energy is equal to the mean energy that can be extracted from the system and the mean energy that can be delivered to the system in order to transfer it from a zero energy level to an arbitrary nonempty subset in the state space over a finite stopping time.

  14. Modelling Cow Behaviour Using Stochastic Automata

    DEFF Research Database (Denmark)

    Jónsson, Ragnar Ingi

    This report covers an initial study on the modelling of cow behaviour using stochastic automata with the aim of detecting lameness. Lameness in cows is a serious problem that needs to be dealt with because it results in less profitable production units and in reduced quality of life...... for the affected livestock. By featuring training data consisting of measurements of cow activity, three different models are obtained, namely an autonomous stochastic automaton, a stochastic automaton with coinciding state and output and an autonomous stochastic automaton with coinciding state and output, all...... of which describe the cows' activity in the two regarded behavioural scenarios, non-lame and lame. Using the experimental measurement data the different behavioural relations for the two regarded behavioural scenarios are assessed. The three models comprise activity within last hour, activity within last...

  15. Uncertainty modelling of atmospheric dispersion by stochastic ...

    Indian Academy of Sciences (India)

    by stochastic response surface method under aleatory ... 3Health Physics Division, Bhabha Atomic Research Centre, Mumbai 400 085, India e-mail: ...... Brandimarte P 2011 Quantitative methods: An introduction for business management.

  16. Stochastic development regression using method of moments

    DEFF Research Database (Denmark)

    Kühnel, Line; Sommer, Stefan Horst

    2017-01-01

    This paper considers the estimation problem arising when inferring parameters in the stochastic development regression model for manifold valued non-linear data. Stochastic development regression captures the relation between manifold-valued response and Euclidean covariate variables using...... the stochastic development construction. It is thereby able to incorporate several covariate variables and random effects. The model is intrinsically defined using the connection of the manifold, and the use of stochastic development avoids linearizing the geometry. We propose to infer parameters using...... the Method of Moments procedure that matches known constraints on moments of the observations conditional on the latent variables. The performance of the model is investigated in a simulation example using data on finite dimensional landmark manifolds....

  17. Stochasticity and determinism in models of hematopoiesis.

    Science.gov (United States)

    Kimmel, Marek

    2014-01-01

    This chapter represents a novel view of modeling in hematopoiesis, synthesizing both deterministic and stochastic approaches. Whereas the stochastic models work in situations where chance dominates, for example when the number of cells is small, or under random mutations, the deterministic models are more important for large-scale, normal hematopoiesis. New types of models are on the horizon. These models attempt to account for distributed environments such as hematopoietic niches and their impact on dynamics. Mixed effects of such structures and chance events are largely unknown and constitute both a challenge and promise for modeling. Our discussion is presented under the separate headings of deterministic and stochastic modeling; however, the connections between both are frequently mentioned. Four case studies are included to elucidate important examples. We also include a primer of deterministic and stochastic dynamics for the reader's use.

  18. Fastest Rates for Stochastic Mirror Descent Methods

    KAUST Repository

    Hanzely, Filip

    2018-03-20

    Relative smoothness - a notion introduced by Birnbaum et al. (2011) and rediscovered by Bauschke et al. (2016) and Lu et al. (2016) - generalizes the standard notion of smoothness typically used in the analysis of gradient type methods. In this work we are taking ideas from well studied field of stochastic convex optimization and using them in order to obtain faster algorithms for minimizing relatively smooth functions. We propose and analyze two new algorithms: Relative Randomized Coordinate Descent (relRCD) and Relative Stochastic Gradient Descent (relSGD), both generalizing famous algorithms in the standard smooth setting. The methods we propose can be in fact seen as a particular instances of stochastic mirror descent algorithms. One of them, relRCD corresponds to the first stochastic variant of mirror descent algorithm with linear convergence rate.

  19. STOCHASTIC CHARACTERISTICS AND MODELING OF RELATIVE ...

    African Journals Online (AJOL)

    Test

    Results are highly accurate and promising for all models based on Lewis' criteria. ... hydrological cycle. Future increases in ... STOCHASTIC CHARACTERISTICS AND MODELING OF RELATIVE HUMIDITY OF OGUN BASIN, NIGERIA. 71 ...

  20. Fastest Rates for Stochastic Mirror Descent Methods

    KAUST Repository

    Hanzely, Filip; Richtarik, Peter

    2018-01-01

    Relative smoothness - a notion introduced by Birnbaum et al. (2011) and rediscovered by Bauschke et al. (2016) and Lu et al. (2016) - generalizes the standard notion of smoothness typically used in the analysis of gradient type methods. In this work we are taking ideas from well studied field of stochastic convex optimization and using them in order to obtain faster algorithms for minimizing relatively smooth functions. We propose and analyze two new algorithms: Relative Randomized Coordinate Descent (relRCD) and Relative Stochastic Gradient Descent (relSGD), both generalizing famous algorithms in the standard smooth setting. The methods we propose can be in fact seen as a particular instances of stochastic mirror descent algorithms. One of them, relRCD corresponds to the first stochastic variant of mirror descent algorithm with linear convergence rate.