Search results for " Brownian Motion"
showing 10 items of 59 documents
Dynamics of a Driven Dissipative Quantum System
2013
We investigate the dynamics of a driven multilevel system, consisting of a particle in an asymmetric bistable potential, strongly interacting with a thermal bath according to the Caldeira-Leggett model. The populations in the discrete (position) variable representation (DVR), are obtained as solution of a Markovian approximated master equation, which is derived from a discretized path integral approach based on the Feynman-Vernon influence functional. By varying the environmental parameters (temperature and coupling strength) as well as the driving frequency and amplitude, we study the transient dynamics and stationary configuration of the system. In particular, we analyze the population of…
Transient Dynamics of a Driven Quantum Bistable System
2013
We study the transient dynamics and the asymptotic behaviour of a multilevel system in the strong dissipation regime. The system is modeled as a periodically driven quantum particle in an asymmetric double well potential, interacting with the bosonic heat bath of the Caldeira-Leggett model. The analytical approach used is non- perturbative in the particle-bath coupling and is based on a space-discretized path integral expression for the particle’s reduced density matrix. By a suitable approximation on the Feynman-Vernon influence functional a Markov-approximated master equation is obtained for the populations in the Discrete Variable Representation (DVR).
Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion
2021
In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, fro…
Exact Results for Spectra of Overdamped Brownian Motion in Fixed and Randomly Switching Potentials
2004
The exact formulae for spectra of equilibrium diffusion in a fixed bistable piecewise linear potential and in a randomly flipping monostable potential are derived. Our results are valid for arbitrary intensity of driving white Gaussian noise and arbitrary parameters of potential profiles. We find: (i) an exponentially rapid narrowing of the spectrum with increasing height of the potential barrier, for fixed bistable potential; (ii) a nonlinear phenomenon, which manifests in the narrowing of the spectrum with increasing mean rate of flippings, and (iii) a nonmonotonic behaviour of the spectrum at zero frequency, as a function of the mean rate of switchings, for randomly switching potential. …
Statistical distributions for hamiltonian systems coupled to energy reservoirs and applications to molecular energy conversion
2008
We study systems with Hamiltonian dynamics type coupled to reservoirs providing free energy which may be converted into acceleration. In the first part we introduce general concepts, like canonical dissipative systems and find exact solutions of associated Fokker–Planck equations that describe time evolutions of systems at hand. Next we analyze dynamics in ratchets with energy support which might be treated by perturbation theory around canonical dissipative systems. Finally we discuss possible applications of these ratchet systems to model the mechanism of biological energy conversion and molecular motors.
Large systems of path-repellent Brownian motions in a trap at positive temperature
2006
We study a model of $ N $ mutually repellent Brownian motions under confinement to stay in some bounded region of space. Our model is defined in terms of a transformed path measure under a trap Hamiltonian, which prevents the motions from escaping to infinity, and a pair-interaction Hamiltonian, which imposes a repellency of the $N$ paths. In fact, this interaction is an $N$-dependent regularisation of the Brownian intersection local times, an object which is of independent interest in the theory of stochastic processes. The time horizon (interpreted as the inverse temperature) is kept fixed. We analyse the model for diverging number of Brownian motions in terms of a large deviation princip…
Rough linear PDE's with discontinuous coefficients - existence of solutions via regularization by fractional Brownian motion
2020
We consider two related linear PDE's perturbed by a fractional Brownian motion. We allow the drift to be discontinuous, in which case the corresponding deterministic equation is ill-posed. However, the noise will be shown to have a regularizing effect on the equations in the sense that we can prove existence of solutions for almost all paths of the fractional Brownian motion.
Fractional Brownian motion and Martingale-differences
2004
Abstract We generalize a result of Sottinen (Finance Stochastics 5 (2001) 343) by proving an approximation theorem for the fractional Brownian motion, with H> 1 2 , using martingale-differences.
Hitting Time Distributions in Financial Markets
2006
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the prob…
Statistical mechanics characterization of spatio-compositional inhomogeneity
2009
On the basis of a model system of pillars built of unit cubes, a two-component entropic measure for the multiscale analysis of spatio-compositional inhomogeneity is proposed. It quantifies the statistical dissimilarity per cell of the actual configurational macrostate and the theoretical reference one that maximizes entropy. Two kinds of disorder compete: i) the spatial one connected with possible positions of pillars inside a cell (the first component of the measure), ii) the compositional one linked to compositions of each local sum of their integer heights into a number of pillars occupying the cell (the second component). As both the number of pillars and sum of their heights are conser…