Search results for " Brownian motion"

Effect of a fluctuating electric field on electron spin dephasing in III-V semiconductors

2011

In the present work we investigate electron spin relaxation in low-doped n-type GaAs semiconductor bulks driven by a static electric field. The electron dynamics is simulated by a Monte Carlo procedure which keeps into account all the possible scattering phenomena of the hot electrons in the medium and includes the evolution of spin polarization. Spin relaxation lengths are computed through the D’yakonov-Perel process, which is the only relevant relaxation mechanism in zinc-blende semiconductors. Since semiconductor based devices are always imbedded into a noisy environment that can strongly affect their performance, the decay of initial spin polarization of conduction electrons is calculat…

Noise enhanced stability in fluctuating metastable states Phys. Rev. E69, 061103 (2004)

2004

We derive general equations for the nonlinear relaxation time of Brownian diffusion in randomly switching potential with a sink. For piece-wise linear dichotomously fluctuating potential with metastable state, we obtain the exact average lifetime as a function of the potential parameters and the noise intensity. Our result is valid for arbitrary white noise intensity and for arbitrary fluctuation rate of the potential. We find noise enhanced stability phenomenon in the system investigated: The average lifetime of the metastable state is greater than the time obtained in the absence of additive white noise.We obtain the parameter region of the fluctuating potential where the effect can be ob…

Resonant activation in piecewise linear asymmetric potentials

2011

7 páginas, 8 figuras.-- PACS number(s): 05.40.−a, 05.45.−a, 02.50.Ey

Hard-wall interactions in soft matter systems: Exact numerical treatment

2011

An algorithm for handling hard-wall interactions in simulations of driven diffusive particle motion is proposed. It exploits an exact expression for the one-dimensional transition probability in the presence of a hard (reflecting) wall and therefore is numerically exact in the sense that it does not introduce any additional approximation beyond the usual discretization procedures. Studying two standard situations from soft matter systems, its performance is compared to the heuristic approaches used in the literature.

HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

2018

This paper studies the price processes of a claim on terminal endowment and of a claim on firm book value when the underlying variables follow a bivariate geometric Brownian motion. If the state-price process is multiplicatively separable into time and endowment functions, our main result shows that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, the endowment function is not a power function. In a pure exchange economy populated by two agents with constant relative risk aversion (CRRA) preferences we confirm the separability, and we show furthermore that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, both agents are he…

Solving stochastic differential equations on Homeo(S1)

2004

Abstract The Brownian motion with respect to the metric H 3/2 on Diff( S 1 ) has been constructed. It is realized on the group of homeomorphisms Homeo( S 1 ). In this work, we shall resolve the stochastic differential equations on Homeo( S 1 ) for a given drift Z .

Stochastic dynamical modelling of spot freight rates

2014

Based on empirical analysis of the Capesize and Panamax indices, we propose different continuous-time stochastic processes to model their dynamics. The models go beyond the standard geometric Brownian motion, and incorporate observed effects like heavy-tailed returns, stochastic volatility and memory. In particular, we suggest stochastic dynamics based on exponential Levy processes with normal inverse Gaussian distributed logarithmic returns. The Barndorff-Nielsen and Shephard stochastic volatility model is shown to capture time-varying volatility in the data. Finally, continuous-time autoregressive processes provide a class of models sufficiently rich to incorporate short-term persistence …

Real Options: an Application to RMS Investment Evaluation

2007

Exact simulation of first exit times for one-dimensional diffusion processes

2019

International audience; The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability horizontal ellipsis The usual procedure is to use discretization schemes which unfortunately introduce some error in the target distribution. Our aim is to present a new algorithm which simulates exactly the exit time for one-dimensional diffusions. This acceptance-rejection algorithm requires to simulate exactly the exit time of the Brownian motion on one side and the Brownian position at a given time, constrained not to have exit before, on the other side. Crucial tools in this study …

THE ROLE OF NON-GAUSSIAN SOURCES IN THE TRANSIENT DYNAMICS OF LONG JOSEPHSON JUNCTIONS

2013

We analyze the effects of different non-Gaussian noise sources on the transient dynamics of an overdamped long Josephson junction. We find nonmonotonic behavior of the mean escape time as a function of the noise intensity and frequency of the external driving signal for all the noise sources investigated.