Search results for " Stochastic process"
showing 10 items of 51 documents
Evaluation of the power quality from a seawave power farm for different interconnection schemes
2007
In this paper we present an approach to the interconnection of a seawave power farm to the grid The generator type used in the farm is a Permanent Magnet (PM) linear generator driven from the seawaves that generates, therefore, highly distorted emfs. We propose and compare two possible ways to interconnect the farm to the grid. One is based on an approach where for each generator there is a conversion subsystem that permits the direct connection of each generator to the a.c. network, the other one is based on an ac.-d.c. converter that is connected to the generator, the converter is connected to a dc link that can receive the power from every unit and that can supply a dc-ac converter direc…
Gaussian models for the distribution of Brownian particles in tilted periodic potentials
2011
We present two Gaussian approximations for the time-dependent probability density function (PDF) of an overdamped Brownian particle moving in a tilted periodic potential. We assume high potential barriers in comparison with the noise intensity. The accuracy of the proposed approximated expressions for the time-dependent PDF is checked with numerical simulations of the Langevin dynamics. We found a quite good agreement between theoretical and numerical results at all times.
Stability analysis for stochastic hybrid systems: A survey
2014
This survey addresses stability analysis for stochastic hybrid systems (SHS), which are dynamical systems that combine continuous change and instantaneous change and that also include random effects. We re-emphasize the common features found in most of the models that have appeared in the literature, which include stochastic switched systems, Markov jump systems, impulsive stochastic systems, switching diffusions, stochastic impulsive systems driven by renewal processes, diffusions driven by Lévy processes, piecewise-deterministic Markov processes, general stochastic hybrid systems, and stochastic hybrid inclusions. Then we review many of the stability concepts that have been studied, inclu…
Le martingale: aspetti teorici ed applicativi
2001
This paper offers an overview on the characteristics of martingales. These latter are markovian processes without underlying trend, in which the stochastic variable depends on its ultimate realisation. Some application fields are in studies relative to financial markets, and especially the derivative securities. Drawing from the theoretical and empirical literature, the main mathematical characteristics are presented. In order to transform processes with increasing or decreasing trends into martingales, the Doob-Meyer decomposition and the change of probability measure approaches can be adopted. Finally, four applications are considered with regard to the pricing of futures, call options an…
Role of noise in a market model with stochastic volatility
2006
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…
Jet evolution in a dense medium: event-by-event fluctuations and multi-particle correlations
2017
International audience; We study the gluon distribution produced via successive medium-induced branchings by an energetic jet propagating through a weakly-coupled quark-gluon plasma. We show that under suitable approximations, the jet evolution is a Markovian stochastic process, which is exactly solvable. For this process, we construct exact analytic solutions for all the n-point correlation functions describing the gluon distribution in the space of energy [M. A. Escobedo, E. Iancu, Event-by-event fluctuations in the medium-induced jet evolution, JHEP 05 (2016) 008. arXiv: arXiv:1601.03629 , doi: http://dx.doi.org/10.1007/JHEP05(2016)008 , M. A. Escobedo, E. Iancu, Multi-particle correlati…
Bazaar economics
2015
Competitive Equilibrium theory has been a widely accepted and extensively used cornerstone in economics for over a century. Here, we suggest a complementary model—motivated by the haggling in a bazaar—that offers a useful, first-principle account of market behavior that better accounts for the observed outcomes in forty market experiments. The Bazaar model uses simple stochastic processes to drive the matching of traders and the determination of price. We show that as agents become more impatient, the system tends toward more Competitive-Equilibrium-like outcomes.
Noise-induced enhancement of stability in a metastable system with damping
2010
5 páginas, 5 figuras.-- PACS number(s): 05.40.-a, 02.50.-r
Effects of Lévy noise on the dynamics of sine-Gordon solitons in long Josephson junctions
2015
We numerically investigate the generation of solitons in current-biased long Josephson junctions in relation to the superconducting lifetime and the voltage drop across the device. The dynamics of the junction is modelled with a sine-Gordon equation driven by an oscillating field and subject to an external non-Gaussian noise. A wide range of $\alpha$-stable L\'evy distributions is considered as noise source, with varying stability index $\alpha$ and asymmetry parameter $\beta$. In junctions longer than a critical length, the mean switching time (MST) from superconductive to the resistive state assumes a values independent of the device length. Here, we demonstrate that such a value is direc…
Stochastic Kinetics with Wave Nature
2003
We consider stochastic second-order partial differential equations. We indroduce a noisy non-linear wave equation and discuss its connections, in particular via the Lorentz transformation, with known stochastic models.