Search results for "Brown"

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.

Effect of Hot Air Treatment on Quality and Shelf Life of Minimally Processed Cauliflower.

2012

Cauliflower, as other cabbages, has a high nutritional value due to its content of vitamins, antioxidants and anti-carcinogenic compounds. Cauliflower inflorescences are harvested when they are still totally immature. The request of minimally processed vegetable is continuously increasing, and there is a growing interest for new fresh cut products. Cauliflower is suitable to be used as a minimally processed vegetable, but harvesting and the following processing can cause a severe stress determining the appearance of accelerated senescence symptoms. The effect of hot air treatment on minimally processed cauliflower was investigated. Florets were put in PE sealed bags before treating at 48°C …

Approximation of exit times for one-dimensional linear diffusion processes

2020

International audience; In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and the Ornstein-Uhlenbeck context, that is for particular time-homogeneous diffusion processes. Here the aim is therefore to generalize this efficient numerical approach in order to obtain an approximation of both the exit time and position for a general linear diffusion. The main challenge of such a generalization is to handle with time-inhomogeneous diffusions. The efficiency of the method is described with particular care through theoretical results and numerical example…

Autosomal dominant Brown–Vialetto–Van Laere syndrome with UBQLN1 mutation

2013

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

Glochidial infection by the endangered Margaritifera margaritifera (Mollusca) increased survival of salmonid host (Pisces) during experimental Flavob…

2021

AbstractCo-infections are common in host-parasite interactions, but studies about their impact on the virulence of parasites/diseases are still scarce. The present study compared mortality induced by a fatal bacterial pathogen, Flavobacterium columnare between brown trout infected with glochidia from the endangered freshwater pearl mussel, Margaritifera margaritifera, and uninfected control fish during the parasitic period and after the parasitic period (i.e. glochidia detached) in a laboratory experiment. We hypothesised that glochidial infection would increase host susceptibility to and/or pathogenicity of the bacterial infection. We found that the highly virulent strain of F. columnare c…

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 …