Search results for "Monte carlo method"
showing 10 items of 1234 documents
Monte Carlo study of asymmetric 2D XY model
1997
Employing the Polyakov-Susskind approximation in a field theoretical treatment, the t-J model for strongly correlated electrons in two dimensions has recently been shown to map effectively onto an asymmetric two-dimensional classical XY model. The critical temperature at which charge-spin separation occurs in the t-J model is determined by the location of the phase transitions of this effective model. Here we report results of Monte Carlo simulations which map out the complete phase diagram in the two-dimensional parameter space and also shed some light on the critical behaviour of the transitions.
Phase transition shifts in films
1991
Abstract We present a Monte Carlo computer simulation study of phase transitions in a three-dimensional Ising/lattice gas model with nearest neighbor attractive coupling and confined to a slit-like capillary with absorbing walls. Data are generated for thicknesses D ⩽ 40 and are used to study the shift of the phase boundaries due to finite wall separation.
Monte Carlo investigations of phase transitions: status and perspectives
2000
Using the concept of finite-size scaling, Monte Carlo calculations of various models have become a very useful tool for the study of critical phenomena, with the system linear dimension as a variable. As an example, several recent studies of Ising models are discussed, as well as the extension to models of polymer mixtures and solutions. It is shown that using appropriate cluster algorithms, even the scaling functions describing the crossover from the Ising universality class to the mean-field behavior with increasing interaction range can be described. Additionally, the issue of finite-size scaling in Ising models above the marginal dimension (d*=4) is discussed.
Coupling theory for counterion distributions based in Tsallis statistics
2003
It is well known that the Poisson-Boltzmann (PB) equation yields the exact counterion density around charged objects in the weak coupling limit. In this paper we generalize the PB approach to account for coupling of arbitrary strength by making use of Tsallis q-exponential distributions. Both the weak coupling and the strong coupling limits are reproduced. For arbitrary coupling we also provide simple analytical expressions which are compared to recent Monte Carlo simulations by A. G. Moreira and R. R. Netz [Europhys. Lett. 52 (2000) 705]. Excellent agreement with these is obtained.
Monte Carlo simulations of a trader-based market model
2002
Abstract We present a detailed analysis of the stationary state and the parameter sensitivity of a trader-based market model suggested in Bak et al. (Physica A 246 (1997) 430). The model in question takes only so-called noise-traders into account and its properties are determined by mutual imitation of the traders and volatility feedback. We show that the stationary state of the model can be characterized by a log-normal distribution of the bid and ask prices relative to the current market price. In the stationary state the model is able to reproduce the so-called stylized facts of real markets. This property is stable under variation of the essential parameters of the model, number of trad…
Simulation of BSDEs with jumps by Wiener Chaos Expansion
2016
International audience; We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. Concerning the error, we derive explicit bounds with respect to the number of chaos, the discretization time step and the number of Monte Carlo simulations. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.
Monte Carlo simulation of the glass transition in three-dimensional dense polymer melts
1993
Abstract We determine the incoherent intermediate scattering function φsq(t) for a three-dimensional dense polymer melt. This function shows the signature of a two-step process which was quantitatively compared to the idealized mode coupling theory (MCT) within the β-relaxation regime. A major result of this analysis is that the studied temperature interval splits in a high temperature part, where the idealized theory describes φsq(t) over about three decades in time, and a low temperature part, where it strongly overestimates the freezing tendency of the melt. Since one can qualitatively attribute this discrepancy between the idealized MCT and the simulation data to hopping processes, the …
Aging effects in glassy polymers: a Monte Carlo study
1996
Abstract By means of dynamic Monte Carlo simulation the physical aging of a glassy polymer melt is studied. The melt is simulated by a coarse-grained lattice model, the bond-fluctuation model, on a simple cubic lattice. In order to generate glassy freezing an energy is associated with long bonds, which leads to a competition between the energetically favored bond stretching and the local density of the melt at low temperatures. The development of this competition during the cooling process strongly slows down the structural relaxation and makes the melt freeze in an amorphous structure as soon as the internal relaxation time matches the time scale of the cooling rate. Therefore the model ex…
Monte Carlo simulation of polymers at interfaces
1993
Abstract Polymers at interfaces pose challenging problems to statistical physics because their configurations often differ greatly from the bulk. Computer simulation of coarse-grained models then gives valuable insight and allows stringent tests of various theoretical predictions. Three examples are briefly treated: chain configurations of B-chains in the surface-enriched B-rich layer of an (AB) binary polymer mixture; “frustrated” lamellar ordering in ultra-thin block-copolymer films; and the collapse of polymer brushes in bad solvents.
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
2002
The aim of the paper is to develop pricing formulas for long term European type Asian options written on the exchange rate in a two currency economy. The exchange rate as well as the foreign and domestic zero coupon bond prices are assumed to follow geometric Brownian motions. The emphasis is devoted to the discretely sampled Asian option. It is shown how the value of this option can be approximated as the sum of Black-Scholes options. The formula is obtained under the extension of results developed by Rogers and Shi (1995) and Jamshidian (1991). In addition bounds for the pricing error are determined. Comparing with Monte Carlo simulation the pricing is found to be very precise.