Search results for "Stochastic analysis"
showing 10 items of 32 documents
First passage time distribution of stationary Markovian processes
2010
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes research. They also have relevant applications, for example, in many fields of finance such as the assessment of the default risk for firms' assets. By using some explicit examples, in this paper we will show that the tail of the First Passage Time distribution crucially depends on the correlation properties of the process and it is independent from its stationary distribution. When the process includes an infinite set of time-scales bounded from above, the FPT…
Advanced techniques for solving groundwater and surface water problems in the context of inverse methods and climate change.
2021
[ES] El tema de la investigación se centra en técnicas avanzadas para manejar problemas de aguas subterráneas y superficiales relacionados con métodos inversos y cambio climático. Los filtros de Kalman, con especial atención en Ensemble Smoother with Multiple Data Assimilation (ES-MDA), se analizan y mejoran para la solución de diferentes tipos de problemas inversos. En particular, la principal novedad es la aplicación de estos métodos para la identificación de series temporales. La primera parte de la tesis, luego de la descripción del método, presenta el desarrollo de un software escrito en Python para la aplicación de la metodología propuesta. El software cuenta con un flujo de trabajo f…
RELAXATION PHENOMENA IN CLASSICAL AND QUANTUM SYSTEMS
2012
Relaxation phenomena in three different classical and quantum systems are investigated. First, the role of multiplicative and additive noise in a classical metastable system is analyzed. The mean lifetime of the metastable state shows a nonmonotonicbehavior with a maximum as a function of both the additive and multiplicative noise intensities. In the second system, the simultaneous action of thermal and non-Gaussian noise on the dynamics of an overdamped point Josephson junction is studied. The effect of a Lévy noise generated by a Cauchy–Lorentz distribution on the mean lifetime of the superconductive metastable state, in the presence of a periodic driving, is investigated. We find resonan…
Multivariate analyses for the study of behavior: an integrated approach
2008
Simple quantitative evaluations of isolate behavioral elements (i.e. frequencies, durations, per cent distributions) are not representative of the whole behavioral structure [1]. As suggested in a landmark paper from Spruijt and Gispen [2], it is only through the evaluation of the inter-relations among behavioral elements that it is possible to explore behavior from very different points of view, greatly beyond what the human eye can intuitively interpret. In the present paper a brief outline of different multivariate techniques for behavioral analyses will be presented in the attempt to underline the feasibility of their integration.
Structural Analyses in the Study of Anxiety and Anxiety-Related Behaviour
2016
According to the latest Diagnostic and Statistical Manual of Mental Disorders, 5th edition, anxiety encompasses various conditions sharing an excessive sense of fear and/or apprehension for no evident reason and related behavioural disturbances (Association, 2013). The association of such a gloomy symptomatology, with the great diffusion in the general population, explains the critical impact of anxiety disorders on inter-personal relationships and job-related activities (Greenberg et al.,1999; Wittchen & Hoyer, 2001; Keeley & Storch, 2009). Hence, anxiety disorders represent an important and consistent topic of discussion, not only in terms of underlying neuro-psychological processes but, …
Stochastic analysis of a non-local fractional viscoelastic beam forced by Gaussian white noise
2017
Recently, a displacement-based non-local beam model has been developed and the relative finite element (FE) formulation with closed-form expressions of the elastic and fractional viscoelastic matrices has also been obtained. The static and quasi-static response has been already investigated. This work investigates the stochastic response of the non-local fractional viscoelastic beam, forced by a Gaussian white noise. In this context, by taking into account the mass of the beam, the system of coupled fractional differential equations ruling the beam motion can be decoupled with the method of the fractional order state variable expansion and statistics of the motion of the beam can be readily…
Active controlled structural systems under delta-correlated random excitation: linear and nonlinear case
2006
Abstract Reduction of structural vibration in active controlled dynamical system is usually performed by means of convenient control forces dependent of the dynamic response. In this paper the existent studies will be extended to dynamical systems subjected to non-Gaussian random process accounting for the time delay involved in the application of active control actions. Control forces acting with time-delay effects will be expanded in Taylor series evaluating response statistics by means of the extended Ito differential rule to consider the effects of the non-normality of the input processes. Numerical application provided shows the feasibility of the proposed method to analyze stochastic …
Noise-induced effects in nonlinear relaxation of condensed matter systems
2015
Abstract Noise-induced phenomena characterise the nonlinear relaxation of nonequilibrium physical systems towards equilibrium states. Often, this relaxation process proceeds through metastable states and the noise can give rise to resonant phenomena with an enhancement of lifetime of these states or some coherent state of the condensed matter system considered. In this paper three noise induced phenomena, namely the noise enhanced stability, the stochastic resonant activation and the noise-induced coherence of electron spin, are reviewed in the nonlinear relaxation dynamics of three different systems of condensed matter: (i) a long-overlap Josephson junction (JJ) subject to thermal fluctuat…
Suppression of timing errors in short overdamped Josephson junctions
2004
The influence of fluctuations and periodical driving on temporal characteristics of short overdamped Josephson junction is analyzed. We obtain the standard deviation of the switching time in the presence of a dichotomous driving force for arbitrary noise intensity and in the frequency range of practical interest. For sinusoidal driving the resonant activation effect has been observed. The mean switching time and its standard deviation have a minimum as a function of driving frequency. As a consequence the optimization of the system for fast operation will simultaneously lead to minimization of timing errors.
Time characteristics of Lévy flights in a steep potential well
2013
Using the method previously developed for ordinary Brownian diffusion, we derive a new formula to calculate the correlation time of stationary Lévy flights in a steep potential well. For the symmetric quartic potential, we obtain the exact expression of the correlation time of steady-state Lévy flights with index α = 1. The correlation time of stationary Lévy flights decreases with an increasing noise intensity and steepness of potential well.