Search results for "brownian motion"
showing 10 items of 177 documents
Quantitative approximation of certain stochastic integrals
2002
We approximate certain stochastic integrals, typically appearing in Stochastic Finance, by stochastic integrals over integrands, which are path-wise constant within deterministic, but not necessarily equidistant, time intervals. We ask for rates of convergence if the approximation error is considered in L 2 . In particular, we show that by using non-equidistant time nets, in contrast to equidistant time nets, approximation rates can be improved considerably.
Conformations, Transverse Fluctuations and Crossover Dynamics of a Semi-Flexible Chain in Two Dimensions
2014
We present a unified scaling description for the dynamics of monomers of a semiflexible chain under good solvent condition in the free draining limit. We consider both the cases where the contour length $L$ is comparable to the persistence length $\ell_p$ and the case $L\gg \ell_p$. Our theory captures the early time monomer dynamics of a stiff chain characterized by $t^{3/4}$ dependence for the mean square displacement(MSD) of the monomers, but predicts a first crossover to the Rouse regime of $t^{2\nu/{1+2\nu}}$ for $\tau_1 \sim \ell_p^3$, and a second crossover to the purely diffusive dynamics for the entire chain at $\tau_2 \sim L^{5/2}$. We confirm the predictions of this scaling descr…
A Novel Non-Stationary Channel Model Utilizing Brownian Random Paths
2014
This paper proposes a non-stationary channel model in which real-time dynamics of the mobile station (MS) are taken into account. We utilize Brownian motion (BM) processes to model targeted and non-targeted dynamics of the MS. The proposed trajectory model consists of both drift and random components to capture both targeted and non-targeted motions of the MS. The Brownian trajectory model is then employed to provide a non-stationary channel model, in which the scattering effects of the propagation area are modelled by a non-centred one-ring geometric scattering model. The starting point of the motion is a fixed point in the propagation environment, whereas its terminating point is a random…
Set-valued Brownian motion
2015
Brownian motions, martingales, and Wiener processes are introduced and studied for set valued functions taking values in the subfamily of compact convex subsets of arbitrary Banach space $X$. The present paper is an application of one the paper of the second author in which an embedding result is obtained which considers also the ordered structure of $ck(X)$ and f-algebras.
Canonical Brownian Motion on the Diffeomorphism Group of the Circle
2002
AbstractFor infinitesimal data given on the group of diffeomorphism of the circle with respect to the metric H3/2, the associated Brownian motion has been constructed by Malliavin (C.R. Acad. Sci. Parist.329 (1999), 325–329). In this work, we shall give another approach and prove the invariance of heat measures under the adjoint action of S1.
Fractional Laplacians in bounded domains: Killed, reflected, censored, and taboo Lévy flights.
2018
The fractional Laplacian $(- \Delta)^{\alpha /2}$, $\alpha \in (0,2)$ has many equivalent (albeit formally different) realizations as a nonlocal generator of a family of $\alpha $-stable stochastic processes in $R^n$. On the other hand, if the process is to be restricted to a bounded domain, there are many inequivalent proposals for what a boundary-data respecting fractional Laplacian should actually be. This ambiguity holds true not only for each specific choice of the process behavior at the boundary (like e.g. absorbtion, reflection, conditioning or boundary taboos), but extends as well to its particular technical implementation (Dirchlet, Neumann, etc. problems). The inferred jump-type …
Dynamics of a quantum particle interacting with a thermal bath and subject to an oscillating asymmetric bistable potential
2012
Exploiting the approach of the Feynman-Vernon influence functional [1] within the framework of the discrete variable representation (DVR) [2], we consider a quantum particle described by the Caldeira-Leggett model [3]. The particle, “moving” in an asymmetric bistable potential and subject to a periodical driving, interacts with a thermal bath of harmonic oscillators. In this conditions we study the dynamics of the particle by analyzing the time evolution of the populations in the DVR. Specifically we focalize on the position eigenstate located in the shallower well, i.e. metastable state, finding a non-monotonic behaviour of the corresponding population as a function of the frequency. Moreo…
Dynamics of a Driven Dissipative Quantum System
2013
We investigate the dynamics of a driven multilevel system, consisting of a particle in an asymmetric bistable potential, strongly interacting with a thermal bath according to the Caldeira-Leggett model. The populations in the discrete (position) variable representation (DVR), are obtained as solution of a Markovian approximated master equation, which is derived from a discretized path integral approach based on the Feynman-Vernon influence functional. By varying the environmental parameters (temperature and coupling strength) as well as the driving frequency and amplitude, we study the transient dynamics and stationary configuration of the system. In particular, we analyze the population of…
Transient Dynamics of a Driven Quantum Bistable System
2013
We study the transient dynamics and the asymptotic behaviour of a multilevel system in the strong dissipation regime. The system is modeled as a periodically driven quantum particle in an asymmetric double well potential, interacting with the bosonic heat bath of the Caldeira-Leggett model. The analytical approach used is non- perturbative in the particle-bath coupling and is based on a space-discretized path integral expression for the particle’s reduced density matrix. By a suitable approximation on the Feynman-Vernon influence functional a Markov-approximated master equation is obtained for the populations in the Discrete Variable Representation (DVR).
From time series to complex networks: the visibility graph
2008
In this work we present a simple and fast computational method, the visibility algorithm , that converts a time series into a graph. The constructed graph inherits several properties of the series in its structure. Thereby, periodic series convert into regular graphs, and random series do so into random graphs. Moreover, fractal series convert into scale-free networks, enhancing the fact that power law degree distributions are related to fractality, something highly discussed recently. Some remarkable examples and analytical tools are outlined to test the method's reliability. Many different measures, recently developed in the complex network theory, could by means of this new approach cha…