Search results for "brownian motion"

Effect of a fluctuating electric field on electron spin dephasing in III-V semiconductors

2011

In the present work we investigate electron spin relaxation in low-doped n-type GaAs semiconductor bulks driven by a static electric field. The electron dynamics is simulated by a Monte Carlo procedure which keeps into account all the possible scattering phenomena of the hot electrons in the medium and includes the evolution of spin polarization. Spin relaxation lengths are computed through the D’yakonov-Perel process, which is the only relevant relaxation mechanism in zinc-blende semiconductors. Since semiconductor based devices are always imbedded into a noisy environment that can strongly affect their performance, the decay of initial spin polarization of conduction electrons is calculat…

Noise enhanced stability in fluctuating metastable states Phys. Rev. E69, 061103 (2004)

2004

We derive general equations for the nonlinear relaxation time of Brownian diffusion in randomly switching potential with a sink. For piece-wise linear dichotomously fluctuating potential with metastable state, we obtain the exact average lifetime as a function of the potential parameters and the noise intensity. Our result is valid for arbitrary white noise intensity and for arbitrary fluctuation rate of the potential. We find noise enhanced stability phenomenon in the system investigated: The average lifetime of the metastable state is greater than the time obtained in the absence of additive white noise.We obtain the parameter region of the fluctuating potential where the effect can be ob…

Resonant activation in piecewise linear asymmetric potentials

2011

7 páginas, 8 figuras.-- PACS number(s): 05.40.−a, 05.45.−a, 02.50.Ey

Axial dispersion of Brownian colloids in microfluidic channels

2016

Frequency-dependent hydrodynamic interaction between two solid spheres

2017

Hydrodynamic interactions play an important role in many areas of soft matter science. In simulations with implicit solvent, various techniques such as Brownian or Stokesian dynamics explicitly include hydrodynamic interactions a posteriori by using hydrodynamic diffusion tensors derived from the Stokes equation. However, this equation assumes the interaction to be instantaneous which is an idealized approximation and only valid on long time scales. In the present paper, we go one step further and analyze the time-dependence of hydrodynamic interactions in a compressible fluid on the basis of the linearized Navier-Stokes equation. The theoretical results show that the compressibility of the…

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.

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…

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 …