Search results for "brownian motion"
showing 10 items of 177 documents
Real Options: an Application to RMS Investment Evaluation
2007
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 …
THE ROLE OF NON-GAUSSIAN SOURCES IN THE TRANSIENT DYNAMICS OF LONG JOSEPHSON JUNCTIONS
2013
We analyze the effects of different non-Gaussian noise sources on the transient dynamics of an overdamped long Josephson junction. We find nonmonotonic behavior of the mean escape time as a function of the noise intensity and frequency of the external driving signal for all the noise sources investigated.
Phase dynamics in graphene-based Josephson junctions in the presence of thermal and correlated fluctuations
2014
In this work we study by numerical methods the phase dynamics in ballistic graphene-based short Josephson junctions. The supercurrent through a graphene junction shows a non-sinusoidal phase-dependence, unlike a conventional junction ruled by the well-known d.c. Josephson relation. A superconductor-graphene-superconductor system exhibits superconductive quantum metastable states similar to those present in normal current-biased JJs. We explore the effects of thermal and correlated fluctuations on the escape time from these metastable states, when the system is stimulated by an oscillating bias current. As a first step, the analysis is carried out in the presence of an external Gaussian whit…
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…
Co-occurrence of resonant activation and noise-enhanced stability in a model of cancer growth in the presence of immune response.
2006
We investigate a stochastic version of a simple enzymatic reaction which follows the generic Michaelis-Menten kinetics. At sufficiently high concentrations of reacting species, the molecular fluctuations can be approximated as a realization of a Brownian dynamics for which the model reaction kinetics takes on the form of a stochastic differential equation. After eliminating a fast kinetics, the model can be rephrased into a form of a one-dimensional overdamped Langevin equation. We discuss physical aspects of environmental noises acting in such a reduced system, pointing out the possibility of coexistence of dynamical regimes where noise-enhanced stability and resonant activation phenomena …
Gaussian models for the distribution of Brownian particles in tilted periodic potentials
2011
We present two Gaussian approximations for the time-dependent probability density function (PDF) of an overdamped Brownian particle moving in a tilted periodic potential. We assume high potential barriers in comparison with the noise intensity. The accuracy of the proposed approximated expressions for the time-dependent PDF is checked with numerical simulations of the Langevin dynamics. We found a quite good agreement between theoretical and numerical results at all times.
From $1$ to $6$: a finer analysis of perturbed branching Brownian motion
2020
The logarithmic correction for the order of the maximum for two-speed branching Brownian motion changes discontinuously when approaching slopes $\sigma_1^2=\sigma_2^2=1$ which corresponds to standard branching Brownian motion. In this article we study this transition more closely by choosing $\sigma_1^2=1\pm t^{-\alpha}$ and $\sigma_2^2=1\pm t^{-\alpha}$. We show that the logarithmic correction for the order of the maximum now smoothly interpolates between the correction in the iid case $\frac{1}{2\sqrt 2}\ln(t),\;\frac{3}{2\sqrt 2}\ln(t)$ and $\frac{6}{2\sqrt 2}\ln(t)$ when $0<\alpha<\frac{1}{2}$. This is due to the localisation of extremal particles at the time of speed change which depen…
Regularity of Spike Trains and Harmony Perception in a Model of the Auditory System
2011
Spike train regularity of the noisy neural auditory system model under the influence of two sinusoidal signals with different frequencies is investigated. For the increasing ratio m/n of the input signal frequencies (m, n are natural numbers) the linear growth of the regularity is found at the fixed difference (m - n). It is shown that the spike train regularity in the model is high for harmonious chords of input tones and low for dissonant ones.
Dynamics of nanoparticles in a supercooled liquid
2008
The dynamic properties of nanoparticles suspended in a supercooled glass forming liquid are studied by x-ray photon correlation spectroscopy. While at high temperatures the particles undergo Brownian motion the measurements closer to the glass transition indicate hyperdiffusive behavior. In this state the dynamics is independent of the local structural arrangement of nanoparticles, suggesting a cooperative behavior governed by the near-vitreous solvent.