Search results for "stochastic model"

Mean Escape Time in a System with Stochastic Volatility

2007

We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We investigate the statistical properties of the escape time of the returns, from a given interval, as a function of the three parameters of the model. We find that the noise can have a stabilizing effect on the system, as long as the global noise is not too high with respect to the effective potential barr…

Stochastic Models of Higher Order Dielectric Responses

2018

The nonlinear response for systems exhibiting Markovian stochastic dynamics is calculated using time-dependent perturbation theory for the Green’s function, the conditional probability to find the system in a given configuration at a certain time given it was in another configuration at an earlier time. In general, the Green’s function obeys a so-called master-equation for the balance of the gain and loss of probability in the various configurations of the system. Using various models for the reorientational motion of molecules it is found that the scaled modulus of the third-order response, \(X_3\), shows a hump-like behavior for random rotational motion in some cases and it exhibits “triv…

The A + B → 0 reaction on a disordered lattice

1996

Abstract In this paper a stochastic model for the A + B → 0 reaction with creation of particles on a disordered surface is studied for d = 2 and d = 3 spatial dimensions. Densities and correlations of the particles are examined in detail. We find that the stationary state which exists for d = 3 in case of an ordered lattice vanishes in the case of a disordered lattice. A stationary state for d = 2 never exists.

Kerr effect as a tool for the investigation of dynamic heterogeneities

2006

We propose a dynamic Kerr effect experiment for the distinction between dynamic heterogeneous and homogeneous relaxation in glassy systems. The possibility of this distinction is due to the inherent nonlinearity of the Kerr effect signal. We model the slow reorientational molecular motion in supercooled liquids in terms of non-inertial rotational diffusion. The Kerr effect response, consisting of two terms, is calculated for heterogeneous and for homogeneous variants of the stochastic model. It turns out that the experiment is able to distinguish between the two scenarios. We furthermore show that exchange between relatively 'slow' and 'fast' environments does not affect the possibility of …

Stochastic models for heterogeneous relaxation: Application to inhomogeneous optical lineshapes

2001

Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale. Starting from the most simple Gaussian Markov process we model the exchange between 'slow' and 'fast' environments by treating the fluctuating single-particle variable as a projection from a higher-dimensional Markov process. The moments of the resulting stochastic process are calculated from the corresponding Master equations or Langevin equations, depending on the model. The calculations show the importance of the way to treat exchange processes. The result…

Non-stationary spectral moments of base excited MDOF systems

1988

The paper deals with the evaluation of non-stationary spectral moments of multi-degree-of-freedom (MDOF) line systems subjected to seismic excitations. The spectral moments of the response are evaluated in incremental form solution by means of an unconditionally stable step-by-step procedure. As an application, the statistics of the largest peak of the response are also evaluated.

Stochastic Kinetics with Wave Nature

2003

We consider stochastic second-order partial differential equations. We indroduce a noisy non-linear wave equation and discuss its connections, in particular via the Lorentz transformation, with known stochastic models.

Stochastic description of traffic breakdown

2003

We present a comparison of nucleation in an isothermal-isochoric container with traffic congestion on a one-lane freeway. The analysis is based, in both cases, on the probabilistic description by stochastic master equations. Further we analyze the characteristic features of traffic breakdowns. To describe this phenomenon we apply the stochastic model regarding the jam emergence to the formation of a large car cluster on the highway.

OPTIMIZING STOCHASTIC SUSCEPTIBILITY MODELLING FOR DEBRIS FLOW LANDSLIDES: PIXEL SIZE EFFECTS, PROBLEMS IN CHRONO-VALIDATION, 2D SPATIALLY DISTRIBUTE…

Three Hours Ahead Prevision of SO2 Pollutant Concentration Using an Elman Neural based Forecaster

2008

Abstract Indoor air quality near the industrial site is tightly joined to pollutant concentration level, since outdoor pollution heavily influences air quality and, consequently, inhabitants health. A pollution management system is essential for health protection. Automatic air quality management systems have became an important research issue with strong implications for inhabitants’ health. In this paper an automatic forecaster based on neural networks for SO 2 concentration prevision is proposed. The analyzed area covers different small towns near the industrial site of Priolo, in the south of the world. Among these towns, Melilli was the first town in Italy that was evacuated for high l…