Search results for "stochastic"

Unequal rapidity correlators in the dilute limit of the JIMWLK evolution

2019

We study unequal rapidity correlators in the stochastic Langevin picture of Jalilian-Marian-Iancu-McLerran-Weigert-Leonidov-Kovner (JIMWLK) evolution in the color glass condensate effective field theory. We discuss a diagrammatic interpretation of the long-range con elators. By separately evolving the Wilson lines in the direct and complex conjugate amplitudes, we use the formalism to study two-particle production at large rapidity separations. We show that the evolution between the rapidities of the two produced particles can be expressed as a linear equation, even in the full nonlinear limit. We also show how the Langevin formalism for two-particle correlations reduces to a Balitsky-Fadin…

Stochastic sensitivity of bull and bear states

2021

We study the price dynamics generated by a stochastic version of a Day–Huang type asset market model with heterogenous, interacting market participants. To facilitate the analysis, we introduce a methodology that allows us to assess the consequences of changes in uncertainty on the dynamics of an asset price process close to stable equilibria. In particular, we focus on noise-induced transitions between bull and bear states of the market under additive as well as parametric noise. Our results are obtained by combining the stochastic sensitivity function (SSF) approach, a mixture of analytical and numerical techniques, due to Mil’shtein and Ryashko (1995) with concepts and techniques from th…

Threefold Introduction to Fractional Derivatives

2008

Diffusion processes with ultrametric jumps

2007

Abstract In the theory of spin glasses the relaxation processes are modelled by random jumps in ultrametric spaces. One may argue that at the border of glassy and nonglassy phases the processes combining diffusion and jumps may be relevant. Using the Dirichlet form technique we construct a model of diffusion on the real line with jumps on the Cantor set. The jumps preserve the ultrametric feature of a random process on unit ball of 2-adic numbers.

Statistical properties of the capacity of multipath fading channels

2009

It is well known that a frequency-nonselective multipath fading channel can be modeled by a sum of complex sinusoids, also called sum-of-cisoids (SOC). By using the SOC, we can efficiently model the scattered component of the received signal in non-isotropic scattering environments. Such SOC-based multipath channel models provide the flexibility of having correlated in-phase and quadrature phase components of the received signal. This paper presents the derivation and analysis of the statistical properties of the capacity of multipath fading channels under LOS conditions. As an appropriate stochastic model for the multipath fading channel, we have adopted the SOC model. We have derived the …

Opinion dynamics in coalitional games with transferable utilities

2014

This paper studies opinion dynamics in a large number of homogeneous coalitional games with transferable utilities (TU), where the characteristic function is a continuous-time stochastic process. For each game, which we can see as a “small world”, the players share opinions on how to allocate revenues based on the mean-field interactions with the other small worlds. As a result of such mean-field interactions among small worlds, in each game, a central planner allocates revenues based on the extra reward that a coalition has received up to the current time and the extra reward that the same coalition has received in the other games. The paper also studies the convergence and stability of op…

A method for the probabilistic analysis of nonlinear systems

1995

Abstract The probabilistic description of the response of a nonlinear system driven by stochastic processes is usually treated by means of evaluation of statistical moments and cumulants of the response. A different kind of approach, by means of new quantities here called Taylor moments, is proposed. The latter are the coefficients of the Taylor expansion of the probability density function and the moments of the characteristic function too. Dual quantities with respect to the statistical cumulants, here called Taylor cumulants, are also introduced. Along with the basic scheme of the method some illustrative examples are analysed in detail. The examples show that the proposed method is an a…

Probabilistic response of nonlinear systems under combined normal and Poisson white noise via path integral method

2011

In this paper the response in terms of probability density function of nonlinear systems under combined normal and Poisson white noise is considered. The problem is handled via a Path Integral Solution (PIS) that may be considered as a step-by-step solution technique in terms of probability density function. A nonlinear system under normal white noise, Poissonian white noise and under the superposition of normal and Poisson white noise is performed through PIS. The spectral counterpart of the PIS, ruling the evolution of the characteristic functions is also derived. It is shown that at the limit when the time step becomes an infinitesimal quantity an equation ruling the evolution of the pro…

Chlorophyll Concentration Retrieval by Training Convolutional Neural Network for Stochastic Model of Leaf Optical Properties (SLOP) Inversion

2020

Miniaturized hyperspectral imaging techniques have developed rapidly in recent years and have become widely available for different applications. Combining calibrated hyperspectral imagery with inverse physically based reflectance models is an interesting approach for estimating chlorophyll concentrations that are good indicators of vegetation health. The objective of this study was to develop a novel approach for retrieving chlorophyll a and b values from remotely sensed data by inverting the stochastic model of leaf optical properties using a one-dimensional convolutional neural network. The inversion results and retrieved values are validated in two ways: A classical machine learning val…

How diffusivity, thermocline and incident light intensity modulate the dynamics of Deep Chlorophyll Maximum in Tyrrhenian Sea

2015

During the last few years theoretical works have shed new light and proposed new hypotheses on the mechanisms which regulate the spatio-temporal behaviour of phytoplankton communities in marine pelagic ecosystems. Despite this, relevant physical and biological issues, such as effects of the time- dependent mixing in the upper layer, competition between groups, and dynamics of non-stationary deep chlorophyll maxima, are still open questions. In this work, we analyze the spatio-temporal behaviour of five phytoplankton populations in a real marine ecosystem by using a one-dimensional reaction-diffusion-taxis model. The study is performed, taking into account the seasonal variations of environm…