Search results for "stochastic"
showing 10 items of 1018 documents
Ergodicity and limit theorems for degenerate diffusions with time periodic drift. Application to a stochastic Hodgkin−Huxley model
2016
We formulate simple criteria for positive Harris recurrence of strongly degenerate stochastic differential equations with smooth coefficients on a state space with certain boundary conditions. The drift depends on time and space and is periodic in the time argument. There is no time dependence in the diffusion coefficient. Control systems play a key role, and we prove a new localized version of the support theorem. Beyond existence of some Lyapunov function, we only need one attainable inner point of full weak Hoermander dimension. Our motivation comes from a stochastic Hodgkin−Huxley model for a spiking neuron including its dendritic input. This input carries some deterministic periodic si…
Stability of a stochastic SIR system
2005
Abstract We propose a stochastic SIR model with or without distributed time delay and we study the stability of disease-free equilibrium. The numerical simulation of the stochastic SIR model shows that the introduction of noise modifies the threshold of system for an epidemic to occur and the threshold stochastic value is found.
Recursive estimation of the conditional geometric median in Hilbert spaces
2012
International audience; A recursive estimator of the conditional geometric median in Hilbert spaces is studied. It is based on a stochastic gradient algorithm whose aim is to minimize a weighted L1 criterion and is consequently well adapted for robust online estimation. The weights are controlled by a kernel function and an associated bandwidth. Almost sure convergence and L2 rates of convergence are proved under general conditions on the conditional distribution as well as the sequence of descent steps of the algorithm and the sequence of bandwidths. Asymptotic normality is also proved for the averaged version of the algorithm with an optimal rate of convergence. A simulation study confirm…
Stochastic model for the epitaxial growth of two-dimensional islands in the submonolayer regime
2016
The diffusion-based growth of islands composed of clusters of metal atoms on a substrate is considered in the aggregation regime. A stochastic approach is proposed to describe the dynamics of island growth based on a Langevin equation with multiplicative noise. The distribution of island sizes, obtained as a solution of the corresponding Fokker-Planck equation, is derived. The time-dependence of island growth on its fractal dimension is analysed. The effect of mobility of the small islands on the growth of large islands is considered. Numerical simulations are in a good agreement with theoretical results.
Experimental investigations of local stochastic resistive switching in yttria stabilized zirconia film on a conductive substrate
2020
We report on the results of the experimental investigations of the local resistive switching (RS) in the contact of a conductive atomic force microscope (CAFM) probe to a nanometer-thick yttria stabilized zirconia (YSZ) film on a conductive substrate under a Gaussian noise voltage applied between the probe and the substrate. The virtual memristor was found to switch randomly between the low resistance state and the high resistance state as a random telegraph signal (RTS). The potential profile of the virtual memristor calculated from its response to the Gaussian white noise shows two local minima, which is peculiar of a bistable nonlinear system.
Relaxation of Electron Spin during High-Field Transport in GaAs Bulk
2011
A semiclassical Monte Carlo approach is adopted to study the multivalley spin depolarization of drifting electrons in a doped n-type GaAs bulk semiconductor, in a wide range of lattice temperature ($40<T_L<300$ K) and doping density ($10^{13}<n<10^{16}$cm$^{-3}$). The decay of the initial non-equilibrium spin polarization of the conduction electrons is investigated as a function of the amplitude of the driving static electric field, ranging between 0.1 and 6 kV/cm, by considering the spin dynamics of electrons in both the $\Gamma$ and the upper valleys of the semiconductor. Doping density considerably affects spin relaxation at low temperature and weak intensity of the driving electric fiel…
Noise-induced resistive switching in a memristor based on ZrO2(Y)/Ta2O5 stack
2019
Resistive switching (RS) is studied in a memristor based on a ZrO2(Y)/Ta2O5 stack under a white Gaussian noise voltage signal. We have found that the memristor switches between the low resistance state and the high resistance state in a random telegraphic signal (RTS) mode. The effective potential profile of the memristor shows from two to three local minima and depends on the input noise parameters and the memristor operation. These observations indicate the multiplicative character of the noise on the dynamical behavior of the memristor, that is the noise perceived by the memristor depends on the state of the system and its electrical properties are influenced by the noise signal. The det…
Spatio-temporal stochastic modelling: environmental and health processes
2010
Guest editorial
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
On a set of data for the membrane potential in a neuron
2006
We consider a set of data where the membrane potential in a pyramidal neuron is measured almost continuously in time, under varying experimental conditions. We use nonparametric estimates for the diffusion coefficient and the drift in view to contribute to the discussion which type of diffusion process is suitable to model the membrane potential in a neuron (more exactly: in a particular type of neuron under particular experimental conditions).