Baldovin-Stella stochastic volatility process and Wiener process mixtures

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a powerful and consistent way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Lévy distributions and show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions; more generally, we show that the stochastic processes arising in this framework are representable as mixtures of Wiener processes. The basic Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately.     

The Lorentz process converges to a random flight process

The Lorentz process is the stochastic process defined by a particle moving, according to Newton's law of motion, through static scatterers distributed according to some probability measure in space. We consider the Boltzmann-Grad limit: The density of scatterers increases to infinity and at the same time the diameter of the scatterers decreases to zero in such a way that the mean free path of the particle is kept constant. We show that the Lorentz process converges in the weak*-topology of regular Borel measures on the paths space to some stochastic process. The limit process is Markovian if and only if the rescaled density of scatterers converges in probability to its mean. In that case the limit process is a (spatially inhomogeneous) random flight process.On leave of absence of Fachbereich Physik der Universität München. Work supported by a DFG fellowship     

Modulated Weiner process

Summary We define and develop a novel process, related to stochastic resonance, in which a particle experiences three forces: a constant drift, a zero-mean white noise, and a time-periodic modulation. Upon reaching a threshold, the particle immediately returns to the starting point. The resulting process exhibits multiple maxima in the output power at the modulation frequency as a function of the white-noise variance, multimodal first-passage-time densities, and evidence of phase locking. Our model is an extension of the Gerstein-Mandelbrot model of neuron firing to the case of periodic stimuli, and therefore has applications in neural modeling. Paper presented at the International Workshop ?Fluctuations in Physics and Biology: Stochastic Resonance, Signal Processing and Related Phenomena?, Elba, 5–10 June 1994.     

The Microwave plasma process – a versatile process to synthesise nanoparticulate materials

The microwave plasma process inherently produces nanoparticulate powders with very narrow particle size distribution. During synthesis, the particles carry electric charges of equal sign. Therefore, by electrostatic repulsion, particle growth is reduced and agglomeration thwarted. This is shown by gas kinetic considerations and experimental results. Furthermore, this process allows coating of the particles with organic or inorganic phases, reducing interaction of different particles. This makes it possible to technically exploit properties, characteristic for isolated particles. Additionally, the coating process allows the combination of different properties such as superparamagnetism and luminescence, as it is demonstrated in different examples.     

Ancilla-assisted quantum process tomography

Complete and precise characterization of a quantum dynamical process can be achieved via the method of quantum process tomography. Using a source of correlated photons, we have implemented several methods, each investigating a wide range of processes, e.g., unitary, decohering, and polarizing. One of these methods, ancilla-assisted process tomography (AAPT), makes use of an additional "ancilla system," and we have theoretically determined the conditions when AAPT is possible. Surprisingly, entanglement is not required. We present data obtained using both separable and entangled input states. The use of entanglement yields superior results, however.     

碰撞过程的研究

从弹性力学理论出发，推导出碰撞时间的计算公式，并利用碰撞时间测定仪测量了钢球与钢板的碰撞时间．     

The collisional Penrose process

Shortly after the discovery of the Kerr metric in 1963, it was realized that a region existed outside of the black hole’s event horizon where no time-like observer could remain stationary. In 1969, Roger Penrose showed that particles within this ergosphere region could possess negative energy, as measured by an observer at infinity. When captured by the horizon, these negative energy particles essentially extract mass and angular momentum from the black hole. While the decay of a single particle within the ergosphere is not a particularly efficient means of energy extraction, the collision of multiple particles can reach arbitrarily high center-of-mass energy in the limit of extremal black hole spin. The resulting particles can escape with high efficiency, potentially serving as a probe of high-energy particle physics as well as general relativity. In this paper, we briefly review the history of the field and highlight a specific astrophysical application of the collisional Penrose process: the potential to enhance annihilation of dark matter particles in the vicinity of a supermassive black hole.     

The asymmetric contact process

We study a generalization of the Harris one-dimensional contact process in which the rates of infection to the right and left may be different.     

Flavouring the Gribov process

The exchange of flavour carrying trajectories is studied in the non-covariant parton interpretation of reggeon field theory. While pomeron exchange is described by wee partondensities, i.e. diagonal elements of the density matrix of a fast hadron, meson exchange is described by density matrix elements which are diagonal in parton number but off-diagonal in flavour. The reggeon field theory “hamiltonian” describes a markoffian evolution of this block-diagonal density matrix during a boost. This interpretation is possible both if there are two distinctf and ? trajectories and in case of ? identity. The meson trajectories are superpositions of odd and even signature trajectories.     

Theory of thermo-luminescent process

A consistent theory of thermo-luminescent process is developed, following Johnson's classical explanation. The situation before the thermal excitation is explained. Expressions for the transition rate and the frequency factor are led out.     

Contextual quantum process theory

A logically complete interpretation of quantum mechanics is given in terms of a theory of quantum processes.Research performed during stays at Utrecht State University, at the Institute for the History and Foundations of Science and at the Department of Philosophy.     

Universality for the Pearcey process

Consider non-intersecting Brownian motions on the line leaving from the origin and forced to two arbitrary points. Letting the number of Brownian particles tend to infinity, and upon rescaling, there is a point of bifurcation, where the support of the density of particles goes from one interval to two intervals. In this paper, we show that at that very point of bifurcation a cusp appears, near which the Brownian paths fluctuate like the Pearcey process. This is a universality result within this class of problems. Tracy and Widom obtained such a result in the symmetric case, when the two target points are symmetric with regard to the origin. This asymmetry enabled us to improve considerably a result concerning the non-linear partial differential equations governing the transition probabilities for the Pearcey process, obtained by Adler and van Moerbeke.     

Self-steepening is an abrupt process

We discover that self-steepening occurs so fast with slight change in the input energy that it could be considered as an on-off process whose potential application could be far reaching. This observation was carried out by generating a stable uniform pattern of femtosecond filaments inside a methanol cell and measuring the evolution of the white light spectra. We found that the white light supercontinuum, a consequence of self-steepening, turned on almost instantaneously with respect to a very slight change in the energy.     

Dynamics of the fusion process

The binary reaction products from the interaction of a ²⁰⁸Pb beam with targets of ²⁶Mg, ²⁷Al, ⁴⁸Ca, ⁵⁰Ti, ⁵²Cr, ⁵⁸Fe and ⁶⁴Ni have been studied with the aid of a large position-sensitive ring counter, operated in a two-particle coincidence mode. The intensity of γ-rays and X-rays per event was also recorded. Within a broad range around mass symmetry, the center of mass angular distributions, γ-ray multiplicities, total kinetic energy distributions, and absolute mass yields have been determined as a function of the bombarding energy, ranging from 1.0 to 1.8 times the interaction barrier. When analysed on the basis of fusion models, the cross section for the mass equilibration reaction demonstrates that deformations induced at contact influence the fusion of these heavy systems significantly and characteristically. The γ-ray multiplicities appear to be strongly influenced by statistical angular momentum components that remain with the fragments after separation. Their magnitudes indicate that during the reaction, the collision complex becomes at least as compact as the liquid-drop saddle shape appropriate to a non-rotating nucleus with the same total mass and charge. Finally, some angular distributions show that the entire process of coalescence and reseparation can occur before the system has made one-half revolution; i.e. within a time of 5–10 × 10^?21 s. No X-ray emission from the combined system ²⁰⁸Pb + ⁴⁸Ca is observed.     

Recombination luminescence process in NaCl

The recombination luminescence in NaCl crystals pure and doped with Cu⁺ and Mn⁺⁺ has been studied. A unique mechanisme that implies the recombination V_K-electron is proposed to explain the thermoluminescence as well as the radioluminescence and the after-glow following an irradiation.     

Front-end process modeling in silicon

Front-end processing mostly deals with technologies associated to junction formation in semiconductor devices. Ion implantation and thermal anneal models are key to predict active dopant placement and activation. We review the main models involved in process simulation, including ion implantation, evolution of point and extended defects, amorphization and regrowth mechanisms, and dopant-defect interactions. Hierarchical simulation schemes, going from fundamental calculations to simplified models, are emphasized in this Colloquium. Although continuum modeling is the mainstream in the semiconductor industry, atomistic techniques are starting to play an important role in process simulation for devices with nanometer size features. We illustrate in some examples the use of atomistic modeling techniques to gain insight and provide clues for process optimization.     

多方过程的定义及其和准静态过程的关系

讨论了热学中多方过程的定义及其和准静态过程之间的关系.     

Investigations on the invalidated process and related mechanism of PEG during copper via-filling process

The invalidated process and related mechanism of PEG during copper via-filling process were investigated by means of electrochemical polarization and electrochemical impedance (EIS) measurements, and infra-red spectrum (IR) measurement was employed to analyses the invalidated products of PEG. The results suggest that the adsorption strength of PEG on cathode surface and its inhibition to copper reduction decrease gradually with the increase of passed charges (PC). Both the anodic and the cathodic electrifying process can cause the invalidation of PEG, but their invalidated courses are different. PEG will further polymerize to form new PEG with bigger MW on the anode surface, which causes the dispersive ability of plating solution to decrease. As a result, super-filling behavior cannot be obtained and many small wales formed on the specimen surface during copper via-filling process. Inversely, PEG will decompose to form new PEG with smaller MW on the cathode surface, which results in the decrease of PEG adsorption ability and inhibition. As a result, super-filling behavior cannot be obtained and the brightness of the specimen surface decreases during copper via-filling process. The decomposition of PEG is easily to happen than its polymerization when the anodic and cathodic reactions happen in the same plating solution simultaneously. So the main invalidated product of PEG during copper via-filling process is PEG with smaller MW.     

Energetics of the fission process

The mass asymmetry of fragments from nuclear fission of heavy nuclei is reviewed. While mass asymmetry is a common and well-known phenomenon for low-energy fission of the lighter actinides, more recent experiments have demonstrated that, for the heaviest actinides, the mass distribution switches to a symmetric one. On the other hand, it has been discovered that, though for fissioning nuclei with mass numbersA225 the mass distribution is basically symmetric, an asymmetric component is clearly to be identified for nuclei down to the Pb-region. In the absence of a generally accepted dynamical theory of fission, the above experimental findings are discussed in terms of static energy considerations. Triggered from the outset by the structure of the potential energy surface at the saddlepoint, the energy balance at the scission point between the available energy (Q-value) of the reaction and the Coulomb and deformation energy of the nascent fragments is shown to steer the characteristics of the fragment mass distributions.