The spatially one-dimensional relativistic Ornstein-Uhlenbeck process in an arbitrary inertial frame

The spatially one-dimensional relativistic Ornstein-Uhlenbeck process is studied in an arbitrary inertial reference frame. In particular, we derive directly from the stochastic equations of motion in an arbitrary inertial frame the transport equation for the distribution function of the diffusing particles in phase-space. We explain why this result is not trivial and has, at the very least, methodological interest. We also show that this result offers a conceptually new proof of the well-known fact that the relativistic one-particle distribution function in phase-space is a Lorentz scalar. Received 28 March 2000     

Random walks with imperfect trapping in the decoupled-ring approximation

We investigate random walks on a lattice with imperfect traps. In one dimension, we perturbatively compute the survival probability by reducing the problem to a particle diffusing on a closed ring containing just one single trap. Numerical simulations reveal this solution, which is exact in the limit of perfect traps, to be remarkably robust with respect to a significant lowering of the trapping probability. We demonstrate that for randomly distributed traps, the long-time asymptotics of our result recovers the known stretched exponential decay. We also study an anisotropic three-dimensional version of our model. We discuss possible applications of some of our findings to the decay of excitons in semiconducting organic polymer materials, and emphasize the crucial influence of the spatial trap distribution on the kinetics. Received 23 July 2001 / Received in final form 14 May 2002 Published online 13 August 2002     

Two different kinds of time delays in a stochastic system

The steady state properties of a noise-driven bistable system are investigated when there are two different kinds of time delays existed in the deterministic and fluctuating forces respectively. Using the approximation of the probability density approach, the delayed Fokker-Planck equation is obtained. The stationary probability distribution (SPD) and the variance of the system are derived. It is found that the time delay τ in the deterministic force can reduce the fluctuations while the time delay β in the fluctuating force can enhance the fluctuations. Numerical simulations are presented and are in good agreement with the approximate theoretical results.     

Model-dependent nature of blowtorch effect on the escape and equilibration rates

We analyze the relaxation behavior of a bistable system when the background temperature profile is inhomogeneous due to the presence of a localized hot region (blowtorch) on one side of the potential barrier. Since the diffusion equation for inhomogeneous medium is model-dependent, we consider two physical models to study the kinetics of such system. Using a conventional stochastic method, we obtain the escape and equilibration rates of the system for the two physical models. For both models, we find that the hot region enhances the escape rate from the well where it is placed while it retards the escape rate from the other well. However, the value of the escape rate from the well where the hot region is placed differs for the two models while that of the escape rate from the other well is identical for both. This work, for the first time, gives a detailed report of the similarities and differences of the escape rates and, hence, exposes the common and distinct features of the two known physical models in determining the way the bistable system relaxes. Received 25 September 2001     

Quantum-mechanical tunneling in associative neural networks

We investigate the quantum-mechanical tunneling between the “patterns" of the, so-called, associative neural networks. Being the relatively stable minima of the “configuration-energy" space of the networks, the “patterns" represent the macroscopically distinguishable states of the neural nets. Therefore, the tunneling represents a macroscopic quantum effect, but with some special characteristics. Particularly, we investigate the tunneling between the minima of approximately equal depth, thus requiring no energy exchange. If there are at least a few such minima, the tunneling represents a sort of the “random walk" process, which implies the quantum fluctuations in the system, and therefore “malfunctioning" in the information processing of the nets. Due to the finite number of the minima, the “random walk" reduces to a dynamics modeled by the, so-called, Pauli master equation. With some plausible assumptions, the set(s) of the Pauli master equations can be analytically solved. This way comes the main result of this paper: the quantum fluctuations due to the quantum-mechanical tunneling can be “minimized" if the “pattern"-formation is such that there are mutually “distant" groups of the “patterns", thus providing the “zone" structure of the “pattern" formation. This qualitative result can be considered as a basis of the efficient deterministic functioning of the associative neural nets. Received 15 July 1999     

Can a few fanatics influence the opinion of a large segment of a society?

Models that provide insight into how extreme positions regarding any social phenomenon may spread in a society or at the global scale are of great current interest. A realistic model must account for the fact that globalization, internet, and other means of mass communications have given rise to scale-free networks of interactions between people. We propose a novel model which takes into account the nature of the interactions network, and provides some key insights into this phenomenon. These include, (1) the existence of a fundamental difference between a hierarchical network whereby people are influenced by those that are higher in the hierarchy but not by those below them, and a symmetrical network where person-on-person influence works mutually, and (2) that a few “fanatics” can influence a large fraction of the population either temporarily (in the hierarchical networks) or permanently (in symmetrical networks). Even if the “fanatics” disappear, the population may still remain susceptible to the positions originally advocated by them. The model is, however, general and applicable to any phenomenon for which there is a degree of enthusiasm or susceptibility to in the population.     

Langevin dynamics of financial systems: A second-order analysis

We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat C_q, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that C_q can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point. Received 6 November 2000 and Received in final form 26 March 2001     

Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force

We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ?a(t)x ² + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems. Received 23 October 2001 and Received in final form 24 December 2001     

Bounding the quality of stochastic oscillations in population models

We analyze general two-species stochastic models, of the kind generally used for the study of population dynamics. Although usually defined a priori, the deterministic version of these models can be obtained as the infinite volume limit of many stochastic models (which are necessarily defined by more parameters than the deterministic one). It is known that damped oscillations in a deterministic model usually correspond to oscillatory-like fluctuations in their deterministic counterparts. The quality of these “oscillations" depends on details of each stochastic model. We show, however, that the parameters of the deterministic system are generally enough to obtain very good bounds for the quality of “oscillations" in any of its stochastic counterparts. These bounds are shown to depend on only one dimensionless parameter.     

Exactly solvable models through the generalized empty interval method,for multi-species interactions

Multi-species reaction-diffusion systems, with nearest-neighbor interaction on a one-dimensional lattice are considered. Necessary and sufficient constraints on the interaction rates are obtained, that guarantee the closedness of the time evolution equation for E _n(t)'s, the expectation value of the product of certain linear combination of the number operators on n consecutive sites at time t. The constraints are solved for the single-species left-right-symmetric systems. Also, examples of multi-species system for which the evolution equations of E _n(t)'s are closed, are given. Received 25 September 2002 / Received in final form 3 December 2002 Published online 14 February 2003 RID="a" ID="a"e-mail: mamwad@iasbs.ac.ir     

Boundary-induced phase transitions in a space-continuous traffic model with non-unique flow-density relation

The Krauss-model is a stochastic model for traffic flow which is continuous in space. For periodic boundary conditions it is well understood and known to display a non-unique flow-density relation (fundamental diagram) for certain densities. In many applications, however, the behaviour under open boundary conditions plays a crucial role. In contrast to all models investigated so far, the high flow states of the Krauss-model are not metastable, but also stable. Nevertheless we find that the current in open systems obeys an extremal principle introduced for the case of simpler discrete models. The phase diagram of the open system will be completely determined by the fundamental diagram of the periodic system through this principle. In order to allow the investigation of the whole state space of the Krauss-model, appropriate strategies for the injection of cars into the system are needed. Two methods solving this problem are discussed and the boundary-induced phase transitions for both methods are studied. We also suggest a supplementary rule for the extremal principle to account for cases where not all the possible bulk states are generated by the chosen boundary conditions. Received 16 September 2002 / Received in final form 4 November 2002 Published online 31 December 2002     

Constructive influence of noise-flatness in correlation ratchets

The influence of noise-flatness on overdamped motion of Brownian particles in a 1D periodic system with a simple sawtooth potential subjected to both unbiased thermal noise and three-level telegraph noise is considered. The exact formula for the stationary probability flux (current) is presented. The phenomenon of multiple current reversals and some topological properties of the hypersurface of zero current in the parameter space of noises are investigated and illustrated by phase diagrams. The conditions for the existence of four current reversals versus the switching rate of nonequilibrium noise are given. An alternative interpretation of the results in terms of cross-correlation between two dichotomous noises is presented.     

Second-order moving average and scaling of stochastic time series

Long-range correlation properties of stochastic time series y(i) have been investigated by introducing the function σ² _MA = [y(i) - (i)]², where (i) is the moving average of y(i), defined as 1/n y(i - k), n the moving average window and N_max is the dimension of the stochastic series. It is shown that, using an appropriate computational procedure, the function σ _MA varies as n^H where H is the Hurst exponent of the series. A comparison of the power-law exponents obtained using respectively the function σ _MA and the Detrended Fluctuation Analysis has been also carried out. Interesting features denoting the existence of a relationship between the scaling properties of the noisy process and the moving average filtering technique have been evidenced. Received 31 December 2001     

Lie algebraic approach for Fokker-Planck dynamics with space-dependent diffusion and mean-reverting drift

Using the Lie algebraic approach we have derived the exact diffusion propagator of the Fokker-Planck equation with a time-dependent variable diffusion coefficient and a time-dependent mean-reverting force between two absorbing boundaries. The exact diffusion propagator not only enables us to study the time evolution of the corresponding stochastic system, but the knowledge of the propagator can also provide a benchmark for testing approximate numerical or analytical procedures. Furthermore, the Lie algebraic method is very simple and could be easily extended to the more general Fokker-Planck equations with well-defined algebraic structures. Received 18 December 2002 / Received in final form 3 March 2003 Published online 24 April 2003     

Stochastic multiresonance in a bistable sawtooth potential driven by correlated multiplicative and additive noise

We present an analytic investigation of the signal-to-noise ratio (SNR) by studying the bistable sawtooth system driven by correlated Gaussian white noises. The analytic expression of SNR is obtained. Based on it, we detect the phenomenon of stochastic multiresonance, which arises from the dependence of SNR upon the noises correlation coefficient. Furthermore, there exists not only resonance, but also suppression in the SNR∼D (the additive noise intensity) curve and the SNR∼Q (the multiplicative noise intensity) curve. Received 26 February 2002 / Received in final form 12 July 2002 Published online 17 September 2002     

Stochastic resonance in a model of opinion formation on small-world networks

We analyze the phenomenon of stochastic resonance in an Ising-like system on a small-world network. The system, which is subject to the combined action of noise and an external modulation, can be interpreted as a stylized model of opinion formation by imitation under the effects of a “fashion wave”. Both the amplitude threshold for the detection of the external modulation and the width of the stochastic-resonance peak show considerable variation as the randomness of the underlying small-world network is changed. Received 19 December 2001     

Stochastic resonance: influence of a f-κ noise spectrum

With the aim of studying stochastic resonance (SR) in a double-well potential when the noise source has a spectral density of the form f^-κ (with varying κ), we have extended a procedure introduced by Kaulakys et al. (Phys. Rev. E 70, 020101 (2004)). In order to achieve an analytical understanding of the results, we have obtained an effective Markovian approximation that allows us to make a systematic study of the effect of such noise on the SR phenomenon. A comparison of the numerical and analytical results shows an excellent qualitative agreement indicating that the effective Markovian approximation is able to correctly describe the general trends.     

Canonically invariant formulation of Langevin and Fokker-Planck equations

We present a canonically invariant form for the generalized Langevin and Fokker-Planck equations. We discuss the role of constants of motion and the construction of conservative stochastic processes. Received : 24 July 1997 / Revised : 30 October 1997 / Accepted : 26 January 1998