Role of noise in a market model with stochastic volatility

We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES effect in our model with stochastic volatility. We investigate the role of the correlation between the two noise sources on the NES effect.     

Escape driven by strongly correlated noise

We consider the colored-noise-driven archetypal bistability dynamics of the Ginzburg-Landau type. The focus is on the stationary behavior and the problem of escape from metastable states. The deterministic flow of the underlyingtwo-variable Fokker-Planck process is studied as a function of the noise correlation time . As a main result we find that the separatrix exhibits a cusp at asymptotically large noise color. The stationary probability is evaluated approximately (unified colored noise approximation) and compared with numerical exact results. The stationary probability forms the key input in the evaluation of the rate of escape. At very strong noise color, the escape path closely follows a nodal line, passing through the corresponding stable node. The asymptotic result for the escape rate at large is compared with exact calculations for the lowest, nonvanishing eigenvalue.     

Effects of the Noise on Voltage-Current Characteristics of Josephson Effect

In the case of T >> hω/k, by expanding the quasiparticle current power spectrum up to the third order term of hω/2kT, two noises are obtained: one is a white noise, the other is an O-U noise. We find that the two noises are the negative correlated noises, and correlation parameter λ is equal to -√6/3. Effects of the correlated noises on voltage-current characteristics curve are studied. The numerical computations show that the correlation parameter λ has very large effects on the voltage-current characteristics, but the correlation time τ of the O-U noise has a little effect.     

非高斯噪声激励下含周期信号FitzHugh-Nagumo系统的响应特征

研究了非高斯噪声激励下含周期信号的FHN模型的动力学行为. 通过计算神经元的平均响应时间、观察神经元的共振活化和噪声增强稳定现象,分析了非高斯噪声对神经元动力学行为的影响. 发现通过改变非高斯噪声的相关时间可以有效地改变共振活化和噪声增强稳定现象. 观察到在强相关噪声下不同强度的非高斯噪声抑制了神经元的噪声增强稳定现象而共振活化现象几乎不变,也就是非高斯噪声有效地增强了神经响应的效率. 观察了平均响应时间与非高斯噪声参数q之间的关系,当q为一个有限的小于1的值时,平均响应时间取得最小值. 最后表明在一定条件下,非高斯噪声出现重尺度现象,即非高斯噪声产生的效果可以由高斯白噪声来估计. 关键词： FHN神经系统 非高斯噪声 平均响应时间 共振活化现象     

Stabilization by dissipation and stochastic resonant activation in quantum metastable systems

In this tutorial paper we present a comprehensive review of the escape dynamics from quantum metastable states in dissipative systems and related noise-induced effects. We analyze the role of dissipation and driving in the escape process from quantum metastable states with and without an external driving force, starting from a nonequilibrium initial condition. We use the Caldeira–Leggett model and a non-perturbative theoretical technique within the Feynman–Vernon influence functional approach in strong dissipation regime. In the absence of driving, we find that the escape time from the metastable region has a nonmonotonic behavior versus the system-bath coupling and the temperature, producing a stabilizing effect in the quantum metastable system. In the presence of an external driving, the escape time from the metastable region has a nonmonotonic behavior as a function of the frequency of the driving, the thermal-bath coupling and the temperature. The quantum noise enhanced stability phenomenon is observed in both systems investigated. Finally, we analyze the resonantly activated escape from a quantum metastable state in the spin-boson model. We find quantum stochastic resonant activation, that is the presence of a minimum in the escape time as a function of the driving frequency. Background and introductory material has been added in the first three sections of the paper to make this tutorial review reasonably self-contained and readable for graduate students and non-specialists from related areas.     

Enhancement of stability in randomly switching potential with metastable state

The overdamped motion of a Brownian particle in randomly switching piece-wise metastable linear potential shows noise enhanced stability (NES): the noise stabilizes the metastable system and the system remains in this state for a longer time than in the absence of white noise. The mean first passage time (MFPT) has a maximum at a finite value of white noise intensity. The analytical expression of MFPT in terms of the white noise intensity, the parameters of the potential barrier, and of the dichotomous noise is derived. The conditions for the NES phenomenon and the parameter region where the effect can be observed are obtained. The mean first passage time behaviors as a function of the mean flipping rate of the potential for unstable and metastable initial configurations are also analyzed. We observe the resonant activation phenomenon for initial metastable configuration of the potential profile.Received: 16 June 2004, Published online: 31 August 2004PACS: 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion - 02.50.-r Probability theory, stochastic processes, and statistics - 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.)     

Dynamics of a FitzHugh-Nagumo system subjected to autocorrelated noise

We analyze the dynamics of the FitzHugh-Nagumo (FHN) model in the presence of colored noise and a periodic signal. Two cases are considered: (i) the dynamics of the membrane potential is affected by the noise, (ii) the slow dynamics of the recovery variable is subject to noise. We investigate the role of the colored noise on the neuron dynamics by the mean response time (MRT) of the neuron. We find meaningful modifications of the resonant activation (RA) and noise enhanced stability (NES) phenomena due to the correlation time of the noise. For strongly correlated noise we observe suppression of NES effect and persistence of RA phenomenon, with an efficiency enhancement of the neuronal response. Finally we show that the self-correlation of the colored noise causes a reduction of the effective noise intensity, which appears as a rescaling of the fluctuations affecting the FHN system.     

Transient Properties of a Bistable System with Delay Time Driven by Non-Gaussian and Gaussian Noises: Mean First-Passage Time

The mean first-passage time of a bistable system with time-delayed feedback driven by multiplicative non-Gaussian noise and additive Gaussian white noise is investigated. Firstly, the non-Markov process is reduced to the Markov process through a path-integral approach; Secondly, the approximate Fokker-Planck equation is obtained by applying the unified coloured noise approximation, the small time delay approximation and the Novikov Theorem. The functional analysis and simplification are employed to obtain the approximate expressions of MFPT. The effects of non-Gaussian parameter (measures deviation from Gaussian character) r, the delay time τ, the noise correlation time τ₀, the intensities D and α of noise on the MFPT are discussed. It is found that the escape time could be reduced by increasing the delay time τ, the noise correlation time τ₀, or by reducing the intensities D and α. As far as we know, this is the first time to consider the effect of delay time on the mean first-passage time in the stochastic dynamical system.     

Logistic系统跃迁率的时间延迟效应

本文研究了时间延迟对Logistic系统从亚稳态跃迁到稳定态的跃迁率的影响. 假设在细胞演化过程中细胞衰减存在时间延迟,利用小延迟时间条件下一阶近似方法和最陡下降法导出了系统的跃迁率解析式. 数值计算结果表明,内噪声,外噪声和内外噪声之间的关联促使系统从亚稳态跃迁到稳定态, 而时间延迟阻碍了系统从亚稳态到稳定态的跃迁, 即时间延迟增强了系统亚稳态的稳定性. 关键词： Logistic模型 跃迁率 时间延迟 噪声     

Lifetime of the superconductive state in short and long Josephson junctions

We study the transient statistical properties of short and long Josephson junctions under the influence of thermal and correlated fluctuations. In particular, we investigate the lifetime of the superconductive metastable state finding the presence of noise induced phenomena. For short Josephson junctions we investigate the lifetime as a function both of the frequency of the current driving signal and the noise intensity and we find how these noise-induced effects are modified by the presence of a correlated noise source. For long Josephson junctions we integrate numerically the sine-Gordon equation calculating the lifetime as a function of the length of the junction both for inhomogeneous and homogeneous bias current distributions. We obtain a non-monotonic behavior of the lifetime as a function of the frequency of the current driving signal and the correlation time of the noise. Moreover we find two maxima in the non-monotonic behaviour of the mean escape time as a function of the correlated noise intensity.     

Escape of Brownian particles in an asymmetric bistable sawtooth potential driven by cross-correlated noises

The relative escape rate (RER) for Brownian particles in an asymmetric bistable sawtooth potential driven by cross correlations between multiplicative white noise and additive white noise is studied. A new expression of the mean first-passage time is derived under the condition of piecewise linear potentials and discontinuous diffusion function. Based on the results of RER numerically calculated, it is found that (i) under positively correlated noises action (i.e. λ > 0, and λ is the correlation strength), the escape rate exhibits the suppression platform as the intensity of multiplicative noise varies. The effect of suppression becomes more pronounced with the growth of height of the deterministic potential barrier for transition, and with the increase of λ. However, for the case of uncorrelated noises (λ = 0) and of negatively correlated noises (λ < 0), the suppression platform disappears. (ii) The positive correlation between noises amplifies the change of the escape rate with the height of barrier for transition, while the negative correlation between noises suppresses this change. Received 20 November 2002 / Received in final form 19 October 2003 Published online 23 May 2003 RID="a" ID="a"e-mail: kmdcmei@public.km.yn.cn     

Hamilton-Jacobi Theory of Colored Noise Problem and Probability Hole in the Bistable System

The Hamilton-Jacobi theory in nonpotential systems developed by Maier and Stein is applied to colored noise-driven systems. The behavior of the most probable escape path (MPEP) is discussed. Singularity occurs for the MPEP in the large correlation time τ limit, which is closely related to the well-known probability hole problem. The solution along the MPEP is derived. The behavior near the fixed point is analyzed, and a critical value τ_c, is found, which is in agreement with that obtained by other authors.     

Resonances while surmounting a fluctuating barrier

Electronic analog experiments on escape over a fluctuating potential barrier are performed for the case when the fluctuations are caused by Ornstein-Uhlenbeck noise (OUN). In its dependence on the relation between the two OUN parameters (the correlation time tau and noise strength Q) the nonmonotonic variation of the mean escape time T as a function of tau can exhibit either a minimum (resonant activation), or a maximum (inhibition of activation), or both these effects. The possible resonant nature of these features is discussed. We claim that T is not a good quantity to describe the resonancelike character of the problem. Independently of the specific relation between the OUN parameters, the resonance manifests itself as a maximal lowering of the potential barrier during the escape event, and it appears for tau of the order of the relaxation time toward the metastable state.     

Asymmetric Effects on Escape Rates of Bistable System

The asymmetric effects on the escape rates from the stable states x_± in the bistable system are analyzed. The results indicate that the multiplicative noise and the additive noise always enhance the particle escape from stable states x_± of bistable. However, the asymmetric parameter r enhances the
particle escape from stable state x₊, and holds back the particle escape from stable state x_-.     

Effects of time delay on transient behavior of a time-delayed metastable system subjected to cross-correlated noises

The effects of time delay on the transient properties of a time-delayed metastable system subjected to cross-correlated noises are studied by means of a stochastic simulation method. It is found that: (i) Both additive noise and multiplicative noise can produce the noise enhanced stability (NES) effect; (ii) The time delay induces critical behavior on the NES, i.e., there is a critical value of the delay time τ_c1≈2.2, above which the time delay increases the stability of the system enhanced by the additive noise, and below which the NES effect induced by the additive noise disappears; (iii) There exists another critical value of the delay time τ_c2≈3.0, above which the time delay increases the stability of the system enhanced by the multiplicative noise and below which the time delay decreases it.     

Colored Noises-Induced Regime Shifts in a Vegetation Ecological System

In this paper, we investigate the stationary probability distribution and mean first passage time in a vegetation ecological system, which is driven by cross-correlation between intrinsic and extrinsic colored noises as well as the nonzero cross-correlation in between. The impacts of the self-correlation time τ₁ and τ₂, the cross-correlation time τ₃ and intensity k on the stationary probability distribution and mean first passage time are discussed, respectively. Our main results show that: (#em/em#) the self-correlation time τ₁ can induce regime shifts from the desert state to the sustainable vegetation state, while the self-correlation time τ₂, cross-correlation time τ₃ and intensity k can induce regime shifts from the sustainable vegetation state to the desert state; and (ii) the self-correlation time τ₁ or τ₂ can enhance the stability of the sustainable vegetation biomass, while the cross-correlation time τ₃ or strength k weakens the stability of the sustainable vegetation biomass.     

噪声相互关联时间对Logistic系统亚稳态稳定性的影响

研究了噪声交叉关联时间对Logistic 系统亚稳态稳定性的影响.利用最陡下降法导出了系统亚稳态到稳态的平均第一通过时间的表达式. 数值计算结果表明:内噪声、外噪声、 内外噪声的相互关联时间削弱了亚稳态的稳定性,而内外噪声的关联增加了亚稳态的稳定性.     

The Spectral Density of Nonlinear O-U Noise and the Influence of Nonlinear Fluctuation on the Transition of Bistable System

A stochastic differential equation driven by N-order nonlinear fluctuation is investigated by defining a novel stochastic process Г(t). The spectral densities of Г(t) for N = 1,2,3 and 4 are obtained. We compare the results of the linear fluctuation case with the nonlinear fluctuation case and find that the extremum of the spectral density for linear case is directly proportional to the noise intensity D and independent of the correlation time τ, the extremum of the spectral density for nonlinear case is determined by both D and τ. An approximate Fockker-Planck equation of the N-order nonlinear fluctuation is derived by Hanggi-like ansatz. The infl uences of nonlinear fluct uation on the transition of bistable system are studied. It is found that the area of unimodal region and bimodal region of the stationary probability is independent of D and τ for linear case, however, the area of two regions is related to D and τ for nonlinear case.     

关联高斯与非高斯噪声激励的FHN神经元系统的稳态分析

本文主要研究了关联乘性非高斯噪声和加性高斯白噪声共同激励的FHN(Fitz Hugh-Nagumo)神经元系统.利用路径积分法和统一色噪声近似,推导出该系统的定态概率密度函数表达式.通过研究发现,乘性噪声强度D、加性噪声强度Q、噪声自关联时间τ以及互关联系数λ均可以诱导系统产生非平衡相变现象,而非高斯参数q却不可以诱导系统产生非平衡相变现象.此外,我们还发现参数D和λ的增大有利于神经元系统从激发态向静息态转换,Q和τ的增大有利于神经元系统从静息态向激发态转换,q的增大会使得神经元系统停留在静息态的概率增加.