Thermal relaxation for the Relativistic Ornstein–Uhlenbeck Process

The thermal relaxation of a relativistic particle diffusing in a fluid at equilibrium is investigated through a numerical study of the Relativistic Ornstein–Uhlenbeck Process. The spectrum of the relaxation operator has both a discrete and a continuous component. Both components are fully characterized and the limit between them is given a simple interpretation. Short-time relaxation is addressed separately, and a global effective relaxation time is also computed. The general conclusion is that relativistic effects slow down thermalization.     

On The Local Times of Fractional Ornstein–Uhlenbeck Process

In this short note, we study the local times of the fractional Ornstein–Uhlenbeck process X ^H with Hurst index 1/2<H<1 solving the Langevin equation with fractional noise

Stochastic Ornstein–Uhlenbeck Capacitors

We introduce and study a class of random capacitor systems which are both charged and discharged stochastically. A capacitor is fed by a random inflow with stationary and independent increments. Discharging occurs according to a Markovian rate which is linear in the capacitors level. The resulting capacitor dynamics are Markovian, stochastically cyclic, and regenerative. We coin these systems Lévy-charged Ornstein–Uhlenbeck capacitors. Various random quantities associated with these systems are analyzed, including: the time-to- discharge; the duration of the charging cycle; the trajectory and the peak height of the capacitor level during a charging cycle; and, the capacitors stationary equilibrium level. Furthermore, we show that there are sharp distinctions between these capacitor systems and corresponding standard Lévy-driven Ornstein–Uhlenbeck systems.     

Occupation times of the Ornstein–Uhlenbeck process: Functional PCA and evidence from electricity prices

We discuss the functional principal component analysis (FPCA) of the occupation times of the Ornstein–Uhlenbeck process. For the eigenvalue problem of the covariance operator of the occupation times we derive the corresponding integral equation in the large time limit and we solve numerically for the principal components. The formulation applies the path-integral approach of Feynman and Kac. The principal components are compared with those from empirical electricity price processes on energy markets. The results indicate that FPCA of the occupation times is a suitable tool in stochastic energy modeling to generate moderately-sized scenario trees.     

Anharmonic Oscillator Driven by Additive Ornstein–Uhlenbeck Noise

We present an analytical study of a nonlinear oscillator subject to an additive Ornstein–Uhlenbeck noise. Known results are mainly perturbative and are restricted to the large dissipation limit (obtained by neglecting the inertial term) or to a quasi-white noise (i.e., a noise with vanishingly small correlation time). Here, in contrast, we study the small dissipation case (we retain the inertial term) and consider a noise with finite correlation time. Our analysis is non perturbative and based on a recursive adiabatic elimination scheme a reduced effective Langevin dynamics for the slow action variable is obtained after averaging out the fast angular variable. In the conservative case, we show that the physical observables grow algebraically with time and calculate the associated anomalous scaling exponents and generalized diffusion constants. In the case of small dissipation, we derive an analytic expression of the stationary probability distribution function (PDF) which differs from the canonical Boltzmann–Gibbs distribution. Our results are in excellent agreement with numerical simulations.     

Spectral Analysis and Feller Property for Quantum Ornstein–Uhlenbeck Semigroups

A class of dynamical semigroups arising in quantum optics models of masers and lasers is investigated. The semigroups are constructed, by means of noncommutative Dirichlet forms, on the full algebra of bounded operators on a separable Hilbert space. The explicit action of their generators on a core in the domain is used to demonstrate the Feller property of the semigroups, with respect to the C^*-subalgebra of compact operators. The Dirichlet forms are analysed and the C²-spectrum together with eigenspaces are found. When reduced to certain maximal abelian subalgebras, the semigroups give rise to the Markov semigroups of classical Ornstein-Uhlenbeck processes on the one hand, and of classical birth-and-death processes on the other.     

Weakly Asymmetric Non-Simple Exclusion Process and the Kardar–Parisi–Zhang Equation

We analyze a class of non-simple exclusion processes and the corresponding growth models by generalizing the discrete Cole–Hopf transformation of Gärtner (Stoch Process Appl, 27:233–260, 1987). We identify the main non-linearity and eliminate it by imposing a gradient type condition. For hopping range at most 3, using the generalized transformation, we prove the convergence of the exclusion process toward the Kardar–Parisi–Zhang (kpz) equation. This is the first universality result under the weak asymmetry concerning interacting particle systems. While this class of exclusion processes are not explicitly solvable, under the weak asymmetry we obtain the exact one-point limiting distribution for the step initial condition by using the previous result of Amir et al. (Commun Pure Appl Math, 64(4): 466–537, 2011) and our convergence result.     

An Extension of the Analytical Solution of the Ornstein–Zernike Equation with the Yukawa Closure

The analytical solution of the Ornstein–Zernike equation with one Yukawa closure of the factorizable-coefficient case is extended from the scalar-factorization case to the vector-factorization case. As a result, the scaling parameter is extended from a scalar quantity to a matrix quantity, and the scaling matrix      

Two-Time Diffusion Process in the Porous Medium

We find that there are two time scales t and ε ln t in the asymptotic behaviour of diffusion process in the porous medium, which give us a new insight to the anomalous dimension in this problem. Further we construct an iterative method to calculate the anomalous dimension and obtain an improved result.     

Asymptotic Behavior of the One-Dimensional Fisher–Kolmogorov–Petrovskii–Piskunov Equation with Anomalouos Diffusion

Russian Physics Journal - Asymptotic solutions of the nonlocal, one-dimensional Fisher–Kolmogorov–Petrovskii–Piskunov equation with fractional derivatives in the diffusion...     

Solution of the Logunov–Tavkhelidze Equation for the Three-Dimensional Oscillator Potential in the Relativistic Configuration Representation

Russian Physics Journal - Approximate analytical and numerical solutions of the three-dimensional Logunov–Tavkhelidze equation are found for the spherically symmetric case. Solutions are...     

Does the Principle of Equivalence Prohibit Trapped Surfaces from Forming in the General Relativistic Collapse Process?

It has recently been shown that time-like spherical collapse of a physical fluid in General Relativity does not permit formation of trapped surfaces. This result followed from the fact that the formation of a trapped surface in a physical fluid would cause the time-like world lines of the collapsing fluid to become null at the would-be trapped surface, thus violating the Principle of Equivalence in General Theory of Relativity (GTR). For the case of the spherical collapse of a physical fluid, the no trapped surface condition 2GM(r, t)/R(r, t) c ²<1 was found to be required to be satisfied in all regions of spacetime, where R(r, t) is the invariant circumference variable, r is a co-moving radial coordinate and M(r, t) is the gravitational mass confined within the radius r. The above result was obtained by treating the problem from the viewpoint of an internal co-moving observer at radius r. The boundary of the fluid at r _s=R _s(r _s, t) must also behave in a similar manner, and an external stationary observer should be able to obtain a similar no trapped surface relationship. Accordingly, we generalize this analysis by studying the problem of a time-like collapsing radiating plasma from the point of view of the exterior stationary observer. We find the Principle of Equivalence implies that the physical surface surrounding the plasma must obey 1/(1+z _s)>0, where z _s is the surface red shift seen by a zero-angular momentum observer. When this condition is applied to the first integral of the time-time component of the Einstein equation, it leads to the no trapped surface condition 2GM(r _s, t)/R(r _s, t) c ²<1 consistent with the condition obtained above for the interior co-moving metric. The Principle of Equivalence enforces the no trapped surface condition by constraining the physics of the general relativistic radiation transfer process in a manner that requires it to establish and maintain an Eddington limited secular equilibrium on the dynamics of the collapsing radiating surface so as to always keep the physical surface of the collapsing object outside of its Schwarzschild radius. The important physical implication of the no trapped surface condition is that galactic black hole candidates GBHC do not possess event horizons and hence do possess intrinsic magnetic fields. In this context the spectral characteristics of galactic black hole candidates offer strong evidence that their central nuclei are highly red-shifted Magnetospheric Eternally Collapsing Objects (MECO) within the framework of General Relativity.     

A Self-Consistent Ornstein–Zernike Approximation for the Edwards–Anderson Spin-Glass Model

We propose a self-consistent Ornstein–Zernike approximation for studying the Edwards–Anderson spin glass model. By performing two Legendre transforms in replica space, we introduce a Gibbs free energy depending on both the magnetizations and the overlap order parameters. The correlation functions and the thermodynamics are then obtained from the solution of a set of coupled partial differential equations. The approximation becomes exact in the limit of infinite dimension and it provides a potential route for studying the stability of the high-temperature phase against replica-symmetry breaking fluctuations in finite dimensions. As a first step, we present the predictions for the freezing temperature T _f and for the zero-field thermodynamic properties and correlation length above T _f as a function of dimensionality.     

Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices

We generalize the Ornstein–Uhlenbeck (OU) process using Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and time-homogeneous process. The proposed generalization retains much of the simplicity of the original stochastic process, while exhibiting a somewhat richer behavior. Analytical results are obtained using transition probability and the characteristic function formalism and compared with empirical stock market data, which are notorious for the non-Gaussian behavior. The analysis focus on the decay patterns and the convergence study of the first four cumulants considering the logarithmic returns of stock prices. It is shown that the proposed model offers a good improvement over the classical OU model.     

A Negative Deviation from Stern–Volmer Equation in Fluorescence Quenching

A negative deviation from the normal Stern-Volmer equation shown in the fluorescence quenching of doxorubicin by adenosine 5' monophosphate is interpreted in terms of doxorubicin exists in two different conformers in the ground state. An estimate of the Stem-Volmer constant for the excited-state quenching is about 218 M(-1). The fluorescence decay of free doxorubicin is a bi-exponential in polar protic and polar aprotic solvents. In the presence of adenosine 5' monophosphate, doxorubicin shows a tri-exponential decay in water.     

Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description

The classical financial models are based on the standard Brownian diffusion-type processes. However, in the exhibition of some real market data (like interest or exchange rates) we observe characteristic periods of constant values. Moreover, in the case of financial data, the assumption of normality is often unsatisfied. In such cases the popular Vasi?ek model, that is a mathematical system describing the evolution of interest rates based on the Ornstein–Uhlenbeck process, seems not to be applicable. Therefore, we propose an alternative approach based on a combination of the popular Ornstein–Uhlenbeck process with a stable distribution and subdiffusion systems that demonstrate such characteristic behavior. The probability density function of the proposed process can be described by a Fokker–Planck type equation and therefore it can be examined as an extension of the basic Ornstein–Uhlenbeck model. In this paper, we propose the parameters’ estimation method and calibrate the subordinated Vasi?ek model to the interest rate data.     

A Self-Consistent Ornstein–Zernike Approximation for the Random Field Ising Model

We extend the self-consistent Ornstein–Zernike approximation (SCOZA), first formulated in the context of liquid-state theory, to the study of the random field Ising model. Within the replica formalism, we treat the quenched random field just as another spin variable, thereby avoiding the usual average over the random field distribution. This allows us to study the influence of the distribution on the phase diagram in finite dimensions. The thermodynamics and the correlation functions are obtained as solutions of a set a coupled partial differential equations with magnetization, temperature, and disorder strength as independent variables. A preliminary analysis based on high-temperature and 1/d series expansions shows that the theory can predict accurately the dependence of the critical temperature on disorder strength (no sharp transition, however, occurs for d4). For the bimodal distribution, we find a tricritical point which moves to weaker fields as the dimension is reduced. For the Gaussian distribution, a tricritical point may appear for d around 4.