Rates of profit as correlated sums of random variables

Profit realization is the dominant feature of market-based economic systems, determining their dynamics to a large extent. Rather than attaining an equilibrium, profit rates vary widely across firms, and the variation persists over time. Differing definitions of profit result in differing empirical distributions. To study the statistical properties of profit rates, I used data from a publicly available database for the US Economy for 2009–2010 (Risk Management Association). For each of three profit rate measures, the sample space consists of 771 points. Each point represents aggregate data from a small number of US manufacturing firms of similar size and type (NAICS code of principal product). When comparing the empirical distributions of profit rates, significant ‘heavy tails’ were observed, corresponding principally to a number of firms with larger profit rates than would be expected from simple models. An apparently novel correlated sum of random variables statistical model was used to model the data. In the case of operating and net profit rates, a number of firms show negative profits (losses), ruling out simple gamma or lognormal distributions as complete models for these data.     

Broad distribution effects in sums of lognormal random variables

The lognormal distribution describing, e.g., exponentials of Gaussian random variables is one of the most common statistical distributions in physics. It can exhibit features of broad distributions that imply qualitative departure from the usual statistical scaling associated to narrow distributions. Approximate formulae are derived for the typical sums of lognormal random variables. The validity of these formulae is numerically checked and the physical consequences, e.g., for the current flowing through small tunnel junctions, are pointed out. Received 8 November 2002 / Received in final form 17 March 2003 Published online 7 May 2003     

The exact probability distribution of a two-dimensional random walk

A calculation is made of the exact probability distribution of the two-dimensional displacement of a particle at timet that starts at the origin, moves in straight-line paths at constant speed, and changes its direction after exponentially distributed time intervals, where the lengths of the straight-line paths and the turn angles are independent, the angles being uniformly distributed. This random walk is the simplest model for the locomotion of microorganisms on surfaces. Its weak convergence to a Wiener process is also shown.     

The effect of random matter density perturbations on the MSW solution to the solar neutrino problem

We consider the implications of solar matter density random noise upon resonant neutrino conversion. The evolution equation describing MSW-like conversion is derived in the framework of the Schrödinger approach. We study quantitatively the effect of such matter perturbations upon both large and small mixing angle MSW solutions to the solar neutrino problem. This is carried out both for the active-active v_e → v_μ,τ as well as active-sterile v_e → v_s conversion channels. We find that the small mixing MSW solution is much more stable (especially in Δm² than the large mixing solution. The possible existence of solar matter density noise at the few percent level could be tested at future solar neutrino experiments, especially Borexino.     

Probability density of the sum of random variables with random coefficients

We propose a straightforward method of searching for the probability density of the sum of random variables with random coefficients. We consider the general case of a dependent set of random variables and summation coefficients.Radiophysical Research Institute, Nizhny Novgorod. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 38, No. 6, pp. 589–595, June, 1995.     

Effect of pulse entrapping on diffuse reflection from a resonant random medium: exact solution to the scalar albedo problem

A recently derived radiative transfer equation with three Lorentzian delay kernels is applied to an albedo problem of the scalar wave field produced by the diffuse reflection of a quasi-monochromatic pulse from a semi-infinite random medium consisting of resonant point-like scatterers. The albedo problem is solved exactly in terms of the Chandrasekhar H-function H(μλ), extended analytically into the complex single-scattering albedo λ plane. The resulting analytic solution for the time evolution of a diffusely reflected short pulse is used to study on the whole time axis the effect of the redistribution of the energy of the propagated pulse from the front to the rear of the pulse in cases where the pulse may for most of the propagation time through the medium be 'entrapped' inside resonant scatterers. By considering the power flux through unit area of the boundary of the medium and unit solid angle, it is shown that the relative shift of an 'energy centroid' ('centre of mass') of the pulse diffusely reflected from the resonant random medium (compared with the pulse energy centriod in the non-resonant case) is equal to the parameter describing the energy accumulation inside the scatterers. This result may be used for experimental study of resonant random media with the aid of a short-pulse technique.     

An exact, linear solution to the problem of imaging through turbulence

We show how, in principle, to solve the ‘blind deconvolution' problem. This is in the context of the problem of imaging through atmospheric turbulence. The approach is digital but not iterative, and requires as input data but two short-exposure intensity images, without the need for reference point sources. By taking the Fourier transform of each image and dividing, a set of linear equations is generated whose unknowns are sampled values of the two random point spread functions that degraded the images. An oversampling by 50% in Fourier space equalizes the number of unknowns and independent equations. With some prior knowledge of spread function support, and in the absence of added noise of image detection, the inverted equations give exact solutions. The two observed images are then inverse filtered to reconstruct the object.     

The exact solution of an octagonal rectangle-triangle random tiling

We present a detailed calculation of the recently published exact solution of a random tiling model possessing an eightfold-symmetric phase. The solution is obtained using the Bethe Ansatz and provides closed expressions for the entropy and phason elastic constants. Qualitatively, this model has the same features as the square-triangle random tiling model. We use the method of P. Kalugin, who solved the Bethe Ansatz equations for the square-triangle tiling which were found by M. Widom.     

Diagram method for exact solution of the problem of scanning near-field microscopy

A method is presented for calculating near-field images of nanoobjects from the intensity distributions measured using the scanning near-field optical microscopy technique. The method is based on a formally exact solution of the self-consistent local-field equation, which was derived using the diagram technique for summation of infinite series. It is shown that the self-consistent fields calculated with and without considering the dielectric substrate differ significantly. Near-field images of simple geometric objects—parallelepipeds with various side ratios—are calculated.     

On a numerical exact solution to the many-body problem in one dimension

The Hamiltonian matrix for up to 30 particles has been diagonalised for three different interactions in a plane wave base, among them a hard-core potential. Restriction was made to the spin-polarised case in one space dimension. In the present feasibility study much weight is placed on the questions of convergence, numerical stability and efficiency. Some selected results on binding energies, excitation spectra, momentum distributions and spatial correlation functions are presented and discussed.     

An exact iterative solution of the atom-surface scattering problem for realistic potentials

A general method, based on high order distorted wave perturbation theory, is developed to obtain exact reflection intensities for low energy atoms scattered by solid surfaces. Resonance shapes are calculated using projection techniques to obtain uniform convergence. Important differences with the hard corrugated wall model arise when the calculations for a corrugated Morse potential are compared with experiment for helium scattered by a Cu(110) surface.     

Simulation of random processes with various probability density functions

Various relationships are derived for simulation of random processes with simple or composite probability density functions. Depending on the properties of the corresponding parameters the resulting process is either stationary or non-stationary. Practical digital simulation with the formulas derived is fast enough to be used in real time with computer controlled simulators.     

An approximate solution scheme for the algebraic random eigenvalue problem

A reduced basis formulation is presented for the efficient solution of large-scale algebraic random eigenvalue problems. This formulation aims to improve the accuracy of the first order perturbation method, and also allow the efficient computation of higher order statistical moments of the eigenparameters. In the present method, the two terms of the first order perturbation approximation for the eigenvector are used as basis vectors for Ritz analysis of the governing random eigenvalue problem. This leads to a sequence of reduced order random eigenvalue problems to be solved for each eigenmode of interest. Since, only two basis vectors are used to represent each eigenvector, explicit expressions for the random eigenvalues and eigenvectors can readily be derived. This enables the statistics of the random eigenparameters and the forced response to be efficiently computed. Numerical studies are presented for free and forced vibration analysis of a linear stochastic structural system. It is demonstrated that the reduced basis method gives better results as compared to the first order perturbation method.     

广义边界条件和概率流密度的连续性

以四参量族－广义边界条件代替有限深方势阱内粒子波函数的对数的一阶导数连续性条件，表明这种替换比用广义边界条件取代一盒子内自由粒子波函数在两壁处为零的边界条件显行更加合理些。我们发现，如对参量ρ和θ取任意值，则会导致概率流密度连续性被破坏。我们找到了约束ρ和θ取值的条件，并得到一组新的解析解。