Parity and ruin in a stochastic game

We study an elementary two-player card game where in each round players compare cards and the holder of the card with the smaller value wins. Using the rate equations approach, we treat the stochastic version of the game in which cards are drawn randomly. We obtain an exact solution for arbitrary initial conditions. In general, the game approaches a steady state where the card value densities of the two players are proportional to each other. The leading small value behavior of the initial densities determines the corresponding proportionality constant, while the next correction governs the asymptotic time dependence. The relaxation toward the steady state exhibits a rich behavior, e.g., it may be algebraically slow or exponentially fast. Moreover, in ruin situations where one player eventually wins all cards, the game may even end in a finite time. Received 24 August 2001 and Received in final form 12 November 2001     

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.     

Exact diffusion coefficient of self-gravitating Brownian particles in two dimensions

We derive the exact expression of the diffusion coefficient of a self-gravitating Brownian gas in two dimensions. Our formula generalizes the usual Einstein relation for a free Brownian motion to the context of two-dimensional gravity. We show the existence of a critical temperature T_c at which the diffusion coefficient vanishes. For T < T_c, the diffusion coefficient is negative and the gas undergoes gravitational collapse. This leads to the formation of a Dirac peak concentrating the whole mass in a finite time. We also stress that the critical temperature T_c is different from the collapse temperature T_* at which the partition function diverges. These quantities differ by a factor 1-1/N where N is the number of particles in the system. We provide clear evidence of this difference by explicitly solving the case N = 2. We also mention the analogy with the chemotactic aggregation of bacteria in biology, the formation of “atoms” in a two-dimensional (2D) plasma and the formation of dipoles or “supervortices” in 2D point vortex dynamics.     

Evidence of stochastic resonance in the mating behavior of Nezara viridula (L.)

We investigate the role of the noise in the mating behavior between individuals of Nezara viridula (L.), by analyzing the temporal and spectral features of the non-pulsed type female calling song emitted by single individuals.We have measured the threshold level for the signal detection, by performing experiments with the calling signal at different intensities and analyzing the insect response by directionality tests performed on a group of male individuals. By using a sub-threshold signal and an acoustic Gaussian noise source, we have investigated the insect response for different levels of noise, finding behavioral activation for suitable noise intensities. In particular, the percentage of insects which react to the sub-threshold signal, shows a non-monotonic behavior, characterized by the presence of a maximum, for increasing levels of the noise intensity. This constructive interplay between external noise and calling signal is the signature of the non-dynamical stochastic resonance phenomenon. Finally, we describe the behavioral activation statistics by a soft threshold model which shows stochastic resonance. We find that the maximum of the ensemble average of the input-output cross-correlation occurs at a value of the noise intensity very close to that for which the behavioral response has a maximum.