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     

Relationships between a microscopic parameter and the stochastic equations for interface's evolution of two growth models

The relationship between a microscopic parameter p, that is related to the probability of choosing a mechanism of deposition, and the stochastic equation for the interface's evolution is studied for two different models. It is found that in one model, that is similar to ballistic deposition, the corresponding stochastic equation can be represented by a Kardar-Parisi-Zhang (KPZ) equation where both λ and ν depend on p in the following way: ν(p) = νp and λ(p) = λp ^3/2. Furthermore, in the other studied model, which is similar to random deposition with relaxation, the stochastic equation can be represented by an Edwards-Wilkinson (EW) equation where ν depends on p according to ν(p) = νp ². It is expected that these results will help to find a framework for the development of stochastic equations starting from microscopic details of growth models. Received 26 August 2002 / Received in final form 20 November 2002 Published online 6 March 2003 RID="a" ID="a"e-mail: ealbano@inifta.unlp.edu.ar     

Master and Langevin equations for electromagnetic dissipation and decoherence of density matrices

We set up a forward - backward path integral for a point particle in a bath of photons to derive a master equation for the density matrix which describes electromagnetic dissipation and decoherence. We also derive the associated Langevin equation. As an application, we recalculate the Wigner-Weisskopf formula for the natural line width of an atomic state at zero temperature and find, in addition, the temperature broadening caused by the decoherence term. Our master equation also yields the correct Lamb shift of atomic levels. The two equations may have applications to dilute interstellar gases or to few-particle systems in cavities. Received 29 November 2000 and Received in final form 11 February 2001     

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     

Optimal trading from minimizing the period of bankruptcy risk

Assuming that financial markets behave similar to random walk processes we derive a trading strategy with variable investment which is based on the equivalence of the period of bankruptcy risk and the risk to profit ratio. We define a state dependent predictability measure which can be attributed to the deterministic and stochastic components of the price dynamics. The influence of predictability variations and especially of short term inefficiency structures on the optimal amount of investment is analyzed in the given context and a method for adaptation of a trading system to the proposed objective function is presented. Finally we show the performance of our trading strategy on the DAX and S&P 500 as examples for real world data using different types of prediction models in comparison. Received 15 September 2000 and Received in final form 2 October 2000     

Quantum Brownian motion on potential surfaces coupled via tunneling in an external electric field[-2mm]

The present paper deals with the motion of a Brownian particle on two identical but shifted potential surfaces, coupled via a tunneling matrix element in an external electric field. Dissipation is induced by a heat bath represented by an infinite set of harmonic oscillators with a continuum range of frequencies. We derive a perturbative solution for the quantum coherence term of the particle system after performing a small-polaron-like transformation. This is subsequently necessary for the extraction of an equation that describes the reduced dynamics and the minimal action path of the Brownian particle. Finally we extract expressions for the population relaxation rate and the pure quantum-dephasing rate of the two-level system. Received 4 January 2001 and Received in final form 12 March 2001     

Beliefs and stochastic modelling of interest rate scenario risk

We present a framework that allows for a systematic assessment of risk given a specific model and belief on the market. Within this framework the time evolution of risk is modeled in a twofold way. On the one hand, risk is modeled by the time discrete and nonlinear garch(1,1) process, which allows for a (time-)local understanding of its level, together with a short term forecast. On the other hand, via a diffusion approximation, the time evolution of the probability density of risk is modeled by a Fokker-Planck equation. Then, as a final step, using Bayes theorem, beliefs are conditioned on the stationary probability density function as obtained from the Fokker-Planck equation. We believe this to be a highly rigorous framework to integrate subjective judgments of future market behavior and underlying models. In order to demonstrate the approach, we apply it to risk assessment of empirical interest rate scenario methodologies, i.e. the application of Principal Component Analysis to the the dynamics of bonds. Received 1st August 2000     

Energy landscapes, lowest gaps, and susceptibility of elastic manifolds at zero temperature

We study the effect of an external field on (1 + 1) and (2 + 1) dimensional elastic manifolds, at zero temperature and with random bond disorder. Due to the glassy energy landscape the configuration of a manifold changes often in abrupt, “first order”-type of large jumps when the field is applied. First the scaling behavior of the energy gap between the global energy minimum and the next lowest minimum of the manifold is considered, by employing exact ground state calculations and an extreme statistics argument. The scaling has a logarithmic prefactor originating from the number of the minima in the landscape, and reads ΔE ₁∼L ^θ[ln(L _z L ^{- ζ})]^-1/2, where ζ is the roughness exponent and θ is the energy fluctuation exponent of the manifold, L is the linear size of the manifold, and L_z is the system height. The gap scaling is extended to the case of a finite external field and yields for the susceptibility of the manifolds ∼L ^{2D + 1 - θ}[(1 - ζ)ln(L)]^1/2. We also present a mean field argument for the finite size scaling of the first jump field, h ₁∼L ^{d - θ}. The implications to wetting in random systems, to finite-temperature behavior and the relation to Kardar-Parisi-Zhang non-equilibrium surface growth are discussed. Received December 2000 and Received in final form April 2001     

Spectral determinant on graphs with generalized boundary conditions

The spectral determinant of the Schr?dinger operator ( - Δ + V(x)) on a graph is computed for general boundary conditions. (Δ is the Laplacian and V(x) is some potential defined on the graph). Applications to restricted random walks on graphs are discussed. Received 9 July 2001     

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     

Shapes of nearly cylindrical, axisymmetric bilayer membranes

Shapes of nearly cylindrical sections of axisymmetric phospholipid membranes are studied theoretically. Describing the shape of such sections by their deviation from a reference cylinder, the well-established shape equation for axisymmetric bilayer membranes is expanded in terms of this deviation, and it is then solved analytically. The phase diagram shows the resulting stationary shapes as functions of system parameters and external conditions, i.e., the pressure difference across the membrane, the membrane tension, the difference between the tensions of the two monolayers, and the axial force acting on the vesicle. The accuracy of the approximate analytical solution is demonstrated by comparison with numerical results. The obtained analytical solution allows to extend the analysis to include shapes where numerical methods have failed. Received 27 September 2000 and Received in final form 26 March 2001     

Random quantum magnets with broad disorder distribution

We study the critical behavior of Ising quantum magnets with broadly distributed random couplings (J), such that P(ln J) ∼ | ln J|^{-1 - α}, α > 1, for large | ln J| (Lévy flight statistics). For sufficiently broad distributions, α < , the critical behavior is controlled by a line of fixed points, where the critical exponents vary with the Lévy index, α. In one dimension, with = 2, we obtained several exact results through a mapping to surviving Riemann walks. In two dimensions the varying critical exponents have been calculated by a numerical implementation of the Ma-Dasgupta-Hu renormalization group method leading to ≈ 4.5. Thus in the region 2 < α < , where the central limit theorem holds for | ln J| the broadness of the distribution is relevant for the 2d quantum Ising model. Received 6 December 2000 and Received in final form 22 January 2001     

Rotating superconductors: Ginzburg-Landau equations

Superconductors put into rotation develope a spontaneous internal magnetic field (the “London field”). In this paper Ginzburg Landau equations for order parameter, field, and current distributions for superconductors in rotation are derived. Two simple examples are discussed: the massive cylinder and the “Little and Parks geometry”: a thin film of superconducting material deposited on a cylinder of normal material. A dependence of T _c on rotational frequency is predicted. The magnitude of the effect is estimated and should be observable. Received 28 May 2001     

The individual success of musicians, like that of physicists, follows a stretched exponential distribution

Over the last five years or so, a number of studies have focussed on the distribution of `success' in physics and other sciences; in these studies, `success' is measured by the number of times a paper, or an author, is cited. The distribution of citations of individual papers approximates to a power-law [S. Redner, Eur. Phys. J. B 4, 131 (1998)], while lifetime total citations of the 1120 most-cited physicists follows a stretched exponential [J. Laherrère, D. Sornette, Eur. Phys. J. B 2, 525 (1998)]. Here, I examine the distribution of success in popular music, a field of creativity that has social structures very different from those of physics, and which is generally held to be controlled primarily by fashion. For this study, the lifetime total success of bands was measured by the total number of weeks they were in the weekly `top 75' list of best-selling recordings. Like the lifetime success of physicists reported by Laherrere and Sornette, the success of the 6107 bands that appeared in the UK `top 75' from 1950 until 2000 follows a stretched exponential of the form P(x)dx = c(x ^{c - 1}/x ₀ ^c)exp[- (x/x ₀)^c]dx; for the music data, c = 0.5 and x ₀ = 9.37. Received 23 October 2001 Published online 25 June 2002     

Frequency dependence of aging, rejuvenation and memory in a disordered ferroelectric

We characterize in details the aging properties of the ferroelectric phase of KTa_1-xNb_x O₃ (KTN), where both rejuvenation and (partial) memory are observed. In particular, we carefully examine the frequency dependence of several quantities that characterize aging, rejuvenation and memory. We find a marked subaging behaviour, with an a.c. dielectric susceptiblity scaling as ω, where t _w is the waiting time. We suggest an interpretation in terms of pinned domain walls, much along the lines proposed for aging in a disordered ferromagnet, where both domain wall reconformations and overall (cumulative) domain growth are needed to rationalize the experimental findings. Received 10 November 2000 and Received in final form 20 February 2001     

Short-range plasma model for intermediate spectral statistics

We propose a plasma model for spectral statistics displaying level repulsion without long-range spectral rigidity, i.e. statistics intermediate between random matrix and Poisson statistics similar to the ones found numerically at the critical point of the Anderson metal-insulator transition in disordered systems and in certain dynamical systems. The model emerges from Dysons one-dimensional gas corresponding to the eigenvalue distribution of the classical random matrix ensembles by restricting the logarithmic pair interaction to a finite number k of nearest neighbors. We calculate analytically the spacing distributions and the two-level statistics. In particular we show that the number variance has the asymptotic form Σ²(L) ∼χL for large L and the nearest-neighbor distribution decreases exponentially when s→∞, P(s) ∼ exp(- Λs) with Λ = 1/χ = kβ + 1, where β is the inverse temperature of the gas (β = 1, 2 and 4 for the orthogonal, unitary and symplectic symmetry class respectively). In the simplest case of k = β = 1, the model leads to the so-called Semi-Poisson statistics characterized by particular simple correlation functions e.g. P(s) = 4s exp(- 2s). Furthermore we investigate the spectral statistics of several pseudointegrable quantum billiards numerically and compare them to the Semi-Poisson statistics. Received 13 September 2000     

Dynamical pinning and non-Hermitian mode transmutation in the Burgers equation

We discuss the mode spectrum in both the deterministic and noisy Burgers equations in one dimension. Similar to recent investigations of vortex depinning in superconductors, the spectrum is given by a non-Hermitian eigenvalue problem which is related to a `quantum' problem by a complex gauge transformation. The soliton profile in the Burgers equation serves as a complex gauge field engendering a mode transmutation of diffusive modes into propagating modes and giving rise to a dynamical pinning of localized modes about the solitons. Received 8 November 2000     

Magnetoquantum de Haas-van Alphen oscillations in spin-split two-dimensional Fermi liquid

Theory of magnetoquantum oscillations with spin-split structure in strongly anisotropic (two-dimensional (2D)) metal is developed in the formalism of level approach. Parametric method for exact calculation of oscillations wave forms and amplitudes, developed earlier for spin degenerate levels is generalized on a 2D electron system with spin-split levels. General results are proved: 1) proportionality relation between magnetization and chemical potential oscillations accounting for spin-split energy levels and magnetic field unperturbed levels (states of reservoir), 2) basic equation for chemical potential oscillations invariant to various models of 2D and 1D energy bands (intersecting or overlapping) and localized states. Equilibrium transfer of carriers between overlapping 2D and 1D bands, characterizing the band structure of organic quasi 2D metals, is considered. Transfer parameter, calculated in this model to be of the order of unity, confirms the fact that the wave form of oscillations in organic metals should be quasisymmetric up to ultralow temperature. Presented theory accounts for spin-split magnetization oscillations at magnetic field directions tilted relative to the anisotropic axis of a metal. Theoretical results are compared with available experimental data on organic quasi-2D metal α-(BEDT-TTF)₂KHg(SNC)₄ explaining the appearance of clear split structure under the kink magnetic field and absence above by the corresponding change in the electron g-factor rather than cyclotron mass. Received 20 December 2000 and Received in final form 13 July 2001     

Ultrafast multidimensional dynamics of strong hydrogen bonds

The laser driven dynamics of the OH(D) stretching vibration in phthalic acid monomethylester is investigated. The combination of a 55-dimensional all-Cartesian reaction surface Hamiltonian and the time-dependent self-consistent field approach is shown to provide a microscopic picture of intramolecular vibrational energy redistribution taking place upon interaction with an external laser field. Choosing suitable zeroth-order vibrational states and combinations thereof a quasi-periodic in-phase and out-of-phase oscillatory behavior is observed manifesting energy flow on different time scales. The fingerprints of this behavior in transient absorption spectroscopy are also discussed. Received 24 August 2000 and Received in final form 11 October 2000     

Preparation and decoherence of superpositions of electromagnetic field states

In a recent experiment the progressive decoherence of a mesoscopic superposition of two coherent field states in a high-Q cavity, known as Schr?dinger cat state, has been measured for the first time [Brune et al., Phys. Rev. Lett. 77, 4887 (1996)]. Here, the full master equation governing the coupled dissipative dynamics of the atom-field system studied in the experiment is formulated and solved numerically for the experimental parameters. The model simulated avoids the approximations underlying an analytically solvable model which is based on a harmonic expansion of the energies of the dressed atomic states and on a treatment of their dynamics within the adiabatic approximation. In particular, the numerical simulations reveal that the coupling of the cavity field mode to its environment causes important decoherence effects already during the initial preparation phase of the Schr?dinger cat state. This phenomenon is investigated in detail with the help of a measure for the purity of states. Moreover, the Hilbert-Schmidt distance of the intended target state, the Schr?dinger cat, to the state that is actually prepared in the experiment is determined. Received 13 September 2000 and Received in final form 22 December 2000