Complex-valued fractional statistics for D-dimensional harmonic oscillators

A system of isotropic harmonic oscillators obeying the Polychronakos fractional statistics with a complex parameter in a space having the dimension D>1$D>1$ is studied. Temperature dependences of the thermodynamic functions are analyzed in different temperature domains. The nature of the observed phase transitions is clarified. Both numerical and analytical estimates for the critical temperature are made depending on the number of particles, space dimensionality, and statistics parameter. Approximate correspondence with some other fractional statistics types is established.     

On the integrated behaviour of non-stationary volatility in stock markets

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the MIB 30 (Italy), in the context of non-stationarity. Our empirical results point to the evidence of the existence of integrated behaviour among several of those stock market indexes of different dimensions. It seems, therefore, that the behaviour of these markets tends to some uniformity, which can be interpreted as the existence of a similar behaviour facing to shocks that may affect the worldwide economy. Whether this is a cause or a consequence of market globalization is an issue that may be stressed in future work.     

Diffusion properties of cortical and pericortical tissue: regional variations, reliability and methodological issues

Characterizing the diffusion properties of cortical tissue is complicated by intersubject variability in the relative locations of gyri and sulci. Here we extend methods of measuring the average diffusion properties of gyral and sulcal structures after they have been aligned to a common template of cortical surface anatomy. Diffusion tensor image (DTI) data were gathered from 82 young subjects and co-registered with high-resolution T1 images that had been inflated and co-registered to a hemispherically unified spherical coordinate system based on FreeSurfer. We analyzed fractional anisotropy (FA), mean diffusivity (MD) and the novel quantity of cortical primary diffusion direction (cPDD) at five surfaces parallel to the white/gray junction, spanning approximately 5 mm from the pial surface into white matter. FA increased with increasing depth, whereas MD and cPDD were reduced. There were highly significant and reliable regional differences in FA, MD and cPDD as well as systematic differences between cortical lobes and between the two hemispheres. The influence of nearby cortical spinal fluid (CSF), local cortical curvature and thickness, and sulcal depth was also investigated. We found that FA correlated significantly with cortical curvature and sulcal depth, while MD was strongly influenced by nearby CSF. The measurement of FA, MD and cPDD near the cortical surface clarifies the organization of fiber projections to and from the cortex.     

Fractional motions

Brownian motion is the archetypal model for random transport processes in science and engineering. Brownian motion displays neither wild fluctuations (the “Noah effect”), nor long-range correlations (the “Joseph effect”). The quintessential model for processes displaying the Noah effect is Lévy motion, the quintessential model for processes displaying the Joseph effect is fractional Brownian motion, and the prototypical model for processes displaying both the Noah and Joseph effects is fractional Lévy motion. In this paper we review these four random-motion models–henceforth termed “fractional motions” –via a unified physical setting that is based on Langevin’s equation, the Einstein–Smoluchowski paradigm, and stochastic scaling limits. The unified setting explains the universal macroscopic emergence of fractional motions, and predicts–according to microscopic-level details–which of the four fractional motions will emerge on the macroscopic level. The statistical properties of fractional motions are classified and parametrized by two exponents—a “Noah exponent” governing their fluctuations, and a “Joseph exponent” governing their dispersions and correlations. This self-contained review provides a concise and cohesive introduction to fractional motions.     

Some insights in superdiffusive transport

In a wide range of systems, the relaxation in response to an initial pulse has been experimentally found to follow a nonlinear relationship for the mean squared displacement, of the kind 〈x²(t)〉∝t^α$〈x^2(t)〉\propto t^{\alpha }$, where α$\alpha$ may be greater or smaller than 1. Such phenomena have been described under the generic term of anomalous diffusion. “Lévy flights” stochastic processes lead to superdiffusive behaviour (1<α<2)$(1<\alpha <2)$ and have been recently proposed to model—among the others—the subsurface contaminant spread in highly heterogeneous media under the effects of water flow. In this paper, within the continuous-time random walk (CTRW) approach to anomalous diffusion, we compare the analytical solution of the approximated fractional diffusion equation (FDE) with the Monte Carlo one, obtained by simulating the superdiffusive behaviour of an ensemble of particle in a medium. We show that the two are neatly different as the process approaches the standard diffusive behaviour. We argue that this is due to a truncation in the Fourier space expansion introduced by the FDE approach. We propose a second-order correction to this expansion and numerically solve the CTRW model under this hypothesis: the accuracy of the results thus obtained is validated through Monte Carlo simulation over all the superdiffusive range. The same kind of discrepancy is shown to occur also in the derivation of the fractional moments of the distribution: analogous corrections are proposed and validated through the Monte Carlo approach.     

Improvements on open and traction boundary conditions for Navier–Stokes time-splitting methods

We present in this paper a numerical scheme for incompressible Navier–Stokes equations with open and traction boundary conditions, in the framework of pressure-correction methods. A new way to enforce this type of boundary condition is proposed and provides higher pressure and velocity convergence rates in space and time than found in the present state of the art. We illustrate this result by computing some numerical and physical tests. In particular, we establish reference solutions of a laminar flow in a geometry where a bifurcation takes place and of the unsteady flow around a square cylinder.     

计算机上的抽象算符演算系统

本文在REDUCE语言环境下,利用公理化方法建立了一个“抽象算符演算”系统.使REDUCE系统可用于抽象的算符演算,逆演算;用于Laplace变换,逆变换及解微分方程,推导公式,以及验证有关定理等.     

Mappings of Domains in Rn and Their Metric Tensors

We consider quasi-isometric mappings of domains in multidimensional Euclidean spaces. We establish that a mapping depends continuously in the sense of the topology of Sobolev classes on its metric tensor to within isometry of the space. In the space of metric tensors we take the topology determined by means of almost everywhere convergence. We show that if the metric tensor of a mapping is continuous then the length of the image of a rectifiable curve is determined by the same formula as in the case of mappings with continuous derivatives. (Continuity of the metric tensor of a mapping does not imply continuity of its derivatives.)     

Invariant Euler–Lagrange Equations and the Invariant Variational Bicomplex

In this paper, we derive an explicit group-invariant formula for the Euler–Lagrange equations associated with an invariant variational problem. The method relies on a group-invariant version of the variational bicomplex induced by a general equivariant moving frame construction, and is of independent interest.     

Fractional diffusion models of option prices in markets with jumps

Most of the recent literature dealing with the modeling of financial assets assumes that the underlying dynamics of equity prices follow a jump process or a Lévy process. This is done to incorporate rare or extreme events not captured by Gaussian models. Of those financial models proposed, the most interesting include the CGMY, KoBoL and FMLS. All of these capture some of the most important characteristics of the dynamics of stock prices. In this article we show that for these particular Lévy processes, the prices of financial derivatives, such as European-style options, satisfy a fractional partial differential equation (FPDE). As an application, we use numerical techniques to price exotic options, in particular barrier options, by solving the corresponding FPDEs derived.