Properties of bounded stochastic processes employed in biophysics

Abstract

Realistic stochastic modeling is increasingly requiring the use of bounded noises. In this work, properties and relationships of commonly employed bounded stochastic processes are investigated within a solid mathematical ground. Four families are object of investigation: the Sine-Wiener (SW), the Doering–Cai–Lin (DCL), the Tsallis–Stariolo–Borland (TSB), and the Kessler–Sørensen (KS) families. We address mathematical questions on existence and uniqueness of the processes defined through Stochastic Differential Equations, which often conceal non-obvious behavior, and we explore the behavior of the solutions near the boundaries of the state space. The expression of the time-dependent probability density of the Sine-Wiener noise is provided in closed form, and a close connection with the Doering–Cai–Lin noise is shown. Further relationships among the different families are explored, pathwise and in distribution. Finally, we illustrate an analogy between the Kessler–Sørensen family and Bessel processes, which allows to relate the respective local times at the boundaries.     

一阶最优性条件研究

本对由Botsko的关于多变量函数取极值的一阶导数检验条件定理^[1]进行了分析研究，给出了更实用而简捷的差别条件。最后，举出若干例子予以说明。     

Wavelet Collocation Methods for a First Kind Boundary Integral Equation in Acoustic Scattering

In this paper we consider a wavelet algorithm for the piecewise constant collocation method applied to the boundary element solution of a first kind integral equation arising in acoustic scattering. The conventional stiffness matrix is transformed into the corresponding matrix with respect to wavelet bases, and it is approximated by a compressed matrix. Finally, the stiffness matrix is multiplied by diagonal preconditioners such that the resulting matrix of the system of linear equations is well conditioned and sparse. Using this matrix, the boundary integral equation can be solved effectively.     

Efficient Collocation Schemes for Singular Boundary Value Problems

We discuss an error estimation procedure for the global error of collocation schemes applied to solve singular boundary value problems with a singularity of the first kind. This a posteriori estimate of the global error was proposed by Stetter in 1978 and is based on the idea of Defect Correction, originally due to Zadunaisky. Here, we present a new, carefully designed modification of this error estimate which not only results in less computational work but also appears to perform satisfactorily for singular problems. We give a full analytical justification for the asymptotical correctness of the error estimate when it is applied to a general nonlinear regular problem. For the singular case, we are presently only able to provide computational evidence for the full convergence order, the related analysis is still work in progress. This global estimate is the basis for a grid selection routine in which the grid is modified with the aim to equidistribute the global error. This procedure yields meshes suitable for an efficient numerical solution. Most importantly, we observe that the grid is refined in a way reflecting only the behavior of the solution and remains unaffected by the unsmooth direction field close to the singular point.     

第一类永动机幻梦的破灭

介绍了13~18世纪物理学史和科技史上曾名噪一时的第一类永动机的设计方案的破灭.第一类永动机幻梦破灭的历史引起了人们的反思与启示,有力地促进了19世纪中叶能量转化和守恒定律的确立.     

首次穿过边界概率及其在金融中的应用

本文把数学和管理科学有机结合,为数学应用提出问题,得出新结果,推广了J.Michel Harrison(1985)[1]第43页的命题27,并给出了在金融中的应用.     

Tribute to Endre Csáki and Pál Révész

Summary This article provides a glimpse of some of the highlights of the joint work of Endre Csáki and Pál Révész since 1979. The topics of this short exploration of the rich stochastic milieu of this inspiring collaboration revolve around Brownian motion, random walks and their long excursions, local times and additive functionals, iterated processes, almost sure local and global central limit theorems, integral functionals of geometric stochastic processes, favourite sites--favourite values and jump sizes for random walk and Brownian motion, random walking in a random scenery, and large void zones and occupation times for coalescing random walks.     

Fractional Brownian Heavy Traffic Approximations of Multiclass Feedforward Queueing Networks

We consider multiclass feedforward queueing networks under first in first out and priority service disciplines driven by long-range dependent arrival and service time processes. We show that in critical loading the normalized workload, queue length and sojourn time processes can converge to a multi-dimensional reflected fractional Brownian motion. This weak heavy traffic approximation is deduced from a deterministic pathwise approximation of the network behavior close to constant critical load in terms of the solution of a Skorokhod problem. Since we model the doubly infinite time interval, our results directly cover the stationary case.AMS subject classification: primary 90B15, secondary 60K25, 68M20     

Fourier-Feynman transform, convolution and first variation

We examine several interesting relationships and expressions involving Fourier-Feynman transform, convolution product and first variation for functionals in the Fresnel class F(B) of an abstract Wiener space B. We also prove a translation theorem and Parseval's identity for the analytic Feynman integral. This revised version was published online in June 2006 with corrections to the Cover Date.     

Second-order Nonlinear Optical Properties of a Series of Azulene Derivatives

The first hyperpolarizabilities of a series of novel azulenic-barbituric acid chromophores have been studied by using 12 excitation wavelengths, ranging from 900 to 1907 nm. The dispersion relation of the first hyperpolarizabilities of chromophores holds the same tendency as the experimental results. In addition, the static first hyperpolarizability β0 of molecules was calculated by means of the Sum-Over-States (SOS) expression and the two-level formula respectively. The results show that these molecules possess large static first hyperpolarizabilities and the, β0 value increases as the donor or acceptor strength enhances; the distorted degree of molecules has also an important influence on the β0 value.