Related papers: A drift formulation of Gresham's Law
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
We study the drift induced by the passage of two cylinders through an unbounded extent of inviscid incompressible fluid under the assumption that the flow is two-dimensional and steady in the moving frame of reference. The goal is to assess…
Both numerical simulations and observations indicate that in an advection-dominated accretion flow most of the accretion material supplied at the outer boundary will not reach the inner boundary. Rather, they are lost via outflow.…
In this paper, we study term structure movements in the spirit of Heath, Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty. We model the instantaneous forward rate as a diffusion process driven by a G-Brownian…
The dynamical behavior of the currency exchange rate after its large-scale catastrophe is discussed through a case study of the rate of Russian rubles to US dollars after its crash in 2014. It is shown that, similarly to the case of the…
Friction laws, which are a key to the understanding of the diversity of earthquakes, are considered theoretically. Using dimensional analysis, the logarithmic dependence of the friction coefficient on the slip velocity and the state…
The activated rate process for non-equilibrium open systems is studied taking into account both internal and external noise fluctuations in a unified way. The probability of a particle diffusing passing over the saddle point and the rate…
The paper models foreign capital inflow from the developed to the developing countries in a stochastic dynamic programming (SDP) framework. Under some regularity conditions, the existence of the solutions to the SDP problem is proved and…
We numerically study confined channel foam flow around an obstacle using a two-dimensional bubble model, inspired by experiments performed in the same geometry. We systematically vary the polydispersity, the external driving force, and the…
Fluctuation Theorem(FT) has been studied as far from equilibrium theorem, which relates the symmetry of entropy production. To investigate the application of this theorem, especially to biological physics, we consider the FT for tilted…
The internal interactions of fluids occur at all scales therefore the resulting force fields have no reason to be smooth and differentiable. The release of the differentiability hypothesis has important mathematical consequences, like scale…
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a different drift. But to achieve this we…
A particle with internal unobserved states diffusing in a force field will generally display effective advection-diffusion. The drift velocity is proportional to the mobility averaged over the internal states, or effective mobility, while…
The dynamical system for inertial particles in fluid flow has both attracting and repelling regions, the interplay of which can localize particles. In laminar flow experiments we find that particles, initially moving throughout the fluid…
Energetic particles spectra at interplanetary shocks often exhibit a power law within a narrow momentum range softening at higher energy. We introduce a transport equation accounting for particle acceleration and escape with diffusion…
Flow instability and turbulent transition can be well explained using a new proposed theory--Energy gradient theory [1]. In this theory, the stability of a flow depends on the relative magnitude of energy gradient in streamwise direction…
For configurational changes of soft matter systems affected or caused by external hydrodynamic flow, we identify applied work, exchanged heat, and entropy change on the level of a single trajectory. These expressions guarantee invariance of…
We analyse a mechanical system in two-dimensional relative motion with friction. Although the system is simple, the peculiar interplay between two kinetic friction forces and gravity leads to the wide range of admissible solutions exceeding…
Shearing with a finite shear rate a compressed granular system results in a region of grains flowing over a compact, static assembly. Perforce this region is dilated to a degree that depends on the shear rate, the loading pressure, gravity,…
We theoretically derive the amplitude equations for a self-propelled droplet driven by Marangoni flow. As advective flow driven by surface tension gradient is enhanced, the stationary state becomes unstable and the droplet starts to move.…