Related papers: Notes toward a Newtonian thermodynamics
The present manuscript is about application of It{\^o}'s calculus to the moment-generating function of the lognormal distribution. While Taylor expansion fails when applied to the moments of the lognormal due to divergence, various methods…
We offer in this paper the non-asymptotical pairwise bilateral exact up to multiplicative constants interrelations between exponential decreasing tail behavior, moments (Grand Lebesgue Spaces) norm and moment generating functions norm for…
We consider the first exit time of a Shiryaev-Roberts diffusion with constant positive drift from the interval $[0,A]$ where $A>0$. We show that the moment generating function (Laplace transform) of a suitably standardized version of the…
For real-valued additive process $(X\_t)\_{t\geq 0}$ a recursive equation is derived for the entire positive moments of functionals $$I\_{s,t}= \int \_s^t\exp(-X\_u)du, \quad 0\leq s<t\leq\infty, $$ in case the Laplace exponent of $X\_t$…
We derive and apply a partial differential equation for the moment generating function of the Wright-Fisher model of population genetics.
We argue that the definition of the thermodynamic work done on a charged particle by a time-dependent electromagnetic field is an open problem, because the particle's Hamiltonian is not gauge-invariant. The solution of this problem demands…
Given a joint probability density function of $N$ real random variables, $\{x_j\}_{j=1}^{N},$ obtained from the eigenvector-eigenvalue decomposition of $N\times N$ random matrices, one constructs a random variable, the linear statistics,…
For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…
For two independent L\'{e}vy processes $\xi$ and $\eta$ and an exponentially distributed random variable $\tau$ with parameter $q>0$ that is independent of $\xi$ and $\eta$, the killed exponential functional is given by $V_{q,\xi,\eta} :=…
Time evolution equations for dynamical systems can often be derived from generating functionals. Examples are Newton's equations of motion in classical dynamics which can be generated within the Lagrange or the Hamiltonian formalism. We…
Let $f$ be the density function associated to a matrix-exponential distribution of parameters $(\alpha, T,s)$. By exponentially tilting $f$, we find a probabilistic interpretation which generalises the one associated to phase-type…
We derive an exact expression for entropy production during effusion of an ideal gas driven by momentum transfer in addition to energy and particle flux. Following the treatment in Phys. Rev. E Vol. 74, 021117 (2006), we construct a master…
In this paper, we will consider the free probability theory of free group factor $L(F_{N}),$ where $F_{k}$ is the free group with $k$-generators. We compute the moment series and the R-transform of the generating operator,…
Starting from the moment sequences of classical orthogonal polynomials we derive the orthogonality purely algebraically. We consider also the moments of ($q=1$) classical orthogonal polynomials, and study those cases in which the…
We develop a time-non-local (TNL) formalism based on variational calculus, which allows for the analysis of TNL Lagrangians. We derive the generalized Euler-Lagrange equations starting from the Hamilton's principle and, by defining a…
This is a general description of a probabilistic formalism of mechanics, i.e., an extension of the Newtonian mechanics principles to the systems undergoing random motion. From an analysis of the induction procedure from experimental data to…
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
We solve a set of selected exercises on rotational motion requiring a mechanical and thermodynamical analysis. When non-conservative forces or thermal effects are present, a complete study must use the first law of thermodynamics together…
In this paper we define "a continued fraction expansion of the exponential integral $E_{1}(x)$ at infinity", which is analogous to the regular continued fraction expansion of real numbers, and prove that this expansion gives the same…
We consider the problem of defining free energy and other thermodynamic functions when the entropy is given as a general function of the probablity distribution, including that for non extensive forms. We find that the free energy, which is…