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An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian…

Pricing of Securities · Quantitative Finance 2015-07-09 Gurjeet Dhesi , Muhammad Bilal Shakeel , Ling Xiao

We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a…

Chaotic Dynamics · Physics 2015-06-26 N. Korabel , A. V. Chechkin , R. Klages , I. M. Sokolov , V. Yu. Gonchar

In this paper, we establish large deviation principle for the strong solution of evolutionary p-Laplace equation driven by small multiplicative Brownian noise, where the weak convergence approach plays a key role. Moreover, by using…

Probability · Mathematics 2022-10-21 Kavin R , Ananta K Majee

We propose a general variance reduction strategy for diffusion processes. Our approach does not require the knowledge of the measure that is sampled, which may indeed be unknown as for nonequilibrium dynamics in statistical physics. We show…

Numerical Analysis · Mathematics 2019-01-29 Julien Roussel , Gabriel Stoltz

A unified set of hydrodynamic equations describing condensed phases of matter with broken continuous symmetries is derived using a generalization of the statistical-mechanical approach based on the local equilibrium distribution. The…

Statistical Mechanics · Physics 2020-12-02 Joel Mabillard , Pierre Gaspard

Finite stochastic Markov models play a major role for modelling biochemical pathways. Such models are a coarse-grained description of the underlying microscopic dynamics and can be considered mesoscopic. The level of coarse-graining is to a…

Biological Physics · Physics 2012-06-05 Bernhard Altaner , Jürgen Vollmer

To describe dynamics of bulk and fluctuations near the QCD critical point we develop general relativistic fluctuation formalism for a fluid carrying baryon charge. Feedback of fluctuations modifies hydrodynamic coefficients including bulk…

High Energy Physics - Theory · Physics 2020-09-09 Xin An , Gokce Basar , Mikhail Stephanov , Ho-Ung Yee

Within animals, oxygen exchange occurs within networks containing potentially billions of microvessels that are distributed throughout the animal's body. Innovative imaging methods now allow for mapping of the architecture and blood flows…

Quantitative Methods · Quantitative Biology 2017-09-28 Shyr-Shea Chang , Marcus Roper

We derive the generalized Green-Kubo relation and an integral form of the fluctuation theorem that apply to uniformly sheared granular systems in which microscopic time-reversal symmetry is broken. The former relation provides an exact…

Statistical Mechanics · Physics 2009-06-11 Song-Ho Chong , Michio Otsuki , Hisao Hayakawa

The basic mathematical properties of Green's functions used in statistical mechanics as well as the equations defining these functions and the techniques of solving these equations are reviewed. An approach is presented called the…

Statistical Mechanics · Physics 2007-05-23 V. I. Yukalov

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…

Machine Learning · Computer Science 2021-09-30 Lukas Köhs , Bastian Alt , Heinz Koeppl

For Brownian motion of a single particle subject to a tilted periodic potential on a ring, we propose a formula for experimentally determining the cumulant generating function of time-averaged current without measurements of current…

Statistical Mechanics · Physics 2013-05-29 Takahiro Nemoto , Shin-ichi Sasa

Using Kubo's linear response theory, we derive expressions for the frequency-dependent electrical conductivity (Kubo-Greenwood formula), thermopower, and thermal conductivity in a strongly correlated electron system. These are evaluated…

Plasma Physics · Physics 2012-05-04 Bastian Holst , Martin French , Ronald Redmer

A procedure for model reduction of stochastic ordinary differential equations with additive noise was recently introduced in [Colangeli-Duong-Muntean, Journal of Physics A: Mathematical and Theoretical, 2022], based on the Invariant…

Analysis of PDEs · Mathematics 2023-08-16 M. Colangeli , M. H. Duong , A. Muntean

The rising interest in Dirac materials, condensed matter systems where low-energy electronic excitations are described by the relativistic Dirac Hamiltonian, entails a need for microscopic effective models to analytically describe their…

Mesoscale and Nanoscale Physics · Physics 2025-08-06 Jeyson Támara-Isaza , Pablo Burset , William J. Herrera

Within Kirkwood theory, we study the translational diffusion coefficient of a single polymer chain in dilute solution, and focus on the small difference between the short--time Kirkwood value $D^{(K)}$ and the asymptotic long--time value…

Soft Condensed Matter · Physics 2009-11-10 Bo Liu , Burkhard Duenweg

Nonperturbative dynamic theory has a particular advantage in studying the transport in a quantum impurity system in a steady state. Here, we develop a new approach for obtaining the retarded Green's function expressed in resolvent form. We…

Mesoscale and Nanoscale Physics · Physics 2009-11-30 Jongbae Hong

We establish a general connection between ballistic and diffusive transport in systems where the ballistic contribution in canonical ensemble vanishes. A lower bound on the Green-Kubo diffusion constant is derived in terms of the curvature…

Statistical Mechanics · Physics 2017-08-29 Marko Medenjak , Christoph Karrasch , Tomaz Prosen

We introduce a novel approach to model heat transport in solids, based on the Green-Kubo theory of linear response. It naturally bridges the Boltzmann kinetic approach in crystals and the Allen-Feldman model in glasses, leveraging…

Materials Science · Physics 2019-09-11 Leyla Isaeva , Giuseppe Barbalinardo , Davide Donadio , Stefano Baroni

In this paper, we study a model for the transport of an external component, e.g., a surfactant, in variably saturated porous media. We discretize the model in time and space by combining a backward Euler method with the linear Galerkin…

Numerical Analysis · Mathematics 2020-12-23 Davide Illiano , Iuliu Sorin Pop , Florin Adrian Radu