Related papers: Exact Hurst exponent and crossover behavior in a l…

We develop a mean-field theory of dropout as a perturbation of critical signal propagation at the edge of chaos. Dropout shifts the perfect-alignment fixed point, making the depth scale for information propagation finite even at critical…

Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…

We investigate the equilibration of a small isolated quantum system by means of its matrix of asymptotic transition probabilities in a preferential basis. The trace of this matrix is shown to measure the degree of equilibration of the…

We prove existence and uniqueness of stochastic representations for solutions to elliptic and parabolic boundary value and obstacle problems associated with a degenerate Markov diffusion process. In particular, our article focuses on the…

We solve a long-standing puzzle in Statistical Mechanics of disordered systems. By performing a high-statistics simulation of the D=3 random-field Ising model at zero temperature for different shapes of the random-field distribution, we…

We study a generalized two-species model on a ring. The original model [1] describes ordinary particles hopping exclusively in one direction in the presence of an impurity. The impurity hops with a rate different from that of ordinary…

We analyze the equilibrium fluctuations of the density, current and tagged particle in symmetric exclusion with a slow bond. The system evolves in the one-dimensional lattice and the jump rate is everywhere equal to one except at the slow…

We describe numerical simulations of the stochastic diffusion equation with a conserved charge. We focus on the dynamics in the vicinity of a critical point in the Ising universality class. The model we consider is expected to describe the…

We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that…

Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…

The free energy and local height probabilities of the dilute A models with broken $\Integer_2$ symmetry are calculated analytically using inversion and corner transfer matrix methods. These models possess four critical branches. The first…

Extending deterministic compartments pharmacokinetic models as diffusions seems not realistic on biological side because paths of these stochastic processes are not smooth enough. In order to extend one compartment intra-veinous bolus…

We study the filling-controlled metal-insulator transition in the two-dimensional Hubbard model near half-filling with the use of zero temperature quantum Monte Carlo methods. In the metallic phase, the compressibility behaves as $\kappa…

We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…

Colliding high energy hadrons either produce new particles or scatter elastically with their quantum numbers conserved and no other particles produced. We consider the latter case here. Although inelastic processes dominate at high…

We formulate a new integrable asymmetric exclusion process with $N-1=0,1,2,...$ kinds of impurities and with hierarchically ordered dynamics. The model we proposed displays the full spectrum of the simple asymmetric exclusion model plus new…

In this work, the transition between diffusion-limited and ballistic aggregation models was revisited using a model in which biased random walks simulate the particle trajectories. The bias is controlled by a parameter $\lambda$, which…

We compute the growth fluctuations in equilibrium of a wide class of deposition models. These models also serve as general frame to several nearest-neighbor particle jump processes, e.g. the simple exclusion or the zero range process, where…

We show that an endpoint overlap model can explain the scaling laws observed in exclusive hadronic reactions at large momentum transfer. The model assumes one of the valence quarks carries most of the hadron momentum. Hadron form factors…

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…