Exact solution to the mean exit time problem for free inertial processes driven by Gaussian white noise

We obtain the exact analytical expression, up to a quadrature, for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise from a region (0,L) in space. We obtain a completely explicit expression for T(x,0) and discuss the dependence of T(x,v) as a function of the size L of the region. We develop a new method that may be used to solve other exit time problems.

Coherent stochastic resonance

We consider Brownian motion on a line terminated by two trapping points. A bias term in the form of a telegraph signal is applied to this system. It is shown that the first two moments of survival time exhibit a minimum at the same resonant frequency.

Generalized percolation in random directed networks

We develop a general theory for percolation in directed random networks with arbitrary two-point correlations and bidirectional edgesthat is, edges pointing in both directions simultaneously. These two ingredients alter the previously known scenario and open new views and perspectives on percolation phenomena. Equations for the percolation threshold and the sizes of the giant components are derived in the most general case. We also present simulation results for a particular example of uncorrelated network with bidirectional edges confirming the theoretical predictions.

Absorbing boundary conditions for inertial processos

A recent paper by J. Heinrichs [Phys. Rev. E 48, 2397 (1993)] presents analytic expressions for the first-passage times and the survival probability for a particle moving in a field of random correlated forces. We believe that the analysis there is flawed due to an improper use of boundary conditions. We compare that result, in the white noise limit, with the known exact expression of the mean exit time.

Disordered backgammon model

In this paper we consider an exactly solvable model that displays glassy behavior at zero temperature due to entropic barriers. The new ingredient of the model is the existence of different energy scales or modes associated with different relaxational time scales. Low-temperature relaxation takes place by partial equilibration of successive lower-energy modes. An adiabatic scaling solution, defined in terms of a threshold energy scale e*, is proposed. For such a solution, modes with energy ee* are equilibrated at the bath temperature, modes with ee* remain out of equilibrium, and relaxation occurs in the neighborhood of the threshold e~e*. The model is presented as a toy example to investigate the conditions related to the existence of an effective temperature in glassy systems and its possible dependence on the energy sector is probed by the corresponding observable.

Precursor phenomena in frustrated systems

To understand the origin of the dynamical transition, between high-temperature exponential relaxation and low-temperature nonexponential relaxation, that occurs well above the static transition in glassy systems, a frustrated spin model, with and without disorder, is considered. The model has two phase transitions, the lower being a standard spin glass transition (in the presence of disorder) or fully frustrated Ising (in the absence of disorder), and the higher being a Potts transition. Monte Carlo results clarify that in the model with (or without) disorder the precursor phenomena are related to the Griffiths (or Potts) transition. The Griffiths transition is a vanishing transition which occurs above the Potts transition and is present only when disorder is present, while the Potts transition which signals the effect due to frustration is always present. These results suggest that precursor phenomena in frustrated systems are due either to disorder and/or to frustration, giving a consistent interpretation also for the limiting cases of Ising spin glass and of Ising fully frustrated model, where also the Potts transition is vanishing. This interpretation could play a relevant role in glassy systems beyond the spin systems case.

Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Long-range correlations in diffusive systems away from equilibrium

We study the dynamics of density fluctuations in purely diffusive systems away from equilibrium. Under some conditions the static density correlation function becomes long ranged. We then analyze this behavior in the framework of nonequilibrium fluctuating hydrodynamics.

Stochastic resonance in a suspension of magnetic dipoles under shear flow

We show that a magnetic dipole in a shear flow under the action of an oscillating magnetic field displays stochastic resonance in the linear response regime. To this end, we compute the classical quantifiers of stochastic resonance, i.e., the signal to noise ratio, the escape time distribution, and the mean first passage time. We also discuss the limitations and role of the linear response theory in its applications to the theory of stochastic resonance.

Invaded cluster dynamics for frustrated models

The invaded cluster (IC) dynamics introduced by Machta et al. [Phys. Rev. Lett. 75, 2792 (1995)] is extended to the fully frustrated Ising model on a square lattice. The properties of the dynamics that exhibits numerical evidence of self-organized criticality are studied. The fluctuations in the IC dynamics are shown to be intrinsic of the algorithm and the fluctuation-dissipation theorem is no longer valid. The relaxation time is found to be very short and does not present a critical size dependence.

Liquid-liquid phase transition for soft-core attractive potential

Using event-driven molecular dynamics simulations, we study a three-dimensional one-component system of spherical particles interacting via a discontinuous potential combining a repulsive square soft core and an attractive square well. In the case of a narrow attractive well, it has been shown that this potential has two metastable gas-liquid critical points. Here we systematically investigate how the changes of the parameters of this potential affect the phase diagram of the system. We find a broad range of potential parameters for which the system has both a gas-liquid critical point C1 and a liquid-liquid critical point C2. For the liquid-gas critical point we find that the derivatives of the critical temperature and pressure, with respect to the parameters of the potential, have the same signs: they are positive for increasing width of the attractive well and negative for increasing width and repulsive energy of the soft core. This result resembles the behavior of the liquid-gas critical point for standard liquids. In contrast, for the liquid-liquid critical point the critical pressure decreases as the critical temperature increases. As a consequence, the liquid-liquid critical point exists at positive pressures only in a finite range of parameters. We present a modified van der Waals equation which qualitatively reproduces the behavior of both critical points within some range of parameters, and gives us insight on the mechanisms ruling the dependence of the two critical points on the potential¿s parameters. The soft-core potential studied here resembles model potentials used for colloids, proteins, and potentials that have been related to liquid metals, raising an interesting possibility that a liquid-liquid phase transition may be present in some systems where it has not yet been observed.

Exact solution to the exit-time problem for an undamped free particle driven by Gaussian white noise

In a recent paper [Phys. Rev. Lett. 75, 189 (1995)] we have presented the exact analytical expression for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise out of a region (0,L) in space. In this paper we give a detailed account of the method employed and present results on asymptotic properties and averages of T(x,v).