Semiclassical theory of shot noise in ballistic n+in+ semiconductor structures: relevance of Pauli and long range Coulomb interactions

We work out a semiclassical theory of shot noise in ballistic n+-i-n+ semiconductor structures aiming at studying two fundamental physical correlations coming from Pauli exclusion principle and long-range Coulomb interaction. The theory provides a unifying scheme which, in addition to the current-voltage characteristics, describes the suppression of shot noise due to Pauli and Coulomb correlations in the whole range of system parameters and applied bias. The whole scenario is summarized by a phase diagram in the plane of two dimensionless variables related to the sample length and contact chemical potential. Here different regions of physical interest can be identified where only Coulomb or only Pauli correlations are active, or where both are present with different relevance. The predictions of the theory are proven to be fully corroborated by Monte Carlo simulations.

Shot noise anomalies in elastic nondegenerate diffusive conductors

We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two interesting phenomena are found: (i) the display of enhanced shot noise for given energy dependences of the scattering time, and (ii) the recovery of full shot noise for asymptotic high applied bias. The first phenomenon is associated with the onset of negative differential conductivity in energy space that drives the system towards a dynamical electrical instability in excellent agreement with analytical predictions. The enhancement is found to be strongly amplified when the dimensionality in momentum space is lowered from three to two dimensions. The second phenomenon is due to the suppression of the effects of long-range Coulomb correlations that takes place when the transit time becomes the shortest time scale in the system, and is common to both elastic and inelastic nondegenerate diffusive conductors. These phenomena shed different light in the understanding of the anomalous behavior of shot noise in mesoscopic conductors, which is a signature of correlations among different current pulses.

Impedance field and transition from thermal to shot noise in Cd1-xZnxTe semi-insulating Ohmic detectors

Within a drift-diffusion model we investigate the role of the self-consistent electric field in determining the impedance field of a macroscopic Ohmic (linear) resistor made by a compensated semi-insulating semiconductor at arbitrary values of the applied voltage. The presence of long-range Coulomb correlations is found to be responsible for a reshaping of the spatial profile of the impedance field. This reshaping gives a null contribution to the macroscopic impedance but modifies essentially the transition from thermal to shot noise of a macroscopic linear resistor. Theoretical calculations explain a set of noise experiments carried out in semi-insulating CdZnTe detectors.

Shot noise in linear macroscopic resistors

We report on direct experimental evidence of shot noise in a linear macroscopic resistor. The origin of the shot noise comes from the fluctuation of the total number of charge carriers inside the resistor associated with their diffusive motion under the condition that the dielectric relaxation time becomes longer than the dynamic transit time. The present results show that neither potential barriers nor the absence of inelastic scattering are necessary to observe shot noise in electronic devices.

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Fluctuations in domain growth: Ginzburg-Landau equations with multiplicative noise

Ginzburg-Landau equations with multiplicative noise are considered, to study the effects of fluctuations in domain growth. The equations are derived from a coarse-grained methodology and expressions for the resulting concentration-dependent diffusion coefficients are proposed. The multiplicative noise gives contributions to the Cahn-Hilliard linear-stability analysis. In particular, it introduces a delay in the domain-growth dynamics.

Numerical algorithm for Ginzburg-Landau equations with multiplicative noise: Application to domain growth

We consider stochastic partial differential equations with multiplicative noise. We derive an algorithm for the computer simulation of these equations. The algorithm is applied to study domain growth of a model with a conserved order parameter. The numerical results corroborate previous analytical predictions obtained by linear analysis.

Decay of an unstable state in the presence of multiplicative noise

The phenomenon of anomalous fluctuations associated with the decay of an unstable state is analyzed in the presence of multiplicative noise. A theory is presented and compared with a numerical simulation. Our results allow us to distinguish the roles of additive and multiplicative noise in the nonlinear relaxation process. We suggest the use of experiments on transient dynamics to understand the effect of these two sources of noise in problems in which parametric noise is thought to be important, such as dye lasers.

Higher-order colored-noise effects in multivariable systems

We extend the partial resummation technique of Fokker-Planck terms for multivariable stochastic differential equations with colored noise. As an example, a model system of a Brownian particle with colored noise is studied. We prove that the asymmetric behavior found in analog simulations is due to higher-order terms which are left out in that technique. On the contrary, the systematic ¿-expansion approach can explain the analog results.

Escape over a potential barrier driven by colored noise: Large but finite correlation times

The recent theory of Tsironis and Grigolini for the mean first-passage time from one metastable state to another of a bistable potential for long correlation times of the noise is extended to large but finite correlation times.

Passage times for the decay of an unstable state triggered by colored noise

We study the decay of an unstable state in the presence of colored noise by calculating the moment generating function of the passage-time distribution. The problems of the independence of the initial condition in this non-Markovian process and that of nonlinear effects are addressed. Our results are compared with recent analog simulations.

Transient and preparation colored-noise effects: The nonlinear relaxation-time approach

We develop a singular perturbation approach to the problem of the calculation of a characteristic time (the nonlinear relaxation time) for non-Markovian processes driven by Gaussian colored noise with small correlation time. Transient and initial preparation effects are discussed and explicit results for prototype situations are obtained. New effects on the relaxation of unstable states are predicted. The approach is compared with previous techniques.

First-passage time in a bistable potential with colored noise

A precise digital simulation of a bistable system under the effect of colored noise is carried out. A set of data for the mean first-passage time is obtained. The results are interpreted and compared with presently available theories, which are revisited following a new insight. Discrepancies that have been discussed in the literature are understood within our framework.

Decay of unstable states in the presence of colored noise and random initial conditions. II. Analog experiments and digital simulations

The decay of an unstable state under the influence of external colored noise has been studied by means of analog experiments and digital simulations. For both fixed and random initial conditions, the time evolution of the second moment ¿x2(t)¿ of the system variable was determined and then used to evaluate the nonlinear relaxation time. The results obtained are found to be in excellent agreement with the theoretical predictions of the immediately preceding paper [Casademunt, Jiménez-Aquino, and Sancho, Phys. Rev. A 40, 5905 (1989)].