92 resultados para deterministic volatility function
Resumo:
We have studied domain growth during spinodal decomposition at low temperatures. We have performed a numerical integration of the deterministic time-dependent Ginzburg-Landau equation with a variable, concentration-dependent diffusion coefficient. The form of the pair-correlation function and the structure function are independent of temperature but the dynamics is slower at low temperature. A crossover between interfacial diffusion and bulk diffusion mechanisms is observed in the behavior of the characteristic domain size. This effect is explained theoretically in terms of an equation of motion for the interface.
Resumo:
Relevant features of the dynamic structure function S(q,¿) in 3-4He mixtures at zero temperature are investigated starting from known properties of the ground state. Sum rules are used to fix rigorous constraints to the different contributions to S(q,¿), coming from 3He and 4He elementary excitations, as well as to explore the role of the cross term S(3,4)(q,¿). Both the low-q (phonon-roton 4He excitations and 1p-1h 3He excitations) and high-q (deep-inelastic-scattering) ranges are discussed.
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We propose an equation to calculate the intensity correlation function of a dye-laser model with a pump parameter subject to finite-bandwidth fluctuations. The equation is valid, in the weak-noise limit, for all times. It incorporates novel non-Markovian features. Results are given for the short-time behavior of the correlation function. It exhibits a characteristic initial plateau. Our findings are supported by a numerical simulation of the model.
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Characteristic decay times for relaxation close to the marginal point of optical bistability are studied. A model-independent formula for the decay time is given which interpolates between Kramers time for activated decay and a deterministic relaxation time. This formula gives the decay time as a universal scaling function of the parameter which measures deviation from marginality. The standard deviation of the first-passage-time distribution is found to vary linearly with the decay time, close to marginality, with a slope independent of the noise intensity. Our results are substantiated by numerical simulations and their experimental relevance is pointed out.
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The recently measured inclusive electron-proton cross section in the nucleon resonance region, performed with the CLAS detector at the Thomas Jefferson Laboratory, has provided new data for the nucleon structure function F2 with previously unavailable precision. In this paper we propose a description of these experimental data based on a Regge-dual model for F2. The basic inputs in the model are nonlinear complex Regge trajectories producing both isobar resonances and a smooth background. The model is tested against the experimental data, and the Q2 dependence of the moments is calculated. The fitted model for the structure function (inclusive cross section) is a limiting case of the more general scattering amplitude equally applicable to deeply virtual Compton scattering. The connection between the two is discussed.
Resumo:
We have investigated hysteresis and the return-point memory (RPM) property in deterministic cellular automata with avalanche dynamics. The RPM property reflects a partial ordering of metastable states, preserved by the dynamics. Recently, Sethna et al. [Phys. Rev. Lett. 70, 3347 (1993)] proved this behavior for a homogeneously driven system with static disorder. This Letter shows that the partial ordering and the RPM can be displayed as well by systems driven heterogeneously, as a result of its own evolution dynamics. In particular, we prove the RPM property for a deterministic 2D sandpile automaton driven at a central site.
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Front dynamics modeled by a reaction-diffusion equation are studied under the influence of spatiotemporal structured noises. An effective deterministic model is analytical derived where the noise parameters, intensity, correlation time, and correlation length appear explicitly. The different effects of these parameters are discussed for the Ginzburg-Landau and Schlögl models. We obtain an analytical expression for the front velocity as a function of the noise parameters. Numerical simulation results are in a good agreement with the theoretical predictions.
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For a few years now, the study of quantum field theories in partially compactified space-time manifolds has acquired increasing importance in several domains of quantum physics. Let me just mention the issues of dimensional reduction and spontaneous compactification, and the multiple questions associated with the study of quantum field theories in the presence of boundaries (like the Casimir effect) and on curved space-time (manifolds with curvature and nontrivial topology), a step towards quantum gravity.
Resumo:
The tunneling approach to the wave function of the Universe has been recently criticized by Bousso and Hawking who claim that it predicts a catastrophic instability of de Sitter space with respect to pair production of black holes. We show that this claim is unfounded. First, we argue that different horizon size regions in de Sitter space cannot be treated as independently created, as they contend. And second, the WKB tunneling wave function is not simply the inverse of the Hartle-Hawking one, except in very special cases. Applied to the related problem of pair production of massive particles, we argue that the tunneling wave function leads to a small constant production rate, and not to a catastrophe as the argument of Bousso and Hawking would suggest.
Resumo:
Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.
Resumo:
We revisit the analytical properties of the static quasi-photon polarizability function for an electron gas at finite temperature, in connection with the existence of Friedel oscillations in the potential created by an impurity. In contrast with the zero temperature case, where the polarizability is an analytical function, except for the two branch cuts which are responsible for Friedel oscillations, at finite temperature the corresponding function is non analytical, in spite of becoming continuous everywhere on the complex plane. This effect produces, as a result, the survival of the oscillatory behavior of the potential. We calculate the potential at large distances, and relate the calculation to the non-analytical properties of the polarizability.