Generalized Langevin equations: Anomalous diffusion and probability distributions

We study the motion of a particle governed by a generalized Langevin equation. We show that, when no fluctuation-dissipation relation holds, the long-time behavior of the particle may be from stationary to superdiffusive, along with subdiffusive and diffusive. When the random force is Gaussian, we derive the exact equations for the joint and marginal probability density functions for the position and velocity of the particle and find their solutions.

Exact temporal evolution for some non-linear diffusion process

Exact solutions to FokkerPlanck equations with nonlinear drift are considered. Applications of these exact solutions for concrete models are studied. We arrive at the conclusion that for certain drifts we obtain divergent moments (and infinite relaxation time) if the diffusion process can be extended without any obstacle to the whole space. But if we introduce a potential barrier that limits the diffusion process, moments converge with a finite relaxation time.

Quantum critical effects in mean-field glassy systems

We consider the effects of quantum fluctuations in mean-field quantum spin-glass models with pairwise interactions. We examine the nature of the quantum glass transition at zero temperature in a transverse field. In models (such as the random orthogonal model) where the classical phase transition is discontinuous an analysis using the static approximation reveals that the transition becomes continuous at zero temperature.

Evidence of aging in spin glass mean-field models

We study numerically the out-of-equilibrium dynamics of the hypercubic cell spin glass in high dimensionalities. We obtain evidence of aging effects qualitatively similar both to experiments and to simulations of low-dimensional models. This suggests that the Sherrington-Kirkpatrick model as well as other mean-field finite connectivity lattices can be used to study these effects analytically.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

Diffusion in spatially and temporarily inhomogeneous media: Effects of turbulent mixing

We consider diffusion of a passive substance C in a phase-separating nonmiscible binary alloy under turbulent mixing. The substance is assumed to have different diffusion coefficients in the pure phases A and B, leading to a spatially and temporarily dependent diffusion ¿coefficient¿ in the diffusion equation plus convective term. In this paper we consider especially the effects of a turbulent flow field coupled to both the Cahn-Hilliard type evolution equation of the medium and the diffusion equation (both, therefore, supplemented by a convective term). It is shown that the formerly observed prolonged anomalous diffusion [H. Lehr, F. Sagués, and J.M. Sancho, Phys. Rev. E 54, 5028 (1996)] is no longer seen if a flow of sufficient intensity is supplied.

Diffusion in spatially and temporarily inhomogeneous media

In this paper we consider diffusion of a passive substance C in a temporarily and spatially inhomogeneous two-dimensional medium. As a realization for the latter we choose a phase-separating medium consisting of two substances A and B, whose dynamics is determined by the Cahn-Hilliard equation. Assuming different diffusion coefficients of C in A and B, we find that the variance of the distribution function of the said substance grows less than linearly in time. We derive a simple identity for the variance using a probabilistic ansatz and are then able to identify the interface between A and B as the main cause for this nonlinear dependence. We argue that, finally, for very large times the here temporarily dependent diffusion "constant" goes like t-1/3 to a constant asymptotic value D¿. The latter is calculated approximately by employing the effective-medium approximation and by fitting the simulation data to the said time dependence.

Reaction-diffusion fronts under stochastic advection

We study front propagation in stirred media using a simplified modelization of the turbulent flow. Computer simulations reveal the existence of the two limiting propagation modes observed in recent experiments with liquid phase isothermal reactions. These two modes respectively correspond to a wrinkled although sharp propagating interface and to a broadened one. Specific laws relative to the enhancement of the front velocity in each regime are confirmed by our simulations.

Velocity-jump instabilities in Hele-Shaw flow of associating polymer solutions

We study fracturelike flow instabilities that arise when water is injected into a Hele-Shaw cell filled with aqueous solutions of associating polymers. We explore various polymer architectures, molecular weights, and solution concentrations. Simultaneous measurements of the finger tip velocity and of the pressure at the injection point allow us to describe the dynamics of the finger in terms of the finger mobility, which relates the velocity to the pressure gradient. The flow discontinuities, characterized by jumps in the finger tip velocity, which are observed in experiments with some of the polymer solutions, can be modeled by using a nonmonotonic dependence between a characteristic shear stress and the shear rate at the tip of the finger. A simple model, which is based on a viscosity function containing both a Newtonian and a non-Newtonian component, and which predicts nonmonotonic regions when the non-Newtonian component of the viscosity dominates, is shown to agree with the experimental data.

Morphological changes in convection-diffusion-limited deposition

The effect of hydrodynamic flow upon diffusion-limited deposition on a line is investigated using a Monte Carlo model. The growth process is governed by the convection and diffusion field. The convective diffusion field is simulated by the biased-random walker resulting from a superimposed drift that represents the convective flow. The development of distinct morphologies is found with varying direction and strength of drift. By introducing a horizontal drift parallel to the deposition plate, the diffusion-limited deposit changes into a single needle inclined to the plate. The width of the needle decreases with increasing strength of drift. The angle between the needle and the plate is about 45° at high flow rate. In the presence of an inclined drift to the plate, the convection-diffusion-limited deposit leads to the formation of a characteristic columnar morphology. In the limiting case where the convection dominates, the deposition process is equivalent to ballistic deposition onto an inclined surface.

Diffusion of passive scalars under stochastic convection

The diffusion of passive scalars convected by turbulent flows is addressed here. A practical procedure to obtain stochastic velocity fields with well¿defined energy spectrum functions is also presented. Analytical results are derived, based on the use of stochastic differential equations, where the basic hypothesis involved refers to a rapidly decaying turbulence. These predictions are favorable compared with direct computer simulations of stochastic differential equations containing multiplicative space¿time correlated noise.

Morphology and segregation in two-component diffusion-limited aggregation

A diffusion-limited-aggregation (DLA) model with two components (A and B species) is presented to investigate the structure of the composite deposits. The sticking probability PAB (=PBA) between the different species is introduced into the original DLA model. By using computer simulation it is shown that various patterns are produced with varying the sticking probabilities PAB (=PBA) and PAA (= PBB), where PAA (=PBB) is the sticking probability between the same species. Segregated patterns can be analyzed under the condition PAB < PAA, assumed throughout the paper. With decreasing sticking probability PAB, a clustering of the same species occurs. With sufficiently small values of both sticking probabilities PAB and PAA, the deposit becomes dense and the segregated patterns of the composite deposit show a striped structure. The effect of the concentration on the pattern morphology is also shown.

Inter-firm labor mobility and knowledge diffusion: a theoretical approach

[cat] Analitzem una economia amb dues característiques principals: la mobilitat dels treballadors implica transferència de coneixement i la productivitat de l’empresa augmenta amb l’intercanvi de coneixement. Cada empresa desenvolupa un tipus de coneixement que serà trasmès a la resta de la indústria mitjançant la mobilitat de treballadors. Estudiem dues estructures de mercat laboral i utilitzant un anàlisi comparatiu derivem les implicacions del model. Els resultats revelen com la mobilitat de treballadors depèn en la varietat i nivell del coneixement, la presència de costos de mobilitat, les institucions, la capacitat d’absorvir coneixement per part de les empreses i la mida de la indústria. Els resultats no depenen de l’estructura del mercat laboral.

On Ito's formula for elliptic diffusion processes

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula for F(Xt, t), where F(x, t) has a locally square-integrable derivative in x that satisfies a mild continuity condition in t and X is a one-dimensional diffusion process such that the law of Xt has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303-328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function F has a locally integrable derivative in t, we can avoid the mild continuity condition in t for the derivative of F in x.