Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

Petrology and geochemistry of Lipari Island (Aeolian archipelago): constraints on magma genesis and evolution

A full set of geochemical and Sr, Nd and Pb isotope data both on bulk-rock and mineral samples is provided for volcanic rocks representative of the whole stratigraphic succession of Lipari Island in the Aeolian archipelago. These data, together with petrographic observations and melt/fluid inclusion investigations from the literature, give outlines on the petrogenesis and evolution of magmas through the magmatic and eruptive history of Lipari. This is the result of nine successive Eruptive Epochs developing between 271 ka and historical times, as derived from recentmost volcanological and stratigraphic studies, combined with available radiometric ages and correlation of tephra layers and marine terrace deposits. These Eruptive Epochs are characterized by distinctive vents partly overlapping in space and time, mostly under control of the main regional tectonic trends (NNW-SSE, N-S and minor E-W). A large variety of lava flows, scoriaceous deposits, lava domes, coulees and pyroclastics are emplaced, ranging in composition through time from calcalkaline (CA) and high-K (HKCA) basaltic andesites to rhyolites. CA and HKCA basaltic andesitic to dacitic magmas were erupted between 271 and 81 ka (Eruptive Epochs 1-6) from volcanic edifices located along the western coast of the island (and subordinately the eastern Monterosa) and the M.Chirica and M.S.Angelo stratocones. These mafic to intermediate magmas mainly evolved through AFC and RAFC processes, involving fractionation of mafic phases, assimilation of wall rocks and mixing with newly injected mafic magmas. Following a 40 ka-long period of volcanic quiescence, the rhyolitic magmas were lately erupted from eruptive vents located in the southern and north-eastern sectors of Lipari between 40 ka and historical times (Eruptive Epochs 7-9). They are suggested to derive from the previous mafic to intermediate melts through AFC processes. During the early phases of rhyolitic magmatism (Eruptive Epochs 7-8), enclaves-rich rocks and banded pumices, ranging in composition from HKCA dacites to low-SiO2 rhyolites were erupted, representing the products of magma mixing between fresh mafic magmas and the fractionated rhyolitic melts. The interaction of mantle-derived magmas with the crust represents an essential process during the whole magmatic hystory of Lipari, and is responsible for the wide range of observed geochemical and isotopic variations. The crustal contribution was particularly important during the intermediate phases of activity of Lipari when the cordierite-bearing lavas were erupted from the M. S.Angelo volcano (Eruptive Epoch 5, 105 ka). These lavas are interpreted as the result of mixing and subsequent hybridization of mantle-derived magmas, akin to the ones characterizing the older phases of activity of Lipari (Eruptive Epochs 1-4), and crustal anatectic melts derived from dehydration-melting reactions of metapelites in the lower crust. A comparison between the adjacent islands of Lipari and Vulcano outlines that their mafic to intermediate magmas seem to be genetically connected and derive from a similar mantle source affected by different degrees of partial melting (and variable extent of crustal assimilation) producing either the CA magmas of Lipari (higher degrees) or the HKCA to SHO magmas of Vulcano (lower degrees). On a regional scale, the most primitive rocks (SiO2<56%, MgO>3.5%) of Lipari, Vulcano, Salina and Filicudi are suggested to derive from a similar MORB-like source, variably metasomatized by aqueous fluids coming from the slab and subordinately by the additions of sediments.